rejectedno_edge· equity· anomaly · factor · lottery · max-return

宝くじ効果（MAXリターン）（東証全銘柄）のバックテスト

Max Return / Lottery Effect (JP All Stocks)

slug: max-return-lottery-jp-all

東証全銘柄（約3,747銘柄）で宝くじ効果（MAXリターン）をバックテストした。160通りの中央値 Sharpe は -0.44。p-value は 0.28。Max DD は -33.1%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +0.29 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）

-0.44

Max DD

-33.1%

勝率

—

Alpha（年率）

—

p-value

0.28

期間: 2022-02-01 → 2026-09-01

160通りの Sharpe:中央値 -0.44最良 0.29 （代表値ではない）最悪 -1.38p25–p75 -0.61–-0.27

仮説

原文は英語。

Bali, Cakici, Whitelaw (2011): stocks with extreme positive daily returns subsequently underperform. Testing on the full Japanese stock universe.

採用しなかった理由

Across 160 grid combinations, median Sharpe=-0.44, best=0.29. Primary failure mode: no_edge.

検証ファクト (5)

Best grid Sharpe ratio is 0.29 (p=0.53).

period 2022-02-01–2026-09-01; cost=5bps

sharpe_ratio0.29

cite ↗ /cite/max-return-lottery-jp-all-fact-best-sharpevia r-max-return-lottery-jp-all-0017

Median Sharpe across 160 grid runs is -0.44.

Full grid of 160 parameter combinations.

sharpe_ratio-0.44

cite ↗ /cite/max-return-lottery-jp-all-fact-median-sharpe

Median Sharpe in DOWN regime is -1.17 across 160 runs.

Regime=DOWN, N225 SMA20/SMA60 classification.

sharpe_ratio-1.17

cite ↗ /cite/max-return-lottery-jp-all-fact-regime-down

Median Sharpe in FLAT regime is -0.25 across 160 runs.

Regime=FLAT, N225 SMA20/SMA60 classification.

sharpe_ratio-0.25

cite ↗ /cite/max-return-lottery-jp-all-fact-regime-flat

Median Sharpe in UP regime is -0.78 across 160 runs.

Regime=UP, N225 SMA20/SMA60 classification.

sharpe_ratio-0.78

cite ↗ /cite/max-return-lottery-jp-all-fact-regime-up

検証ラン (30)

