固有ボラティリティ（東証全銘柄）のバックテスト
Idiosyncratic Volatility (JP All Stocks)
slug: idiosyncratic-vol-jp-all
東証全銘柄（約3,747銘柄）で固有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 +0.38。p-value は 0.32。Max DD は -23.0%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +1.81 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）
+0.38
Max DD
-23.0%
勝率
—
Alpha（年率）
—
p-value
0.32
期間: 2022-02-01 → 2026-09-01
320通りの Sharpe:中央値 0.38最良 1.81 （代表値ではない）最悪 -0.72p25–p75 0.13–0.66
仮説
原文は英語。
Ang, Hodrick, Xing, Zhang (2006): stocks with high idiosyncratic volatility earn lower returns. Testing on the full Japanese stock universe.
採用しなかった理由
Across 320 grid combinations, median Sharpe=0.38, best=1.81. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 1.81 (p=0.00022).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/idiosyncratic-vol-jp-all-fact-best-sharpevia r-idiosyncratic-vol-jp-all-0000
Median Sharpe across 320 grid runs is 0.38.
Full grid of 320 parameter combinations.
Median Sharpe in DOWN regime is -0.41 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is 0.30 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 1.03 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
estimation_window=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-idiosyncratic-vol-jp-all-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | +1.81 | +1.28 | +1.96 | +3.16 |
estimation_window=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-idiosyncratic-vol-jp-all-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | +1.51 | -0.87 | +1.96 | +3.16 |
estimation_window=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-idiosyncratic-vol-jp-all-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | +1.67 | +1.15 | +1.83 | +2.94 |
estimation_window=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-idiosyncratic-vol-jp-all-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | +1.38 | -1.44 | +1.83 | +2.94 |
estimation_window=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-idiosyncratic-vol-jp-all-0012 | cost_bps: 5 n_stocks: 50 regime_gate: false | +0.83 | +0.30 | +1.36 | +0.61 |
estimation_window=20, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True r-idiosyncratic-vol-jp-all-0017 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.28 | +0.82 | +0.17 | +0.72 |
estimation_window=20, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False r-idiosyncratic-vol-jp-all-0030 | cost_bps: 10 n_stocks: 50 regime_gate: false | +0.72 | +1.27 | +0.34 | +0.59 |
estimation_window=20, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True r-idiosyncratic-vol-jp-all-0043 | cost_bps: 10 n_stocks: 20 regime_gate: true | +0.04 | +0.79 | -0.19 | +0.36 |
estimation_window=20, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-idiosyncratic-vol-jp-all-0056 | cost_bps: 5 n_stocks: 20 regime_gate: false | +0.69 | +1.42 | +0.43 | -0.03 |
estimation_window=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-idiosyncratic-vol-jp-all-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.36 | +1.34 | +0.08 | -0.38 |
estimation_window=20, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False r-idiosyncratic-vol-jp-all-0070 | cost_bps: 10 n_stocks: 10 regime_gate: false | +0.69 | +1.50 | +0.42 | -0.07 |
estimation_window=40, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-idiosyncratic-vol-jp-all-0083 | cost_bps: 10 n_stocks: 5 regime_gate: true | +1.10 | -1.68 | +2.09 | +0.32 |
estimation_window=40, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-idiosyncratic-vol-jp-all-0096 | cost_bps: 5 n_stocks: 5 regime_gate: false | +1.20 | +0.59 | +2.30 | +0.54 |
estimation_window=40, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=True r-idiosyncratic-vol-jp-all-0109 | cost_bps: 5 n_stocks: 50 regime_gate: true | +0.67 | +1.09 | +0.54 | +1.01 |
estimation_window=40, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-idiosyncratic-vol-jp-all-0122 | cost_bps: 10 n_stocks: 20 regime_gate: false | +0.19 | +1.14 | -0.44 | -0.33 |
estimation_window=40, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True r-idiosyncratic-vol-jp-all-0135 | cost_bps: 10 n_stocks: 10 regime_gate: true | +0.19 | +1.44 | +0.23 | -0.43 |
estimation_window=40, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=False r-idiosyncratic-vol-jp-all-0148 | cost_bps: 5 n_stocks: 10 regime_gate: false | +0.60 | +1.05 | +0.56 | -0.78 |
estimation_window=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-idiosyncratic-vol-jp-all-0161 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.70 | -1.37 | +1.52 | -0.25 |
estimation_window=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-idiosyncratic-vol-jp-all-0174 | cost_bps: 10 n_stocks: 50 regime_gate: false | +0.31 | -0.46 | +1.20 | -0.33 |
estimation_window=60, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=True r-idiosyncratic-vol-jp-all-0187 | cost_bps: 10 n_stocks: 20 regime_gate: true | +0.21 | +0.47 | +0.28 | +0.05 |
estimation_window=60, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=False r-idiosyncratic-vol-jp-all-0200 | cost_bps: 5 n_stocks: 20 regime_gate: false | +0.02 | +0.90 | -0.42 | -0.74 |
estimation_window=60, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-idiosyncratic-vol-jp-all-0213 | cost_bps: 5 n_stocks: 10 regime_gate: true | +0.18 | +0.89 | +0.37 | -0.58 |
estimation_window=60, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False r-idiosyncratic-vol-jp-all-0226 | cost_bps: 10 n_stocks: 5 regime_gate: false | +0.12 | +1.54 | -0.06 | -0.92 |
estimation_window=60, holding_days=60, n_stocks=50, cost_bps=10, regime_gate=True r-idiosyncratic-vol-jp-all-0239 | cost_bps: 10 n_stocks: 50 regime_gate: true | +0.10 | +1.71 | -0.03 | -0.77 |
estimation_window=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-idiosyncratic-vol-jp-all-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.56 | +0.03 | +0.97 | +0.35 |
estimation_window=120, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=True r-idiosyncratic-vol-jp-all-0253 | cost_bps: 5 n_stocks: 50 regime_gate: true | +0.58 | -0.87 | +1.51 | -0.50 |
estimation_window=120, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=False r-idiosyncratic-vol-jp-all-0266 | cost_bps: 10 n_stocks: 20 regime_gate: false | +0.23 | +0.40 | +0.30 | -0.41 |
estimation_window=120, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=True r-idiosyncratic-vol-jp-all-0275 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.72 | +0.20 | -0.82 | -1.92 |
estimation_window=120, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=False r-idiosyncratic-vol-jp-all-0280 | cost_bps: 5 n_stocks: 20 regime_gate: false | +0.17 | +1.57 | -0.36 | -1.45 |
estimation_window=120, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-idiosyncratic-vol-jp-all-0293 | cost_bps: 5 n_stocks: 10 regime_gate: true | -0.12 | +0.97 | +0.09 | -1.81 |
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: 2026-09-26T05:46:57