クロスセクショナル・モメンタム（東証グロース）のバックテスト
Cross-Sectional Momentum (JP Growth Stocks)
slug: momentum-cross-sectional-jp-growth
東証グロース（約495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 -0.48。p-value は 0.30。Max DD は -32.9%。期間は 2022-05-02〜2026-09-01。最良 Sharpe +0.75 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）
-0.48
Max DD
-32.9%
勝率
—
Alpha（年率）
—
p-value
0.30
期間: 2022-05-02 → 2026-09-01
960通りの Sharpe:中央値 -0.48最良 0.75 （代表値ではない）最悪 -1.70p25–p75 -0.74–-0.16
仮説
原文は英語。
Jegadeesh & Titman (1993): stocks with high past returns continue to outperform over intermediate horizons. LONG winners, SHORT losers. Tests cross-sectional momentum in TSE Growth Market.
採用しなかった理由
Across 960 grid combinations, median Sharpe=-0.48, best=0.75. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 0.75 (p=0.14).
period 2022-05-02–2026-09-01; cost=5bps
cite ↗ /cite/momentum-cross-sectional-jp-growth-fact-best-sharpevia r-momentum-cross-sectional-jp-growth-0536
Median Sharpe across 960 grid runs is -0.48.
Full grid of 960 parameter combinations.
Median Sharpe in DOWN regime is -1.71 across 960 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.41 across 960 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.33 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-growth-0000 | cost_bps: 5 n_stocks: 5 skip_days: 0 | -1.05 | -0.21 | -1.44 | -3.71 |
formation_days=60, holding_days=1, n_stocks=5, skip_days=0, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-growth-0001 | cost_bps: 5 n_stocks: 5 skip_days: 0 | -1.19 | -0.65 | -1.44 | -3.71 |
formation_days=60, holding_days=1, n_stocks=5, skip_days=0, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-growth-0002 | cost_bps: 10 n_stocks: 5 skip_days: 0 | -1.17 | -0.30 | -1.57 | -4.04 |
formation_days=60, holding_days=1, n_stocks=5, skip_days=0, cost_bps=10, regime_gate=True r-momentum-cross-sectional-jp-growth-0003 | cost_bps: 10 n_stocks: 5 skip_days: 0 | -1.29 | -0.69 | -1.57 | -4.04 |
formation_days=60, holding_days=1, n_stocks=5, skip_days=21, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0008 | cost_bps: 5 n_stocks: 5 skip_days: 21 | -0.77 | -0.87 | -0.93 | +1.53 |
formation_days=60, holding_days=1, n_stocks=50, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0036 | cost_bps: 5 n_stocks: 50 skip_days: 0 | -1.25 | -1.44 | -1.05 | -5.13 |
formation_days=60, holding_days=1, n_stocks=50, skip_days=0, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-growth-0038 | cost_bps: 10 n_stocks: 50 skip_days: 0 | -1.70 | -1.79 | -1.53 | -6.22 |
formation_days=60, holding_days=5, n_stocks=5, skip_days=0, cost_bps=10, regime_gate=True r-momentum-cross-sectional-jp-growth-0051 | cost_bps: 10 n_stocks: 5 skip_days: 0 | -1.01 | -4.03 | -0.65 | -2.38 |
formation_days=60, holding_days=10, n_stocks=5, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0096 | cost_bps: 5 n_stocks: 5 skip_days: 0 | -0.37 | +0.25 | -0.41 | -1.79 |
formation_days=60, holding_days=10, n_stocks=50, skip_days=21, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-growth-0141 | cost_bps: 5 n_stocks: 50 skip_days: 21 | +0.01 | -0.09 | +0.11 | -0.29 |
formation_days=60, holding_days=20, n_stocks=50, skip_days=5, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-growth-0186 | cost_bps: 10 n_stocks: 50 skip_days: 5 | -0.11 | -0.00 | -0.09 | -0.78 |
formation_days=60, holding_days=60, n_stocks=5, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0192 | cost_bps: 5 n_stocks: 5 skip_days: 0 | +0.01 | -0.15 | +0.10 | -1.35 |
