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rejectedno_edge· equity· anomaly· autocorrelation· factor· momentum

リターンの自己相関（米国S&P500）のバックテスト

Return Autocorrelation Factor (US S&P 500)

slug: return-autocorrelation-us-sp500

米国S&P500（約503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 -0.58。p-value は 0.16。Max DD は -17.3%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +0.72 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）
-0.58
Max DD
-17.3%
勝率
—
Alpha（年率）
—
p-value
0.16
期間: 2022-02-01 → 2026-09-01
320通りの Sharpe:中央値 -0.58最良 0.72 （代表値ではない）最悪 -2.24p25–p75 -0.92–-0.18

仮説

原文は英語。

Jegadeesh (1990): serial correlation in stock returns. Applied to S&P 500 constituents.

採用しなかった理由

Across 320 grid combinations, median Sharpe=-0.58, best=0.72. Primary failure mode: no_edge.

検証ファクト (5)

Best grid Sharpe ratio is 0.72 (p=0.13).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio0.72
cite ↗ /cite/return-autocorrelation-us-sp500-fact-best-sharpevia r-return-autocorrelation-us-sp500-0289
Median Sharpe across 320 grid runs is -0.58.
Full grid of 320 parameter combinations.
sharpe_ratio-0.58
cite ↗ /cite/return-autocorrelation-us-sp500-fact-median-sharpe
Median Sharpe in DOWN regime is -1.90 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-1.90
cite ↗ /cite/return-autocorrelation-us-sp500-fact-regime-down
Median Sharpe in FLAT regime is -0.46 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.46
cite ↗ /cite/return-autocorrelation-us-sp500-fact-regime-flat
Median Sharpe in UP regime is -0.24 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.24
cite ↗ /cite/return-autocorrelation-us-sp500-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-us-sp500-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.21-0.38-0.22+0.32
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-return-autocorrelation-us-sp500-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.03-0.07-0.22+0.32
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-return-autocorrelation-us-sp500-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.58-0.70-0.77-0.04
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-return-autocorrelation-us-sp500-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.36-0.27-0.77-0.04
formation_days=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-return-autocorrelation-us-sp500-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.82-1.03-0.35-0.99
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-return-autocorrelation-us-sp500-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.88-0.86-1.11-0.50
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-return-autocorrelation-us-sp500-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.56-1.08-0.17-0.22
formation_days=20, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False
r-return-autocorrelation-us-sp500-0046
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.01-0.81-0.61-2.35
formation_days=20, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False
r-return-autocorrelation-us-sp500-0060
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.73-1.04+0.29-1.77
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-return-autocorrelation-us-sp500-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.54-0.32-0.18-1.70
formation_days=20, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True
r-return-autocorrelation-us-sp500-0075
cost_bps: 10
n_stocks: 20
regime_gate: true
+0.05+0.83-0.47-1.86
formation_days=40, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True
r-return-autocorrelation-us-sp500-0089
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.58-0.10-0.62-2.09
formation_days=40, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True
r-return-autocorrelation-us-sp500-0103
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.57+0.45-0.90-2.39
formation_days=40, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True
r-return-autocorrelation-us-sp500-0117
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.27+0.31-0.26-2.23
formation_days=40, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True
r-return-autocorrelation-us-sp500-0131
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.35+0.79-0.15+0.56
formation_days=40, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True
r-return-autocorrelation-us-sp500-0145
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.07+0.57-0.52-0.00
formation_days=40, holding_days=60, n_stocks=50, cost_bps=10, regime_gate=True
r-return-autocorrelation-us-sp500-0159
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.12+0.85-0.90-2.97
formation_days=60, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=True
r-return-autocorrelation-us-sp500-0173
cost_bps: 5
n_stocks: 50
regime_gate: true
-0.96-0.77-0.89-1.56
formation_days=60, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=True
r-return-autocorrelation-us-sp500-0187
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.90+0.20-0.80-4.11
formation_days=60, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False
r-return-autocorrelation-us-sp500-0190
cost_bps: 10
n_stocks: 50
regime_gate: false
-2.24-1.99-2.11-3.53
formation_days=60, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False
r-return-autocorrelation-us-sp500-0202
cost_bps: 10
n_stocks: 20
regime_gate: false
-1.17-0.75-0.68-3.29
formation_days=60, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-return-autocorrelation-us-sp500-0216
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.84-1.05+0.17-2.65
formation_days=60, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False
r-return-autocorrelation-us-sp500-0230
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.60-0.31-0.71-1.58
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-return-autocorrelation-us-sp500-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.88-0.82-0.81-1.32
formation_days=120, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-return-autocorrelation-us-sp500-0245
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.65-0.72+0.23-1.70
formation_days=120, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-return-autocorrelation-us-sp500-0259
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.54-0.23-0.52-1.38
formation_days=120, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-return-autocorrelation-us-sp500-0273
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.20+0.33-0.13-2.03
formation_days=120, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True
r-return-autocorrelation-us-sp500-0287
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.24+0.44-0.06-3.14
formation_days=120, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True
r-return-autocorrelation-us-sp500-0289
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.72+1.55+0.34-0.46
formation_days=120, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-return-autocorrelation-us-sp500-0302
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.59-0.63+0.47-3.21

対象ユニバース

S&P 500 constituents, ~503 stocks

関連する戦略

same_strategy:リターンの自己相関（東証全銘柄）same_strategy:リターンの自己相関（東証グロース）
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T21:54:29
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

関連する戦略