流動性プレミアム（米国S&P500）のバックテスト
Liquidity Premium / Amihud Illiquidity (US S&P 500)
slug: liquidity-premium-us-sp500
米国S&P500（約503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 +0.27。p-value は 0.27。Max DD は -13.3%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +1.34 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。上昇・横ばい・下落で結果が割れ、中央値としては安定しない。
成績の中央値
Sharpe（中央値）
+0.27
Max DD
-13.3%
勝率
—
Alpha（年率）
—
p-value
0.27
期間: 2022-02-01 → 2026-09-01
320通りの Sharpe:中央値 0.27最良 1.34 （代表値ではない）最悪 -1.04p25–p75 -0.22–0.77
仮説
原文は英語。
Amihud (2002): illiquid stocks earn a premium. Applied to S&P 500 constituents.
採用しなかった理由
Across 320 grid combinations, median Sharpe=0.27, best=1.34. Primary failure mode: regime_dependent.
検証ファクト (5)
Best grid Sharpe ratio is 1.34 (p=0.0053).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/liquidity-premium-us-sp500-fact-best-sharpevia r-liquidity-premium-us-sp500-0053
Median Sharpe across 320 grid runs is 0.27.
Full grid of 320 parameter combinations.
Median Sharpe in DOWN regime is -0.82 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.35 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 1.04 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-us-sp500-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.43 | -0.53 | -0.12 | -0.99 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-liquidity-premium-us-sp500-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.26 | -0.14 | -0.12 | -0.99 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-liquidity-premium-us-sp500-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.75 | -0.84 | -0.40 | -1.36 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-liquidity-premium-us-sp500-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.52 | -0.33 | -0.40 | -1.36 |
formation_days=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-liquidity-premium-us-sp500-0012 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.34 | -0.16 | -0.57 | -0.58 |
formation_days=10, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-liquidity-premium-us-sp500-0018 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.24 | -0.03 | +0.14 | -2.11 |
formation_days=10, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-liquidity-premium-us-sp500-0032 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.19 | +0.82 | -0.38 | -1.25 |
formation_days=10, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-liquidity-premium-us-sp500-0046 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.22 | +0.23 | -0.62 | -0.91 |
formation_days=10, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-liquidity-premium-us-sp500-0053 | cost_bps: 5 n_stocks: 10 regime_gate: true | +1.34 | +2.37 | +1.11 | -0.25 |
formation_days=10, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=True r-liquidity-premium-us-sp500-0061 | cost_bps: 5 n_stocks: 50 regime_gate: true | +1.13 | +1.66 | +0.70 | +0.04 |
formation_days=10, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-liquidity-premium-us-sp500-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.78 | +0.88 | +0.68 | +0.99 |
formation_days=10, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False r-liquidity-premium-us-sp500-0076 | cost_bps: 5 n_stocks: 50 regime_gate: false | +0.60 | +0.95 | -0.18 | +2.35 |
formation_days=20, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False r-liquidity-premium-us-sp500-0090 | cost_bps: 10 n_stocks: 20 regime_gate: false | -0.69 | -0.22 | -1.30 | -1.07 |
formation_days=20, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False r-liquidity-premium-us-sp500-0104 | cost_bps: 5 n_stocks: 20 regime_gate: false | -0.03 | +0.74 | -0.48 | -1.21 |
formation_days=20, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-liquidity-premium-us-sp500-0118 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.08 | +0.63 | -0.66 | -1.02 |
formation_days=20, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-liquidity-premium-us-sp500-0132 | cost_bps: 5 n_stocks: 10 regime_gate: false | +0.80 | +1.24 | +0.98 | -0.16 |
formation_days=20, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False r-liquidity-premium-us-sp500-0146 | cost_bps: 10 n_stocks: 5 regime_gate: false | +0.77 | +0.94 | +0.60 | +0.71 |
formation_days=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-liquidity-premium-us-sp500-0160 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.47 | -0.44 | -0.59 | -0.26 |
formation_days=40, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-liquidity-premium-us-sp500-0174 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.90 | -0.65 | -1.46 | -0.81 |
formation_days=40, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False r-liquidity-premium-us-sp500-0188 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.05 | +0.50 | -0.41 | -1.01 |
formation_days=40, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-liquidity-premium-us-sp500-0202 | cost_bps: 10 n_stocks: 20 regime_gate: false | -0.18 | +0.71 | -1.18 | -1.18 |
formation_days=40, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-liquidity-premium-us-sp500-0216 | cost_bps: 5 n_stocks: 20 regime_gate: false | +0.60 | +1.31 | +0.55 | -0.65 |
formation_days=40, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False r-liquidity-premium-us-sp500-0230 | cost_bps: 10 n_stocks: 10 regime_gate: false | +0.71 | +1.07 | +0.24 | +0.70 |
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-liquidity-premium-us-sp500-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.55 | -0.56 | -0.31 | -1.15 |
formation_days=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True r-liquidity-premium-us-sp500-0245 | cost_bps: 5 n_stocks: 10 regime_gate: true | -0.49 | +0.63 | -0.98 | -2.00 |
formation_days=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-liquidity-premium-us-sp500-0254 | cost_bps: 10 n_stocks: 50 regime_gate: false | -1.04 | -0.67 | -1.65 | -1.08 |
formation_days=60, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False r-liquidity-premium-us-sp500-0260 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.30 | +0.55 | -0.55 | -2.76 |
formation_days=60, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False r-liquidity-premium-us-sp500-0274 | cost_bps: 10 n_stocks: 5 regime_gate: false | +0.11 | +0.93 | -0.87 | -0.76 |
formation_days=60, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-liquidity-premium-us-sp500-0288 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.84 | +2.03 | +0.39 | -0.75 |
formation_days=60, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-liquidity-premium-us-sp500-0302 | cost_bps: 10 n_stocks: 50 regime_gate: false | +0.25 | +0.67 | +0.38 | -0.96 |
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