52週高値モメンタム(東証グロース)のバックテスト
52-Week High Momentum (JP Growth Stocks)
slug: high52w-momentum-jp-growth
東証グロース(約495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 -0.53。p-value は 0.25。Max DD は -39.9%。期間は 2022-05-02〜2026-09-01。最良 Sharpe +0.27 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)
-0.53
Max DD
-39.9%
勝率
—
Alpha(年率)
—
p-value
0.25
期間: 2022-05-02 → 2026-09-01
320通りの Sharpe:中央値 -0.53最良 0.27 (代表値ではない)最悪 -1.33p25–p75 -0.76–-0.27
仮説
原文は英語。
George & Hwang (2004): proximity to 52-week high as momentum signal. Stocks near their 52-week high continue to outperform. Signal = Close / max(Close, 250d). LONG highest ratio, SHORT lowest.
採用しなかった理由
Across 320 grid combinations, median Sharpe=-0.53, best=0.27. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 0.27 (p=0.61).
period 2022-05-02–2026-09-01; cost=5bps
cite ↗ /cite/high52w-momentum-jp-growth-fact-best-sharpevia r-high52w-momentum-jp-growth-0240
Median Sharpe across 320 grid runs is -0.53.
Full grid of 320 parameter combinations.
Median Sharpe in DOWN regime is -2.07 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.53 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.05 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-growth-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -1.02 | -1.31 | -0.84 | -4.00 |
lookback_days=125, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-high52w-momentum-jp-growth-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | -1.06 | -1.47 | -0.84 | -4.00 |
lookback_days=125, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-high52w-momentum-jp-growth-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | -1.13 | -1.40 | -0.95 | -4.35 |
lookback_days=125, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-high52w-momentum-jp-growth-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | -1.16 | -1.52 | -0.95 | -4.35 |
lookback_days=125, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-high52w-momentum-jp-growth-0012 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.68 | -0.78 | -0.74 | +0.37 |
lookback_days=125, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True r-high52w-momentum-jp-growth-0017 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.93 | +0.05 | -1.16 | -8.85 |
lookback_days=125, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False r-high52w-momentum-jp-growth-0030 | cost_bps: 10 n_stocks: 50 regime_gate: false | -1.16 | -1.32 | -1.07 | -1.22 |
lookback_days=125, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True r-high52w-momentum-jp-growth-0043 | cost_bps: 10 n_stocks: 20 regime_gate: true | -0.26 | +0.60 | -0.44 | -1.81 |
lookback_days=125, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-high52w-momentum-jp-growth-0056 | cost_bps: 5 n_stocks: 20 regime_gate: false | -0.38 | +0.76 | -0.58 | -4.62 |
lookback_days=125, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-high52w-momentum-jp-growth-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.08 | +0.58 | +0.08 | -2.36 |
lookback_days=125, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False r-high52w-momentum-jp-growth-0070 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.04 | +0.17 | +0.06 | -1.77 |
lookback_days=180, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-high52w-momentum-jp-growth-0083 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.78 | -1.18 | -0.50 | -13.41 |
lookback_days=180, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-high52w-momentum-jp-growth-0096 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.82 | -0.72 | -0.72 | -2.45 |
lookback_days=180, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=True r-high52w-momentum-jp-growth-0109 | cost_bps: 5 n_stocks: 50 regime_gate: true | -0.66 | -0.13 | -0.68 | -1.81 |
lookback_days=180, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-high52w-momentum-jp-growth-0122 | cost_bps: 10 n_stocks: 20 regime_gate: false | -0.79 | -0.66 | -0.61 | -3.20 |
lookback_days=180, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True r-high52w-momentum-jp-growth-0135 | cost_bps: 10 n_stocks: 10 regime_gate: true | -1.33 | +0.22 | -1.61 | -5.73 |
lookback_days=180, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-high52w-momentum-jp-growth-0136 | cost_bps: 5 n_stocks: 20 regime_gate: false | -0.62 | +0.48 | -0.80 | -5.24 |
lookback_days=180, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=True r-high52w-momentum-jp-growth-0149 | cost_bps: 5 n_stocks: 10 regime_gate: true | -0.70 | -0.90 | -0.44 | -2.51 |
lookback_days=250, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-high52w-momentum-jp-growth-0162 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.40 | -0.19 | -0.38 | -2.39 |
lookback_days=250, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=True r-high52w-momentum-jp-growth-0175 | cost_bps: 10 n_stocks: 50 regime_gate: true | -0.77 | -0.48 | -0.89 | -1.45 |
lookback_days=250, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False r-high52w-momentum-jp-growth-0188 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.68 | -1.84 | -0.09 | -1.36 |
lookback_days=250, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=True r-high52w-momentum-jp-growth-0201 | cost_bps: 5 n_stocks: 20 regime_gate: true | -0.46 | +0.15 | -0.42 | -2.49 |
lookback_days=250, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=False r-high52w-momentum-jp-growth-0214 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.85 | +1.04 | -1.33 | -5.83 |
lookback_days=250, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True r-high52w-momentum-jp-growth-0227 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.83 | -0.74 | -0.61 | -6.18 |
lookback_days=500, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-high52w-momentum-jp-growth-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.27 | +0.42 | +0.16 | +0.27 |
lookback_days=500, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-high52w-momentum-jp-growth-0241 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.05 | -0.18 | +0.16 | +0.27 |
lookback_days=500, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-high52w-momentum-jp-growth-0254 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.82 | -0.80 | -0.85 | -0.44 |
lookback_days=500, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=True r-high52w-momentum-jp-growth-0267 | cost_bps: 10 n_stocks: 20 regime_gate: true | -0.15 | -0.00 | -0.15 | -0.44 |
lookback_days=500, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=False r-high52w-momentum-jp-growth-0280 | cost_bps: 5 n_stocks: 20 regime_gate: false | -0.24 | -0.01 | -0.17 | -1.41 |
lookback_days=500, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-high52w-momentum-jp-growth-0293 | cost_bps: 5 n_stocks: 10 regime_gate: true | -0.52 | +0.52 | -0.65 | -2.70 |
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