平均回帰（東証全銘柄）のバックテスト
Mean Reversion (JP All Stocks)
slug: mean-reversion-jp-all
東証全銘柄（約3,747銘柄）で平均回帰をバックテストした。1,024通りの中央値 Sharpe は +0.01。p-value は 0.46。Max DD は -17.4%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +1.26 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。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）
+0.01
Max DD
-17.4%
勝率
—
Alpha（年率）
—
p-value
0.46
期間: 2022-02-01 → 2026-09-01
1024通りの Sharpe:中央値 0.01最良 1.26 （代表値ではない）最悪 -1.20p25–p75 -0.31–0.38
仮説
原文は英語。
Stocks deviating from fair value revert to the mean. Testing 4 mean-reversion indicators on the full Japanese stock universe.
採用しなかった理由
Across 1024 grid combinations, median Sharpe=0.01, best=1.26. Primary failure mode: regime_dependent.
検証ファクト (5)
Best grid Sharpe ratio is 1.26 (p=0.0086).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/mean-reversion-jp-all-fact-best-sharpevia r-mean-reversion-jp-all-0880
Median Sharpe across 1024 grid runs is 0.01.
Full grid of 1024 parameter combinations.
Median Sharpe in DOWN regime is 0.74 across 1024 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.26 across 1024 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.00 across 1024 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
indicator=zscore, lookback=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-mean-reversion-jp-all-0000 | cost_bps: 5 lookback: 10 n_stocks: 5 | -0.20 | -0.74 | -0.32 | +1.04 |
indicator=zscore, lookback=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-mean-reversion-jp-all-0001 | cost_bps: 5 lookback: 10 n_stocks: 5 | +0.22 | +0.21 | -0.32 | +1.04 |
indicator=zscore, lookback=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-mean-reversion-jp-all-0002 | cost_bps: 10 lookback: 10 n_stocks: 5 | -0.35 | -0.88 | -0.53 | +0.92 |
indicator=zscore, lookback=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-mean-reversion-jp-all-0003 | cost_bps: 10 lookback: 10 n_stocks: 5 | +0.06 | +0.04 | -0.53 | +0.92 |
indicator=zscore, lookback=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-mean-reversion-jp-all-0012 | cost_bps: 5 lookback: 10 n_stocks: 50 | -0.21 | -0.57 | -0.01 | +0.06 |
indicator=zscore, lookback=10, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-mean-reversion-jp-all-0048 | cost_bps: 5 lookback: 10 n_stocks: 5 | -0.29 | -0.33 | -0.20 | -0.88 |
indicator=zscore, lookback=10, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-mean-reversion-jp-all-0053 | cost_bps: 5 lookback: 10 n_stocks: 10 | -0.17 | +1.20 | -0.45 | -1.82 |
indicator=zscore, lookback=20, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False r-mean-reversion-jp-all-0094 | cost_bps: 10 lookback: 20 n_stocks: 50 | -1.20 | -1.20 | -1.51 | -0.30 |
indicator=zscore, lookback=20, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-mean-reversion-jp-all-0102 | cost_bps: 10 lookback: 20 n_stocks: 10 | -0.01 | +0.16 | -0.28 | +0.36 |
indicator=zscore, lookback=40, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False r-mean-reversion-jp-all-0150 | cost_bps: 10 lookback: 40 n_stocks: 10 | +0.20 | +0.71 | -0.34 | +0.94 |
indicator=zscore, lookback=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-mean-reversion-jp-all-0192 | cost_bps: 5 lookback: 60 n_stocks: 5 | +0.40 | +0.98 | -0.03 | +1.39 |
indicator=zscore, lookback=60, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True r-mean-reversion-jp-all-0199 | cost_bps: 10 lookback: 60 n_stocks: 10 | -0.15 | -1.35 | -0.07 | +1.55 |