run	params	sharpe	UP	FLAT	DOWN
formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-max-return-lottery-jp-all-0000	cost_bps: 5 n_stocks: 5 regime_gate: false	-0.72	-3.42	+0.19	-2.36
formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-max-return-lottery-jp-all-0001	cost_bps: 5 n_stocks: 5 regime_gate: true	-0.42	-2.30	+0.19	-2.36
formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-max-return-lottery-jp-all-0002	cost_bps: 10 n_stocks: 5 regime_gate: false	-0.95	-3.67	-0.05	-2.58
formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-max-return-lottery-jp-all-0003	cost_bps: 10 n_stocks: 5 regime_gate: true	-0.65	-2.47	-0.05	-2.58
formation_days=5, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False r-max-return-lottery-jp-all-0004	cost_bps: 5 n_stocks: 10 regime_gate: false	-1.02	-3.28	-0.16	-4.12
formation_days=5, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False r-max-return-lottery-jp-all-0006	cost_bps: 10 n_stocks: 10 regime_gate: false	-1.38	-3.62	-0.56	-4.76
formation_days=5, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True r-max-return-lottery-jp-all-0017	cost_bps: 5 n_stocks: 5 regime_gate: true	+0.29	-0.07	+0.54	-2.43
formation_days=5, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False r-max-return-lottery-jp-all-0020	cost_bps: 5 n_stocks: 10 regime_gate: false	-0.39	-1.57	+0.34	-8.39
formation_days=5, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False r-max-return-lottery-jp-all-0034	cost_bps: 10 n_stocks: 5 regime_gate: false	-0.32	-1.26	+0.25	-2.20
formation_days=5, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-max-return-lottery-jp-all-0048	cost_bps: 5 n_stocks: 5 regime_gate: false	-0.55	-1.06	-0.19	-3.85
formation_days=5, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=False r-max-return-lottery-jp-all-0054	cost_bps: 10 n_stocks: 10 regime_gate: false	-1.04	-0.43	-1.12	-7.60
formation_days=5, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-max-return-lottery-jp-all-0064	cost_bps: 5 n_stocks: 5 regime_gate: false	-0.40	-1.44	+0.04	-0.80
formation_days=5, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=True r-max-return-lottery-jp-all-0069	cost_bps: 5 n_stocks: 10 regime_gate: true	-0.39	+0.06	-0.65	+0.17
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-max-return-lottery-jp-all-0083	cost_bps: 10 n_stocks: 5 regime_gate: true	-0.55	-1.45	-0.40	+0.73
formation_days=10, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True r-max-return-lottery-jp-all-0097	cost_bps: 5 n_stocks: 5 regime_gate: true	+0.02	+0.05	-0.01	+0.45
formation_days=10, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True r-max-return-lottery-jp-all-0103	cost_bps: 10 n_stocks: 10 regime_gate: true	-0.16	-0.26	-0.14	+0.08
formation_days=10, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True r-max-return-lottery-jp-all-0117	cost_bps: 5 n_stocks: 10 regime_gate: true	+0.02	-0.23	+0.02	+7.34
formation_days=10, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True r-max-return-lottery-jp-all-0131	cost_bps: 10 n_stocks: 5 regime_gate: true	-0.02	+0.65	-0.04	-4.67
formation_days=10, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True r-max-return-lottery-jp-all-0145	cost_bps: 5 n_stocks: 5 regime_gate: true	-0.29	-0.43	-0.23	-0.65
formation_days=10, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True r-max-return-lottery-jp-all-0151	cost_bps: 10 n_stocks: 10 regime_gate: true	-0.30	-0.37	-0.27	-0.32
formation_days=20, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True r-max-return-lottery-jp-all-0165	cost_bps: 5 n_stocks: 10 regime_gate: true	-0.42	-1.04	-0.20	+0.27
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True r-max-return-lottery-jp-all-0179	cost_bps: 10 n_stocks: 5 regime_gate: true	-0.05	-0.40	-0.00	-0.01
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True r-max-return-lottery-jp-all-0193	cost_bps: 5 n_stocks: 5 regime_gate: true	+0.04	+0.15	+0.27	-3.92
formation_days=20, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True r-max-return-lottery-jp-all-0199	cost_bps: 10 n_stocks: 10 regime_gate: true	-0.40	-0.25	-0.26	-3.44
formation_days=20, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-max-return-lottery-jp-all-0213	cost_bps: 5 n_stocks: 10 regime_gate: true	-0.44	-0.40	-0.41	-0.79
formation_days=20, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True r-max-return-lottery-jp-all-0227	cost_bps: 10 n_stocks: 5 regime_gate: true	-0.41	+0.02	-0.43	-1.53
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-max-return-lottery-jp-all-0240	cost_bps: 5 n_stocks: 5 regime_gate: false	-0.61	-1.63	-0.38	+1.67
formation_days=60, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-max-return-lottery-jp-all-0242	cost_bps: 10 n_stocks: 5 regime_gate: false	-0.85	-1.83	-0.64	+1.44
formation_days=60, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-max-return-lottery-jp-all-0256	cost_bps: 5 n_stocks: 5 regime_gate: false	-0.41	-1.13	-0.15	+2.10
formation_days=60, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False r-max-return-lottery-jp-all-0262	cost_bps: 10 n_stocks: 10 regime_gate: false	-0.63	-1.28	-0.42	+0.89

対象ユニバース

Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks