益利回り×モメンタム（東証全銘柄）のバックテスト
Earnings Yield x Momentum (JP All Stocks)
slug: earnings-yield-momentum-jp-all
東証全銘柄（約3,747銘柄）で益利回り×モメンタムをバックテストした。144通りの中央値 Sharpe は +0.25。p-value は 0.52。Max DD は -7.3%。期間は 2024-01-04〜2026-09-01。最良 Sharpe +1.71 は代表値ではない。
判定は marginal。どこかのパラメータでは p-value が 0.10 を下回るが、中央値自体は promising の基準（Sharpe > 0.5 かつ p-value < 0.05）に届いていない。上昇・横ばい・下落で結果が割れ、中央値としては安定しない。
成績の中央値
Sharpe（中央値）
+0.25
Max DD
-7.3%
勝率
—
Alpha（年率）
—
p-value
0.52
期間: 2024-01-04 → 2026-09-01
144通りの Sharpe:中央値 0.25最良 1.71 （代表値ではない）最悪 -0.84p25–p75 -0.07–0.63
仮説
原文は英語。
Value and momentum are individually noisy but historically complementary; requiring both a high earnings yield and positive price momentum tests whether the intersection avoids value traps better than either signal alone.
採用しなかった理由
Across 144 grid combinations, median Sharpe=0.25, best=1.71. Primary failure mode: regime_dependent.
検証ファクト (5)
Best grid Sharpe ratio is 1.71 (p=0.014).
period 2024-01-04–2026-09-01; cost=5bps
cite ↗ /cite/earnings-yield-momentum-jp-all-fact-best-sharpevia r-earnings-yield-momentum-jp-all-0100
Median Sharpe across 144 grid runs is 0.25.
Full grid of 144 parameter combinations.
Median Sharpe in DOWN regime is -1.23 across 144 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is 0.91 across 144 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.08 across 144 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
momentum_days=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1 r-earnings-yield-momentum-jp-all-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.49 | -0.63 | -0.20 | -1.10 |
momentum_days=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5 r-earnings-yield-momentum-jp-all-0001 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.10 | -0.07 | +0.70 | -2.59 |
momentum_days=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20 r-earnings-yield-momentum-jp-all-0002 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.25 | -0.02 | +0.63 | -0.74 |
momentum_days=20, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1 r-earnings-yield-momentum-jp-all-0003 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.34 | -0.20 | -0.20 | -1.10 |
momentum_days=20, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1 r-earnings-yield-momentum-jp-all-0006 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.63 | -0.79 | -0.32 | -1.24 |
momentum_days=20, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5 r-earnings-yield-momentum-jp-all-0010 | cost_bps: 10 n_stocks: 5 regime_gate: true | +0.25 | +0.42 | +0.60 | -2.79 |
momentum_days=20, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=5 r-earnings-yield-momentum-jp-all-0016 | cost_bps: 5 n_stocks: 10 regime_gate: true | +0.63 | +0.83 | +1.09 | -2.93 |
momentum_days=20, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5 r-earnings-yield-momentum-jp-all-0022 | cost_bps: 10 n_stocks: 10 regime_gate: true | +0.50 | +0.76 | +0.93 | -3.24 |
momentum_days=20, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=5 r-earnings-yield-momentum-jp-all-0028 | cost_bps: 5 n_stocks: 20 regime_gate: true | +1.07 | +0.89 | +1.63 | -0.58 |
momentum_days=20, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=5 r-earnings-yield-momentum-jp-all-0034 | cost_bps: 10 n_stocks: 20 regime_gate: true | +0.92 | +0.79 | +1.46 | -0.79 |
momentum_days=20, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1 r-earnings-yield-momentum-jp-all-0036 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.20 | -0.92 | +0.78 | -0.92 |
momentum_days=20, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=20 r-earnings-yield-momentum-jp-all-0041 | cost_bps: 5 n_stocks: 50 regime_gate: true | +0.20 | -0.45 | +0.55 | +1.50 |
momentum_days=20, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=20 r-earnings-yield-momentum-jp-all-0047 | cost_bps: 10 n_stocks: 50 regime_gate: true | +0.07 | -0.52 | +0.36 | +1.30 |
momentum_days=60, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20 r-earnings-yield-momentum-jp-all-0053 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.30 | +0.76 | +0.80 | -2.24 |
momentum_days=60, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20 r-earnings-yield-momentum-jp-all-0059 | cost_bps: 10 n_stocks: 5 regime_gate: true | +0.23 | +0.72 | +0.69 | -2.33 |
momentum_days=60, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20 r-earnings-yield-momentum-jp-all-0065 | cost_bps: 5 n_stocks: 10 regime_gate: true | +0.45 | +0.15 | +1.04 | -3.01 |
momentum_days=60, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=20 r-earnings-yield-momentum-jp-all-0071 | cost_bps: 10 n_stocks: 10 regime_gate: true | +0.37 | +0.10 | +0.96 | -3.19 |
momentum_days=60, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=20 r-earnings-yield-momentum-jp-all-0077 | cost_bps: 5 n_stocks: 20 regime_gate: true | +0.56 | +0.16 | +1.29 | -1.29 |
momentum_days=60, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=1 r-earnings-yield-momentum-jp-all-0078 | cost_bps: 10 n_stocks: 20 regime_gate: false | -0.84 | -4.10 | +0.68 | -1.29 |
momentum_days=60, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1 r-earnings-yield-momentum-jp-all-0084 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.23 | -3.26 | +0.92 | +0.05 |
momentum_days=60, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1 r-earnings-yield-momentum-jp-all-0090 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.82 | -4.15 | +0.35 | -0.44 |
momentum_days=120, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1 r-earnings-yield-momentum-jp-all-0096 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.03 | -2.58 | +2.28 | -0.56 |
momentum_days=120, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5 r-earnings-yield-momentum-jp-all-0097 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.75 | -1.52 | +2.81 | +0.17 |
momentum_days=120, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=5 r-earnings-yield-momentum-jp-all-0100 | cost_bps: 5 n_stocks: 5 regime_gate: true | +1.71 | +0.82 | +2.81 | +0.17 |
momentum_days=120, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20 r-earnings-yield-momentum-jp-all-0104 | cost_bps: 10 n_stocks: 5 regime_gate: false | +0.98 | +0.74 | +2.06 | -4.24 |
momentum_days=120, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20 r-earnings-yield-momentum-jp-all-0110 | cost_bps: 5 n_stocks: 10 regime_gate: false | +0.28 | +0.17 | +0.45 | -3.01 |
momentum_days=120, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20 r-earnings-yield-momentum-jp-all-0116 | cost_bps: 10 n_stocks: 10 regime_gate: false | +0.21 | +0.10 | +0.39 | -3.51 |
momentum_days=120, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=20 r-earnings-yield-momentum-jp-all-0122 | cost_bps: 5 n_stocks: 20 regime_gate: false | +0.83 | +0.75 | +1.22 | -7.21 |
momentum_days=120, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=20 r-earnings-yield-momentum-jp-all-0128 | cost_bps: 10 n_stocks: 20 regime_gate: false | +0.72 | +0.63 | +1.11 | -7.88 |
momentum_days=120, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=20 r-earnings-yield-momentum-jp-all-0134 | cost_bps: 5 n_stocks: 50 regime_gate: false | +0.68 | +1.33 | +0.61 | -11.94 |
対象ユニバース
Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks; fundamentals from J-Quants financial statements (coverage from 2023-12)
関連する戦略
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-26T05:46:58