ギャップ・リバーサル（米国S&P500）のバックテスト
Gap Reversal (US S&P 500)
slug: gap-reversal-short-us-sp500
米国S&P500（約503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 -0.41。p-value は 0.31。Max DD は -5.7%。期間は 2022-01-03〜2026-09-21。最良 Sharpe +0.80 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）
-0.41
Max DD
-5.7%
勝率
—
Alpha（年率）
—
p-value
0.31
期間: 2022-01-03 → 2026-09-21
1728通りの Sharpe:中央値 -0.41最良 0.80 （代表値ではない）最悪 -1.16p25–p75 -0.67–-0.09
仮説
原文は英語。
Overnight gaps in S&P 500 stocks tend to reverse within the same or next few trading days. Shorting positive gaps and buying negative gaps captures this mean-reversion effect.
採用しなかった理由
Across 1728 grid combinations, median Sharpe=-0.41, best=0.80. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 0.80 (p=0.08).
period 2022-01-03–2026-09-21; cost=3bps; side=LONG
cite ↗ /cite/gap-reversal-short-us-sp500-fact-best-sharpevia r-gap-reversal-short-us-sp500-0948
Median Sharpe across 1728 grid runs is -0.41.
Full grid of 1728 parameter combinations.
Median Sharpe in DOWN regime is -0.71 across 1728 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.65 across 1728 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -2.30 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-us-sp500-0000 | side: "SHORT" top_n: 10 cost_bps: 3 | +0.40 | -1.08 | +1.00 | +4.53 |
top_n=10, min_gap_size=0.03, hold_days=1, side=SHORT, cost_bps=5 r-gap-reversal-short-us-sp500-0001 | side: "SHORT" top_n: 10 cost_bps: 5 | +0.29 | -1.25 | +0.82 | +4.36 |
top_n=10, min_gap_size=0.03, hold_days=1, side=SHORT, cost_bps=10 r-gap-reversal-short-us-sp500-0002 | side: "SHORT" top_n: 10 cost_bps: 10 | +0.01 | -1.68 | +0.39 | +3.92 |
top_n=10, min_gap_size=0.03, hold_days=1, side=BOTH, cost_bps=3 r-gap-reversal-short-us-sp500-0006 | side: "BOTH" top_n: 10 cost_bps: 3 | +0.06 | -0.86 | -0.06 | +1.91 |
top_n=10, min_gap_size=0.03, hold_days=1, regime_gate=nikkei-sma20, side=SHORT, cost_bps=3 r-gap-reversal-short-us-sp500-0009 | side: "SHORT" top_n: 10 cost_bps: 3 | +0.78 | — | +1.00 | +4.53 |
top_n=10, min_gap_size=0.03, hold_days=1, regime_gate=nikkei-sma60, side=SHORT, cost_bps=3 r-gap-reversal-short-us-sp500-0018 | side: "SHORT" top_n: 10 cost_bps: 3 | +0.57 | -1.18 | +0.86 | +4.53 |
top_n=10, min_gap_size=0.03, hold_days=5, side=SHORT, cost_bps=3 r-gap-reversal-short-us-sp500-0081 | side: "SHORT" top_n: 10 cost_bps: 3 | -0.51 | -2.01 | +0.07 | -1.29 |
top_n=10, min_gap_size=0.03, hold_days=5, regime_gate=nikkei-sma20, side=SHORT, cost_bps=5 r-gap-reversal-short-us-sp500-0091 | side: "SHORT" top_n: 10 cost_bps: 5 | -0.11 | — | -0.01 | -1.38 |
top_n=10, min_gap_size=0.05, hold_days=3, regime_gate=nikkei-sma20, side=LONG, cost_bps=10 r-gap-reversal-short-us-sp500-0176 | side: "LONG" top_n: 10 cost_bps: 10 | -0.05 | -2.30 | +1.27 | -0.40 |
top_n=10, min_gap_size=0.07, hold_days=2, regime_gate=nikkei-sma60, side=SHORT, cost_bps=3 r-gap-reversal-short-us-sp500-0261 | side: "SHORT" top_n: 10 cost_bps: 3 | -0.46 | -3.48 | -0.70 | -5.10 |
top_n=10, min_gap_size=0.1, hold_days=1, side=SHORT, cost_bps=3 r-gap-reversal-short-us-sp500-0324 | side: "SHORT" top_n: 10 cost_bps: 3 | -0.15 | -1.27 | -0.53 | +11.33 |
top_n=10, min_gap_size=0.1, hold_days=1, regime_gate=nikkei-sma60, side=LONG, cost_bps=10 r-gap-reversal-short-us-sp500-0347 | side: "LONG" top_n: 10 cost_bps: 10 | -0.32 | -2.79 | -1.16 | +3.54 |
