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rejectedno_edge· equity· intraday· overnight· return-decomposition

オーバーナイトと日中リターン（東証全銘柄）のバックテスト

Overnight vs Intraday Return (JP All Stocks)

slug: overnight-intraday-jp-all

東証全銘柄（約3,747銘柄）でオーバーナイトと日中リターンをバックテストした。768通りの中央値 Sharpe は -0.40。p-value は 0.36。Max DD は -26.6%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +0.80 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）
-0.40
Max DD
-26.6%
勝率
—
Alpha（年率）
—
p-value
0.36
期間: 2022-02-01 → 2026-09-01
768通りの Sharpe:中央値 -0.40最良 0.80 （代表値ではない）最悪 -2.11p25–p75 -0.69–-0.17

仮説

原文は英語。

Lou, Polk, Skouras (2019): decompose returns into overnight and intraday components. Testing on the full Japanese stock universe.

採用しなかった理由

Across 768 grid combinations, median Sharpe=-0.40, best=0.80. Primary failure mode: no_edge.

検証ファクト (5)

Best grid Sharpe ratio is 0.80 (p=0.087).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio0.80
cite ↗ /cite/overnight-intraday-jp-all-fact-best-sharpevia r-overnight-intraday-jp-all-0512
Median Sharpe across 768 grid runs is -0.40.
Full grid of 768 parameter combinations.
sharpe_ratio-0.40
cite ↗ /cite/overnight-intraday-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is -1.00 across 768 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-1
cite ↗ /cite/overnight-intraday-jp-all-fact-regime-down
Median Sharpe in FLAT regime is -0.16 across 768 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.16
cite ↗ /cite/overnight-intraday-jp-all-fact-regime-flat
Median Sharpe in UP regime is -0.46 across 768 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.46
cite ↗ /cite/overnight-intraday-jp-all-fact-regime-up

検証ラン (30)

runparamssharpeUPFLATDOWN
signal_type=overnight, formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-overnight-intraday-jp-all-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.18-0.40+0.41-2.57
signal_type=overnight, formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-overnight-intraday-jp-all-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.14-0.28+0.41-2.57
signal_type=overnight, formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-overnight-intraday-jp-all-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.27-0.49+0.33-2.75
signal_type=overnight, formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-overnight-intraday-jp-all-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.21-0.33+0.33-2.75
signal_type=overnight, formation_days=5, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-overnight-intraday-jp-all-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.17-0.09+0.05-0.63
signal_type=overnight, formation_days=5, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=False
r-overnight-intraday-jp-all-0040
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.33+0.39+0.84-2.20
signal_type=overnight, formation_days=5, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-overnight-intraday-jp-all-0048
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.54-0.48-0.32-1.38
signal_type=overnight, formation_days=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=True
r-overnight-intraday-jp-all-0077
cost_bps: 5
n_stocks: 50
regime_gate: true
-0.07+0.09+0.07-0.72
signal_type=overnight, formation_days=10, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True
r-overnight-intraday-jp-all-0113
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.85-1.08-0.53-1.06
signal_type=overnight, formation_days=20, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True
r-overnight-intraday-jp-all-0149
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.86-0.78-0.23-3.10
signal_type=overnight, formation_days=20, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True
r-overnight-intraday-jp-all-0185
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.48-0.85+0.26-1.60
signal_type=overnight, formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-overnight-intraday-jp-all-0192
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.66+0.21-1.68-0.29
signal_type=overnight, formation_days=60, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False
r-overnight-intraday-jp-all-0222
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.54-0.77-0.00-1.89
signal_type=intraday, formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-overnight-intraday-jp-all-0256
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.98-0.32-1.39-1.07
signal_type=intraday, formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-overnight-intraday-jp-all-0259
cost_bps: 10
n_stocks: 5
regime_gate: true
-1.08-0.50-1.46-1.17
signal_type=intraday, formation_days=5, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True
r-overnight-intraday-jp-all-0295
cost_bps: 10
n_stocks: 10
regime_gate: true
-1.04-0.57-1.72-0.48
signal_type=intraday, formation_days=10, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=True
r-overnight-intraday-jp-all-0331
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.59+0.09-1.39-0.48
signal_type=intraday, formation_days=10, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True
r-overnight-intraday-jp-all-0367
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.49-0.19-1.41+0.38
signal_type=intraday, formation_days=10, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True
r-overnight-intraday-jp-all-0371
cost_bps: 10
n_stocks: 5
regime_gate: true
-2.11-2.49-1.82-2.04
signal_type=intraday, formation_days=20, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False
r-overnight-intraday-jp-all-0404
cost_bps: 5
n_stocks: 10
regime_gate: false
-1.57-1.72-1.06-3.37
signal_type=intraday, formation_days=20, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-overnight-intraday-jp-all-0440
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.63-0.33-0.56-1.52
signal_type=intraday, formation_days=60, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False
r-overnight-intraday-jp-all-0476
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.35-0.86+0.76-0.75
signal_type=overnight_minus_intraday, formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-overnight-intraday-jp-all-0512
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.80+0.80+1.00+0.18
signal_type=overnight_minus_intraday, formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-overnight-intraday-jp-all-0513
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.49-0.11+1.00+0.18
signal_type=overnight_minus_intraday, formation_days=5, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True
r-overnight-intraday-jp-all-0549
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.07-0.69+1.07-0.69
signal_type=overnight_minus_intraday, formation_days=10, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True
r-overnight-intraday-jp-all-0585
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.12-0.83+0.54-0.30
signal_type=overnight_minus_intraday, formation_days=10, holding_days=10, n_stocks=50, cost_bps=5, regime_gate=True
r-overnight-intraday-jp-all-0621
cost_bps: 5
n_stocks: 50
regime_gate: true
-0.40-1.00+0.37-0.85
signal_type=overnight_minus_intraday, formation_days=20, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True
r-overnight-intraday-jp-all-0657
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.64-0.79-0.71-0.10
signal_type=overnight_minus_intraday, formation_days=20, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True
r-overnight-intraday-jp-all-0693
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.25-0.86+0.01+0.44
signal_type=overnight_minus_intraday, formation_days=60, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=True
r-overnight-intraday-jp-all-0729
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.44-0.45-0.22-0.99

対象ユニバース

Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks

関連する戦略

same_strategy:オーバーナイトと日中リターン（東証グロース）
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-26T05:57:21
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

関連する戦略