オーバーナイトと日中リターン（東証グロース）のバックテスト
Overnight vs Intraday Return (JP Growth Stocks)
slug: overnight-intraday-jp-growth
東証グロース（約495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 -24.5%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +0.86 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
-24.5%
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 0.86 （代表値ではない）最悪 -1.99p25–p75 -0.82–-0.04
仮説
原文は英語。
Lou, Polk, Skouras (2019): decompose returns into overnight (Close→Open) and intraday (Open→Close) components. Tests whether one component has more predictive power for future cross-sectional returns.
採用しなかった理由
Across 768 grid combinations, median Sharpe=-0.40, best=0.86. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 0.86 (p=0.068).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/overnight-intraday-jp-growth-fact-best-sharpevia r-overnight-intraday-jp-growth-0628
Median Sharpe across 768 grid runs is -0.40.
Full grid of 768 parameter combinations.
Median Sharpe in DOWN regime is -1.71 across 768 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.37 across 768 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.38 across 768 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
signal_type=overnight, formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-overnight-intraday-jp-growth-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.34 | -1.48 | +0.18 | -5.63 |
signal_type=overnight, formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-overnight-intraday-jp-growth-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.48 | -1.74 | +0.18 | -5.63 |
signal_type=overnight, formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-overnight-intraday-jp-growth-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.47 | -1.66 | +0.06 | -5.79 |
signal_type=overnight, formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-overnight-intraday-jp-growth-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.58 | -1.80 | +0.06 | -5.79 |
signal_type=overnight, formation_days=5, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-overnight-intraday-jp-growth-0012 | cost_bps: 5 n_stocks: 50 regime_gate: false | -1.43 | -0.62 | -1.55 | -12.21 |
signal_type=overnight, formation_days=5, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-overnight-intraday-jp-growth-0014 | cost_bps: 10 n_stocks: 50 regime_gate: false | -1.99 | -1.22 | -2.08 | -15.12 |
signal_type=overnight, formation_days=5, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-overnight-intraday-jp-growth-0042 | cost_bps: 10 n_stocks: 20 regime_gate: false | -0.22 | +0.69 | -0.34 | -3.91 |
signal_type=overnight, formation_days=5, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-overnight-intraday-jp-growth-0048 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.04 | +0.41 | -0.14 | -0.43 |
signal_type=overnight, formation_days=10, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-overnight-intraday-jp-growth-0080 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.52 | -1.36 | -0.31 | +0.02 |
signal_type=overnight, formation_days=10, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-overnight-intraday-jp-growth-0117 | cost_bps: 5 n_stocks: 10 regime_gate: true | -0.25 | -1.10 | -0.02 | -0.05 |
signal_type=overnight, formation_days=20, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=False r-overnight-intraday-jp-growth-0154 | cost_bps: 10 n_stocks: 20 regime_gate: false | -0.31 | -1.32 | +0.44 | -3.69 |
signal_type=overnight, formation_days=20, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=True r-overnight-intraday-jp-growth-0191 | cost_bps: 10 n_stocks: 50 regime_gate: true | -0.52 | -0.00 | -0.87 | -2.39 |
signal_type=overnight, formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-overnight-intraday-jp-growth-0192 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.91 | -0.19 | -1.13 | -2.00 |
signal_type=overnight, formation_days=60, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True r-overnight-intraday-jp-growth-0229 | cost_bps: 5 n_stocks: 10 regime_gate: true | +0.19 | +0.66 | +0.07 | -1.60 |
signal_type=intraday, formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-overnight-intraday-jp-growth-0256 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.70 | +0.28 | -1.02 | -0.81 |
signal_type=intraday, formation_days=5, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=True r-overnight-intraday-jp-growth-0267 | cost_bps: 10 n_stocks: 20 regime_gate: true | -0.80 | -0.78 | -0.88 | +2.40 |
signal_type=intraday, formation_days=5, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-overnight-intraday-jp-growth-0304 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.47 | +1.04 | -0.57 | -3.82 |
signal_type=intraday, formation_days=10, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True r-overnight-intraday-jp-growth-0341 | cost_bps: 5 n_stocks: 10 regime_gate: true | -0.70 | -0.02 | -0.99 | +1.27 |
signal_type=intraday, formation_days=10, holding_days=20, n_stocks=20, cost_bps=10, regime_gate=False r-overnight-intraday-jp-growth-0378 | cost_bps: 10 n_stocks: 20 regime_gate: false | -1.27 | -0.16 | -1.62 | -0.72 |
signal_type=intraday, formation_days=20, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=True r-overnight-intraday-jp-growth-0415 | cost_bps: 10 n_stocks: 50 regime_gate: true | -0.64 | -0.59 | -0.63 | -0.96 |
signal_type=intraday, formation_days=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False r-overnight-intraday-jp-growth-0452 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.88 | -0.61 | -1.07 | +0.79 |
signal_type=intraday, formation_days=60, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=True r-overnight-intraday-jp-growth-0489 | cost_bps: 5 n_stocks: 20 regime_gate: true | -0.36 | +0.20 | -0.55 | -1.10 |
signal_type=overnight_minus_intraday, formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-overnight-intraday-jp-growth-0512 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.71 | -0.86 | +1.24 | -0.52 |
signal_type=overnight_minus_intraday, formation_days=5, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=True r-overnight-intraday-jp-growth-0527 | cost_bps: 10 n_stocks: 50 regime_gate: true | -1.15 | -0.69 | -1.52 | -5.64 |
signal_type=overnight_minus_intraday, formation_days=5, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-overnight-intraday-jp-growth-0564 | cost_bps: 5 n_stocks: 10 regime_gate: false | +0.47 | -0.28 | +0.53 | +2.00 |
signal_type=overnight_minus_intraday, formation_days=10, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=True r-overnight-intraday-jp-growth-0601 | cost_bps: 5 n_stocks: 20 regime_gate: true | +0.25 | -0.32 | +0.65 | -3.83 |
signal_type=overnight_minus_intraday, formation_days=10, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-overnight-intraday-jp-growth-0628 | cost_bps: 5 n_stocks: 10 regime_gate: false | +0.86 | -0.28 | +1.32 | +0.41 |
signal_type=overnight_minus_intraday, formation_days=10, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=True r-overnight-intraday-jp-growth-0639 | cost_bps: 10 n_stocks: 50 regime_gate: true | -0.15 | -0.61 | +0.14 | -0.21 |
signal_type=overnight_minus_intraday, formation_days=20, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=False r-overnight-intraday-jp-growth-0676 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.23 | +0.19 | -0.12 | -4.74 |
signal_type=overnight_minus_intraday, formation_days=60, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True r-overnight-intraday-jp-growth-0713 | cost_bps: 5 n_stocks: 20 regime_gate: true | -0.51 | -0.48 | -0.54 | -0.17 |
対象ユニバース
Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T21:54:28