宝くじ効果（MAXリターン）（東証グロース）のバックテスト
Max Return / Lottery Effect (JP Growth Stocks)
slug: max-return-lottery-jp-growth
東証グロース（約495銘柄）で宝くじ効果（MAXリターン）をバックテストした。320通りの中央値 Sharpe は +0.23。p-value は 0.43。Max DD は -19.9%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +1.53 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）
+0.23
Max DD
-19.9%
勝率
—
Alpha（年率）
—
p-value
0.43
期間: 2022-02-01 → 2026-09-01
320通りの Sharpe:中央値 0.23最良 1.53 （代表値ではない）最悪 -0.54p25–p75 -0.08–0.63
仮説
原文は英語。
Bali, Cakici, Whitelaw (2011): stocks with extreme positive daily returns (lottery-like) subsequently underperform. LONG low-MAX, SHORT high-MAX.
採用しなかった理由
Across 320 grid combinations, median Sharpe=0.23, best=1.53. Primary failure mode: regime_dependent.
検証ファクト (5)
Best grid Sharpe ratio is 1.53 (p=0.0015).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/max-return-lottery-jp-growth-fact-best-sharpevia r-max-return-lottery-jp-growth-0165
Median Sharpe across 320 grid runs is 0.23.
Full grid of 320 parameter combinations.
Median Sharpe in DOWN regime is 1.41 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is 0.23 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.22 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
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-growth-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | +1.42 | +2.14 | +1.02 | +34.03 |
formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-max-return-lottery-jp-growth-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.92 | -0.55 | +1.02 | +34.03 |
formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-max-return-lottery-jp-growth-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | +1.29 | +1.98 | +0.91 | +33.08 |
formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-max-return-lottery-jp-growth-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | +0.82 | -0.64 | +0.91 | +33.08 |
formation_days=5, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-max-return-lottery-jp-growth-0012 | cost_bps: 5 n_stocks: 50 regime_gate: false | +0.24 | -0.10 | +0.26 | +4.75 |
formation_days=5, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-max-return-lottery-jp-growth-0018 | cost_bps: 10 n_stocks: 5 regime_gate: false | +1.12 | +2.22 | +0.66 | +6.08 |
formation_days=5, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-max-return-lottery-jp-growth-0032 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.86 | +0.04 | +0.94 | +2.97 |
formation_days=5, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-max-return-lottery-jp-growth-0046 | cost_bps: 10 n_stocks: 50 regime_gate: false | +0.18 | -1.23 | +0.39 | +1.99 |
formation_days=5, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False r-max-return-lottery-jp-growth-0060 | cost_bps: 5 n_stocks: 50 regime_gate: false | +0.79 | +1.08 | +0.60 | +6.54 |
formation_days=5, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-max-return-lottery-jp-growth-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.28 | +0.83 | +0.09 | +3.48 |
formation_days=5, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True r-max-return-lottery-jp-growth-0075 | cost_bps: 10 n_stocks: 20 regime_gate: true | -0.14 | -0.39 | -0.13 | +0.71 |
formation_days=10, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True r-max-return-lottery-jp-growth-0089 | cost_bps: 5 n_stocks: 20 regime_gate: true | +0.26 | -0.52 | +0.37 | +1.17 |
formation_days=10, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True r-max-return-lottery-jp-growth-0103 | cost_bps: 10 n_stocks: 10 regime_gate: true | +0.54 | -1.14 | +0.66 | +20.48 |
formation_days=10, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True r-max-return-lottery-jp-growth-0117 | cost_bps: 5 n_stocks: 10 regime_gate: true | +0.48 | -1.36 | +0.72 | +0.38 |
formation_days=10, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True r-max-return-lottery-jp-growth-0131 | cost_bps: 10 n_stocks: 5 regime_gate: true | +0.78 | +0.63 | +0.62 | +8.41 |
formation_days=10, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True r-max-return-lottery-jp-growth-0145 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.56 | -0.40 | +0.61 | +5.66 |
formation_days=10, holding_days=60, n_stocks=50, cost_bps=10, regime_gate=True r-max-return-lottery-jp-growth-0159 | cost_bps: 10 n_stocks: 50 regime_gate: true | -0.16 | -1.00 | +0.03 | -0.09 |
formation_days=20, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True r-max-return-lottery-jp-growth-0165 | cost_bps: 5 n_stocks: 10 regime_gate: true | +1.53 | -0.82 | +1.74 | +9.38 |
formation_days=20, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-max-return-lottery-jp-growth-0174 | cost_bps: 10 n_stocks: 50 regime_gate: false | +0.14 | +0.10 | +0.03 | +2.44 |
formation_days=20, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False r-max-return-lottery-jp-growth-0188 | cost_bps: 5 n_stocks: 50 regime_gate: false | +0.27 | +0.07 | +0.34 | +0.79 |
formation_days=20, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-max-return-lottery-jp-growth-0202 | cost_bps: 10 n_stocks: 20 regime_gate: false | -0.07 | -0.94 | +0.23 | +1.06 |
formation_days=20, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-max-return-lottery-jp-growth-0216 | cost_bps: 5 n_stocks: 20 regime_gate: false | +0.45 | -0.29 | +0.71 | +0.09 |
formation_days=20, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False r-max-return-lottery-jp-growth-0230 | cost_bps: 10 n_stocks: 10 regime_gate: false | +0.16 | +0.88 | -0.14 | +0.35 |
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-max-return-lottery-jp-growth-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.74 | +0.39 | +0.71 | +2.19 |
formation_days=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True r-max-return-lottery-jp-growth-0245 | cost_bps: 5 n_stocks: 10 regime_gate: true | +0.69 | -2.01 | +1.02 | +2.43 |
formation_days=60, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True r-max-return-lottery-jp-growth-0259 | cost_bps: 10 n_stocks: 5 regime_gate: true | +0.11 | +0.39 | +0.04 | +0.94 |
formation_days=60, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True r-max-return-lottery-jp-growth-0273 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.48 | -0.34 | -0.52 | -0.54 |
formation_days=60, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True r-max-return-lottery-jp-growth-0279 | cost_bps: 10 n_stocks: 10 regime_gate: true | -0.54 | -1.44 | -0.52 | +0.50 |
formation_days=60, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-max-return-lottery-jp-growth-0288 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.18 | +0.23 | -0.25 | -0.52 |
formation_days=60, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-max-return-lottery-jp-growth-0302 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.22 | -0.31 | -0.26 | +1.86 |
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: 2026-09-24T02:22:20