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rejectedregime_dependent· equity· fundamental· momentum· value

益利回り×モメンタム（東証グロース）のバックテスト

Earnings Yield x Momentum (JP Growth Stocks)

slug: earnings-yield-momentum-jp-growth

東証グロース（約495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 -0.07。p-value は 0.63。Max DD は -9.3%。期間は 2024-01-04〜2026-09-01。最良 Sharpe +1.53 は代表値ではない。

判定は rejected。中央値は promising（Sharpe > 0.5 かつ p-value < 0.05）にも marginal（Sharpe > 0.05 かつ最良 p-value < 0.10）にも届いていない。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）
-0.07
Max DD
-9.3%
勝率
—
Alpha（年率）
—
p-value
0.63
期間: 2024-01-04 → 2026-09-01
144通りの Sharpe:中央値 -0.07最良 1.53 （代表値ではない）最悪 -1.48p25–p75 -0.45–0.18

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=-0.07, best=1.53. Primary failure mode: regime_dependent.

検証ファクト (5)

Best grid Sharpe ratio is 1.53 (p=0.028).
period 2024-01-04–2026-09-01; cost=5bps
sharpe_ratio1.53
cite ↗ /cite/earnings-yield-momentum-jp-growth-fact-best-sharpevia r-earnings-yield-momentum-jp-growth-0136
Median Sharpe across 144 grid runs is -0.07.
Full grid of 144 parameter combinations.
sharpe_ratio-0.07
cite ↗ /cite/earnings-yield-momentum-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is -1.15 across 144 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-1.15
cite ↗ /cite/earnings-yield-momentum-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is 0.10 across 144 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.10
cite ↗ /cite/earnings-yield-momentum-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -0.39 across 144 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.39
cite ↗ /cite/earnings-yield-momentum-jp-growth-fact-regime-up

検証ラン (30)

runparamssharpeUPFLATDOWN
momentum_days=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-earnings-yield-momentum-jp-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.07+0.01-0.17+0.39
momentum_days=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-earnings-yield-momentum-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.03-0.58+0.09+1.63
momentum_days=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-earnings-yield-momentum-jp-growth-0002
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.02+0.49-0.24-0.10
momentum_days=20, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-earnings-yield-momentum-jp-growth-0003
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.15-0.24-0.17+0.39
momentum_days=20, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-earnings-yield-momentum-jp-growth-0006
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.23-0.17-0.31+0.23
momentum_days=20, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5
r-earnings-yield-momentum-jp-growth-0010
cost_bps: 10
n_stocks: 5
regime_gate: true
0.00-0.51-0.01+1.49
momentum_days=20, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=5
r-earnings-yield-momentum-jp-growth-0016
cost_bps: 5
n_stocks: 10
regime_gate: true
0.00-0.20+0.20-1.37
momentum_days=20, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5
r-earnings-yield-momentum-jp-growth-0022
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.16-0.34+0.03-1.71
momentum_days=20, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=5
r-earnings-yield-momentum-jp-growth-0028
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.70+0.32+0.89+0.45
momentum_days=20, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=5
r-earnings-yield-momentum-jp-growth-0034
cost_bps: 10
n_stocks: 20
regime_gate: true
+0.51+0.19+0.69+0.15
momentum_days=20, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-earnings-yield-momentum-jp-growth-0036
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.01-0.71+0.25+0.80
momentum_days=20, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=20
r-earnings-yield-momentum-jp-growth-0041
cost_bps: 5
n_stocks: 50
regime_gate: true
-0.31-0.88+0.17+0.28
momentum_days=20, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=20
r-earnings-yield-momentum-jp-growth-0047
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.45-0.94-0.03-0.06
momentum_days=60, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20
r-earnings-yield-momentum-jp-growth-0053
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.61+0.37-0.49-13.45
momentum_days=60, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20
r-earnings-yield-momentum-jp-growth-0059
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.66+0.34-0.56-13.67
momentum_days=60, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20
r-earnings-yield-momentum-jp-growth-0065
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.39-0.52+0.09-6.46
momentum_days=60, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=20
r-earnings-yield-momentum-jp-growth-0071
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.46-0.56+0.01-6.65
momentum_days=60, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=20
r-earnings-yield-momentum-jp-growth-0077
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.25+0.03-0.18-3.20
momentum_days=60, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=1
r-earnings-yield-momentum-jp-growth-0078
cost_bps: 10
n_stocks: 20
regime_gate: false
-1.48-3.56-0.66-1.50
momentum_days=60, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-earnings-yield-momentum-jp-growth-0084
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.61-2.77+0.12+0.41
momentum_days=60, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-earnings-yield-momentum-jp-growth-0090
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.13-3.39-0.42+0.01
momentum_days=120, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-earnings-yield-momentum-jp-growth-0096
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.08-2.65+1.07-0.72
momentum_days=120, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-earnings-yield-momentum-jp-growth-0097
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.56-1.22+1.87+0.18
momentum_days=120, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5
r-earnings-yield-momentum-jp-growth-0103
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.45-1.32+1.74+0.09
momentum_days=120, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=5
r-earnings-yield-momentum-jp-growth-0109
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.26-1.32+1.00+0.44
momentum_days=120, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5
r-earnings-yield-momentum-jp-growth-0115
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.10-1.50+0.84+0.32
momentum_days=120, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=5
r-earnings-yield-momentum-jp-growth-0121
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.52-0.08+1.01+0.53
momentum_days=120, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=5
r-earnings-yield-momentum-jp-growth-0127
cost_bps: 10
n_stocks: 20
regime_gate: false
+0.30-0.24+0.75+0.33
momentum_days=120, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=5
r-earnings-yield-momentum-jp-growth-0133
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.75-0.90+1.83-0.14
momentum_days=120, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=5
r-earnings-yield-momentum-jp-growth-0136
cost_bps: 5
n_stocks: 50
regime_gate: true
+1.53+1.20+1.83-0.14

対象ユニバース

Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY; fundamentals from J-Quants financial statements (coverage from 2023-12)

関連する戦略

same_strategy:益利回り×モメンタム（東証全銘柄）
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T21:54:31
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

関連する戦略