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rejectedno_edge· equity· overlay· risk-parity· volatility-targeting

リスクパリティ（東証グロース）のバックテスト

Risk Parity / Volatility Targeting Overlay (JP Growth Stocks)

slug: risk-parity-jp-growth

東証グロース（約495銘柄）でリスクパリティをバックテストした。384通りの中央値 Sharpe は -0.44。p-value は 0.28。Max DD は -39.5%。期間は 2022-05-02〜2026-09-01。最良 Sharpe +0.42 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）
-0.44
Max DD
-39.5%
勝率
—
Alpha（年率）
—
p-value
0.28
期間: 2022-05-02 → 2026-09-01
384通りの Sharpe:中央値 -0.44最良 0.42 （代表値ではない）最悪 -1.02p25–p75 -0.72–-0.18

仮説

原文は英語。

Sizing positions inversely proportional to their recent volatility improves Sharpe ratio (risk parity principle). Tests vol-targeting as a position sizing overlay on momentum and mean-reversion base signals.

採用しなかった理由

Across 384 grid combinations, median Sharpe=-0.44, best=0.42. Primary failure mode: no_edge.

検証ファクト (5)

Best grid Sharpe ratio is 0.42 (p=0.37).
period 2022-05-02–2026-09-01; cost=5bps
sharpe_ratio0.42
cite ↗ /cite/risk-parity-jp-growth-fact-best-sharpevia r-risk-parity-jp-growth-0294
Median Sharpe across 384 grid runs is -0.44.
Full grid of 384 parameter combinations.
sharpe_ratio-0.44
cite ↗ /cite/risk-parity-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is -1.53 across 384 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-1.53
cite ↗ /cite/risk-parity-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is -0.27 across 384 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.27
cite ↗ /cite/risk-parity-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -0.19 across 384 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.19
cite ↗ /cite/risk-parity-jp-growth-fact-regime-up

検証ラン (30)

