52週高値モメンタム（米国S&P500）のバックテスト
52-Week High Momentum (US S&P 500)
slug: high52w-momentum-us-sp500
米国S&P500（約503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 -0.48。p-value は 0.30。Max DD は -31.9%。期間は 2022-04-01〜2026-09-01。最良 Sharpe +0.28 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）
-0.48
Max DD
-31.9%
勝率
—
Alpha（年率）
—
p-value
0.30
期間: 2022-04-01 → 2026-09-01
320通りの Sharpe:中央値 -0.48最良 0.28 （代表値ではない）最悪 -1.46p25–p75 -0.72–-0.26
仮説
原文は英語。
George & Hwang (2004): proximity to 52-week high as momentum signal. Applied to S&P 500 constituents.
採用しなかった理由
Across 320 grid combinations, median Sharpe=-0.48, best=0.28. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 0.28 (p=0.56).
period 2022-04-01–2026-09-01; cost=5bps
cite ↗ /cite/high52w-momentum-us-sp500-fact-best-sharpevia r-high52w-momentum-us-sp500-0021
Median Sharpe across 320 grid runs is -0.48.
Full grid of 320 parameter combinations.
Median Sharpe in DOWN regime is -1.21 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.88 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.39 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-us-sp500-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.13 | +1.30 | -0.70 | -0.94 |
lookback_days=125, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-high52w-momentum-us-sp500-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.25 | +1.25 | -0.70 | -0.94 |
lookback_days=125, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-high52w-momentum-us-sp500-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.28 | +1.04 | -0.83 | -1.05 |
lookback_days=125, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-high52w-momentum-us-sp500-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.37 | +1.07 | -0.83 | -1.05 |
lookback_days=125, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-high52w-momentum-us-sp500-0012 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.41 | +0.81 | -1.06 | -0.93 |
lookback_days=125, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-high52w-momentum-us-sp500-0018 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.27 | -0.57 | -0.21 | +0.32 |
lookback_days=125, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True r-high52w-momentum-us-sp500-0021 | cost_bps: 5 n_stocks: 10 regime_gate: true | +0.28 | +0.60 | -0.02 | +0.57 |
lookback_days=125, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True r-high52w-momentum-us-sp500-0033 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.48 | +0.24 | -0.66 | -1.21 |
lookback_days=125, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True r-high52w-momentum-us-sp500-0047 | cost_bps: 10 n_stocks: 50 regime_gate: true | -0.86 | +0.45 | -1.98 | -0.89 |
lookback_days=125, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=True r-high52w-momentum-us-sp500-0061 | cost_bps: 5 n_stocks: 50 regime_gate: true | -0.40 | +1.10 | -0.95 | -1.26 |
lookback_days=125, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-high52w-momentum-us-sp500-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.23 | +0.02 | -0.33 | -1.02 |
lookback_days=125, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False r-high52w-momentum-us-sp500-0076 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.65 | -0.23 | -0.87 | -1.50 |
lookback_days=180, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False r-high52w-momentum-us-sp500-0090 | cost_bps: 10 n_stocks: 20 regime_gate: false | -0.62 | +0.63 | -1.08 | -1.42 |
lookback_days=180, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False r-high52w-momentum-us-sp500-0104 | cost_bps: 5 n_stocks: 20 regime_gate: false | -0.61 | -0.82 | -0.59 | -0.03 |
lookback_days=180, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-high52w-momentum-us-sp500-0118 | cost_bps: 10 n_stocks: 10 regime_gate: false | -1.08 | -0.65 | -1.20 | -1.93 |
lookback_days=180, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-high52w-momentum-us-sp500-0132 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.53 | -0.27 | -0.51 | -1.21 |
lookback_days=180, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False r-high52w-momentum-us-sp500-0146 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.26 | -0.10 | -0.41 | -0.73 |
lookback_days=250, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-high52w-momentum-us-sp500-0160 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.18 | +1.37 | -0.75 | -1.70 |
lookback_days=250, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-high52w-momentum-us-sp500-0174 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.63 | +0.35 | -1.32 | -0.91 |
lookback_days=250, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False r-high52w-momentum-us-sp500-0188 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.78 | -0.55 | -1.58 | +0.27 |
lookback_days=250, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-high52w-momentum-us-sp500-0202 | cost_bps: 10 n_stocks: 20 regime_gate: false | -1.32 | -0.51 | -2.04 | -1.78 |
lookback_days=250, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-high52w-momentum-us-sp500-0206 | cost_bps: 10 n_stocks: 50 regime_gate: false | -1.46 | -0.61 | -2.73 | -1.24 |
lookback_days=250, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True r-high52w-momentum-us-sp500-0217 | cost_bps: 5 n_stocks: 20 regime_gate: true | -0.35 | +1.42 | -0.84 | -1.47 |
lookback_days=250, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True r-high52w-momentum-us-sp500-0231 | cost_bps: 10 n_stocks: 10 regime_gate: true | -0.16 | +1.13 | -0.91 | -1.12 |
lookback_days=500, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-high52w-momentum-us-sp500-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.51 | -0.16 | -0.93 | -0.30 |
lookback_days=500, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False r-high52w-momentum-us-sp500-0246 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.69 | +0.23 | -1.42 | -1.02 |
lookback_days=500, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False r-high52w-momentum-us-sp500-0260 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.86 | -1.14 | -0.36 | -1.89 |
lookback_days=500, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False r-high52w-momentum-us-sp500-0274 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.97 | -1.16 | -0.58 | -0.86 |
lookback_days=500, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-high52w-momentum-us-sp500-0288 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.89 | -1.35 | -0.64 | -0.72 |
lookback_days=500, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-high52w-momentum-us-sp500-0302 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.81 | -0.58 | -0.96 | -1.31 |
対象ユニバース
S&P 500 constituents, ~503 stocks
関連する戦略
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:18