情報の離散性（東証全銘柄）のバックテスト
Information Discreteness (JP All Stocks)
slug: info-discreteness-jp-all
東証全銘柄（約3,747銘柄）で情報の離散性をバックテストした。320通りの中央値 Sharpe は +0.02。p-value は 0.39。Max DD は -14.4%。期間は 2022-03-01〜2026-09-01。最良 Sharpe +1.18 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）
+0.02
Max DD
-14.4%
勝率
—
Alpha（年率）
—
p-value
0.39
期間: 2022-03-01 → 2026-09-01
320通りの Sharpe:中央値 0.02最良 1.18 （代表値ではない）最悪 -1.73p25–p75 -0.38–0.35
仮説
原文は英語。
Da, Gurun, Warachka (2014): information discreteness measures whether a stock's return is from few large moves or many small moves. Testing on the full Japanese stock universe.
採用しなかった理由
Across 320 grid combinations, median Sharpe=0.02, best=1.18. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 1.18 (p=0.014).
period 2022-03-01–2026-09-01; cost=5bps
cite ↗ /cite/info-discreteness-jp-all-fact-best-sharpevia r-info-discreteness-jp-all-0049
Median Sharpe across 320 grid runs is 0.02.
Full grid of 320 parameter combinations.
Median Sharpe in DOWN regime is -0.49 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is 0.06 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.09 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-info-discreteness-jp-all-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.30 | -1.01 | -0.21 | +0.80 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-info-discreteness-jp-all-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.01 | -0.14 | -0.21 | +0.80 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-info-discreteness-jp-all-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.62 | -1.33 | -0.60 | +0.57 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-info-discreteness-jp-all-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.20 | -0.25 | -0.60 | +0.57 |
formation_days=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-info-discreteness-jp-all-0012 | cost_bps: 5 n_stocks: 50 regime_gate: false | -1.04 | -1.61 | -1.01 | -0.18 |
formation_days=20, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-info-discreteness-jp-all-0014 | cost_bps: 10 n_stocks: 50 regime_gate: false | -1.73 | -2.55 | -1.56 | -0.93 |
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True r-info-discreteness-jp-all-0019 | cost_bps: 10 n_stocks: 5 regime_gate: true | +1.04 | +0.62 | +0.91 | +2.43 |
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True r-info-discreteness-jp-all-0033 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.68 | +0.26 | +0.63 | +1.50 |
formation_days=20, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True r-info-discreteness-jp-all-0047 | cost_bps: 10 n_stocks: 50 regime_gate: true | -0.32 | -0.07 | -0.78 | +0.25 |
formation_days=20, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True r-info-discreteness-jp-all-0049 | cost_bps: 5 n_stocks: 5 regime_gate: true | +1.18 | +1.21 | +0.53 | +3.46 |
formation_days=20, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-info-discreteness-jp-all-0062 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.99 | -1.06 | -1.40 | +0.59 |
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-info-discreteness-jp-all-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | 0.00 | -0.32 | +0.29 | +0.87 |
formation_days=20, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=True r-info-discreteness-jp-all-0077 | cost_bps: 5 n_stocks: 50 regime_gate: true | +0.49 | +1.42 | -0.35 | +0.54 |
formation_days=40, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=True r-info-discreteness-jp-all-0091 | cost_bps: 10 n_stocks: 20 regime_gate: true | -0.21 | -0.09 | +0.16 | -1.33 |
formation_days=40, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=True r-info-discreteness-jp-all-0105 | cost_bps: 5 n_stocks: 20 regime_gate: true | +0.44 | +1.05 | +1.04 | -3.50 |
formation_days=40, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True r-info-discreteness-jp-all-0119 | cost_bps: 10 n_stocks: 10 regime_gate: true | +0.25 | +1.17 | +0.09 | -0.74 |
formation_days=40, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-info-discreteness-jp-all-0133 | cost_bps: 5 n_stocks: 10 regime_gate: true | +0.43 | +0.62 | +0.60 | -0.46 |
formation_days=40, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True r-info-discreteness-jp-all-0147 | cost_bps: 10 n_stocks: 5 regime_gate: true | +0.01 | +0.47 | -0.21 | +0.01 |
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-info-discreteness-jp-all-0161 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.10 | +0.01 | +0.44 | -0.32 |
formation_days=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=True r-info-discreteness-jp-all-0175 | cost_bps: 10 n_stocks: 50 regime_gate: true | -0.40 | -0.21 | -0.64 | -2.06 |
formation_days=60, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=True r-info-discreteness-jp-all-0189 | cost_bps: 5 n_stocks: 50 regime_gate: true | -0.20 | +0.51 | -0.32 | -2.75 |
formation_days=60, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True r-info-discreteness-jp-all-0203 | cost_bps: 10 n_stocks: 20 regime_gate: true | -0.25 | +0.40 | -0.23 | -3.09 |
formation_days=60, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True r-info-discreteness-jp-all-0217 | cost_bps: 5 n_stocks: 20 regime_gate: true | +0.65 | +0.84 | +1.01 | -1.48 |
formation_days=60, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True r-info-discreteness-jp-all-0231 | cost_bps: 10 n_stocks: 10 regime_gate: true | +0.47 | +1.37 | +0.05 | -0.27 |
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-info-discreteness-jp-all-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | +1.00 | +0.79 | +1.56 | +0.25 |
formation_days=120, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False r-info-discreteness-jp-all-0246 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.41 | -0.35 | +0.31 | -1.54 |
formation_days=120, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False r-info-discreteness-jp-all-0260 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.80 | +0.26 | -1.04 | -2.19 |
formation_days=120, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False r-info-discreteness-jp-all-0274 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.60 | -0.27 | -0.64 | -1.11 |
formation_days=120, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-info-discreteness-jp-all-0288 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.42 | -0.18 | -0.88 | +0.10 |
formation_days=120, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-info-discreteness-jp-all-0302 | cost_bps: 10 n_stocks: 50 regime_gate: false | +0.58 | +0.41 | +0.98 | +0.28 |
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