モメンタム×出来高（東証全銘柄）のバックテスト
Momentum × Volume Interaction (JP All Stocks)
slug: momentum-volume-jp-all
東証全銘柄（約3,747銘柄）でモメンタム×出来高をバックテストした。320通りの中央値 Sharpe は -0.01。p-value は 0.48。Max DD は -18.7%。期間は 2022-05-02〜2026-09-01。最良 Sharpe +1.08 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）
-0.01
Max DD
-18.7%
勝率
—
Alpha（年率）
—
p-value
0.48
期間: 2022-05-02 → 2026-09-01
320通りの Sharpe:中央値 -0.01最良 1.08 （代表値ではない）最悪 -1.38p25–p75 -0.30–0.33
仮説
原文は英語。
Lee & Swaminathan (2000): volume confirms momentum quality. Testing on the full Japanese stock universe.
採用しなかった理由
Across 320 grid combinations, median Sharpe=-0.01, best=1.08. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 1.08 (p=0.03).
period 2022-05-02–2026-09-01; cost=5bps
cite ↗ /cite/momentum-volume-jp-all-fact-best-sharpevia r-momentum-volume-jp-all-0209
Median Sharpe across 320 grid runs is -0.01.
Full grid of 320 parameter combinations.
Median Sharpe in DOWN regime is 0.06 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.24 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.24 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-momentum-volume-jp-all-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.16 | +1.15 | -0.69 | +0.07 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-momentum-volume-jp-all-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.11 | +0.36 | -0.69 | +0.07 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-momentum-volume-jp-all-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.01 | +0.98 | -0.85 | -0.12 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-momentum-volume-jp-all-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.24 | +0.29 | -0.85 | -0.12 |
formation_days=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-momentum-volume-jp-all-0012 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.11 | +0.54 | -0.15 | -1.21 |
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-momentum-volume-jp-all-0018 | cost_bps: 10 n_stocks: 5 regime_gate: false | +0.04 | +0.65 | -0.35 | +1.61 |
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-momentum-volume-jp-all-0032 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.11 | +1.04 | -0.37 | +1.37 |
formation_days=20, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-momentum-volume-jp-all-0046 | cost_bps: 10 n_stocks: 50 regime_gate: false | -1.04 | -0.20 | -1.76 | -0.70 |
formation_days=20, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False r-momentum-volume-jp-all-0060 | cost_bps: 5 n_stocks: 50 regime_gate: false | -1.20 | -0.60 | -1.71 | -1.59 |
formation_days=20, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-momentum-volume-jp-all-0062 | cost_bps: 10 n_stocks: 50 regime_gate: false | -1.38 | -0.77 | -1.88 | -1.84 |
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-momentum-volume-jp-all-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.29 | +1.04 | -0.20 | +0.09 |
formation_days=20, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False r-momentum-volume-jp-all-0076 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.74 | -0.66 | -0.90 | -0.19 |
formation_days=60, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False r-momentum-volume-jp-all-0090 | cost_bps: 10 n_stocks: 20 regime_gate: false | -0.28 | +0.01 | -0.57 | -0.46 |
formation_days=60, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False r-momentum-volume-jp-all-0104 | cost_bps: 5 n_stocks: 20 regime_gate: false | -0.79 | -0.74 | -0.93 | -0.42 |
formation_days=60, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-momentum-volume-jp-all-0118 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.24 | +1.40 | -2.18 | +1.09 |
formation_days=60, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-momentum-volume-jp-all-0132 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.09 | +0.67 | -1.43 | +1.29 |
formation_days=60, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False r-momentum-volume-jp-all-0146 | cost_bps: 10 n_stocks: 5 regime_gate: false | +0.62 | +0.14 | +0.79 | +1.91 |
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-momentum-volume-jp-all-0160 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.19 | +0.54 | -0.29 | +0.45 |
formation_days=120, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-momentum-volume-jp-all-0174 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.87 | -0.51 | -0.81 | -2.63 |
formation_days=120, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False r-momentum-volume-jp-all-0188 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.07 | -0.09 | +0.73 | -2.80 |
formation_days=120, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-momentum-volume-jp-all-0202 | cost_bps: 10 n_stocks: 20 regime_gate: false | +0.19 | +0.57 | -0.30 | +0.11 |
formation_days=120, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True r-momentum-volume-jp-all-0209 | cost_bps: 5 n_stocks: 5 regime_gate: true | +1.08 | +0.68 | +1.16 | +1.85 |
formation_days=120, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True r-momentum-volume-jp-all-0217 | cost_bps: 5 n_stocks: 20 regime_gate: true | +0.70 | +0.79 | +0.18 | +2.18 |
formation_days=120, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True r-momentum-volume-jp-all-0231 | cost_bps: 10 n_stocks: 10 regime_gate: true | +0.53 | +0.47 | +0.74 | -0.26 |
formation_days=250, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-momentum-volume-jp-all-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | 0.00 | -0.38 | +0.09 | +1.75 |
formation_days=250, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False r-momentum-volume-jp-all-0246 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.23 | -0.68 | -0.08 | +1.66 |
formation_days=250, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False r-momentum-volume-jp-all-0260 | cost_bps: 5 n_stocks: 10 regime_gate: false | +0.08 | -0.38 | +0.23 | +1.59 |
formation_days=250, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False r-momentum-volume-jp-all-0274 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.28 | +0.24 | -0.68 | +1.91 |
formation_days=250, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-momentum-volume-jp-all-0288 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.12 | +0.02 | -0.41 | +12.28 |
formation_days=250, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-momentum-volume-jp-all-0302 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.10 | +0.37 | -0.54 | -1.52 |
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: 2026-09-26T05:57:59