formation_days=60, holding_days=60, n_stocks=50, skip_days=5, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0232 | cost_bps: 5 n_stocks: 50 skip_days: 5 | +0.04 | +0.06 | +0.21 | -2.91 |
formation_days=120, holding_days=1, n_stocks=50, skip_days=0, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-growth-0277 | cost_bps: 5 n_stocks: 50 skip_days: 0 | -0.61 | -0.52 | -0.58 | -7.42 |
formation_days=120, holding_days=5, n_stocks=20, skip_days=21, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-growth-0322 | cost_bps: 10 n_stocks: 20 skip_days: 21 | -0.13 | +0.31 | -0.26 | -0.78 |
formation_days=120, holding_days=10, n_stocks=20, skip_days=5, cost_bps=10, regime_gate=True r-momentum-cross-sectional-jp-growth-0367 | cost_bps: 10 n_stocks: 20 skip_days: 5 | -0.18 | -0.24 | -0.07 | -2.53 |
formation_days=120, holding_days=20, n_stocks=20, skip_days=5, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0412 | cost_bps: 5 n_stocks: 20 skip_days: 5 | -0.70 | -0.33 | -0.75 | -2.18 |
formation_days=120, holding_days=60, n_stocks=20, skip_days=0, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-growth-0457 | cost_bps: 5 n_stocks: 20 skip_days: 0 | -0.57 | -0.99 | -0.32 | -2.96 |
formation_days=180, holding_days=1, n_stocks=10, skip_days=21, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-growth-0502 | cost_bps: 10 n_stocks: 10 skip_days: 21 | -0.23 | -0.12 | -0.12 | -2.45 |
formation_days=180, holding_days=5, n_stocks=5, skip_days=21, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0536 | cost_bps: 5 n_stocks: 5 skip_days: 21 | +0.75 | +2.44 | +0.43 | +0.07 |
formation_days=180, holding_days=5, n_stocks=10, skip_days=21, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0548 | cost_bps: 5 n_stocks: 10 skip_days: 21 | +0.38 | +1.37 | +0.34 | -1.52 |
formation_days=180, holding_days=10, n_stocks=10, skip_days=5, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-growth-0593 | cost_bps: 5 n_stocks: 10 skip_days: 5 | -0.42 | -0.75 | -0.15 | -2.07 |
formation_days=180, holding_days=20, n_stocks=10, skip_days=0, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-growth-0638 | cost_bps: 10 n_stocks: 10 skip_days: 0 | -0.89 | -1.02 | -0.63 | -3.30 |
formation_days=180, holding_days=60, n_stocks=5, skip_days=21, cost_bps=10, regime_gate=True r-momentum-cross-sectional-jp-growth-0683 | cost_bps: 10 n_stocks: 5 skip_days: 21 | -0.69 | -0.88 | -0.41 | -1.92 |
formation_days=250, holding_days=1, n_stocks=5, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0720 | cost_bps: 5 n_stocks: 5 skip_days: 0 | -0.11 | +1.38 | -0.77 | -1.55 |
formation_days=250, holding_days=1, n_stocks=5, skip_days=21, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-growth-0729 | cost_bps: 5 n_stocks: 5 skip_days: 21 | -0.01 | +0.94 | -0.57 | +2.22 |
formation_days=250, holding_days=5, n_stocks=5, skip_days=5, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-growth-0774 | cost_bps: 10 n_stocks: 5 skip_days: 5 | +0.65 | +2.27 | +0.11 | -1.01 |
formation_days=250, holding_days=10, n_stocks=5, skip_days=0, cost_bps=10, regime_gate=True r-momentum-cross-sectional-jp-growth-0819 | cost_bps: 10 n_stocks: 5 skip_days: 0 | -0.44 | +1.28 | -0.88 | -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-growth-0864 | cost_bps: 5 n_stocks: 5 skip_days: 0 | -1.17 | +0.38 | -1.87 | -2.00 |
formation_days=250, holding_days=20, n_stocks=50, skip_days=21, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-growth-0909 | cost_bps: 5 n_stocks: 50 skip_days: 21 | -0.63 | -0.49 | -0.43 | -2.51 |
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