平均回帰（米国S&P500）のバックテスト
Mean Reversion (US S&P 500)
slug: mean-reversion-us-sp500
米国S&P500（約503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 -0.25。p-value は 0.40。Max DD は -18.1%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +1.04 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）
-0.25
Max DD
-18.1%
勝率
—
Alpha（年率）
—
p-value
0.40
期間: 2022-02-01 → 2026-09-01
1024通りの Sharpe:中央値 -0.25最良 1.04 （代表値ではない）最悪 -1.95p25–p75 -0.74–0.09
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. Applied to S&P 500 constituents.
採用しなかった理由
Across 1024 grid combinations, median Sharpe=-0.25, best=1.04. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 1.04 (p=0.027).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/mean-reversion-us-sp500-fact-best-sharpevia r-mean-reversion-us-sp500-0817
Median Sharpe across 1024 grid runs is -0.25.
Full grid of 1024 parameter combinations.
Median Sharpe in DOWN regime is -0.14 across 1024 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.42 across 1024 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.36 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-us-sp500-0000 | cost_bps: 5 lookback: 10 n_stocks: 5 | -0.35 | -0.10 | -0.92 | +0.30 |
indicator=zscore, lookback=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-mean-reversion-us-sp500-0001 | cost_bps: 5 lookback: 10 n_stocks: 5 | -0.43 | -0.22 | -0.92 | +0.30 |
indicator=zscore, lookback=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-mean-reversion-us-sp500-0002 | cost_bps: 10 lookback: 10 n_stocks: 5 | -0.68 | -0.43 | -1.23 | -0.05 |
indicator=zscore, lookback=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-mean-reversion-us-sp500-0003 | cost_bps: 10 lookback: 10 n_stocks: 5 | -0.71 | -0.45 | -1.23 | -0.05 |
indicator=zscore, lookback=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-mean-reversion-us-sp500-0012 | cost_bps: 5 lookback: 10 n_stocks: 50 | -0.94 | -0.81 | -1.47 | -0.44 |
indicator=zscore, lookback=10, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-mean-reversion-us-sp500-0048 | cost_bps: 5 lookback: 10 n_stocks: 5 | +0.03 | -0.45 | -0.08 | +1.25 |
indicator=zscore, lookback=10, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-mean-reversion-us-sp500-0053 | cost_bps: 5 lookback: 10 n_stocks: 10 | +0.50 | +0.47 | +0.33 | +0.76 |
indicator=zscore, lookback=20, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True r-mean-reversion-us-sp500-0101 | cost_bps: 5 lookback: 20 n_stocks: 10 | +0.01 | +0.01 | -0.30 | +0.26 |
indicator=zscore, lookback=40, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True r-mean-reversion-us-sp500-0149 | cost_bps: 5 lookback: 40 n_stocks: 10 | -0.63 | -0.37 | -1.17 | -0.34 |
indicator=zscore, lookback=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-mean-reversion-us-sp500-0192 | cost_bps: 5 lookback: 60 n_stocks: 5 | -0.74 | -0.66 | -1.41 | +0.64 |
indicator=zscore, lookback=60, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False r-mean-reversion-us-sp500-0198 | cost_bps: 10 lookback: 60 n_stocks: 10 | -1.23 | -1.44 | -1.38 | -0.31 |
indicator=zscore, lookback=60, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=False r-mean-reversion-us-sp500-0246 | cost_bps: 10 lookback: 60 n_stocks: 10 | 0.00 | -0.52 | +0.21 | +1.06 |
indicator=rsi, lookback=10, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-mean-reversion-us-sp500-0294 | cost_bps: 10 lookback: 10 n_stocks: 10 | -0.29 | -0.14 | -0.67 | -0.07 |
indicator=rsi, lookback=20, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-mean-reversion-us-sp500-0334 | cost_bps: 10 lookback: 20 n_stocks: 50 | -1.95 | -2.57 | -1.45 | -1.53 |
indicator=rsi, lookback=20, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True r-mean-reversion-us-sp500-0343 | cost_bps: 10 lookback: 20 n_stocks: 10 | -0.45 | -0.46 | -0.62 | -0.05 |
indicator=rsi, lookback=40, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True r-mean-reversion-us-sp500-0391 | cost_bps: 10 lookback: 40 n_stocks: 10 | -1.09 | -1.47 | -0.82 | -0.87 |
indicator=rsi, lookback=40, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True r-mean-reversion-us-sp500-0439 | cost_bps: 10 lookback: 40 n_stocks: 10 | -0.21 | -0.74 | +0.06 | -0.22 |
indicator=rsi, lookback=60, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True r-mean-reversion-us-sp500-0487 | cost_bps: 10 lookback: 60 n_stocks: 10 | +0.24 | -0.24 | +0.19 | +1.32 |
indicator=bollinger_pct, lookback=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-mean-reversion-us-sp500-0512 | cost_bps: 5 lookback: 10 n_stocks: 5 | -0.35 | -0.10 | -0.92 | +0.30 |
indicator=bollinger_pct, lookback=10, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False r-mean-reversion-us-sp500-0536 | cost_bps: 5 lookback: 10 n_stocks: 20 | -0.63 | -0.38 | -1.11 | -0.67 |
indicator=bollinger_pct, lookback=20, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=False r-mean-reversion-us-sp500-0584 | cost_bps: 5 lookback: 20 n_stocks: 20 | -1.11 | -1.11 | -1.41 | -0.44 |
indicator=bollinger_pct, lookback=20, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-mean-reversion-us-sp500-0632 | cost_bps: 5 lookback: 20 n_stocks: 20 | -0.17 | -0.31 | -0.30 | +0.33 |
indicator=bollinger_pct, lookback=40, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=False r-mean-reversion-us-sp500-0680 | cost_bps: 5 lookback: 40 n_stocks: 20 | -0.09 | -0.59 | +0.21 | +0.64 |
indicator=bollinger_pct, lookback=60, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False r-mean-reversion-us-sp500-0728 | cost_bps: 5 lookback: 60 n_stocks: 20 | -0.50 | -0.50 | -0.70 | -0.16 |
indicator=mrs, lookback=10, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=False r-mean-reversion-us-sp500-0776 | cost_bps: 5 lookback: 10 n_stocks: 20 | +0.04 | -0.34 | -0.43 | +1.91 |
indicator=mrs, lookback=10, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True r-mean-reversion-us-sp500-0817 | cost_bps: 5 lookback: 10 n_stocks: 5 | +1.04 | +0.78 | +0.96 | +1.91 |
indicator=mrs, lookback=10, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True r-mean-reversion-us-sp500-0825 | cost_bps: 5 lookback: 10 n_stocks: 20 | +0.49 | +0.81 | +0.18 | +0.21 |
indicator=mrs, lookback=20, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=True r-mean-reversion-us-sp500-0873 | cost_bps: 5 lookback: 20 n_stocks: 20 | +0.53 | +0.38 | +0.69 | +0.54 |
indicator=mrs, lookback=40, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=True r-mean-reversion-us-sp500-0921 | cost_bps: 5 lookback: 40 n_stocks: 20 | -0.21 | +0.80 | -0.91 | -0.80 |
indicator=mrs, lookback=60, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True r-mean-reversion-us-sp500-0969 | cost_bps: 5 lookback: 60 n_stocks: 20 | -0.55 | -0.17 | -1.29 | -0.08 |
対象ユニバース
S&P 500 constituents, ~503 stocks
関連する戦略
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T21:54:26