流動性プレミアム（東証全銘柄）のバックテスト
Liquidity Premium / Amihud Illiquidity (JP All Stocks)
slug: liquidity-premium-jp-all
東証全銘柄（約3,747銘柄）で流動性プレミアムをバックテストした。320通りの中央値 Sharpe は -0.99。p-value は 0.02。Max DD は -50.3%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +0.07 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）
-0.99
Max DD
-50.3%
勝率
—
Alpha（年率）
—
p-value
0.02
期間: 2022-02-01 → 2026-09-01
320通りの Sharpe:中央値 -0.99最良 0.07 （代表値ではない）最悪 -2.13p25–p75 -1.41–-0.69
仮説
原文は英語。
Amihud (2002): illiquid stocks earn a premium. Testing on the full Japanese stock universe.
採用しなかった理由
Across 320 grid combinations, median Sharpe=-0.99, best=0.07. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 0.07 (p=0.8).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/liquidity-premium-jp-all-fact-best-sharpevia r-liquidity-premium-jp-all-0225
Median Sharpe across 320 grid runs is -0.99.
Full grid of 320 parameter combinations.
Median Sharpe in DOWN regime is -0.40 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -1.22 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -1.10 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-liquidity-premium-jp-all-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.58 | -1.11 | -0.01 | -1.28 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-liquidity-premium-jp-all-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.44 | -0.77 | -0.01 | -1.28 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-liquidity-premium-jp-all-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.71 | -1.25 | -0.12 | -1.50 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-liquidity-premium-jp-all-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.55 | -0.85 | -0.12 | -1.50 |
formation_days=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-liquidity-premium-jp-all-0012 | cost_bps: 5 n_stocks: 50 regime_gate: false | -1.55 | -1.37 | -1.73 | -1.37 |
formation_days=10, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-liquidity-premium-jp-all-0018 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.98 | -1.52 | -1.08 | +0.30 |
formation_days=10, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-liquidity-premium-jp-all-0032 | cost_bps: 5 n_stocks: 5 regime_gate: false | -1.00 | -0.80 | -1.69 | -0.09 |
formation_days=10, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-liquidity-premium-jp-all-0046 | cost_bps: 10 n_stocks: 50 regime_gate: false | -1.26 | -1.73 | -1.22 | -0.20 |
formation_days=10, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False r-liquidity-premium-jp-all-0060 | cost_bps: 5 n_stocks: 50 regime_gate: false | -1.23 | -1.69 | -1.12 | -0.25 |
formation_days=10, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-liquidity-premium-jp-all-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.62 | -0.42 | -0.97 | -1.03 |
formation_days=10, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True r-liquidity-premium-jp-all-0075 | cost_bps: 10 n_stocks: 20 regime_gate: true | -0.70 | -0.03 | -1.22 | -1.01 |
formation_days=20, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True r-liquidity-premium-jp-all-0089 | cost_bps: 5 n_stocks: 20 regime_gate: true | -0.97 | -0.38 | -1.07 | -2.29 |
formation_days=20, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True r-liquidity-premium-jp-all-0103 | cost_bps: 10 n_stocks: 10 regime_gate: true | -1.34 | -1.31 | -1.36 | -1.22 |
formation_days=20, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True r-liquidity-premium-jp-all-0117 | cost_bps: 5 n_stocks: 10 regime_gate: true | -1.42 | -1.29 | -2.04 | -0.31 |
formation_days=20, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True r-liquidity-premium-jp-all-0131 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.57 | -0.15 | -1.02 | -0.18 |
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True r-liquidity-premium-jp-all-0145 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.26 | -0.13 | -0.39 | +0.04 |
formation_days=20, holding_days=60, n_stocks=50, cost_bps=10, regime_gate=True r-liquidity-premium-jp-all-0159 | cost_bps: 10 n_stocks: 50 regime_gate: true | -0.23 | -0.13 | -0.33 | -0.01 |
formation_days=40, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=True r-liquidity-premium-jp-all-0173 | cost_bps: 5 n_stocks: 50 regime_gate: true | -1.00 | -0.63 | -0.97 | -2.79 |
formation_days=40, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=True r-liquidity-premium-jp-all-0187 | cost_bps: 10 n_stocks: 20 regime_gate: true | -1.82 | -2.36 | -1.77 | -1.09 |
formation_days=40, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=True r-liquidity-premium-jp-all-0201 | cost_bps: 5 n_stocks: 20 regime_gate: true | -1.34 | -1.51 | -2.17 | +0.20 |
formation_days=40, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True r-liquidity-premium-jp-all-0215 | cost_bps: 10 n_stocks: 10 regime_gate: true | -0.83 | -0.08 | -1.45 | -1.17 |
formation_days=40, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True r-liquidity-premium-jp-all-0225 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.07 | -0.04 | +0.13 | +0.02 |
formation_days=40, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False r-liquidity-premium-jp-all-0230 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.67 | -1.35 | -0.26 | -0.91 |
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-liquidity-premium-jp-all-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.42 | -0.11 | -0.10 | -2.67 |
formation_days=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True r-liquidity-premium-jp-all-0245 | cost_bps: 5 n_stocks: 10 regime_gate: true | -0.58 | -0.48 | -0.08 | -2.56 |
formation_days=60, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True r-liquidity-premium-jp-all-0259 | cost_bps: 10 n_stocks: 5 regime_gate: true | -1.05 | -0.98 | -1.82 | -0.01 |
formation_days=60, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False r-liquidity-premium-jp-all-0270 | cost_bps: 10 n_stocks: 50 regime_gate: false | -2.13 | -2.73 | -1.76 | -1.48 |
formation_days=60, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False r-liquidity-premium-jp-all-0274 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.74 | -1.13 | -1.16 | +0.51 |
formation_days=60, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-liquidity-premium-jp-all-0288 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.70 | -1.26 | -0.75 | +0.38 |
formation_days=60, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-liquidity-premium-jp-all-0302 | cost_bps: 10 n_stocks: 50 regime_gate: false | -1.64 | -2.26 | -1.52 | -0.38 |
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: 2026-09-26T05:46:58