indicator=zscore, lookback=60, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True r-mean-reversion-jp-all-0247 | cost_bps: 10 lookback: 60 n_stocks: 10 | +0.37 | -0.30 | +0.84 | -0.28 |
indicator=rsi, lookback=10, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True r-mean-reversion-jp-all-0295 | cost_bps: 10 lookback: 10 n_stocks: 10 | 0.00 | -0.40 | -0.02 | +1.03 |
indicator=rsi, lookback=20, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True r-mean-reversion-jp-all-0343 | cost_bps: 10 lookback: 20 n_stocks: 10 | 0.00 | -0.09 | -0.34 | +1.02 |
indicator=rsi, lookback=40, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True r-mean-reversion-jp-all-0391 | cost_bps: 10 lookback: 40 n_stocks: 10 | +0.18 | +0.05 | -0.24 | +1.31 |
indicator=rsi, lookback=40, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True r-mean-reversion-jp-all-0439 | cost_bps: 10 lookback: 40 n_stocks: 10 | +0.32 | -0.25 | -0.19 | +3.62 |
indicator=rsi, lookback=60, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True r-mean-reversion-jp-all-0487 | cost_bps: 10 lookback: 60 n_stocks: 10 | +0.64 | +0.50 | +0.61 | +1.16 |
indicator=bollinger_pct, lookback=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-mean-reversion-jp-all-0512 | cost_bps: 5 lookback: 10 n_stocks: 5 | -0.20 | -0.74 | -0.32 | +1.04 |
indicator=bollinger_pct, lookback=10, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False r-mean-reversion-jp-all-0536 | cost_bps: 5 lookback: 10 n_stocks: 20 | -0.33 | -0.49 | -0.66 | +0.95 |
indicator=bollinger_pct, lookback=20, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=False r-mean-reversion-jp-all-0584 | cost_bps: 5 lookback: 20 n_stocks: 20 | +0.19 | +0.60 | -0.14 | +0.17 |
indicator=bollinger_pct, lookback=20, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-mean-reversion-jp-all-0632 | cost_bps: 5 lookback: 20 n_stocks: 20 | +0.12 | +0.49 | +0.04 | -1.85 |
indicator=bollinger_pct, lookback=40, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=False r-mean-reversion-jp-all-0680 | cost_bps: 5 lookback: 40 n_stocks: 20 | +0.17 | -0.07 | -0.12 | +1.58 |
indicator=bollinger_pct, lookback=60, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False r-mean-reversion-jp-all-0728 | cost_bps: 5 lookback: 60 n_stocks: 20 | -0.01 | +0.02 | +0.02 | -0.13 |
indicator=mrs, lookback=10, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=False r-mean-reversion-jp-all-0776 | cost_bps: 5 lookback: 10 n_stocks: 20 | -0.19 | -0.26 | -0.59 | +1.73 |
indicator=mrs, lookback=10, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-mean-reversion-jp-all-0824 | cost_bps: 5 lookback: 10 n_stocks: 20 | -0.43 | -0.80 | -0.55 | +2.90 |
indicator=mrs, lookback=20, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=False r-mean-reversion-jp-all-0872 | cost_bps: 5 lookback: 20 n_stocks: 20 | +0.63 | -0.63 | +1.79 | +1.96 |
indicator=mrs, lookback=20, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-mean-reversion-jp-all-0880 | cost_bps: 5 lookback: 20 n_stocks: 5 | +1.26 | +1.37 | +1.07 | +1.73 |
indicator=mrs, lookback=40, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=True r-mean-reversion-jp-all-0921 | cost_bps: 5 lookback: 40 n_stocks: 20 | -0.11 | +0.64 | -1.23 | +1.75 |
indicator=mrs, lookback=60, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True r-mean-reversion-jp-all-0969 | cost_bps: 5 lookback: 60 n_stocks: 20 | +0.22 | +0.83 | -0.26 | -0.16 |
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: 2026-09-26T05:46:56