情報の離散性（米国S&P500）のバックテスト
Information Discreteness (US S&P 500)
slug: info-discreteness-us-sp500
米国S&P500（約503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 +0.08。p-value は 0.42。Max DD は -10.3%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +1.18 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）
+0.08
Max DD
-10.3%
勝率
—
Alpha（年率）
—
p-value
0.42
期間: 2022-02-01 → 2026-09-01
320通りの Sharpe:中央値 0.08最良 1.18 （代表値ではない）最悪 -1.19p25–p75 -0.25–0.46
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. Applied to S&P 500 constituents.
採用しなかった理由
Across 320 grid combinations, median Sharpe=0.08, best=1.18. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 1.18 (p=0.015).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/info-discreteness-us-sp500-fact-best-sharpevia r-info-discreteness-us-sp500-0209
Median Sharpe across 320 grid runs is 0.08.
Full grid of 320 parameter combinations.
Median Sharpe in DOWN regime is 0.28 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.07 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.22 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-us-sp500-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.27 | +0.07 | -0.87 | -0.22 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-info-discreteness-us-sp500-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.30 | +0.12 | -0.87 | -0.22 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-info-discreteness-us-sp500-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.61 | -0.23 | -1.26 | -0.66 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-info-discreteness-us-sp500-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.60 | -0.08 | -1.26 | -0.66 |
formation_days=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-info-discreteness-us-sp500-0012 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.27 | +0.23 | -0.51 | -1.09 |
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-info-discreteness-us-sp500-0018 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.43 | +0.01 | -0.42 | -1.25 |
formation_days=20, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False r-info-discreteness-us-sp500-0030 | cost_bps: 10 n_stocks: 50 regime_gate: false | -1.19 | -1.07 | -0.75 | -2.06 |
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True r-info-discreteness-us-sp500-0033 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.15 | +0.28 | -0.41 | -0.49 |
formation_days=20, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True r-info-discreteness-us-sp500-0047 | cost_bps: 10 n_stocks: 50 regime_gate: true | -0.32 | +0.51 | -0.90 | -1.09 |
formation_days=20, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=True r-info-discreteness-us-sp500-0061 | cost_bps: 5 n_stocks: 50 regime_gate: true | +0.27 | +1.30 | +0.01 | -1.65 |
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-info-discreteness-us-sp500-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.18 | -0.17 | -0.36 | +0.04 |
formation_days=20, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False r-info-discreteness-us-sp500-0076 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.12 | -0.07 | +0.12 | -0.64 |
formation_days=40, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False r-info-discreteness-us-sp500-0090 | cost_bps: 10 n_stocks: 20 regime_gate: false | -0.01 | +0.46 | -0.97 | +0.34 |
formation_days=40, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False r-info-discreteness-us-sp500-0104 | cost_bps: 5 n_stocks: 20 regime_gate: false | -0.29 | +0.03 | -0.10 | -1.45 |
formation_days=40, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-info-discreteness-us-sp500-0118 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.30 | -0.60 | -0.10 | +0.05 |
formation_days=40, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-info-discreteness-us-sp500-0132 | cost_bps: 5 n_stocks: 10 regime_gate: false | +0.20 | +0.03 | +0.29 | +0.71 |
formation_days=40, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False r-info-discreteness-us-sp500-0146 | cost_bps: 10 n_stocks: 5 regime_gate: false | +0.75 | +0.65 | +0.66 | +1.40 |
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-info-discreteness-us-sp500-0160 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.32 | +0.22 | -1.09 | +3.56 |
formation_days=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-info-discreteness-us-sp500-0174 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.64 | -0.92 | -3.12 | +1.85 |
formation_days=60, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False r-info-discreteness-us-sp500-0188 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.71 | -1.76 | +0.01 | -0.29 |
formation_days=60, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-info-discreteness-us-sp500-0202 | cost_bps: 10 n_stocks: 20 regime_gate: false | -0.38 | -0.98 | +0.21 | +0.02 |
formation_days=60, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True r-info-discreteness-us-sp500-0209 | cost_bps: 5 n_stocks: 5 regime_gate: true | +1.18 | +0.92 | +1.00 | +3.28 |
formation_days=60, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True r-info-discreteness-us-sp500-0217 | cost_bps: 5 n_stocks: 20 regime_gate: true | +1.09 | +1.28 | +0.79 | +1.11 |
formation_days=60, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True r-info-discreteness-us-sp500-0231 | cost_bps: 10 n_stocks: 10 regime_gate: true | +0.85 | +1.23 | +0.61 | -0.12 |
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-info-discreteness-us-sp500-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.24 | -0.14 | +0.01 | +2.29 |
formation_days=120, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False r-info-discreteness-us-sp500-0246 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.81 | -1.13 | -0.86 | +1.00 |
formation_days=120, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False r-info-discreteness-us-sp500-0260 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.36 | -0.49 | -0.93 | +1.03 |
formation_days=120, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False r-info-discreteness-us-sp500-0274 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.38 | -0.78 | -0.89 | +2.33 |
formation_days=120, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-info-discreteness-us-sp500-0288 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.15 | -0.53 | +0.08 | +1.39 |
formation_days=120, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-info-discreteness-us-sp500-0302 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.13 | -0.15 | -0.65 | +0.73 |
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: 2026-09-24T02:22:20