rejectedno_edge· equity· anomaly · factor · volatility

ガーマン・クラス・ボラティリティ（米国S&P500）のバックテスト

Garman-Klass Volatility Factor (US S&P 500)

slug: garman-klass-vol-us-sp500

米国S&P500（約503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。212通りの中央値 Sharpe は -0.78。p-value は 0.09。Max DD は -50.1%。期間は 2022-02-01〜2026-09-01。最良 Sharpe -0.39 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。

成績の中央値

Sharpe（中央値）

-0.78

Max DD

-50.1%

勝率

—

Alpha（年率）

—

p-value

0.09

期間: 2022-02-01 → 2026-09-01

212通りの Sharpe:中央値 -0.78最良 -0.39 （代表値ではない）最悪 -1.53p25–p75 -0.99–-0.59

仮説

原文は英語。

Garman & Klass (1980): OHLC-based volatility estimator. Testing low-volatility anomaly using GK vol on S&P 500 constituents.

採用しなかった理由

Across 212 grid combinations, median Sharpe=-0.78, best=-0.39. Primary failure mode: no_edge.

検証ファクト (5)

Best grid Sharpe ratio is -0.39 (p=0.39).

period 2022-02-01–2026-09-01; cost=5bps

sharpe_ratio-0.39

cite ↗ /cite/garman-klass-vol-us-sp500-fact-best-sharpevia r-garman-klass-vol-us-sp500-0025

Median Sharpe across 212 grid runs is -0.78.

Full grid of 212 parameter combinations.

sharpe_ratio-0.78

cite ↗ /cite/garman-klass-vol-us-sp500-fact-median-sharpe

Median Sharpe in DOWN regime is -0.58 across 212 runs.

Regime=DOWN, N225 SMA20/SMA60 classification.

sharpe_ratio-0.58

cite ↗ /cite/garman-klass-vol-us-sp500-fact-regime-down

Median Sharpe in FLAT regime is -1.11 across 212 runs.

Regime=FLAT, N225 SMA20/SMA60 classification.

sharpe_ratio-1.11

cite ↗ /cite/garman-klass-vol-us-sp500-fact-regime-flat

Median Sharpe in UP regime is -0.55 across 212 runs.

Regime=UP, N225 SMA20/SMA60 classification.

