平均回帰（東証グロース）のバックテスト
Mean Reversion (JP Growth Stocks)
slug: mean-reversion-jp-growth
東証グロース（約495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 -0.03。p-value は 0.50。Max DD は -18.3%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +1.60 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）
-0.03
Max DD
-18.3%
勝率
—
Alpha（年率）
—
p-value
0.50
期間: 2022-02-01 → 2026-09-01
1024通りの Sharpe:中央値 -0.03最良 1.60 （代表値ではない）最悪 -1.08p25–p75 -0.32–0.29
仮説
原文は英語。
Stocks deviating from fair value (measured by z-score, RSI, Bollinger, or MRS) revert to the mean. LONG oversold, SHORT overbought. Tests 4 mean-reversion indicators in TSE Growth Market.
採用しなかった理由
Across 1024 grid combinations, median Sharpe=-0.03, best=1.60. Primary failure mode: regime_dependent.
検証ファクト (5)
Best grid Sharpe ratio is 1.60 (p=0.00089).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/mean-reversion-jp-growth-fact-best-sharpevia r-mean-reversion-jp-growth-0836
Median Sharpe across 1024 grid runs is -0.03.
Full grid of 1024 parameter combinations.
Median Sharpe in DOWN regime is 1.18 across 1024 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is 0.06 across 1024 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.50 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-growth-0000 | cost_bps: 5 lookback: 10 n_stocks: 5 | -0.23 | -0.94 | -0.20 | +2.39 |
indicator=zscore, lookback=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-mean-reversion-jp-growth-0001 | cost_bps: 5 lookback: 10 n_stocks: 5 | -0.23 | -1.71 | -0.20 | +2.39 |
indicator=zscore, lookback=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-mean-reversion-jp-growth-0002 | cost_bps: 10 lookback: 10 n_stocks: 5 | -0.36 | -1.08 | -0.34 | +2.25 |
indicator=zscore, lookback=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-mean-reversion-jp-growth-0003 | cost_bps: 10 lookback: 10 n_stocks: 5 | -0.36 | -1.85 | -0.34 | +2.25 |
indicator=zscore, lookback=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-mean-reversion-jp-growth-0012 | cost_bps: 5 lookback: 10 n_stocks: 50 | -0.26 | +0.11 | -0.41 | +2.58 |
indicator=zscore, lookback=10, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-mean-reversion-jp-growth-0048 | cost_bps: 5 lookback: 10 n_stocks: 5 | -0.64 | -1.43 | -0.75 | +3.03 |
indicator=zscore, lookback=10, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-mean-reversion-jp-growth-0053 | cost_bps: 5 lookback: 10 n_stocks: 10 | -0.63 | -1.71 | -0.65 | +2.64 |
indicator=zscore, lookback=20, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True r-mean-reversion-jp-growth-0101 | cost_bps: 5 lookback: 20 n_stocks: 10 | -0.05 | -0.07 | -0.00 | -1.94 |
indicator=zscore, lookback=40, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True r-mean-reversion-jp-growth-0149 | cost_bps: 5 lookback: 40 n_stocks: 10 | +0.09 | -0.57 | +0.16 | +4.21 |
indicator=zscore, lookback=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-mean-reversion-jp-growth-0192 | cost_bps: 5 lookback: 60 n_stocks: 5 | +0.36 | +0.12 | +0.38 | +0.92 |
indicator=zscore, lookback=60, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False r-mean-reversion-jp-growth-0198 | cost_bps: 10 lookback: 60 n_stocks: 10 | +0.01 | -0.41 | +0.10 | +2.88 |
indicator=zscore, lookback=60, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=False r-mean-reversion-jp-growth-0246 | cost_bps: 10 lookback: 60 n_stocks: 10 | -0.04 | -0.96 | +0.22 | +1.27 |
