クロスセクショナル・モメンタム（米国S&P500）のバックテスト
Cross-Sectional Momentum (US S&P 500)
slug: momentum-cross-sectional-us-sp500
米国S&P500（約503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 +0.65。p-value は 0.18。Max DD は -15.0%。期間は 2022-04-01〜2026-09-01。最良 Sharpe +2.08 は代表値ではない。
判定は marginal。どこかのパラメータでは p-value が 0.10 を下回るが、中央値自体は promising の基準（Sharpe > 0.5 かつ p-value < 0.05）に届いていない。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）
+0.65
Max DD
-15.0%
勝率
—
Alpha（年率）
—
p-value
0.18
期間: 2022-04-01 → 2026-09-01
960通りの Sharpe:中央値 0.65最良 2.08 （代表値ではない）最悪 -0.77p25–p75 0.26–0.93
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. Applied to S&P 500 constituents.
採用しなかった理由
Across 960 grid combinations, median Sharpe=0.65, best=2.08. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 2.08 (p=0.00025).
period 2022-04-01–2026-09-01; cost=5bps
cite ↗ /cite/momentum-cross-sectional-us-sp500-fact-best-sharpevia r-momentum-cross-sectional-us-sp500-0869
Median Sharpe across 960 grid runs is 0.65.
Full grid of 960 parameter combinations.
Median Sharpe in DOWN regime is 1.06 across 960 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.01 across 960 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 1.05 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-us-sp500-0000 | cost_bps: 5 n_stocks: 5 skip_days: 0 | +0.56 | +1.70 | -0.34 | +0.29 |
formation_days=60, holding_days=1, n_stocks=5, skip_days=0, cost_bps=5, regime_gate=True r-momentum-cross-sectional-us-sp500-0001 | cost_bps: 5 n_stocks: 5 skip_days: 0 | +0.20 | +0.81 | -0.34 | +0.29 |
formation_days=60, holding_days=1, n_stocks=5, skip_days=0, cost_bps=10, regime_gate=False r-momentum-cross-sectional-us-sp500-0002 | cost_bps: 10 n_stocks: 5 skip_days: 0 | +0.41 | +1.51 | -0.47 | +0.17 |
formation_days=60, holding_days=1, n_stocks=5, skip_days=0, cost_bps=10, regime_gate=True r-momentum-cross-sectional-us-sp500-0003 | cost_bps: 10 n_stocks: 5 skip_days: 0 | +0.08 | +0.70 | -0.47 | +0.17 |
formation_days=60, holding_days=1, n_stocks=5, skip_days=21, cost_bps=5, regime_gate=False r-momentum-cross-sectional-us-sp500-0008 | cost_bps: 5 n_stocks: 5 skip_days: 21 | -0.44 | +0.65 | -1.20 | -0.89 |
formation_days=60, holding_days=1, n_stocks=50, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-us-sp500-0036 | cost_bps: 5 n_stocks: 50 skip_days: 0 | +0.09 | +1.16 | -0.72 | -0.26 |
formation_days=60, holding_days=5, n_stocks=5, skip_days=0, cost_bps=10, regime_gate=False r-momentum-cross-sectional-us-sp500-0050 | cost_bps: 10 n_stocks: 5 skip_days: 0 | +0.46 | +0.56 | +0.06 | +1.39 |
formation_days=60, holding_days=5, n_stocks=50, skip_days=21, cost_bps=10, regime_gate=True r-momentum-cross-sectional-us-sp500-0095 | cost_bps: 10 n_stocks: 50 skip_days: 21 | -0.05 | +0.84 | -1.45 | +0.96 |
formation_days=60, holding_days=10, n_stocks=50, skip_days=21, cost_bps=5, regime_gate=False r-momentum-cross-sectional-us-sp500-0140 | cost_bps: 5 n_stocks: 50 skip_days: 21 | -0.58 | -0.20 | -1.09 | -0.06 |
formation_days=60, holding_days=20, n_stocks=50, skip_days=5, cost_bps=5, regime_gate=True r-momentum-cross-sectional-us-sp500-0185 | cost_bps: 5 n_stocks: 50 skip_days: 5 | +0.20 | +1.54 | -0.67 | -0.48 |
formation_days=60, holding_days=60, n_stocks=5, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-us-sp500-0192 | cost_bps: 5 n_stocks: 5 skip_days: 0 | +0.58 | +0.92 | +0.41 | -0.57 |
formation_days=60, holding_days=60, n_stocks=50, skip_days=0, cost_bps=10, regime_gate=True r-momentum-cross-sectional-us-sp500-0231 | cost_bps: 10 n_stocks: 50 skip_days: 0 | +0.49 | +1.18 | +0.24 | -0.63 |
formation_days=120, holding_days=1, n_stocks=50, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-us-sp500-0276 | cost_bps: 5 n_stocks: 50 skip_days: 0 | -0.05 | +0.89 | -0.87 | -0.61 |
