ガーマン・クラス・ボラティリティ（東証全銘柄）のバックテスト
Garman-Klass Volatility Factor (JP All Stocks)
slug: garman-klass-vol-jp-all
東証全銘柄（約3,747銘柄）でガーマン・クラス・ボラティリティをバックテストした。320通りの中央値 Sharpe は +0.59。p-value は 0.18。Max DD は -14.8%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +1.32 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。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。
成績の中央値
Sharpe（中央値）
+0.59
Max DD
-14.8%
勝率
—
Alpha（年率）
—
p-value
0.18
期間: 2022-02-01 → 2026-09-01
320通りの Sharpe:中央値 0.59最良 1.32 （代表値ではない）最悪 -0.91p25–p75 0.31–0.85
仮説
原文は英語。
Garman & Klass (1980): OHLC-based volatility estimator. Testing low-volatility anomaly using GK vol on the full Japanese stock universe.
採用しなかった理由
Across 320 grid combinations, median Sharpe=0.59, best=1.32. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 1.32 (p=1.5e-05).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/garman-klass-vol-jp-all-fact-best-sharpevia r-garman-klass-vol-jp-all-0076
Median Sharpe across 320 grid runs is 0.59.
Full grid of 320 parameter combinations.
Median Sharpe in DOWN regime is 0.04 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is 0.59 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 1.14 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-garman-klass-vol-jp-all-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.77 | +0.85 | +0.81 | +0.48 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-garman-klass-vol-jp-all-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.50 | -1.80 | +0.81 | +0.48 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-garman-klass-vol-jp-all-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | +0.67 | +0.73 | +0.72 | +0.38 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-garman-klass-vol-jp-all-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | +0.41 | -2.55 | +0.72 | +0.38 |
formation_days=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-garman-klass-vol-jp-all-0012 | cost_bps: 5 n_stocks: 50 regime_gate: false | +0.71 | +0.12 | +1.34 | +0.24 |
formation_days=10, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-garman-klass-vol-jp-all-0018 | cost_bps: 10 n_stocks: 5 regime_gate: false | +0.47 | +1.43 | +0.07 | -0.27 |
formation_days=10, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-garman-klass-vol-jp-all-0032 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.64 | +2.29 | -0.05 | +0.09 |
formation_days=10, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-garman-klass-vol-jp-all-0046 | cost_bps: 10 n_stocks: 50 regime_gate: false | +0.39 | +1.57 | -0.09 | -0.38 |
formation_days=10, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False r-garman-klass-vol-jp-all-0060 | cost_bps: 5 n_stocks: 50 regime_gate: false | +1.07 | +1.80 | +0.89 | -0.13 |
formation_days=10, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-garman-klass-vol-jp-all-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | +1.15 | +2.00 | +0.95 | +0.28 |
formation_days=10, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True r-garman-klass-vol-jp-all-0075 | cost_bps: 10 n_stocks: 20 regime_gate: true | +0.80 | +1.66 | +1.19 | -0.13 |
formation_days=10, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False r-garman-klass-vol-jp-all-0076 | cost_bps: 5 n_stocks: 50 regime_gate: false | +1.32 | +2.24 | +1.09 | +0.13 |
formation_days=20, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False r-garman-klass-vol-jp-all-0090 | cost_bps: 10 n_stocks: 20 regime_gate: false | +0.82 | +0.57 | +1.14 | +0.44 |
formation_days=20, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False r-garman-klass-vol-jp-all-0104 | cost_bps: 5 n_stocks: 20 regime_gate: false | +1.01 | +2.14 | +0.57 | -0.16 |
formation_days=20, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-garman-klass-vol-jp-all-0118 | cost_bps: 10 n_stocks: 10 regime_gate: false | +0.46 | +2.59 | -0.64 | -0.71 |
formation_days=20, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-garman-klass-vol-jp-all-0132 | cost_bps: 5 n_stocks: 10 regime_gate: false | +1.07 | +2.16 | +0.62 | -0.16 |
formation_days=20, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False r-garman-klass-vol-jp-all-0146 | cost_bps: 10 n_stocks: 5 regime_gate: false | +0.76 | +1.05 | +0.72 | +0.10 |
formation_days=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-garman-klass-vol-jp-all-0160 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.96 | +0.50 | +1.48 | +0.96 |
formation_days=40, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-garman-klass-vol-jp-all-0174 | cost_bps: 10 n_stocks: 50 regime_gate: false | +0.47 | -0.22 | +1.18 | +0.08 |
formation_days=40, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False r-garman-klass-vol-jp-all-0188 | cost_bps: 5 n_stocks: 50 regime_gate: false | +0.83 | +1.14 | +0.44 | +0.92 |
formation_days=40, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-garman-klass-vol-jp-all-0202 | cost_bps: 10 n_stocks: 20 regime_gate: false | +0.35 | +2.38 | -0.72 | +0.05 |
formation_days=40, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-garman-klass-vol-jp-all-0216 | cost_bps: 5 n_stocks: 20 regime_gate: false | +0.74 | +2.15 | +0.04 | -0.18 |
formation_days=40, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False r-garman-klass-vol-jp-all-0230 | cost_bps: 10 n_stocks: 10 regime_gate: false | +0.99 | +1.72 | +0.74 | +0.34 |
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-garman-klass-vol-jp-all-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.33 | +0.31 | +0.25 | +0.50 |
formation_days=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True r-garman-klass-vol-jp-all-0245 | cost_bps: 5 n_stocks: 10 regime_gate: true | +0.60 | -1.71 | +1.19 | +0.16 |
formation_days=60, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True r-garman-klass-vol-jp-all-0259 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.16 | -0.14 | -0.38 | +0.34 |
formation_days=60, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True r-garman-klass-vol-jp-all-0273 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.66 | -0.08 | -0.92 | -0.65 |
formation_days=60, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True r-garman-klass-vol-jp-all-0279 | cost_bps: 10 n_stocks: 10 regime_gate: true | -0.91 | -0.59 | -1.11 | -1.27 |
formation_days=60, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-garman-klass-vol-jp-all-0288 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.57 | +1.64 | +0.34 | -1.09 |
formation_days=60, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-garman-klass-vol-jp-all-0302 | cost_bps: 10 n_stocks: 50 regime_gate: false | +0.55 | +1.55 | +0.31 | -1.64 |
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: 2026-09-26T05:46:57