top_n=10, min_gap_size=0.1, hold_days=3, side=BOTH, cost_bps=10 r-gap-reversal-short-us-sp500-0386 | side: "BOTH" top_n: 10 cost_bps: 10 | -1.16 | -4.43 | -1.65 | -10.02 |
top_n=20, min_gap_size=0.03, hold_days=1, side=SHORT, cost_bps=5 r-gap-reversal-short-us-sp500-0433 | side: "SHORT" top_n: 20 cost_bps: 5 | +0.30 | -1.17 | +0.53 | +5.66 |
top_n=20, min_gap_size=0.03, hold_days=5, side=LONG, cost_bps=10 r-gap-reversal-short-us-sp500-0518 | side: "LONG" top_n: 20 cost_bps: 10 | +0.68 | -0.97 | +0.97 | +5.40 |
top_n=20, min_gap_size=0.05, hold_days=3, regime_gate=nikkei-sma20, side=SHORT, cost_bps=3 r-gap-reversal-short-us-sp500-0603 | side: "SHORT" top_n: 20 cost_bps: 3 | -0.41 | — | -1.41 | -1.72 |
top_n=20, min_gap_size=0.07, hold_days=2, regime_gate=nikkei-sma20, side=LONG, cost_bps=5 r-gap-reversal-short-us-sp500-0688 | side: "LONG" top_n: 20 cost_bps: 5 | -0.76 | -2.88 | -2.04 | -3.24 |
top_n=20, min_gap_size=0.1, hold_days=1, regime_gate=nikkei-sma20, side=BOTH, cost_bps=10 r-gap-reversal-short-us-sp500-0773 | side: "BOTH" top_n: 20 cost_bps: 10 | -0.32 | -2.79 | -1.11 | +4.19 |
top_n=20, min_gap_size=0.1, hold_days=5, regime_gate=nikkei-sma60, side=LONG, cost_bps=3 r-gap-reversal-short-us-sp500-0858 | side: "LONG" top_n: 20 cost_bps: 3 | -0.41 | -4.01 | +3.53 | -14.11 |
top_n=50, min_gap_size=0.03, hold_days=3, regime_gate=nikkei-sma60, side=BOTH, cost_bps=5 r-gap-reversal-short-us-sp500-0943 | side: "BOTH" top_n: 50 cost_bps: 5 | +0.11 | -0.54 | +0.53 | +0.33 |
top_n=50, min_gap_size=0.03, hold_days=5, side=LONG, cost_bps=3 r-gap-reversal-short-us-sp500-0948 | side: "LONG" top_n: 50 cost_bps: 3 | +0.80 | -0.64 | +1.24 | +5.40 |
top_n=50, min_gap_size=0.05, hold_days=3, side=LONG, cost_bps=3 r-gap-reversal-short-us-sp500-1029 | side: "LONG" top_n: 50 cost_bps: 3 | +0.04 | -1.93 | +1.75 | -0.65 |
top_n=50, min_gap_size=0.07, hold_days=2, side=BOTH, cost_bps=5 r-gap-reversal-short-us-sp500-1114 | side: "BOTH" top_n: 50 cost_bps: 5 | -0.90 | -2.97 | -1.02 | -3.36 |
top_n=50, min_gap_size=0.1, hold_days=1, regime_gate=nikkei-sma20, side=SHORT, cost_bps=10 r-gap-reversal-short-us-sp500-1199 | side: "SHORT" top_n: 50 cost_bps: 10 | -0.08 | — | -1.04 | +10.41 |
top_n=50, min_gap_size=0.1, hold_days=5, regime_gate=nikkei-sma20, side=BOTH, cost_bps=3 r-gap-reversal-short-us-sp500-1284 | side: "BOTH" top_n: 50 cost_bps: 3 | -0.76 | -4.01 | -0.28 | -12.06 |
top_n=100, min_gap_size=0.03, hold_days=1, side=SHORT, cost_bps=3 r-gap-reversal-short-us-sp500-1296 | side: "SHORT" top_n: 100 cost_bps: 3 | +0.41 | -0.99 | +0.57 | +6.89 |
top_n=100, min_gap_size=0.03, hold_days=3, regime_gate=nikkei-sma60, side=SHORT, cost_bps=10 r-gap-reversal-short-us-sp500-1370 | side: "SHORT" top_n: 100 cost_bps: 10 | -0.40 | +1.15 | -2.12 | -1.30 |
top_n=100, min_gap_size=0.05, hold_days=2, regime_gate=nikkei-sma60, side=BOTH, cost_bps=3 r-gap-reversal-short-us-sp500-1455 | side: "BOTH" top_n: 100 cost_bps: 3 | -0.94 | -2.19 | -2.16 | -3.23 |
top_n=100, min_gap_size=0.07, hold_days=2, side=SHORT, cost_bps=5 r-gap-reversal-short-us-sp500-1540 | side: "SHORT" top_n: 100 cost_bps: 5 | -0.46 | -3.04 | -0.10 | -5.27 |
top_n=100, min_gap_size=0.1, hold_days=1, side=LONG, cost_bps=10 r-gap-reversal-short-us-sp500-1625 | side: "LONG" top_n: 100 cost_bps: 10 | -0.32 | -2.79 | -1.16 | +3.54 |
対象ユニバース
S&P 500 constituents, ~503 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