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rejectedno_edge· equity· fundamental· growth· value

PEGレシオ（東証グロース）のバックテスト

PEG Ratio Value (JP Growth Stocks)

slug: peg-ratio-value-jp-growth

東証グロース（約495銘柄）でPEGレシオをバックテストした。132通りの中央値 Sharpe は -0.48。p-value は 0.35。Max DD は -5.5%。期間は 2025-01-06〜2026-09-01。最良 Sharpe +4.46 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）
-0.48
Max DD
-5.5%
勝率
—
Alpha（年率）
—
p-value
0.35
期間: 2025-01-06 → 2026-09-01
132通りの Sharpe:中央値 -0.48最良 4.46 （代表値ではない）最悪 -2.48p25–p75 -1.15–0.32

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 132 grid combinations, median Sharpe=-0.48, best=4.46. Primary failure mode: no_edge.

検証ファクト (5)

Best grid Sharpe ratio is 4.46 (p=0.043).
period 2025-01-06–2026-09-01; cost=5bps
sharpe_ratio4.46
cite ↗ /cite/peg-ratio-value-jp-growth-fact-best-sharpevia r-peg-ratio-value-jp-growth-0040
Median Sharpe across 132 grid runs is -0.48.
Full grid of 132 parameter combinations.
sharpe_ratio-0.48
cite ↗ /cite/peg-ratio-value-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is -0.07 across 132 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.07
cite ↗ /cite/peg-ratio-value-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is 0.13 across 132 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.13
cite ↗ /cite/peg-ratio-value-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -1.17 across 132 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-1.17
cite ↗ /cite/peg-ratio-value-jp-growth-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-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.59-2.43+0.22+12.77
min_growth_pct=0, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-peg-ratio-value-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.38-3.31+0.67+13.55
min_growth_pct=0, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-peg-ratio-value-jp-growth-0002
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.34-0.41+1.51+2.69
min_growth_pct=0, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-peg-ratio-value-jp-growth-0003
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.06-1.16+0.22+12.77
min_growth_pct=0, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-growth-0006
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.88-2.72-0.11+11.35
min_growth_pct=0, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=1
r-peg-ratio-value-jp-growth-0009
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.33-1.32-0.11+11.35
min_growth_pct=0, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20
r-peg-ratio-value-jp-growth-0014
cost_bps: 5
n_stocks: 10
regime_gate: false
-1.00-1.38-0.33-2.15
min_growth_pct=0, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5
r-peg-ratio-value-jp-growth-0019
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.32-1.87+0.37+0.51
min_growth_pct=0, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-growth-0024
cost_bps: 5
n_stocks: 20
regime_gate: false
-1.50-3.97+0.58-1.72
min_growth_pct=0, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=20
r-peg-ratio-value-jp-growth-0029
cost_bps: 5
n_stocks: 20
regime_gate: true
-1.29-1.36-0.62-3.77
min_growth_pct=0, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=5
r-peg-ratio-value-jp-growth-0034
cost_bps: 10
n_stocks: 20
regime_gate: true
+0.94+0.43+2.28+1.52
min_growth_pct=0, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-growth-0036
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.17-0.79+0.59—
min_growth_pct=0, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=5
r-peg-ratio-value-jp-growth-0040
cost_bps: 5
n_stocks: 50
regime_gate: true
+4.46+4.88+3.64—
min_growth_pct=0, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=20
r-peg-ratio-value-jp-growth-0041
cost_bps: 5
n_stocks: 50
regime_gate: true
+0.63+1.31-0.55—
min_growth_pct=0, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=5
r-peg-ratio-value-jp-growth-0046
cost_bps: 10
n_stocks: 50
regime_gate: true
+3.64+4.52+2.70—
min_growth_pct=5, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-peg-ratio-value-jp-growth-0051
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.34-1.16-0.50+3.95
min_growth_pct=5, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20
r-peg-ratio-value-jp-growth-0056
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.69-1.02-0.12-0.93
min_growth_pct=5, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=5
r-peg-ratio-value-jp-growth-0061
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.38-0.96+1.17+0.48
min_growth_pct=5, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-growth-0066
cost_bps: 10
n_stocks: 10
regime_gate: false
-2.27-4.61-1.23-0.31
min_growth_pct=5, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=20
r-peg-ratio-value-jp-growth-0071
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.76-0.89+0.32-3.74
min_growth_pct=5, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=5
r-peg-ratio-value-jp-growth-0076
cost_bps: 5
n_stocks: 20
regime_gate: true
+1.00+0.52+2.70+0.23
min_growth_pct=5, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=1
r-peg-ratio-value-jp-growth-0081
cost_bps: 10
n_stocks: 20
regime_gate: true
-1.00-1.27-0.41-1.87
min_growth_pct=5, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=20
r-peg-ratio-value-jp-growth-0086
cost_bps: 5
n_stocks: 50
regime_gate: false
-2.08-20.94-0.86—
min_growth_pct=5, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=5
r-peg-ratio-value-jp-growth-0091
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.04-4.44+1.66—
min_growth_pct=5, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=20
r-peg-ratio-value-jp-growth-0092
cost_bps: 10
n_stocks: 50
regime_gate: false
-2.48-23.35-1.17—
min_growth_pct=10, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-growth-0096
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.02-0.84+0.03+2.44
min_growth_pct=10, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-peg-ratio-value-jp-growth-0098
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.35-0.85+0.40-0.45
min_growth_pct=10, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5
r-peg-ratio-value-jp-growth-0103
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.35-1.90+0.86+1.98
min_growth_pct=10, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-growth-0108
cost_bps: 5
n_stocks: 10
regime_gate: false
-1.13-2.06-0.43-1.01
min_growth_pct=10, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20
r-peg-ratio-value-jp-growth-0113
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.58-0.86+0.61-2.82

対象ユニバース

Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY; fundamentals from J-Quants financial statements (coverage from 2023-12)

関連する戦略

same_strategy:PEGレシオ（東証全銘柄）
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T21:54:30
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

関連する戦略