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marginalregime_dependent· equity· drift· fundamental· revision

業績予想修正（東証グロース）のバックテスト

Forecast Revision (JP Growth Stocks)

slug: forecast-revision-jp-growth

東証グロース（約495銘柄）で業績予想修正をバックテストした。48通りの中央値 Sharpe は +0.26。p-value は 0.56。Max DD は -7.4%。期間は 2024-03-01〜2026-09-01。最良 Sharpe +0.79 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）
+0.26
Max DD
-7.4%
勝率
—
Alpha（年率）
—
p-value
0.56
期間: 2024-03-01 → 2026-09-01
48通りの Sharpe:中央値 0.26最良 0.79 （代表値ではない）最悪 -1.71p25–p75 -0.21–0.39

仮説

原文は英語。

Japanese companies publish their own full-year guidance; upward revisions are informative and historically under-reacted to. Ranking on the latest guidance revision tests for a post-revision drift analogous to PEAD.

採用しなかった理由

Across 48 grid combinations, median Sharpe=0.26, best=0.79. Primary failure mode: regime_dependent.

検証ファクト (5)

Best grid Sharpe ratio is 0.79 (p=0.22).
period 2024-03-01–2026-09-01; cost=5bps
sharpe_ratio0.79
cite ↗ /cite/forecast-revision-jp-growth-fact-best-sharpevia r-forecast-revision-jp-growth-0028
Median Sharpe across 48 grid runs is 0.26.
Full grid of 48 parameter combinations.
sharpe_ratio0.26
cite ↗ /cite/forecast-revision-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is 0.51 across 48 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio0.51
cite ↗ /cite/forecast-revision-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is -0.54 across 48 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.54
cite ↗ /cite/forecast-revision-jp-growth-fact-regime-flat
Median Sharpe in UP regime is 0.93 across 48 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.93
cite ↗ /cite/forecast-revision-jp-growth-fact-regime-up

検証ラン (30)

runparamssharpeUPFLATDOWN
n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-forecast-revision-jp-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.06+0.16-0.54+1.62
n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-forecast-revision-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.26+2.22-0.94+0.69
n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-forecast-revision-jp-growth-0002
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.42+1.31-0.10+1.43
n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-forecast-revision-jp-growth-0003
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.19+1.02-0.54+1.62
n_stocks=5, cost_bps=5, regime_gate=True, holding_days=5
r-forecast-revision-jp-growth-0004
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.37+3.76-0.94+0.69
n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20
r-forecast-revision-jp-growth-0005
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.35+1.34-0.10+1.43
n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-forecast-revision-jp-growth-0006
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.21+0.03-0.71+1.47
n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5
r-forecast-revision-jp-growth-0007
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.18+2.15-1.02+0.52
n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20
r-forecast-revision-jp-growth-0008
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.39+1.28-0.13+1.35
n_stocks=5, cost_bps=10, regime_gate=True, holding_days=1
r-forecast-revision-jp-growth-0009
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.05+0.93-0.71+1.47
n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5
r-forecast-revision-jp-growth-0010
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.30+3.70-1.02+0.52
n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20
r-forecast-revision-jp-growth-0011
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.33+1.32-0.13+1.35
n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1
r-forecast-revision-jp-growth-0012
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.18-0.12-0.26+0.14
n_stocks=10, cost_bps=5, regime_gate=False, holding_days=5
r-forecast-revision-jp-growth-0013
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.08+1.50-0.42-2.28
n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20
r-forecast-revision-jp-growth-0014
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.48+1.07+0.08+1.89
n_stocks=10, cost_bps=5, regime_gate=True, holding_days=1
r-forecast-revision-jp-growth-0015
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.02+0.26-0.26+0.14
n_stocks=10, cost_bps=5, regime_gate=True, holding_days=5
r-forecast-revision-jp-growth-0016
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.50+2.07-0.42-2.28
n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20
r-forecast-revision-jp-growth-0017
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.38+0.87+0.08+1.89
n_stocks=10, cost_bps=10, regime_gate=False, holding_days=1
r-forecast-revision-jp-growth-0018
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.47-0.36-0.55-0.22
n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5
r-forecast-revision-jp-growth-0019
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.08+1.33-0.57-2.67
n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20
r-forecast-revision-jp-growth-0020
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.43+1.02+0.03+1.79
n_stocks=10, cost_bps=10, regime_gate=True, holding_days=1
r-forecast-revision-jp-growth-0021
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.24+0.16-0.55-0.22
n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5
r-forecast-revision-jp-growth-0022
cost_bps: 10
n_stocks: 10
regime_gate: true
+0.39+2.02-0.57-2.67
n_stocks=10, cost_bps=10, regime_gate=True, holding_days=20
r-forecast-revision-jp-growth-0023
cost_bps: 10
n_stocks: 10
regime_gate: true
+0.33+0.84+0.03+1.79
n_stocks=20, cost_bps=5, regime_gate=False, holding_days=1
r-forecast-revision-jp-growth-0024
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.23-0.10-0.32-0.31
n_stocks=20, cost_bps=5, regime_gate=False, holding_days=5
r-forecast-revision-jp-growth-0025
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.27+0.93-0.07+0.15
n_stocks=20, cost_bps=5, regime_gate=False, holding_days=20
r-forecast-revision-jp-growth-0026
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.64+1.41+0.13+0.49
n_stocks=20, cost_bps=5, regime_gate=True, holding_days=5
r-forecast-revision-jp-growth-0028
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.79+2.34-0.07+0.15
n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-forecast-revision-jp-growth-0036
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.05-1.03-1.15-0.39
n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-forecast-revision-jp-growth-0042
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.71-1.50-1.94-2.32

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:業績予想修正（東証全銘柄）
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T21:54:30
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

関連する戦略