リターンの自己相関（東証全銘柄）のバックテスト
Return Autocorrelation Factor (JP All Stocks)
slug: return-autocorrelation-jp-all
東証全銘柄（約3,747銘柄）でリターンの自己相関をバックテストした。160通りの中央値 Sharpe は -0.01。p-value は 0.43。Max DD は -21.7%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +0.62 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）
-0.01
Max DD
-21.7%
勝率
—
Alpha（年率）
—
p-value
0.43
期間: 2022-02-01 → 2026-09-01
160通りの Sharpe:中央値 -0.01最良 0.62 （代表値ではない）最悪 -1.81p25–p75 -0.33–0.30
仮説
原文は英語。
Jegadeesh (1990): serial correlation in stock returns. Testing on the full Japanese stock universe.
採用しなかった理由
Across 160 grid combinations, median Sharpe=-0.01, best=0.62. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 0.62 (p=0.031).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/return-autocorrelation-jp-all-fact-best-sharpevia r-return-autocorrelation-jp-all-0144
Median Sharpe across 160 grid runs is -0.01.
Full grid of 160 parameter combinations.
Median Sharpe in DOWN regime is 0.51 across 160 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.07 across 160 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.02 across 160 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-return-autocorrelation-jp-all-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.15 | -1.14 | +0.33 | -0.29 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-return-autocorrelation-jp-all-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | 0.00 | -0.99 | +0.33 | -0.29 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-return-autocorrelation-jp-all-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.40 | -1.35 | +0.04 | -0.46 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-return-autocorrelation-jp-all-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.26 | -1.15 | +0.04 | -0.46 |
formation_days=20, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False r-return-autocorrelation-jp-all-0004 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.27 | -0.71 | +0.11 | -1.31 |
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-return-autocorrelation-jp-all-0018 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.33 | -0.90 | -0.01 | +0.34 |
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-return-autocorrelation-jp-all-0032 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.38 | -0.12 | +0.59 | +1.52 |
formation_days=20, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-return-autocorrelation-jp-all-0038 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.30 | -0.78 | -0.26 | +4.37 |
formation_days=20, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-return-autocorrelation-jp-all-0052 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.28 | -1.74 | +0.06 | +3.63 |
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-return-autocorrelation-jp-all-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.44 | -0.31 | +0.85 | +0.14 |
formation_days=20, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True r-return-autocorrelation-jp-all-0067 | cost_bps: 10 n_stocks: 5 regime_gate: true | +0.55 | -0.14 | +0.82 | -0.02 |
formation_days=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-return-autocorrelation-jp-all-0081 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.69 | -0.37 | -0.79 | -0.61 |
formation_days=40, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True r-return-autocorrelation-jp-all-0087 | cost_bps: 10 n_stocks: 10 regime_gate: true | -1.81 | -0.87 | -2.29 | -1.00 |
formation_days=40, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-return-autocorrelation-jp-all-0096 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.34 | -0.55 | -0.38 | +0.66 |
formation_days=40, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False r-return-autocorrelation-jp-all-0102 | cost_bps: 10 n_stocks: 10 regime_gate: false | -1.12 | -0.54 | -1.46 | +0.46 |
formation_days=40, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=False r-return-autocorrelation-jp-all-0116 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.28 | -0.03 | -0.58 | +3.47 |
formation_days=40, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=False r-return-autocorrelation-jp-all-0130 | cost_bps: 10 n_stocks: 5 regime_gate: false | +0.45 | +0.54 | +0.18 | +5.64 |
formation_days=40, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-return-autocorrelation-jp-all-0144 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.62 | +0.17 | +0.91 | +0.39 |
formation_days=40, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True r-return-autocorrelation-jp-all-0145 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.61 | -0.02 | +0.91 | +0.39 |
formation_days=40, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True r-return-autocorrelation-jp-all-0151 | cost_bps: 10 n_stocks: 10 regime_gate: true | +0.29 | -0.01 | +0.44 | -0.19 |
formation_days=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True r-return-autocorrelation-jp-all-0165 | cost_bps: 5 n_stocks: 10 regime_gate: true | -0.53 | +0.04 | -0.77 | -0.49 |
formation_days=60, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True r-return-autocorrelation-jp-all-0179 | cost_bps: 10 n_stocks: 5 regime_gate: true | +0.20 | +1.18 | -0.56 | +1.12 |
formation_days=60, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True r-return-autocorrelation-jp-all-0193 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.56 | +1.18 | +0.10 | +3.31 |
formation_days=60, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True r-return-autocorrelation-jp-all-0199 | cost_bps: 10 n_stocks: 10 regime_gate: true | -0.07 | +0.32 | -0.43 | +3.39 |
formation_days=60, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-return-autocorrelation-jp-all-0213 | cost_bps: 5 n_stocks: 10 regime_gate: true | -0.07 | -0.14 | -0.25 | +4.26 |
formation_days=60, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True r-return-autocorrelation-jp-all-0227 | cost_bps: 10 n_stocks: 5 regime_gate: true | +0.43 | -0.01 | +0.55 | +0.72 |
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-return-autocorrelation-jp-all-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.49 | +0.00 | -0.51 | -5.03 |
formation_days=120, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-return-autocorrelation-jp-all-0242 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.76 | -0.21 | -0.80 | -5.51 |
formation_days=120, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-return-autocorrelation-jp-all-0256 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.25 | +1.06 | -0.22 | -0.94 |
formation_days=120, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False r-return-autocorrelation-jp-all-0262 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.18 | +1.34 | -0.83 | -2.29 |
対象ユニバース
Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks
関連する戦略
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T21:54:29