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rejectedno_edge· equity· anomaly· autocorrelation· factor· momentum

リターンの自己相関（東証グロース）のバックテスト

Return Autocorrelation Factor (JP Growth Stocks)

slug: return-autocorrelation-jp-growth

東証グロース（約495銘柄）でリターンの自己相関をバックテストした。320通りの中央値 Sharpe は -0.53。p-value は 0.24。Max DD は -25.0%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +0.75 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）
-0.53
Max DD
-25.0%
勝率
—
Alpha（年率）
—
p-value
0.24
期間: 2022-02-01 → 2026-09-01
320通りの Sharpe:中央値 -0.53最良 0.75 （代表値ではない）最悪 -2.09p25–p75 -0.86–-0.24

仮説

原文は英語。

Jegadeesh (1990): serial correlation in stock returns. Stocks with positive lag-1 autocorrelation exhibit trend continuation, negative autocorrelation exhibits mean reversion. LONG highest autocorrelation, SHORT lowest.

採用しなかった理由

Across 320 grid combinations, median Sharpe=-0.53, best=0.75. Primary failure mode: no_edge.

検証ファクト (5)

Best grid Sharpe ratio is 0.75 (p=0.12).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio0.75
cite ↗ /cite/return-autocorrelation-jp-growth-fact-best-sharpevia r-return-autocorrelation-jp-growth-0284
Median Sharpe across 320 grid runs is -0.53.
Full grid of 320 parameter combinations.
sharpe_ratio-0.53
cite ↗ /cite/return-autocorrelation-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is -1.58 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-1.58
cite ↗ /cite/return-autocorrelation-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is -0.40 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.40
cite ↗ /cite/return-autocorrelation-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -0.48 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.48
cite ↗ /cite/return-autocorrelation-jp-growth-fact-regime-up

検証ラン (30)

runparamssharpeUPFLATDOWN
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-return-autocorrelation-jp-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.22-1.52-1.12-1.49
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-return-autocorrelation-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-1.24-1.50-1.12-1.49
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-return-autocorrelation-jp-growth-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.39-1.75-1.28-1.58
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-return-autocorrelation-jp-growth-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-1.39-1.60-1.28-1.58
formation_days=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-return-autocorrelation-jp-growth-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.41-1.57-1.27-6.69
formation_days=20, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-return-autocorrelation-jp-growth-0014
cost_bps: 10
n_stocks: 50
regime_gate: false
-2.09-2.12-1.98-9.40
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-return-autocorrelation-jp-growth-0019
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.67-3.04-0.31-1.28
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-return-autocorrelation-jp-growth-0033
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.54-0.72-0.40-1.42
formation_days=20, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True
r-return-autocorrelation-jp-growth-0047
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.19-0.06-0.25-0.62
formation_days=20, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=True
r-return-autocorrelation-jp-growth-0061
cost_bps: 5
n_stocks: 50
regime_gate: true
-0.23-0.35-0.17-0.45
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-return-autocorrelation-jp-growth-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.23-0.45+0.02-2.19
formation_days=20, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False
r-return-autocorrelation-jp-growth-0076
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.01-0.05+0.08-2.06
formation_days=40, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False
r-return-autocorrelation-jp-growth-0090
cost_bps: 10
n_stocks: 20
regime_gate: false
-1.56-0.97-1.52-9.12
formation_days=40, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False
r-return-autocorrelation-jp-growth-0104
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.48-0.98-0.00-4.81
formation_days=40, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False
r-return-autocorrelation-jp-growth-0118
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.91-1.02-0.85-1.46
formation_days=40, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False
r-return-autocorrelation-jp-growth-0132
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.99-0.31-1.28-1.92
formation_days=40, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False
r-return-autocorrelation-jp-growth-0146
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.01+0.20+0.07-2.70
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-return-autocorrelation-jp-growth-0160
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.30+0.79-0.50-1.48
formation_days=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-return-autocorrelation-jp-growth-0174
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.54-0.55-1.86-0.78
formation_days=60, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False
r-return-autocorrelation-jp-growth-0188
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.06+0.46-0.30+0.13
formation_days=60, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False
r-return-autocorrelation-jp-growth-0202
cost_bps: 10
n_stocks: 20
regime_gate: false
+0.12+0.50-0.04+1.22
formation_days=60, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-return-autocorrelation-jp-growth-0216
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.53-0.10-0.63-19.01
formation_days=60, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False
r-return-autocorrelation-jp-growth-0230
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.10+0.03+0.24-1.42
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-return-autocorrelation-jp-growth-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.36+0.85-0.58-1.10
formation_days=120, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-return-autocorrelation-jp-growth-0245
cost_bps: 5
n_stocks: 10
regime_gate: true
-1.29-0.40-1.35-11.56
formation_days=120, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-return-autocorrelation-jp-growth-0259
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.26-1.73+0.03+0.62
formation_days=120, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-return-autocorrelation-jp-growth-0273
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.63-2.21-0.35+0.39
formation_days=120, holding_days=10, n_stocks=50, cost_bps=5, regime_gate=False
r-return-autocorrelation-jp-growth-0284
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.75+1.68+0.37+0.79
formation_days=120, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-return-autocorrelation-jp-growth-0288
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.09-1.48-1.02-0.10
formation_days=120, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-return-autocorrelation-jp-growth-0302
cost_bps: 10
n_stocks: 50
regime_gate: false
+0.10+0.31+0.07-0.44

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
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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