流動性プレミアム（東証グロース）のバックテスト
Liquidity Premium / Amihud Illiquidity (JP Growth Stocks)
slug: liquidity-premium-jp-growth
東証グロース（約495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 -0.56。p-value は 0.08。Max DD は -28.8%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +0.97 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）
-0.56
Max DD
-28.8%
勝率
—
Alpha（年率）
—
p-value
0.08
期間: 2022-02-01 → 2026-09-01
320通りの Sharpe:中央値 -0.56最良 0.97 （代表値ではない）最悪 -2.23p25–p75 -1.03–0.31
仮説
原文は英語。
Amihud (2002): illiquid stocks earn a premium. Illiquidity = |return| / dollar_volume averaged over formation window. LONG most illiquid, SHORT most liquid.
採用しなかった理由
Across 320 grid combinations, median Sharpe=-0.56, best=0.97. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 0.97 (p=0.00099).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/liquidity-premium-jp-growth-fact-best-sharpevia r-liquidity-premium-jp-growth-0148
Median Sharpe across 320 grid runs is -0.56.
Full grid of 320 parameter combinations.
Median Sharpe in DOWN regime is -1.91 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.27 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.87 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-growth-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -1.20 | -2.43 | -0.94 | -0.15 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-liquidity-premium-jp-growth-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | -1.12 | -1.93 | -0.94 | -0.15 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-liquidity-premium-jp-growth-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | -1.33 | -2.58 | -1.06 | -0.33 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-liquidity-premium-jp-growth-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | -1.23 | -2.00 | -1.06 | -0.33 |
formation_days=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-liquidity-premium-jp-growth-0012 | cost_bps: 5 n_stocks: 50 regime_gate: false | -1.11 | -1.80 | -0.73 | -2.26 |
formation_days=10, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-liquidity-premium-jp-growth-0018 | cost_bps: 10 n_stocks: 5 regime_gate: false | -1.42 | -3.07 | -1.01 | -4.72 |
formation_days=10, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-liquidity-premium-jp-growth-0032 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.83 | -0.99 | -0.74 | -3.74 |
formation_days=10, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-liquidity-premium-jp-growth-0046 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.76 | -2.15 | -0.41 | -0.57 |
formation_days=10, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False r-liquidity-premium-jp-growth-0060 | cost_bps: 5 n_stocks: 50 regime_gate: false | +0.35 | -0.72 | +0.78 | -2.73 |
formation_days=10, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-liquidity-premium-jp-growth-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.54 | +0.53 | +0.61 | -0.57 |
formation_days=10, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True r-liquidity-premium-jp-growth-0075 | cost_bps: 10 n_stocks: 20 regime_gate: true | +0.61 | -0.90 | +1.04 | -1.43 |
formation_days=20, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True r-liquidity-premium-jp-growth-0089 | cost_bps: 5 n_stocks: 20 regime_gate: true | -1.08 | -1.16 | -0.97 | -3.33 |
formation_days=20, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True r-liquidity-premium-jp-growth-0103 | cost_bps: 10 n_stocks: 10 regime_gate: true | -0.93 | -1.97 | -0.50 | -2.08 |
formation_days=20, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True r-liquidity-premium-jp-growth-0117 | cost_bps: 5 n_stocks: 10 regime_gate: true | -0.58 | -1.46 | -0.42 | +0.40 |
formation_days=20, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True r-liquidity-premium-jp-growth-0131 | cost_bps: 10 n_stocks: 5 regime_gate: true | 0.00 | -1.00 | +0.18 | -0.32 |
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True r-liquidity-premium-jp-growth-0145 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.47 | -1.11 | +0.71 | +0.25 |
formation_days=20, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=False r-liquidity-premium-jp-growth-0148 | cost_bps: 5 n_stocks: 10 regime_gate: false | +0.97 | +1.05 | +1.01 | +0.56 |
formation_days=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-liquidity-premium-jp-growth-0160 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.66 | -1.46 | -0.45 | -2.03 |
formation_days=40, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-liquidity-premium-jp-growth-0174 | cost_bps: 10 n_stocks: 50 regime_gate: false | -1.99 | -2.26 | -1.77 | -3.04 |
formation_days=40, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False r-liquidity-premium-jp-growth-0188 | cost_bps: 5 n_stocks: 50 regime_gate: false | -1.07 | -2.49 | -0.28 | -10.75 |
formation_days=40, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-liquidity-premium-jp-growth-0202 | cost_bps: 10 n_stocks: 20 regime_gate: false | -0.71 | -1.17 | -0.51 | -0.80 |
formation_days=40, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-liquidity-premium-jp-growth-0216 | cost_bps: 5 n_stocks: 20 regime_gate: false | +0.45 | +0.34 | +0.75 | -3.77 |
formation_days=40, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False r-liquidity-premium-jp-growth-0230 | cost_bps: 10 n_stocks: 10 regime_gate: false | +0.72 | -0.03 | +0.92 | +1.40 |
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-liquidity-premium-jp-growth-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.68 | -0.44 | -0.71 | -1.81 |
formation_days=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True r-liquidity-premium-jp-growth-0245 | cost_bps: 5 n_stocks: 10 regime_gate: true | -0.86 | -1.34 | -0.56 | -2.39 |
formation_days=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-liquidity-premium-jp-growth-0254 | cost_bps: 10 n_stocks: 50 regime_gate: false | -2.23 | -2.46 | -2.04 | -3.11 |
formation_days=60, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False r-liquidity-premium-jp-growth-0260 | cost_bps: 5 n_stocks: 10 regime_gate: false | -1.24 | -2.15 | -0.68 | -7.75 |
formation_days=60, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False r-liquidity-premium-jp-growth-0274 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.24 | -0.42 | -0.15 | -0.58 |
formation_days=60, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-liquidity-premium-jp-growth-0288 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.66 | +1.06 | +0.60 | -0.07 |
formation_days=60, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-liquidity-premium-jp-growth-0302 | cost_bps: 10 n_stocks: 50 regime_gate: false | +0.21 | +0.15 | +0.37 | -3.04 |
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: 2026-09-24T21:54:29