クロスセクショナル・モメンタム（東証全銘柄）のバックテスト
Cross-Sectional Momentum (JP All Stocks)
slug: momentum-cross-sectional-jp-all
東証全銘柄（約3,747銘柄）でクロスセクショナル・モメンタムをバックテストした。960通りの中央値 Sharpe は -0.11。p-value は 0.62。Max DD は -25.5%。期間は 2022-05-02〜2026-09-01。最良 Sharpe +0.78 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。
何を検証したか
クロスセクショナル・モメンタムは、直近のリターンが高かった銘柄を買い、低かった銘柄を売る方法です。日本ではこの横断の効きが弱いことが長く指摘されていて、このページはその主張をパラメータ全体の中央値で見ています。グリッドの端に Sharpe がプラスの組み合わせが残っても、それはこの戦略の成績ではありません。
成績の中央値
Sharpe（中央値）
-0.11
Max DD
-25.5%
勝率
—
Alpha（年率）
—
p-value
0.62
期間: 2022-05-02 → 2026-09-01
960通りの Sharpe:中央値 -0.11最良 0.78 （代表値ではない）最悪 -1.13p25–p75 -0.31–0.10
仮説
原文は英語。
Jegadeesh & Titman (1993): stocks with high past returns continue to outperform. Testing cross-sectional momentum on the full Japanese stock universe.
採用しなかった理由
Across 960 grid combinations, median Sharpe=-0.11, best=0.78. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 0.78 (p=0.14).
period 2022-05-02–2026-09-01; cost=5bps
cite ↗ /cite/momentum-cross-sectional-jp-all-fact-best-sharpevia r-momentum-cross-sectional-jp-all-0797
Median Sharpe across 960 grid runs is -0.11.
Full grid of 960 parameter combinations.
Median Sharpe in DOWN regime is 0.52 across 960 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is 0.17 across 960 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.45 across 960 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
formation_days=60, holding_days=1, n_stocks=5, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-all-0000 | cost_bps: 5 n_stocks: 5 skip_days: 0 | -0.57 | -0.44 | -0.52 | -0.86 |
formation_days=60, holding_days=1, n_stocks=5, skip_days=0, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-all-0001 | cost_bps: 5 n_stocks: 5 skip_days: 0 | -0.44 | -0.07 | -0.52 | -0.86 |
formation_days=60, holding_days=1, n_stocks=5, skip_days=0, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-all-0002 | cost_bps: 10 n_stocks: 5 skip_days: 0 | -0.66 | -0.55 | -0.62 | -0.93 |
formation_days=60, holding_days=1, n_stocks=5, skip_days=0, cost_bps=10, regime_gate=True r-momentum-cross-sectional-jp-all-0003 | cost_bps: 10 n_stocks: 5 skip_days: 0 | -0.51 | -0.13 | -0.62 | -0.93 |
formation_days=60, holding_days=1, n_stocks=5, skip_days=21, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-all-0008 | cost_bps: 5 n_stocks: 5 skip_days: 21 | -0.43 | -0.28 | -0.59 | -0.35 |
formation_days=60, holding_days=1, n_stocks=50, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-all-0036 | cost_bps: 5 n_stocks: 50 skip_days: 0 | -0.61 | -0.18 | -0.59 | -2.58 |
formation_days=60, holding_days=5, n_stocks=5, skip_days=0, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-all-0050 | cost_bps: 10 n_stocks: 5 skip_days: 0 | -0.19 | -1.09 | +0.65 | -1.17 |
formation_days=60, holding_days=5, n_stocks=50, skip_days=21, cost_bps=10, regime_gate=True r-momentum-cross-sectional-jp-all-0095 | cost_bps: 10 n_stocks: 50 skip_days: 21 | -0.32 | -0.01 | -0.13 | -1.85 |
formation_days=60, holding_days=10, n_stocks=50, skip_days=21, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-all-0140 | cost_bps: 5 n_stocks: 50 skip_days: 21 | +0.29 | -0.09 | +0.80 | -0.10 |
formation_days=60, holding_days=20, n_stocks=50, skip_days=5, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-all-0185 | cost_bps: 5 n_stocks: 50 skip_days: 5 | +0.25 | +0.13 | +0.92 | -1.67 |
formation_days=60, holding_days=60, n_stocks=5, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-all-0192 | cost_bps: 5 n_stocks: 5 skip_days: 0 | -0.39 | -0.47 | -0.57 | +0.56 |
formation_days=60, holding_days=60, n_stocks=50, skip_days=0, cost_bps=10, regime_gate=True r-momentum-cross-sectional-jp-all-0231 | cost_bps: 10 n_stocks: 50 skip_days: 0 | +0.32 | +0.04 | +0.70 | -0.42 |
