52週高値モメンタム（東証全銘柄）のバックテスト
52-Week High Momentum (JP All Stocks)
slug: high52w-momentum-jp-all
東証全銘柄（約3,747銘柄）で52週高値モメンタムをバックテストした。320通りの中央値 Sharpe は -0.23。p-value は 0.39。Max DD は -25.6%。期間は 2022-05-02〜2026-09-01。最良 Sharpe +0.98 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。上昇・横ばい・下落で結果が割れ、中央値としては安定しない。
成績の中央値
Sharpe（中央値）
-0.23
Max DD
-25.6%
勝率
—
Alpha（年率）
—
p-value
0.39
期間: 2022-05-02 → 2026-09-01
320通りの Sharpe:中央値 -0.23最良 0.98 （代表値ではない）最悪 -1.32p25–p75 -0.51–0.20
仮説
原文は英語。
George & Hwang (2004): proximity to 52-week high as momentum signal. Testing on the full Japanese stock universe.
採用しなかった理由
Across 320 grid combinations, median Sharpe=-0.23, best=0.98. Primary failure mode: regime_dependent.
検証ファクト (5)
Best grid Sharpe ratio is 0.98 (p=0.067).
period 2022-05-02–2026-09-01; cost=5bps
cite ↗ /cite/high52w-momentum-jp-all-fact-best-sharpevia r-high52w-momentum-jp-all-0293
Median Sharpe across 320 grid runs is -0.23.
Full grid of 320 parameter combinations.
Median Sharpe in DOWN regime is -1.61 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is 0.05 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.03 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
lookback_days=125, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-high52w-momentum-jp-all-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.63 | -0.64 | -0.08 | -1.59 |
lookback_days=125, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-high52w-momentum-jp-all-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.69 | -1.05 | -0.08 | -1.59 |
lookback_days=125, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-high52w-momentum-jp-all-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.77 | -0.77 | -0.25 | -1.69 |
lookback_days=125, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-high52w-momentum-jp-all-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.82 | -1.19 | -0.25 | -1.69 |
lookback_days=125, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-high52w-momentum-jp-all-0012 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.29 | -0.86 | +0.30 | -1.31 |
lookback_days=125, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-high52w-momentum-jp-all-0018 | cost_bps: 10 n_stocks: 5 regime_gate: false | -1.00 | -0.64 | -0.77 | -2.73 |
lookback_days=125, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-high52w-momentum-jp-all-0032 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.68 | -0.48 | -0.36 | -1.97 |
lookback_days=125, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-high52w-momentum-jp-all-0046 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.35 | +0.19 | -0.10 | -2.02 |
lookback_days=125, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False r-high52w-momentum-jp-all-0060 | cost_bps: 5 n_stocks: 50 regime_gate: false | +0.09 | +1.21 | +0.04 | -3.10 |
lookback_days=125, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-high52w-momentum-jp-all-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.47 | +1.42 | +0.26 | -2.34 |
lookback_days=125, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True r-high52w-momentum-jp-all-0075 | cost_bps: 10 n_stocks: 20 regime_gate: true | +0.19 | +0.99 | +0.23 | -3.32 |
lookback_days=180, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True r-high52w-momentum-jp-all-0089 | cost_bps: 5 n_stocks: 20 regime_gate: true | -0.32 | -0.14 | +0.05 | -1.62 |
lookback_days=180, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True r-high52w-momentum-jp-all-0103 | cost_bps: 10 n_stocks: 10 regime_gate: true | -0.48 | +0.41 | -0.34 | -2.35 |
lookback_days=180, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True r-high52w-momentum-jp-all-0117 | cost_bps: 5 n_stocks: 10 regime_gate: true | -0.53 | +0.93 | -0.53 | -2.26 |
lookback_days=180, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True r-high52w-momentum-jp-all-0131 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.41 | +0.03 | -0.92 | +0.05 |
lookback_days=180, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True r-high52w-momentum-jp-all-0145 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.04 | +0.43 | -0.04 | -1.21 |
lookback_days=180, holding_days=60, n_stocks=50, cost_bps=10, regime_gate=True r-high52w-momentum-jp-all-0159 | cost_bps: 10 n_stocks: 50 regime_gate: true | +0.43 | +1.35 | +0.30 | -2.01 |
lookback_days=250, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=True r-high52w-momentum-jp-all-0173 | cost_bps: 5 n_stocks: 50 regime_gate: true | -0.05 | -0.19 | +0.18 | -0.42 |
lookback_days=250, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-high52w-momentum-jp-all-0178 | cost_bps: 10 n_stocks: 5 regime_gate: false | -1.32 | -1.14 | -1.76 | -1.12 |
lookback_days=250, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False r-high52w-momentum-jp-all-0188 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.21 | -0.80 | +0.28 | +0.10 |
lookback_days=250, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-high52w-momentum-jp-all-0202 | cost_bps: 10 n_stocks: 20 regime_gate: false | -0.47 | +0.01 | -0.46 | -1.60 |
lookback_days=250, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-high52w-momentum-jp-all-0216 | cost_bps: 5 n_stocks: 20 regime_gate: false | +0.36 | +1.18 | +0.28 | -2.92 |
lookback_days=250, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False r-high52w-momentum-jp-all-0230 | cost_bps: 10 n_stocks: 10 regime_gate: false | +0.32 | +2.05 | +0.12 | -3.26 |
lookback_days=500, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-high52w-momentum-jp-all-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.47 | -1.69 | -0.03 | +1.58 |
lookback_days=500, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True r-high52w-momentum-jp-all-0245 | cost_bps: 5 n_stocks: 10 regime_gate: true | -0.12 | -0.33 | -0.34 | +1.33 |
lookback_days=500, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True r-high52w-momentum-jp-all-0259 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.10 | +0.19 | -0.09 | -0.47 |
lookback_days=500, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True r-high52w-momentum-jp-all-0273 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.44 | +0.03 | -0.66 | -0.37 |
lookback_days=500, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True r-high52w-momentum-jp-all-0287 | cost_bps: 10 n_stocks: 50 regime_gate: true | -0.34 | -0.03 | -0.64 | -0.04 |
lookback_days=500, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-high52w-momentum-jp-all-0293 | cost_bps: 5 n_stocks: 10 regime_gate: true | +0.98 | +0.93 | +0.76 | +3.89 |
lookback_days=500, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-high52w-momentum-jp-all-0302 | cost_bps: 10 n_stocks: 50 regime_gate: false | +0.39 | +0.51 | +0.27 | +0.07 |
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: 2026-09-26T05:58:37