ギャップ・リバーサル（東証全銘柄）のバックテスト
Gap Reversal (JP All Stocks)
slug: gap-reversal-short-jp-all
東証全銘柄（約3,747銘柄）でギャップ・リバーサルをバックテストした。1,728通りの中央値 Sharpe は -0.74。p-value は 0.11。Max DD は -4.6%。期間は 2022-01-07〜2026-09-14。最良 Sharpe +0.63 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。主因は no_edge。レジーム・取引回数・コストには分類されず、中央値が採用ラインに届いていない。
何を検証したか
ギャップ・リバーサルは、窓を開けたあとにその隙間が埋まる方向へ取る短期の逆張りです。寄り付きのギャップは目立ちますが、取引コストを入れた中央値で残らなければ、見た目の反転は取れていません。最良 Sharpe が大きくても、中央値がマイナスなら判定は rejected のままです。
成績の中央値
Sharpe（中央値）
-0.74
Max DD
-4.6%
勝率
—
Alpha（年率）
—
p-value
0.11
期間: 2022-01-07 → 2026-09-14
1728通りの Sharpe:中央値 -0.74最良 0.63 （代表値ではない）最悪 -1.74p25–p75 -1.09–-0.18
仮説
原文は英語。
Overnight gaps across all Japanese stocks tend to reverse. Testing the same gap-reversal signal on the full universe.
採用しなかった理由
Across 1728 grid combinations, median Sharpe=-0.74, best=0.63. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 0.63 (p=0.18).
period 2022-01-07–2026-09-14; cost=3bps; side=LONG
cite ↗ /cite/gap-reversal-short-jp-all-fact-best-sharpevia r-gap-reversal-short-jp-all-0300
Median Sharpe across 1728 grid runs is -0.74.
Full grid of 1728 parameter combinations.
Median Sharpe in DOWN regime is -2.06 across 1728 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -2.89 across 1728 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -8.87 across 1728 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
top_n=10, min_gap_size=0.03, hold_days=1, side=SHORT, cost_bps=3 r-gap-reversal-short-jp-all-0000 | side: "SHORT" top_n: 10 cost_bps: 3 | -0.96 | -0.35 | -2.33 | -4.38 |
top_n=10, min_gap_size=0.03, hold_days=1, side=SHORT, cost_bps=5 r-gap-reversal-short-jp-all-0001 | side: "SHORT" top_n: 10 cost_bps: 5 | -1.01 | -0.49 | -2.47 | -4.49 |
top_n=10, min_gap_size=0.03, hold_days=1, side=SHORT, cost_bps=10 r-gap-reversal-short-jp-all-0002 | side: "SHORT" top_n: 10 cost_bps: 10 | -1.14 | -0.84 | -2.81 | -4.75 |
top_n=10, min_gap_size=0.03, hold_days=1, side=BOTH, cost_bps=3 r-gap-reversal-short-jp-all-0006 | side: "BOTH" top_n: 10 cost_bps: 3 | -1.11 | -2.84 | -2.67 | +0.80 |
top_n=10, min_gap_size=0.03, hold_days=1, regime_gate=nikkei-sma20, side=SHORT, cost_bps=3 r-gap-reversal-short-jp-all-0009 | side: "SHORT" top_n: 10 cost_bps: 3 | -1.00 | — | -2.33 | -4.38 |
top_n=10, min_gap_size=0.03, hold_days=1, regime_gate=nikkei-sma60, side=SHORT, cost_bps=3 r-gap-reversal-short-jp-all-0018 | side: "SHORT" top_n: 10 cost_bps: 3 | -0.65 | +5.08 | -1.87 | -4.38 |
top_n=10, min_gap_size=0.03, hold_days=5, side=SHORT, cost_bps=3 r-gap-reversal-short-jp-all-0081 | side: "SHORT" top_n: 10 cost_bps: 3 | -1.69 | -3.55 | -3.75 | -9.23 |
top_n=10, min_gap_size=0.03, hold_days=5, side=SHORT, cost_bps=10 r-gap-reversal-short-jp-all-0083 | side: "SHORT" top_n: 10 cost_bps: 10 | -1.74 | -3.66 | -3.91 | -9.42 |
top_n=10, min_gap_size=0.03, hold_days=5, regime_gate=nikkei-sma20, side=SHORT, cost_bps=10 r-gap-reversal-short-jp-all-0092 | side: "SHORT" top_n: 10 cost_bps: 10 | -1.59 | — | -3.91 | -9.42 |
top_n=10, min_gap_size=0.05, hold_days=3, regime_gate=nikkei-sma20, side=BOTH, cost_bps=3 r-gap-reversal-short-jp-all-0177 | side: "BOTH" top_n: 10 cost_bps: 3 | -0.97 | -6.02 | -2.98 | -2.69 |
top_n=10, min_gap_size=0.07, hold_days=2, regime_gate=nikkei-sma60, side=SHORT, cost_bps=5 r-gap-reversal-short-jp-all-0262 | side: "SHORT" top_n: 10 cost_bps: 5 | -1.09 | -53.28 | -5.94 | -11.80 |
top_n=10, min_gap_size=0.07, hold_days=5, side=LONG, cost_bps=3 r-gap-reversal-short-jp-all-0300 | side: "LONG" top_n: 10 cost_bps: 3 | +0.63 | -13.21 | +4.10 | +15.61 |