formation_days=120, holding_days=1, n_stocks=20, skip_days=5, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-all-0270 | cost_bps: 10 n_stocks: 20 skip_days: 5 | -1.13 | -1.00 | -1.98 | +1.07 |
formation_days=120, holding_days=1, n_stocks=50, skip_days=0, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-all-0277 | cost_bps: 5 n_stocks: 50 skip_days: 0 | -0.47 | -0.23 | -1.00 | -0.18 |
formation_days=120, holding_days=5, n_stocks=20, skip_days=21, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-all-0322 | cost_bps: 10 n_stocks: 20 skip_days: 21 | +0.24 | -0.21 | +0.40 | +1.48 |
formation_days=120, holding_days=10, n_stocks=20, skip_days=5, cost_bps=10, regime_gate=True r-momentum-cross-sectional-jp-all-0367 | cost_bps: 10 n_stocks: 20 skip_days: 5 | +0.03 | -0.51 | +0.30 | +1.83 |
formation_days=120, holding_days=20, n_stocks=20, skip_days=5, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-all-0412 | cost_bps: 5 n_stocks: 20 skip_days: 5 | -0.38 | -0.47 | -0.25 | -0.55 |
formation_days=120, holding_days=60, n_stocks=20, skip_days=0, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-all-0457 | cost_bps: 5 n_stocks: 20 skip_days: 0 | -0.25 | -0.55 | +0.06 | -0.55 |
formation_days=180, holding_days=1, n_stocks=10, skip_days=21, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-all-0502 | cost_bps: 10 n_stocks: 10 skip_days: 21 | -0.14 | -0.08 | -1.27 | +3.66 |
formation_days=180, holding_days=5, n_stocks=10, skip_days=5, cost_bps=10, regime_gate=True r-momentum-cross-sectional-jp-all-0547 | cost_bps: 10 n_stocks: 10 skip_days: 5 | +0.23 | +0.26 | -0.39 | +2.23 |
formation_days=180, holding_days=10, n_stocks=10, skip_days=5, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-all-0592 | cost_bps: 5 n_stocks: 10 skip_days: 5 | 0.00 | -0.94 | +0.27 | +3.02 |
formation_days=180, holding_days=20, n_stocks=10, skip_days=0, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-all-0637 | cost_bps: 5 n_stocks: 10 skip_days: 0 | +0.03 | -0.35 | +0.54 | -0.15 |
formation_days=180, holding_days=60, n_stocks=5, skip_days=21, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-all-0682 | cost_bps: 10 n_stocks: 5 skip_days: 21 | +0.04 | -1.39 | +0.49 | +1.45 |
formation_days=250, holding_days=1, n_stocks=5, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-all-0720 | cost_bps: 5 n_stocks: 5 skip_days: 0 | -0.15 | +0.13 | -1.00 | +1.12 |
formation_days=250, holding_days=1, n_stocks=5, skip_days=21, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-all-0728 | cost_bps: 5 n_stocks: 5 skip_days: 21 | -0.08 | -0.46 | -0.97 | +4.92 |
formation_days=250, holding_days=5, n_stocks=5, skip_days=5, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-all-0773 | cost_bps: 5 n_stocks: 5 skip_days: 5 | +0.21 | -0.25 | +0.32 | +2.21 |
formation_days=250, holding_days=5, n_stocks=20, skip_days=5, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-all-0797 | cost_bps: 5 n_stocks: 20 skip_days: 5 | +0.78 | +0.36 | +0.65 | +2.89 |
formation_days=250, holding_days=10, n_stocks=5, skip_days=0, cost_bps=10, regime_gate=True r-momentum-cross-sectional-jp-all-0819 | cost_bps: 10 n_stocks: 5 skip_days: 0 | -0.20 | -0.71 | +0.18 | +1.01 |
formation_days=250, holding_days=20, n_stocks=5, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-all-0864 | cost_bps: 5 n_stocks: 5 skip_days: 0 | -0.24 | -0.82 | +0.48 | -0.75 |
formation_days=250, holding_days=20, n_stocks=50, skip_days=21, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-all-0909 | cost_bps: 5 n_stocks: 50 skip_days: 21 | +0.21 | +0.18 | +0.31 | +0.01 |
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: 2026-09-26T05:51:29