sharpe_ratio-0.55

cite ↗ /cite/garman-klass-vol-us-sp500-fact-regime-up

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-us-sp500-0000	cost_bps: 5 n_stocks: 5 regime_gate: false	-0.91	-1.28	-1.08	-0.11
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-garman-klass-vol-us-sp500-0001	cost_bps: 5 n_stocks: 5 regime_gate: true	-0.54	-0.48	-1.08	-0.11
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-garman-klass-vol-us-sp500-0002	cost_bps: 10 n_stocks: 5 regime_gate: false	-1.04	-1.44	-1.21	-0.21
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-garman-klass-vol-us-sp500-0003	cost_bps: 10 n_stocks: 5 regime_gate: true	-0.66	-0.96	-1.21	-0.21
formation_days=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-garman-klass-vol-us-sp500-0012	cost_bps: 5 n_stocks: 50 regime_gate: false	-0.82	-0.82	-1.48	-0.01
formation_days=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=True r-garman-klass-vol-us-sp500-0013	cost_bps: 5 n_stocks: 50 regime_gate: true	-0.67	-0.48	-1.48	-0.01
formation_days=10, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True r-garman-klass-vol-us-sp500-0023	cost_bps: 10 n_stocks: 10 regime_gate: true	-0.58	-0.73	-1.02	-0.29
formation_days=10, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=True r-garman-klass-vol-us-sp500-0025	cost_bps: 5 n_stocks: 20 regime_gate: true	-0.39	+0.14	-0.75	-0.34
formation_days=10, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=True r-garman-klass-vol-us-sp500-0035	cost_bps: 10 n_stocks: 5 regime_gate: true	-0.76	+0.30	-1.15	-0.98
formation_days=10, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-garman-klass-vol-us-sp500-0046	cost_bps: 10 n_stocks: 50 regime_gate: false	-1.53	-1.28	-1.89	-1.31
formation_days=10, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True r-garman-klass-vol-us-sp500-0049	cost_bps: 5 n_stocks: 5 regime_gate: true	-0.47	+0.57	-0.49	-1.19
formation_days=10, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=True r-garman-klass-vol-us-sp500-0063	cost_bps: 10 n_stocks: 50 regime_gate: true	-0.65	+0.71	-0.92	-1.60
formation_days=10, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=True r-garman-klass-vol-us-sp500-0077	cost_bps: 5 n_stocks: 50 regime_gate: true	-0.44	+1.13	-1.32	-0.63
formation_days=20, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True r-garman-klass-vol-us-sp500-0087	cost_bps: 10 n_stocks: 10 regime_gate: true	-0.64	-1.11	-1.20	-0.08
formation_days=20, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True r-garman-klass-vol-us-sp500-0097	cost_bps: 5 n_stocks: 5 regime_gate: true	-0.67	-0.14	-1.24	-0.36
formation_days=20, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=True r-garman-klass-vol-us-sp500-0107	cost_bps: 10 n_stocks: 20 regime_gate: true	-0.59	-0.16	-1.15	-0.28
formation_days=20, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=False r-garman-klass-vol-us-sp500-0120	cost_bps: 5 n_stocks: 20 regime_gate: false	-1.36	-1.50	-1.40	-0.96
formation_days=20, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-garman-klass-vol-us-sp500-0133	cost_bps: 5 n_stocks: 10 regime_gate: true	-0.47	+0.74	-0.53	-1.23
formation_days=20, holding_days=60, n_stocks=50, cost_bps=10, regime_gate=True r-garman-klass-vol-us-sp500-0159	cost_bps: 10 n_stocks: 50 regime_gate: true	-0.46	+1.05	-1.31	-0.55
formation_days=40, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=False r-garman-klass-vol-us-sp500-0168	cost_bps: 5 n_stocks: 20 regime_gate: false	-0.77	-0.76	-1.18	-0.26
formation_days=40, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True r-garman-klass-vol-us-sp500-0179	cost_bps: 10 n_stocks: 5 regime_gate: true	-0.73	-0.61	-0.99	-0.82
formation_days=40, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False r-garman-klass-vol-us-sp500-0188	cost_bps: 5 n_stocks: 50 regime_gate: false	-1.03	-1.50	-1.00	-0.15
formation_days=40, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=True r-garman-klass-vol-us-sp500-0201	cost_bps: 5 n_stocks: 20 regime_gate: true	-0.82	+0.52	-1.41	-1.06
formation_days=40, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True r-garman-klass-vol-us-sp500-0215	cost_bps: 10 n_stocks: 10 regime_gate: true	-0.58	+0.13	-0.56	-1.34
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-garman-klass-vol-us-sp500-0240	cost_bps: 5 n_stocks: 5 regime_gate: false	-0.85	-1.02	-0.69	-0.89
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-garman-klass-vol-us-sp500-0241	cost_bps: 5 n_stocks: 5 regime_gate: true	-0.60	-0.60	-0.69	-0.89
formation_days=60, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False r-garman-klass-vol-us-sp500-0250	cost_bps: 10 n_stocks: 20 regime_gate: false	-1.17	-1.02	-1.38	-1.11
formation_days=60, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False r-garman-klass-vol-us-sp500-0260	cost_bps: 5 n_stocks: 10 regime_gate: false	-1.03	-1.45	-0.97	-0.38
formation_days=60, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=True r-garman-klass-vol-us-sp500-0269	cost_bps: 5 n_stocks: 50 regime_gate: true	-0.52	-0.09	-1.01	-0.22
formation_days=60, holding_days=10, n_stocks=50, cost_bps=5, regime_gate=False r-garman-klass-vol-us-sp500-0284	cost_bps: 5 n_stocks: 50 regime_gate: false	-1.36	-1.28	-1.52	-1.16

対象ユニバース

S&P 500 constituents, ~503 stocks