formation_days=120, holding_days=1, n_stocks=50, skip_days=21, cost_bps=10, regime_gate=False r-momentum-cross-sectional-us-sp500-0286 | cost_bps: 10 n_stocks: 50 skip_days: 21 | -0.77 | -0.18 | -1.45 | -1.52 |
formation_days=120, holding_days=5, n_stocks=20, skip_days=21, cost_bps=10, regime_gate=False r-momentum-cross-sectional-us-sp500-0322 | cost_bps: 10 n_stocks: 20 skip_days: 21 | +0.32 | +0.09 | -0.34 | +2.48 |
formation_days=120, holding_days=10, n_stocks=20, skip_days=5, cost_bps=10, regime_gate=True r-momentum-cross-sectional-us-sp500-0367 | cost_bps: 10 n_stocks: 20 skip_days: 5 | +0.46 | +1.47 | -0.47 | +1.46 |
formation_days=120, holding_days=20, n_stocks=20, skip_days=5, cost_bps=5, regime_gate=False r-momentum-cross-sectional-us-sp500-0412 | cost_bps: 5 n_stocks: 20 skip_days: 5 | +0.69 | +1.32 | -0.19 | +1.47 |
formation_days=120, holding_days=60, n_stocks=20, skip_days=0, cost_bps=5, regime_gate=True r-momentum-cross-sectional-us-sp500-0457 | cost_bps: 5 n_stocks: 20 skip_days: 0 | +1.18 | +1.41 | +1.09 | +0.51 |
formation_days=180, holding_days=1, n_stocks=10, skip_days=21, cost_bps=10, regime_gate=False r-momentum-cross-sectional-us-sp500-0502 | cost_bps: 10 n_stocks: 10 skip_days: 21 | +0.05 | +0.45 | -0.68 | -0.22 |
formation_days=180, holding_days=5, n_stocks=10, skip_days=5, cost_bps=10, regime_gate=True r-momentum-cross-sectional-us-sp500-0547 | cost_bps: 10 n_stocks: 10 skip_days: 5 | +1.11 | +1.17 | +0.47 | +2.43 |
formation_days=180, holding_days=10, n_stocks=10, skip_days=5, cost_bps=5, regime_gate=False r-momentum-cross-sectional-us-sp500-0592 | cost_bps: 5 n_stocks: 10 skip_days: 5 | +0.97 | +1.14 | +0.32 | +2.03 |
formation_days=180, holding_days=20, n_stocks=10, skip_days=0, cost_bps=5, regime_gate=True r-momentum-cross-sectional-us-sp500-0637 | cost_bps: 5 n_stocks: 10 skip_days: 0 | +0.93 | +2.04 | -0.41 | +1.36 |
formation_days=180, holding_days=60, n_stocks=5, skip_days=21, cost_bps=10, regime_gate=False r-momentum-cross-sectional-us-sp500-0682 | cost_bps: 10 n_stocks: 5 skip_days: 21 | +0.79 | +0.82 | +0.47 | +1.24 |
formation_days=250, holding_days=1, n_stocks=5, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-us-sp500-0720 | cost_bps: 5 n_stocks: 5 skip_days: 0 | +0.68 | +1.51 | -0.48 | -0.14 |
formation_days=250, holding_days=1, n_stocks=5, skip_days=21, cost_bps=5, regime_gate=False r-momentum-cross-sectional-us-sp500-0728 | cost_bps: 5 n_stocks: 5 skip_days: 21 | +0.57 | +1.62 | -1.14 | +0.20 |
formation_days=250, holding_days=5, n_stocks=5, skip_days=5, cost_bps=5, regime_gate=True r-momentum-cross-sectional-us-sp500-0773 | cost_bps: 5 n_stocks: 5 skip_days: 5 | +1.59 | +1.55 | +1.48 | +2.15 |
formation_days=250, holding_days=10, n_stocks=5, skip_days=0, cost_bps=10, regime_gate=False r-momentum-cross-sectional-us-sp500-0818 | cost_bps: 10 n_stocks: 5 skip_days: 0 | +1.01 | +1.10 | +0.66 | +1.32 |
formation_days=250, holding_days=10, n_stocks=50, skip_days=21, cost_bps=10, regime_gate=True r-momentum-cross-sectional-us-sp500-0863 | cost_bps: 10 n_stocks: 50 skip_days: 21 | +1.02 | +1.48 | +0.36 | +1.67 |
formation_days=250, holding_days=20, n_stocks=5, skip_days=5, cost_bps=5, regime_gate=True r-momentum-cross-sectional-us-sp500-0869 | cost_bps: 5 n_stocks: 5 skip_days: 5 | +2.08 | +2.37 | +1.73 | +1.65 |
formation_days=250, holding_days=20, n_stocks=50, skip_days=21, cost_bps=5, regime_gate=True r-momentum-cross-sectional-us-sp500-0909 | cost_bps: 5 n_stocks: 50 skip_days: 21 | +1.20 | +1.68 | +0.39 | +1.25 |
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: 2026-09-24T02:22:14