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rejectedno_edge· equity· factor· information· momentum-quality

情報の離散性（東証グロース）のバックテスト

Information Discreteness (JP Growth Stocks)

slug: info-discreteness-jp-growth

東証グロース（約495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 +0.00。p-value は 0.50。Max DD は -18.0%。期間は 2022-03-01〜2026-09-01。最良 Sharpe +1.03 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）
+0.00
Max DD
-18.0%
勝率
—
Alpha（年率）
—
p-value
0.50
期間: 2022-03-01 → 2026-09-01
320通りの Sharpe:中央値 0.00最良 1.03 （代表値ではない）最悪 -1.11p25–p75 -0.32–0.26

仮説

原文は英語。

Da, Gurun, Warachka (2014): information discreteness measures whether a stock's return is from few large moves (discrete, less persistent) or many small moves (continuous, momentum continues). LONG lowest ID (continuous momentum), SHORT highest ID.

採用しなかった理由

Across 320 grid combinations, median Sharpe=0.00, best=1.03. Primary failure mode: no_edge.

検証ファクト (5)

Best grid Sharpe ratio is 1.03 (p=0.038).
period 2022-03-01–2026-09-01; cost=5bps
sharpe_ratio1.03
cite ↗ /cite/info-discreteness-jp-growth-fact-best-sharpevia r-info-discreteness-jp-growth-0296
Median Sharpe across 320 grid runs is 0.00.
Full grid of 320 parameter combinations.
sharpe_ratio0
cite ↗ /cite/info-discreteness-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is -0.27 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.27
cite ↗ /cite/info-discreteness-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is 0.10 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.10
cite ↗ /cite/info-discreteness-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -0.09 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.09
cite ↗ /cite/info-discreteness-jp-growth-fact-regime-up

検証ラン (30)

runparamssharpeUPFLATDOWN
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-info-discreteness-jp-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.29-0.06+0.44-0.04
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-info-discreteness-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.29-0.02+0.44-0.04
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-info-discreteness-jp-growth-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.10-0.24+0.25-0.14
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-info-discreteness-jp-growth-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.13-0.10+0.25-0.14
formation_days=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-info-discreteness-jp-growth-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.31-1.20-0.20+0.37
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-info-discreteness-jp-growth-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.30-0.85+0.66+0.50
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-info-discreteness-jp-growth-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.09-1.60+0.49-0.59
formation_days=20, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False
r-info-discreteness-jp-growth-0046
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.55-2.66-0.08+0.41
formation_days=20, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=False
r-info-discreteness-jp-growth-0054
cost_bps: 10
n_stocks: 10
regime_gate: false
-1.11-2.98-0.31-2.64
formation_days=20, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=True
r-info-discreteness-jp-growth-0061
cost_bps: 5
n_stocks: 50
regime_gate: true
-0.16-0.29-0.16+1.57
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-info-discreteness-jp-growth-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.36-1.13-0.20+0.38
formation_days=20, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False
r-info-discreteness-jp-growth-0076
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.10-1.21+0.08+0.57
formation_days=40, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False
r-info-discreteness-jp-growth-0090
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.24-1.34+0.31-1.05
formation_days=40, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False
r-info-discreteness-jp-growth-0104
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.41+0.54+0.47-0.49
formation_days=40, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False
r-info-discreteness-jp-growth-0118
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.01+0.25+0.10-6.05
formation_days=40, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False
r-info-discreteness-jp-growth-0132
cost_bps: 5
n_stocks: 10
regime_gate: false
0.00+0.49-0.03-1.45
formation_days=40, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False
r-info-discreteness-jp-growth-0146
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.46+0.62+0.47+0.08
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-info-discreteness-jp-growth-0160
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.32-0.40+0.48+1.30
formation_days=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-info-discreteness-jp-growth-0174
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.41-0.29-0.39-1.32
formation_days=60, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False
r-info-discreteness-jp-growth-0188
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.19+0.06+0.37-0.67
formation_days=60, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False
r-info-discreteness-jp-growth-0202
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.47-0.64-0.40-0.28
formation_days=60, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-info-discreteness-jp-growth-0216
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.15-0.05-0.38+1.76
formation_days=60, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False
r-info-discreteness-jp-growth-0230
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.20-0.21+0.09+2.84
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-info-discreteness-jp-growth-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.71+2.00+0.44+0.06
formation_days=120, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-info-discreteness-jp-growth-0245
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.20+0.25+0.19+0.10
formation_days=120, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-info-discreteness-jp-growth-0259
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.38-0.05-0.39-0.84
formation_days=120, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-info-discreteness-jp-growth-0273
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.52+0.02-0.58-1.07
formation_days=120, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True
r-info-discreteness-jp-growth-0287
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.48+0.12-0.88-1.70
formation_days=120, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-info-discreteness-jp-growth-0296
cost_bps: 5
n_stocks: 20
regime_gate: false
+1.03+3.10+0.56+1.03
formation_days=120, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-info-discreteness-jp-growth-0302
cost_bps: 10
n_stocks: 50
regime_gate: false
+0.06+1.54-0.55+2.72

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: 2026-09-24T02:22:20
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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