マルチファクター（東証全銘柄）のバックテスト
Multi-Factor Composite (JP All Stocks)
slug: multi-factor-jp-all
東証全銘柄（約3,747銘柄）でマルチファクターをバックテストした。120通りの中央値 Sharpe は -0.37。p-value は 0.37。Max DD は -36.4%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +0.17 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）
-0.37
Max DD
-36.4%
勝率
—
Alpha（年率）
—
p-value
0.37
期間: 2022-02-01 → 2026-09-01
120通りの Sharpe:中央値 -0.37最良 0.17 （代表値ではない）最悪 -1.27p25–p75 -0.57–-0.17
仮説
原文は英語。
Combines signals from marginal/promising single factors into a z-scored composite. Testing on the full Japanese stock universe.
採用しなかった理由
Across 120 grid combinations, median Sharpe=-0.37, best=0.17. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 0.17 (p=0.71).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/multi-factor-jp-all-fact-best-sharpevia r-multi-factor-jp-all-0129
Median Sharpe across 120 grid runs is -0.37.
Full grid of 120 parameter combinations.
Median Sharpe in DOWN regime is -3.71 across 120 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.10 across 120 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.71 across 120 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
n_factors=2, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-jp-all-0000 | cost_bps: 5 n_stocks: 5 n_factors: 2 | -0.92 | -1.89 | -0.52 | -4.14 |
n_factors=2, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-multi-factor-jp-all-0001 | cost_bps: 5 n_stocks: 5 n_factors: 2 | -0.78 | -1.32 | -0.52 | -4.14 |
n_factors=2, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-multi-factor-jp-all-0002 | cost_bps: 10 n_stocks: 5 n_factors: 2 | -1.15 | -2.13 | -0.74 | -4.57 |
n_factors=2, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-multi-factor-jp-all-0003 | cost_bps: 10 n_stocks: 5 n_factors: 2 | -0.99 | -1.46 | -0.74 | -4.57 |
n_factors=2, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False r-multi-factor-jp-all-0004 | cost_bps: 5 n_stocks: 10 n_factors: 2 | -0.81 | -2.19 | -0.10 | -6.65 |
n_factors=2, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True r-multi-factor-jp-all-0017 | cost_bps: 5 n_stocks: 5 n_factors: 2 | -0.02 | -0.16 | +0.25 | -6.81 |
n_factors=2, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False r-multi-factor-jp-all-0022 | cost_bps: 10 n_stocks: 10 n_factors: 2 | -0.77 | -1.61 | -0.19 | -6.67 |
n_factors=2, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=True r-multi-factor-jp-all-0035 | cost_bps: 10 n_stocks: 5 n_factors: 2 | -0.30 | -0.16 | -0.02 | -5.38 |
n_factors=2, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-jp-all-0048 | cost_bps: 5 n_stocks: 5 n_factors: 2 | -0.31 | -1.29 | +0.19 | -4.71 |
n_factors=2, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-multi-factor-jp-all-0053 | cost_bps: 5 n_stocks: 10 n_factors: 2 | -0.43 | -0.66 | -0.17 | -3.65 |
n_factors=2, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-jp-all-0064 | cost_bps: 5 n_stocks: 5 n_factors: 2 | -0.33 | -0.70 | -0.10 | -1.85 |
n_factors=2, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True r-multi-factor-jp-all-0067 | cost_bps: 10 n_stocks: 5 n_factors: 2 | -0.18 | -0.05 | -0.12 | -1.89 |
n_factors=3, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-jp-all-0080 | cost_bps: 5 n_stocks: 5 n_factors: 3 | -0.57 | -1.84 | -0.13 | +0.52 |
n_factors=3, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True r-multi-factor-jp-all-0085 | cost_bps: 5 n_stocks: 10 n_factors: 3 | -0.60 | -1.67 | -0.14 | -3.04 |
n_factors=3, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False r-multi-factor-jp-all-0086 | cost_bps: 10 n_stocks: 10 n_factors: 3 | -1.27 | -3.65 | -0.51 | -3.76 |
n_factors=3, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True r-multi-factor-jp-all-0099 | cost_bps: 10 n_stocks: 5 n_factors: 3 | +0.04 | +0.10 | +0.07 | -0.88 |
n_factors=3, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-jp-all-0112 | cost_bps: 5 n_stocks: 5 n_factors: 3 | -0.07 | -0.44 | +0.36 | -5.22 |
n_factors=3, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True r-multi-factor-jp-all-0117 | cost_bps: 5 n_stocks: 10 n_factors: 3 | -0.03 | -0.03 | +0.24 | -4.42 |
n_factors=3, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True r-multi-factor-jp-all-0129 | cost_bps: 5 n_stocks: 5 n_factors: 3 | +0.17 | +0.40 | +0.32 | -5.59 |
n_factors=3, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True r-multi-factor-jp-all-0131 | cost_bps: 10 n_stocks: 5 n_factors: 3 | +0.12 | +0.36 | +0.26 | -5.72 |
n_factors=3, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-jp-all-0144 | cost_bps: 5 n_stocks: 5 n_factors: 3 | -0.28 | -0.40 | -0.12 | -1.16 |
n_factors=3, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=True r-multi-factor-jp-all-0149 | cost_bps: 5 n_stocks: 10 n_factors: 3 | -0.23 | +0.18 | -0.24 | -5.83 |
n_factors=4, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-jp-all-0160 | cost_bps: 5 n_stocks: 5 n_factors: 4 | -0.79 | -2.65 | -0.12 | -0.52 |
n_factors=4, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-multi-factor-jp-all-0163 | cost_bps: 10 n_stocks: 5 n_factors: 4 | -0.73 | -2.06 | -0.37 | -0.74 |
n_factors=4, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-jp-all-0176 | cost_bps: 5 n_stocks: 5 n_factors: 4 | -0.40 | -1.44 | +0.29 | -1.28 |
n_factors=4, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True r-multi-factor-jp-all-0181 | cost_bps: 5 n_stocks: 10 n_factors: 4 | -0.12 | +0.01 | +0.04 | -5.26 |
n_factors=4, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False r-multi-factor-jp-all-0194 | cost_bps: 10 n_stocks: 5 n_factors: 4 | -0.62 | -1.11 | -0.21 | -4.59 |
n_factors=4, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True r-multi-factor-jp-all-0199 | cost_bps: 10 n_stocks: 10 n_factors: 4 | -0.35 | -0.08 | -0.21 | -2.93 |
n_factors=4, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-multi-factor-jp-all-0212 | cost_bps: 5 n_stocks: 10 n_factors: 4 | -0.31 | -1.07 | +0.04 | -2.16 |
n_factors=4, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True r-multi-factor-jp-all-0225 | cost_bps: 5 n_stocks: 5 n_factors: 4 | -0.34 | -0.50 | -0.20 | -1.13 |
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: 2026-09-24T02:22:17