rejectedno_edge· equity· composite · cross-sectional · multi-factor

マルチファクター（米国S&P500）のバックテスト

Multi-Factor Composite (US S&P 500)

slug: multi-factor-us-sp500

米国S&P500（約503銘柄）でマルチファクターをバックテストした。240通りの中央値 Sharpe は -0.71。p-value は 0.11。Max DD は -39.5%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +0.25 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）

-0.71

Max DD

-39.5%

勝率

—

Alpha（年率）

—

p-value

0.11

期間: 2022-02-01 → 2026-09-01

240通りの Sharpe:中央値 -0.71最良 0.25 （代表値ではない）最悪 -2.01p25–p75 -0.94–-0.43

仮説

原文は英語。

Combines signals from marginal/promising single factors into a z-scored composite. Applied to S&P 500 constituents.

採用しなかった理由

Across 240 grid combinations, median Sharpe=-0.71, best=0.25. Primary failure mode: no_edge.

検証ファクト (5)

Best grid Sharpe ratio is 0.25 (p=0.36).

period 2022-02-01–2026-09-01; cost=5bps

sharpe_ratio0.25

cite ↗ /cite/multi-factor-us-sp500-fact-best-sharpevia r-multi-factor-us-sp500-0065

Median Sharpe across 240 grid runs is -0.71.

Full grid of 240 parameter combinations.

sharpe_ratio-0.71

cite ↗ /cite/multi-factor-us-sp500-fact-median-sharpe

Median Sharpe in DOWN regime is -0.39 across 240 runs.

Regime=DOWN, N225 SMA20/SMA60 classification.

sharpe_ratio-0.39

cite ↗ /cite/multi-factor-us-sp500-fact-regime-down

Median Sharpe in FLAT regime is -1.05 across 240 runs.

Regime=FLAT, N225 SMA20/SMA60 classification.

sharpe_ratio-1.05

cite ↗ /cite/multi-factor-us-sp500-fact-regime-flat

Median Sharpe in UP regime is -0.65 across 240 runs.

Regime=UP, N225 SMA20/SMA60 classification.

sharpe_ratio-0.65

cite ↗ /cite/multi-factor-us-sp500-fact-regime-up

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-us-sp500-0000	cost_bps: 5 n_stocks: 5 n_factors: 2	-0.56	-1.11	-0.51	+0.84
n_factors=2, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-multi-factor-us-sp500-0001	cost_bps: 5 n_stocks: 5 n_factors: 2	-0.21	-0.59	-0.51	+0.84
n_factors=2, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0002	cost_bps: 10 n_stocks: 5 n_factors: 2	-0.81	-1.35	-0.76	+0.58
n_factors=2, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-multi-factor-us-sp500-0003	cost_bps: 10 n_stocks: 5 n_factors: 2	-0.45	-0.85	-0.76	+0.58
n_factors=2, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0012	cost_bps: 5 n_stocks: 50 n_factors: 2	-1.13	-1.51	-1.92	+0.13
n_factors=2, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0014	cost_bps: 10 n_stocks: 50 n_factors: 2	-1.58	-2.06	-2.45	-0.16
n_factors=2, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0024	cost_bps: 5 n_stocks: 20 n_factors: 2	-0.55	-0.45	-0.84	-0.35
n_factors=2, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0034	cost_bps: 10 n_stocks: 5 n_factors: 2	-0.76	-0.88	-1.20	+0.91
n_factors=2, holding_days=10, n_stocks=50, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0044	cost_bps: 5 n_stocks: 50 n_factors: 2	-0.60	-0.88	-0.55	+0.06
n_factors=2, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0054	cost_bps: 10 n_stocks: 10 n_factors: 2	-0.55	-0.63	-1.03	+0.93
n_factors=2, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0064	cost_bps: 5 n_stocks: 5 n_factors: 2	-0.26	-0.36	-0.56	+0.84
n_factors=2, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True r-multi-factor-us-sp500-0065	cost_bps: 5 n_stocks: 5 n_factors: 2	+0.25	+0.51	-0.56	+0.84
n_factors=2, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0066	cost_bps: 10 n_stocks: 5 n_factors: 2	-0.28	-0.38	-0.59	+0.82
n_factors=2, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0076	cost_bps: 5 n_stocks: 50 n_factors: 2	-0.82	-1.06	-1.01	-0.07
n_factors=3, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0086	cost_bps: 10 n_stocks: 10 n_factors: 3	-1.27	-1.80	-1.65	+0.19
n_factors=3, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0096	cost_bps: 5 n_stocks: 5 n_factors: 3	-0.74	-0.78	-0.66	-0.77
n_factors=3, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0106	cost_bps: 10 n_stocks: 20 n_factors: 3	-1.16	-1.12	-1.26	-0.96
n_factors=3, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0116	cost_bps: 5 n_stocks: 10 n_factors: 3	-1.02	-0.93	-1.09	-1.15
n_factors=3, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0126	cost_bps: 10 n_stocks: 50 n_factors: 3	-1.12	-0.92	-1.18	-1.36
n_factors=3, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0136	cost_bps: 5 n_stocks: 20 n_factors: 3	-0.94	-0.98	-0.63	-1.42
n_factors=3, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0146	cost_bps: 10 n_stocks: 5 n_factors: 3	-0.81	-1.15	-0.93	-0.02
n_factors=3, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0156	cost_bps: 5 n_stocks: 50 n_factors: 3	-1.22	-1.44	-1.25	-0.72
n_factors=4, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0160	cost_bps: 5 n_stocks: 5 n_factors: 4	-0.79	-1.25	-1.03	+0.37
n_factors=4, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True r-multi-factor-us-sp500-0167	cost_bps: 10 n_stocks: 10 n_factors: 4	-1.15	-1.12	-1.98	-0.33
n_factors=4, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0174	cost_bps: 10 n_stocks: 50 n_factors: 4	-2.01	-2.33	-3.02	-0.57
n_factors=4, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0178	cost_bps: 10 n_stocks: 5 n_factors: 4	-1.01	-0.94	-0.92	-1.36
n_factors=4, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0188	cost_bps: 5 n_stocks: 50 n_factors: 4	-1.08	-1.03	-1.22	-0.89
n_factors=4, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0198	cost_bps: 10 n_stocks: 10 n_factors: 4	-0.92	-0.89	-1.13	-0.50
n_factors=4, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0208	cost_bps: 5 n_stocks: 5 n_factors: 4	-0.63	-0.81	-0.50	-0.31
n_factors=4, holding_days=20, n_stocks=20, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0218	cost_bps: 10 n_stocks: 20 n_factors: 4	-0.80	-0.97	-0.40	-1.11

対象ユニバース

S&P 500 constituents, ~503 stocks