indicator=rsi, lookback=10, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-mean-reversion-jp-growth-0294 | cost_bps: 10 lookback: 10 n_stocks: 10 | +0.54 | +1.17 | +0.41 | +0.02 |
indicator=rsi, lookback=20, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False r-mean-reversion-jp-growth-0342 | cost_bps: 10 lookback: 20 n_stocks: 10 | +0.64 | +0.84 | +0.45 | +1.78 |
indicator=rsi, lookback=40, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False r-mean-reversion-jp-growth-0390 | cost_bps: 10 lookback: 40 n_stocks: 10 | +0.71 | -0.06 | +1.06 | +0.41 |
indicator=rsi, lookback=40, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=False r-mean-reversion-jp-growth-0438 | cost_bps: 10 lookback: 40 n_stocks: 10 | +0.54 | -0.34 | +0.71 | +6.31 |
indicator=rsi, lookback=60, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-mean-reversion-jp-growth-0486 | cost_bps: 10 lookback: 60 n_stocks: 10 | -0.03 | -1.74 | +0.52 | +1.24 |
indicator=bollinger_pct, lookback=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-mean-reversion-jp-growth-0512 | cost_bps: 5 lookback: 10 n_stocks: 5 | -0.23 | -0.94 | -0.20 | +2.39 |
indicator=bollinger_pct, lookback=10, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True r-mean-reversion-jp-growth-0535 | cost_bps: 10 lookback: 10 n_stocks: 10 | -0.83 | -0.89 | -0.98 | +1.31 |
indicator=bollinger_pct, lookback=20, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True r-mean-reversion-jp-growth-0583 | cost_bps: 10 lookback: 20 n_stocks: 10 | 0.00 | -0.84 | +0.14 | +1.07 |
indicator=bollinger_pct, lookback=20, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True r-mean-reversion-jp-growth-0631 | cost_bps: 10 lookback: 20 n_stocks: 10 | +0.02 | -0.26 | -0.02 | +2.71 |
indicator=bollinger_pct, lookback=40, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True r-mean-reversion-jp-growth-0679 | cost_bps: 10 lookback: 40 n_stocks: 10 | -0.13 | -0.62 | -0.05 | +0.78 |
indicator=bollinger_pct, lookback=60, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True r-mean-reversion-jp-growth-0727 | cost_bps: 10 lookback: 60 n_stocks: 10 | -0.33 | -1.17 | -0.40 | +3.89 |
indicator=mrs, lookback=10, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True r-mean-reversion-jp-growth-0775 | cost_bps: 10 lookback: 10 n_stocks: 10 | +0.13 | -0.15 | +0.27 | -1.06 |
indicator=mrs, lookback=10, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-mean-reversion-jp-growth-0782 | cost_bps: 10 lookback: 10 n_stocks: 50 | -1.08 | -0.07 | -1.63 | -3.41 |
indicator=mrs, lookback=10, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-mean-reversion-jp-growth-0824 | cost_bps: 5 lookback: 10 n_stocks: 20 | -0.50 | -1.79 | -0.20 | -0.07 |
indicator=mrs, lookback=20, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False r-mean-reversion-jp-growth-0836 | cost_bps: 5 lookback: 20 n_stocks: 10 | +1.60 | +0.87 | +1.85 | +2.84 |
indicator=mrs, lookback=20, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=True r-mean-reversion-jp-growth-0873 | cost_bps: 5 lookback: 20 n_stocks: 20 | +0.78 | -0.09 | +1.10 | +0.84 |
indicator=mrs, lookback=40, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=True r-mean-reversion-jp-growth-0921 | cost_bps: 5 lookback: 40 n_stocks: 20 | +0.68 | -0.23 | +0.82 | +2.20 |
indicator=mrs, lookback=60, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True r-mean-reversion-jp-growth-0969 | cost_bps: 5 lookback: 60 n_stocks: 20 | +0.13 | -0.94 | +0.49 | +8.40 |
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: 2026-09-24T21:54:26