モメンタム×出来高（米国S&P500）のバックテスト
Momentum × Volume Interaction (US S&P 500)
slug: momentum-volume-us-sp500
米国S&P500（約503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 0.56。Max DD は -14.2%。期間は 2022-05-02〜2026-09-01。最良 Sharpe +1.32 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。上昇・横ばい・下落で結果が割れ、中央値としては安定しない。
成績の中央値
Sharpe（中央値）
+0.01
Max DD
-14.2%
勝率
—
Alpha（年率）
—
p-value
0.56
期間: 2022-05-02 → 2026-09-01
320通りの Sharpe:中央値 0.01最良 1.32 （代表値ではない）最悪 -0.93p25–p75 -0.20–0.31
仮説
原文は英語。
Lee & Swaminathan (2000): volume confirms momentum quality. Applied to S&P 500 constituents.
採用しなかった理由
Across 320 grid combinations, median Sharpe=0.01, best=1.32. Primary failure mode: regime_dependent.
検証ファクト (5)
Best grid Sharpe ratio is 1.32 (p=0.007).
period 2022-05-02–2026-09-01; cost=5bps
cite ↗ /cite/momentum-volume-us-sp500-fact-best-sharpevia r-momentum-volume-us-sp500-0032
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 -0.52 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.74 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-us-sp500-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.82 | +2.18 | -0.03 | +0.44 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-momentum-volume-us-sp500-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.48 | +1.16 | -0.03 | +0.44 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-momentum-volume-us-sp500-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | +0.57 | +1.82 | -0.23 | +0.25 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-momentum-volume-us-sp500-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | +0.29 | +0.98 | -0.23 | +0.25 |
formation_days=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-momentum-volume-us-sp500-0012 | cost_bps: 5 n_stocks: 50 regime_gate: false | +0.08 | +0.47 | -0.30 | +0.31 |
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-momentum-volume-us-sp500-0018 | cost_bps: 10 n_stocks: 5 regime_gate: false | +1.12 | +2.22 | -0.45 | +1.86 |
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-momentum-volume-us-sp500-0032 | cost_bps: 5 n_stocks: 5 regime_gate: false | +1.32 | +3.06 | +0.05 | +0.87 |
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True r-momentum-volume-us-sp500-0033 | cost_bps: 5 n_stocks: 5 regime_gate: true | +1.09 | +2.33 | +0.05 | +0.87 |
formation_days=20, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True r-momentum-volume-us-sp500-0047 | cost_bps: 10 n_stocks: 50 regime_gate: true | -0.01 | +0.99 | -1.13 | -0.18 |
formation_days=20, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=True r-momentum-volume-us-sp500-0061 | cost_bps: 5 n_stocks: 50 regime_gate: true | +0.33 | +1.36 | -0.55 | +0.09 |
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-momentum-volume-us-sp500-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.19 | +0.56 | -0.11 | -0.04 |
formation_days=20, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False r-momentum-volume-us-sp500-0076 | cost_bps: 5 n_stocks: 50 regime_gate: false | +0.09 | +0.63 | -0.39 | -0.24 |
formation_days=60, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False r-momentum-volume-us-sp500-0090 | cost_bps: 10 n_stocks: 20 regime_gate: false | -0.16 | +0.54 | -0.72 | -0.57 |
formation_days=60, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False r-momentum-volume-us-sp500-0104 | cost_bps: 5 n_stocks: 20 regime_gate: false | -0.14 | +0.06 | -0.94 | +1.08 |
formation_days=60, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-momentum-volume-us-sp500-0118 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.44 | +0.86 | -1.61 | -0.03 |
formation_days=60, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-momentum-volume-us-sp500-0132 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.21 | +0.71 | -0.82 | -0.36 |
formation_days=60, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False r-momentum-volume-us-sp500-0146 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.03 | +0.49 | -0.28 | -0.76 |
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-momentum-volume-us-sp500-0160 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.10 | +0.36 | +0.05 | -1.55 |
formation_days=120, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-momentum-volume-us-sp500-0174 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.82 | -0.02 | -1.85 | -1.14 |
formation_days=120, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=True r-momentum-volume-us-sp500-0175 | cost_bps: 10 n_stocks: 50 regime_gate: true | -0.93 | +0.00 | -1.85 | -1.14 |
formation_days=120, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=True r-momentum-volume-us-sp500-0189 | cost_bps: 5 n_stocks: 50 regime_gate: true | +0.24 | +1.09 | -0.62 | +1.09 |
formation_days=120, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True r-momentum-volume-us-sp500-0203 | cost_bps: 10 n_stocks: 20 regime_gate: true | -0.48 | +0.43 | -0.97 | -1.26 |
formation_days=120, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True r-momentum-volume-us-sp500-0217 | cost_bps: 5 n_stocks: 20 regime_gate: true | -0.02 | +0.83 | -0.23 | -0.94 |
formation_days=120, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True r-momentum-volume-us-sp500-0231 | cost_bps: 10 n_stocks: 10 regime_gate: true | +0.67 | +0.97 | +0.19 | +0.53 |
formation_days=250, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-momentum-volume-us-sp500-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.11 | +0.55 | -0.12 | -1.49 |
formation_days=250, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False r-momentum-volume-us-sp500-0246 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.20 | +0.09 | -0.33 | -1.12 |
formation_days=250, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False r-momentum-volume-us-sp500-0260 | cost_bps: 5 n_stocks: 10 regime_gate: false | +0.35 | +0.22 | +0.19 | +1.80 |
formation_days=250, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False r-momentum-volume-us-sp500-0274 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.52 | -0.25 | -1.38 | +0.51 |
formation_days=250, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-momentum-volume-us-sp500-0288 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.46 | -0.08 | -1.09 | +1.06 |
formation_days=250, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-momentum-volume-us-sp500-0302 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.05 | +0.32 | -0.65 | +0.81 |
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: 2026-09-24T02:22:18