top_n=10, min_gap_size=0.1, hold_days=1, side=SHORT, cost_bps=3 r-gap-reversal-short-jp-all-0324 | side: "SHORT" top_n: 10 cost_bps: 3 | -0.11 | +7.65 | +3.91 | -5.73 |
top_n=10, min_gap_size=0.1, hold_days=1, regime_gate=nikkei-sma60, side=BOTH, cost_bps=5 r-gap-reversal-short-jp-all-0349 | side: "BOTH" top_n: 10 cost_bps: 5 | -0.49 | -6.48 | +3.46 | -4.79 |
top_n=20, min_gap_size=0.03, hold_days=1, side=SHORT, cost_bps=10 r-gap-reversal-short-jp-all-0434 | side: "SHORT" top_n: 20 cost_bps: 10 | -1.14 | -0.84 | -2.81 | -4.75 |
top_n=20, min_gap_size=0.03, hold_days=5, side=BOTH, cost_bps=3 r-gap-reversal-short-jp-all-0519 | side: "BOTH" top_n: 20 cost_bps: 3 | -0.85 | -3.84 | -1.89 | +1.73 |
top_n=20, min_gap_size=0.05, hold_days=3, regime_gate=nikkei-sma20, side=SHORT, cost_bps=5 r-gap-reversal-short-jp-all-0604 | side: "SHORT" top_n: 20 cost_bps: 5 | -1.08 | — | -4.36 | -8.38 |
top_n=20, min_gap_size=0.07, hold_days=2, regime_gate=nikkei-sma20, side=LONG, cost_bps=10 r-gap-reversal-short-jp-all-0689 | side: "LONG" top_n: 20 cost_bps: 10 | +0.12 | -13.14 | -1.05 | +9.64 |
top_n=20, min_gap_size=0.1, hold_days=1, regime_gate=nikkei-sma60, side=SHORT, cost_bps=3 r-gap-reversal-short-jp-all-0774 | side: "SHORT" top_n: 20 cost_bps: 3 | -0.10 | — | +3.91 | -5.73 |
top_n=20, min_gap_size=0.1, hold_days=5, regime_gate=nikkei-sma60, side=LONG, cost_bps=5 r-gap-reversal-short-jp-all-0859 | side: "LONG" top_n: 20 cost_bps: 5 | +0.53 | -12.11 | +2.96 | +12.56 |
top_n=50, min_gap_size=0.03, hold_days=3, regime_gate=nikkei-sma60, side=BOTH, cost_bps=10 r-gap-reversal-short-jp-all-0944 | side: "BOTH" top_n: 50 cost_bps: 10 | -1.11 | -5.31 | -1.65 | -2.46 |
top_n=50, min_gap_size=0.05, hold_days=3, side=LONG, cost_bps=3 r-gap-reversal-short-jp-all-1029 | side: "LONG" top_n: 50 cost_bps: 3 | -0.07 | -6.02 | +0.79 | +7.72 |
top_n=50, min_gap_size=0.07, hold_days=2, side=BOTH, cost_bps=5 r-gap-reversal-short-jp-all-1114 | side: "BOTH" top_n: 50 cost_bps: 5 | -0.77 | -8.97 | -4.49 | +1.54 |
top_n=50, min_gap_size=0.1, hold_days=1, regime_gate=nikkei-sma20, side=SHORT, cost_bps=10 r-gap-reversal-short-jp-all-1199 | side: "SHORT" top_n: 50 cost_bps: 10 | -0.29 | — | +3.44 | -5.96 |
top_n=50, min_gap_size=0.1, hold_days=5, regime_gate=nikkei-sma20, side=BOTH, cost_bps=3 r-gap-reversal-short-jp-all-1284 | side: "BOTH" top_n: 50 cost_bps: 3 | +0.03 | -12.03 | -2.53 | +4.47 |
top_n=100, min_gap_size=0.03, hold_days=1, side=SHORT, cost_bps=3 r-gap-reversal-short-jp-all-1296 | side: "SHORT" top_n: 100 cost_bps: 3 | -0.96 | -0.35 | -2.33 | -4.38 |
top_n=100, min_gap_size=0.03, hold_days=3, regime_gate=nikkei-sma60, side=SHORT, cost_bps=10 r-gap-reversal-short-jp-all-1370 | side: "SHORT" top_n: 100 cost_bps: 10 | -1.28 | -8.79 | -2.81 | -8.17 |
top_n=100, min_gap_size=0.05, hold_days=2, regime_gate=nikkei-sma60, side=BOTH, cost_bps=3 r-gap-reversal-short-jp-all-1455 | side: "BOTH" top_n: 100 cost_bps: 3 | -0.95 | -9.80 | -3.51 | +1.76 |
top_n=100, min_gap_size=0.07, hold_days=2, side=SHORT, cost_bps=5 r-gap-reversal-short-jp-all-1540 | side: "SHORT" top_n: 100 cost_bps: 5 | -1.15 | -8.23 | -5.94 | -11.80 |
top_n=100, min_gap_size=0.1, hold_days=1, side=LONG, cost_bps=10 r-gap-reversal-short-jp-all-1625 | side: "LONG" top_n: 100 cost_bps: 10 | -0.76 | -14.55 | +2.31 | -3.27 |
対象ユニバース
Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks
関連する戦略
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T21:54:26