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rejectedno_edge· equity· fundamental· growth· value

PEGレシオ（東証全銘柄）のバックテスト

PEG Ratio Value (JP All Stocks)

slug: peg-ratio-value-jp-all

東証全銘柄（約3,747銘柄）でPEGレシオをバックテストした。144通りの中央値 Sharpe は -0.41。p-value は 0.36。Max DD は -4.8%。期間は 2025-01-06〜2026-09-01。最良 Sharpe +6.93 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）
-0.41
Max DD
-4.8%
勝率
—
Alpha（年率）
—
p-value
0.36
期間: 2025-01-06 → 2026-09-01
144通りの Sharpe:中央値 -0.41最良 6.93 （代表値ではない）最悪 -2.76p25–p75 -0.82–0.59

仮説

原文は英語。

A low P/E relative to earnings growth (low PEG, the ratio popularized by Peter Lynch) marks growth priced below its rate; ranking on PEG with a minimum-growth screen tests this growth-adjusted value premium on Japanese fundamentals.

採用しなかった理由

Across 144 grid combinations, median Sharpe=-0.41, best=6.93. Primary failure mode: no_edge.

検証ファクト (5)

Best grid Sharpe ratio is 6.93 (p=0.027).
period 2025-01-06–2026-09-01; cost=5bps
sharpe_ratio6.93
cite ↗ /cite/peg-ratio-value-jp-all-fact-best-sharpevia r-peg-ratio-value-jp-all-0136
Median Sharpe across 144 grid runs is -0.41.
Full grid of 144 parameter combinations.
sharpe_ratio-0.41
cite ↗ /cite/peg-ratio-value-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is -0.82 across 144 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.82
cite ↗ /cite/peg-ratio-value-jp-all-fact-regime-down
Median Sharpe in FLAT regime is 0.48 across 144 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.48
cite ↗ /cite/peg-ratio-value-jp-all-fact-regime-flat
Median Sharpe in UP regime is -0.77 across 144 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.77
cite ↗ /cite/peg-ratio-value-jp-all-fact-regime-up

検証ラン (30)

runparamssharpeUPFLATDOWN
min_growth_pct=0, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-all-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.30-0.83-1.64+1.30
min_growth_pct=0, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-peg-ratio-value-jp-all-0001
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.79-1.06+0.75+3.40
min_growth_pct=0, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-peg-ratio-value-jp-all-0002
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.14-0.70+0.87+4.26
min_growth_pct=0, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-peg-ratio-value-jp-all-0003
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.01-0.11-1.64+1.30
min_growth_pct=0, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-all-0006
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.58-1.11-2.19+1.12
min_growth_pct=0, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5
r-peg-ratio-value-jp-all-0010
cost_bps: 10
n_stocks: 5
regime_gate: true
+1.24+0.82+0.57+3.24
min_growth_pct=0, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=5
r-peg-ratio-value-jp-all-0016
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.77+0.68+0.75+0.95
min_growth_pct=0, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5
r-peg-ratio-value-jp-all-0022
cost_bps: 10
n_stocks: 10
regime_gate: true
+0.58+0.58+0.52+0.63
min_growth_pct=0, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=5
r-peg-ratio-value-jp-all-0028
cost_bps: 5
n_stocks: 20
regime_gate: true
+1.45+0.70+4.04+1.50
min_growth_pct=0, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=5
r-peg-ratio-value-jp-all-0034
cost_bps: 10
n_stocks: 20
regime_gate: true
+1.25+0.60+3.66+0.81
min_growth_pct=0, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-all-0036
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.48-1.99+1.12—
min_growth_pct=0, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=20
r-peg-ratio-value-jp-all-0041
cost_bps: 5
n_stocks: 50
regime_gate: true
-0.22-0.43+0.33—
min_growth_pct=0, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=20
r-peg-ratio-value-jp-all-0047
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.35-0.48-0.06—
min_growth_pct=5, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20
r-peg-ratio-value-jp-all-0053
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.70-0.81-0.39-0.80
min_growth_pct=5, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20
r-peg-ratio-value-jp-all-0059
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.75-0.84-0.47-0.84
min_growth_pct=5, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20
r-peg-ratio-value-jp-all-0065
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.67-0.43+0.70-3.89
min_growth_pct=5, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-all-0066
cost_bps: 10
n_stocks: 10
regime_gate: false
-2.76-5.17-0.99-2.19
min_growth_pct=5, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-all-0072
cost_bps: 5
n_stocks: 20
regime_gate: false
-1.07-2.48+0.64-1.10
min_growth_pct=5, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-all-0078
cost_bps: 10
n_stocks: 20
regime_gate: false
-1.68-3.15+0.08-1.76
min_growth_pct=5, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-all-0084
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.38-1.95-0.46—
min_growth_pct=5, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-all-0090
cost_bps: 10
n_stocks: 50
regime_gate: false
-2.21-2.64-1.39—
min_growth_pct=10, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-all-0096
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.27-0.56-1.91+2.69
min_growth_pct=10, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-peg-ratio-value-jp-all-0097
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.73-0.37+0.69+3.17
min_growth_pct=10, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5
r-peg-ratio-value-jp-all-0103
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.55-0.57+0.50+2.99
min_growth_pct=10, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=5
r-peg-ratio-value-jp-all-0109
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.74-0.69+2.07+0.57
min_growth_pct=10, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5
r-peg-ratio-value-jp-all-0115
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.50-0.99+1.88+0.33
min_growth_pct=10, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=5
r-peg-ratio-value-jp-all-0121
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.99-1.22+4.27+2.32
min_growth_pct=10, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=5
r-peg-ratio-value-jp-all-0127
cost_bps: 10
n_stocks: 20
regime_gate: false
+0.67-1.60+3.93+1.69
min_growth_pct=10, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=5
r-peg-ratio-value-jp-all-0133
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.05-1.57+6.44—
min_growth_pct=10, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=5
r-peg-ratio-value-jp-all-0136
cost_bps: 5
n_stocks: 50
regime_gate: true
+6.93+8.35+6.44—

対象ユニバース

Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks; fundamentals from J-Quants financial statements (coverage from 2023-12)

関連する戦略

same_strategy:PEGレシオ（東証グロース）
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-26T06:03:49
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

関連する戦略