低ボラティリティ・アノマリー（東証全銘柄）のバックテスト
Low Volatility Anomaly (JP All Stocks)
slug: low-volatility-anomaly-jp-all
東証全銘柄（約3,747銘柄）で低ボラティリティ・アノマリーをバックテストした。320通りの中央値 Sharpe は +0.38。p-value は 0.32。Max DD は -23.0%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +1.68 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。
何を検証したか
低ボラティリティ・アノマリーは、値動きの小さい銘柄の方がリスクあたりで得だ、という主張です。低いボラティリティの銘柄を持ち続ける側で検証していて、相場の局面が変わると成績が割れやすいタイプです。中央値がマイナス、または主因が regime_dependent なら、低リスクだから安全とは読めません。
成績の中央値
Sharpe（中央値）
+0.38
Max DD
-23.0%
勝率
—
Alpha（年率）
—
p-value
0.32
期間: 2022-02-01 → 2026-09-01
320通りの Sharpe:中央値 0.38最良 1.68 （代表値ではない）最悪 -0.60p25–p75 0.13–0.64
仮説
原文は英語。
Baker, Bradley, Wurgler (2011): low-volatility stocks earn higher risk-adjusted returns. Testing on the full Japanese stock universe.
採用しなかった理由
Across 320 grid combinations, median Sharpe=0.38, best=1.68. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 1.68 (p=0.00053).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/low-volatility-anomaly-jp-all-fact-best-sharpevia r-low-volatility-anomaly-jp-all-0004
Median Sharpe across 320 grid runs is 0.38.
Full grid of 320 parameter combinations.
Median Sharpe in DOWN regime is -0.45 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 0.94 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
vol_window=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-all-0000 | cost_bps: 5 n_stocks: 5 vol_window: 20 | +1.61 | +0.96 | +2.14 | +2.15 |
vol_window=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-low-volatility-anomaly-jp-all-0001 | cost_bps: 5 n_stocks: 5 vol_window: 20 | +1.43 | -1.57 | +2.14 | +2.15 |
vol_window=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-all-0002 | cost_bps: 10 n_stocks: 5 vol_window: 20 | +1.48 | +0.83 | +2.02 | +1.92 |
vol_window=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-low-volatility-anomaly-jp-all-0003 | cost_bps: 10 n_stocks: 5 vol_window: 20 | +1.30 | -2.30 | +2.02 | +1.92 |
vol_window=20, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-all-0004 | cost_bps: 5 n_stocks: 10 vol_window: 20 | +1.68 | +1.00 | +2.70 | +0.82 |
vol_window=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-all-0012 | cost_bps: 5 n_stocks: 50 vol_window: 20 | +0.68 | +0.21 | +1.33 | -0.02 |
vol_window=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True r-low-volatility-anomaly-jp-all-0019 | cost_bps: 10 n_stocks: 5 vol_window: 20 | +0.36 | -0.19 | +0.38 | +0.77 |
vol_window=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True r-low-volatility-anomaly-jp-all-0033 | cost_bps: 5 n_stocks: 5 vol_window: 20 | +0.28 | -0.36 | +0.21 | +0.85 |
vol_window=20, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True r-low-volatility-anomaly-jp-all-0047 | cost_bps: 10 n_stocks: 50 vol_window: 20 | -0.15 | +1.48 | -0.44 | -0.01 |
vol_window=20, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=True r-low-volatility-anomaly-jp-all-0061 | cost_bps: 5 n_stocks: 50 vol_window: 20 | +0.41 | +2.55 | +0.32 | -0.31 |
vol_window=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-all-0064 | cost_bps: 5 n_stocks: 5 vol_window: 20 | +0.32 | +1.51 | +0.06 | -0.43 |
vol_window=20, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-all-0076 | cost_bps: 5 n_stocks: 50 vol_window: 20 | +0.38 | +1.21 | -0.03 | +0.15 |
vol_window=40, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-all-0090 | cost_bps: 10 n_stocks: 20 vol_window: 40 | +0.79 | +0.23 | +1.41 | +0.28 |
vol_window=40, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-all-0104 | cost_bps: 5 n_stocks: 20 vol_window: 40 | +0.71 | +1.19 | +0.41 | +0.33 |
vol_window=40, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-all-0118 | cost_bps: 10 n_stocks: 10 vol_window: 40 | +0.21 | +1.10 | -0.18 | -1.36 |
vol_window=40, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-all-0132 | cost_bps: 5 n_stocks: 10 vol_window: 40 | +0.69 | +1.74 | +0.20 | -0.39 |
vol_window=40, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-all-0146 | cost_bps: 10 n_stocks: 5 vol_window: 40 | +0.27 | +0.62 | +0.50 | -1.09 |
vol_window=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-all-0160 | cost_bps: 5 n_stocks: 5 vol_window: 60 | +0.72 | +0.15 | +1.58 | -0.25 |
vol_window=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-all-0174 | cost_bps: 10 n_stocks: 50 vol_window: 60 | +0.30 | -0.57 | +1.12 | +0.00 |
vol_window=60, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-all-0188 | cost_bps: 5 n_stocks: 50 vol_window: 60 | +0.37 | +0.17 | +0.56 | +0.34 |
vol_window=60, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-all-0202 | cost_bps: 10 n_stocks: 20 vol_window: 60 | 0.00 | +0.88 | -0.45 | -0.69 |
vol_window=60, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-all-0216 | cost_bps: 5 n_stocks: 20 vol_window: 60 | +0.53 | +1.23 | +0.29 | -0.94 |
vol_window=60, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-all-0230 | cost_bps: 10 n_stocks: 10 vol_window: 60 | +0.28 | +1.31 | +0.08 | -0.87 |
vol_window=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-all-0240 | cost_bps: 5 n_stocks: 5 vol_window: 120 | +0.56 | -0.02 | +1.04 | +0.22 |
vol_window=120, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True r-low-volatility-anomaly-jp-all-0245 | cost_bps: 5 n_stocks: 10 vol_window: 120 | +0.73 | -1.07 | +1.63 | -0.65 |
vol_window=120, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True r-low-volatility-anomaly-jp-all-0259 | cost_bps: 10 n_stocks: 5 vol_window: 120 | +0.15 | -0.11 | +0.46 | -0.84 |
vol_window=120, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True r-low-volatility-anomaly-jp-all-0273 | cost_bps: 5 n_stocks: 5 vol_window: 120 | -0.57 | +0.54 | -0.57 | -2.06 |
vol_window=120, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=True r-low-volatility-anomaly-jp-all-0275 | cost_bps: 10 n_stocks: 5 vol_window: 120 | -0.60 | +0.16 | -0.60 | -2.13 |
vol_window=120, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-low-volatility-anomaly-jp-all-0288 | cost_bps: 5 n_stocks: 5 vol_window: 120 | +0.27 | +2.31 | -0.30 | -1.75 |
vol_window=120, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-low-volatility-anomaly-jp-all-0302 | cost_bps: 10 n_stocks: 50 vol_window: 120 | +0.55 | +1.55 | -0.00 | -1.43 |
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: 2026-09-26T05:46:57