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marginalno_edge· equity· anomaly· factor· volatility

ガーマン・クラス・ボラティリティ（東証グロース）のバックテスト

Garman-Klass Volatility Factor (JP Growth Stocks)

slug: garman-klass-vol-jp-growth

東証グロース（約495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 +0.24。p-value は 0.48。Max DD は -21.8%。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）
+0.24
Max DD
-21.8%
勝率
—
Alpha（年率）
—
p-value
0.48
期間: 2022-02-01 → 2026-09-01
320通りの Sharpe:中央値 0.24最良 1.32 （代表値ではない）最悪 -0.57p25–p75 -0.01–0.55

仮説

原文は英語。

Garman & Klass (1980): OHLC-based volatility estimator more efficient than close-to-close. Tests low-volatility anomaly using GK vol: LONG lowest GK-vol stocks, SHORT highest GK-vol stocks. Baker, Bradley, Wurgler (2011): low-vol stocks earn higher risk-adjusted returns.

採用しなかった理由

Across 320 grid combinations, median Sharpe=0.24, best=1.32. Primary failure mode: no_edge.

検証ファクト (5)

Best grid Sharpe ratio is 1.32 (p=0.0054).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio1.32
cite ↗ /cite/garman-klass-vol-jp-growth-fact-best-sharpevia r-garman-klass-vol-jp-growth-0080
Median Sharpe across 320 grid runs is 0.24.
Full grid of 320 parameter combinations.
sharpe_ratio0.24
cite ↗ /cite/garman-klass-vol-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is -0.04 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.04
cite ↗ /cite/garman-klass-vol-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is 0.24 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.24
cite ↗ /cite/garman-klass-vol-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -0.29 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.29
cite ↗ /cite/garman-klass-vol-jp-growth-fact-regime-up

検証ラン (30)

runparamssharpeUPFLATDOWN
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
+1.19+1.71+0.86+3.95
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-garman-klass-vol-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.80-1.12+0.86+3.95
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-growth-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
+1.06+1.61+0.72+3.72
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-garman-klass-vol-jp-growth-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.66-1.51+0.72+3.72
formation_days=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.65+0.21+0.72+2.83
formation_days=10, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-growth-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.66+3.84-0.02+6.08
formation_days=10, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.10+3.16-0.26-0.38
formation_days=10, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-growth-0046
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.21-0.77+0.01-0.67
formation_days=10, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0060
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.33+0.14+0.36+0.52
formation_days=10, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.51+2.40+0.21-0.77
formation_days=10, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True
r-garman-klass-vol-jp-growth-0075
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.04-0.91+0.12-0.69
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0080
cost_bps: 5
n_stocks: 5
regime_gate: false
+1.32+1.41+1.17+26.92
formation_days=20, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-growth-0090
cost_bps: 10
n_stocks: 20
regime_gate: false
+0.76+0.23+0.88+3.11
formation_days=20, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0104
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.57+0.21+0.67+0.79
formation_days=20, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-growth-0118
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.11-0.15-0.07-0.54
formation_days=20, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0132
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.48+0.73+0.44+0.05
formation_days=20, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-growth-0146
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.31+2.02-0.06-1.96
formation_days=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0160
cost_bps: 5
n_stocks: 5
regime_gate: false
+1.22+1.33+1.03+3.46
formation_days=40, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-growth-0174
cost_bps: 10
n_stocks: 50
regime_gate: false
+0.12-0.29+0.09+4.28
formation_days=40, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0188
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.29-0.37+0.49+1.17
formation_days=40, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-growth-0202
cost_bps: 10
n_stocks: 20
regime_gate: false
+0.04-0.38+0.27-1.30
formation_days=40, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0216
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.62+0.69+0.66-0.06
formation_days=40, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-growth-0230
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.46+1.42+0.32-1.48
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
+1.05+1.03+1.19-0.37
formation_days=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-garman-klass-vol-jp-growth-0245
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.86-1.18+1.08+1.33
formation_days=60, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-garman-klass-vol-jp-growth-0259
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.53-0.92+0.73-0.09
formation_days=60, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-garman-klass-vol-jp-growth-0273
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.26-1.33-0.21-0.60
formation_days=60, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True
r-garman-klass-vol-jp-growth-0283
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.57-0.69-0.49-1.36
formation_days=60, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0288
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.27+4.44-0.41+0.90
formation_days=60, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-growth-0302
cost_bps: 10
n_stocks: 50
regime_gate: false
+0.13+0.34-0.01+0.93

対象ユニバース

Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:18
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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