runparamssharpeUPFLATDOWN
target_vol=0.1, vol_lookback=10, holding_days=5, base_signal=momentum_60, cost_bps=5
r-risk-parity-jp-growth-0000
cost_bps: 5
target_vol: 0.1
base_signal: "momentum_60"
-0.36+0.06-0.49-0.49
target_vol=0.1, vol_lookback=10, holding_days=5, base_signal=momentum_60, cost_bps=10
r-risk-parity-jp-growth-0001
cost_bps: 10
target_vol: 0.1
base_signal: "momentum_60"
-0.46-0.04-0.59-0.57
target_vol=0.1, vol_lookback=10, holding_days=5, base_signal=momentum_120, cost_bps=5
r-risk-parity-jp-growth-0002
cost_bps: 5
target_vol: 0.1
base_signal: "momentum_120"
-0.77+0.39-1.22-0.57
target_vol=0.1, vol_lookback=10, holding_days=5, base_signal=mean_reversion, cost_bps=5
r-risk-parity-jp-growth-0004
cost_bps: 5
target_vol: 0.1
base_signal: "mean_reversion"
-0.62-1.36-0.22-2.60
target_vol=0.1, vol_lookback=10, holding_days=60, base_signal=momentum_60, cost_bps=5
r-risk-parity-jp-growth-0018
cost_bps: 5
target_vol: 0.1
base_signal: "momentum_60"
+0.14+0.32+0.15-0.85
target_vol=0.1, vol_lookback=10, holding_days=60, base_signal=momentum_120, cost_bps=10
r-risk-parity-jp-growth-0021
cost_bps: 10
target_vol: 0.1
base_signal: "momentum_120"
-0.32-0.17-0.14-2.51
target_vol=0.1, vol_lookback=20, holding_days=20, base_signal=momentum_120, cost_bps=5
r-risk-parity-jp-growth-0038
cost_bps: 5
target_vol: 0.1
base_signal: "momentum_120"
-0.62-0.06-0.70-2.02
target_vol=0.1, vol_lookback=40, holding_days=10, base_signal=momentum_60, cost_bps=10
r-risk-parity-jp-growth-0055
cost_bps: 10
target_vol: 0.1
base_signal: "momentum_60"
-0.06+0.02+0.03-1.33
target_vol=0.1, vol_lookback=60, holding_days=5, base_signal=momentum_60, cost_bps=5
r-risk-parity-jp-growth-0072
cost_bps: 5
target_vol: 0.1
base_signal: "momentum_60"
-0.62-0.59-0.66-0.29
target_vol=0.1, vol_lookback=60, holding_days=5, base_signal=momentum_60, cost_bps=10
r-risk-parity-jp-growth-0073
cost_bps: 10
target_vol: 0.1
base_signal: "momentum_60"
-0.72-0.68-0.77-0.35
target_vol=0.1, vol_lookback=60, holding_days=10, base_signal=mean_reversion, cost_bps=10
r-risk-parity-jp-growth-0083
cost_bps: 10
target_vol: 0.1
base_signal: "mean_reversion"
-1.02-2.28-0.56-3.06
target_vol=0.1, vol_lookback=60, holding_days=60, base_signal=momentum_60, cost_bps=10
r-risk-parity-jp-growth-0091
cost_bps: 10
target_vol: 0.1
base_signal: "momentum_60"
+0.10+0.05+0.15-0.61
target_vol=0.15, vol_lookback=10, holding_days=20, base_signal=momentum_60, cost_bps=5
r-risk-parity-jp-growth-0108
cost_bps: 5
target_vol: 0.15
base_signal: "momentum_60"
+0.11+0.83-0.03-0.46
target_vol=0.15, vol_lookback=20, holding_days=5, base_signal=mean_reversion, cost_bps=10
r-risk-parity-jp-growth-0125
cost_bps: 10
target_vol: 0.15
base_signal: "mean_reversion"
-0.71-1.41-0.36-2.49
target_vol=0.15, vol_lookback=20, holding_days=60, base_signal=mean_reversion, cost_bps=5
r-risk-parity-jp-growth-0142
cost_bps: 5
target_vol: 0.15
base_signal: "mean_reversion"
-0.16-0.36+0.06-1.71
target_vol=0.15, vol_lookback=40, holding_days=20, base_signal=momentum_120, cost_bps=10
r-risk-parity-jp-growth-0159
cost_bps: 10
target_vol: 0.15
base_signal: "momentum_120"
-0.81-0.25-0.86-2.38
target_vol=0.15, vol_lookback=60, holding_days=10, base_signal=momentum_120, cost_bps=5
r-risk-parity-jp-growth-0176
cost_bps: 5
target_vol: 0.15
base_signal: "momentum_120"
-0.53-0.08-0.48-4.07
target_vol=0.2, vol_lookback=10, holding_days=5, base_signal=momentum_60, cost_bps=10
r-risk-parity-jp-growth-0193
cost_bps: 10
target_vol: 0.2
base_signal: "momentum_60"
-0.45-0.03-0.59-0.57
target_vol=0.2, vol_lookback=10, holding_days=60, base_signal=momentum_60, cost_bps=5
r-risk-parity-jp-growth-0210
cost_bps: 5
target_vol: 0.2
base_signal: "momentum_60"
+0.14+0.32+0.15-0.85
target_vol=0.2, vol_lookback=20, holding_days=10, base_signal=mean_reversion, cost_bps=10
r-risk-parity-jp-growth-0227
cost_bps: 10
target_vol: 0.2
base_signal: "mean_reversion"
-0.81-2.06-0.32-3.63
target_vol=0.2, vol_lookback=40, holding_days=5, base_signal=mean_reversion, cost_bps=5
r-risk-parity-jp-growth-0244
cost_bps: 5
target_vol: 0.2
base_signal: "mean_reversion"
-0.63-1.49-0.29-1.20
target_vol=0.2, vol_lookback=40, holding_days=60, base_signal=momentum_120, cost_bps=10
r-risk-parity-jp-growth-0261
cost_bps: 10
target_vol: 0.2
base_signal: "momentum_120"
-0.41-0.50-0.21-2.93
target_vol=0.2, vol_lookback=60, holding_days=20, base_signal=momentum_120, cost_bps=5
r-risk-parity-jp-growth-0278
cost_bps: 5
target_vol: 0.2
base_signal: "momentum_120"
-0.73-0.03-0.84-2.58
target_vol=0.3, vol_lookback=10, holding_days=5, base_signal=momentum_60, cost_bps=5
r-risk-parity-jp-growth-0288
cost_bps: 5
target_vol: 0.3
base_signal: "momentum_60"
-0.35+0.07-0.48-0.49
target_vol=0.3, vol_lookback=10, holding_days=10, base_signal=momentum_60, cost_bps=5
r-risk-parity-jp-growth-0294
cost_bps: 5
target_vol: 0.3
base_signal: "momentum_60"
+0.42+0.78+0.44-1.30
target_vol=0.3, vol_lookback=10, holding_days=10, base_signal=momentum_120, cost_bps=10
r-risk-parity-jp-growth-0297
cost_bps: 10
target_vol: 0.3
base_signal: "momentum_120"
-0.10-0.06+0.00-4.28
target_vol=0.3, vol_lookback=20, holding_days=5, base_signal=momentum_120, cost_bps=5
r-risk-parity-jp-growth-0314
cost_bps: 5
target_vol: 0.3
base_signal: "momentum_120"
-0.67+0.26-1.05+0.05
target_vol=0.3, vol_lookback=20, holding_days=60, base_signal=momentum_60, cost_bps=10
r-risk-parity-jp-growth-0331
cost_bps: 10
target_vol: 0.3
base_signal: "momentum_60"
+0.04-0.05+0.10-0.51
target_vol=0.3, vol_lookback=40, holding_days=20, base_signal=momentum_60, cost_bps=5
r-risk-parity-jp-growth-0348
cost_bps: 5
target_vol: 0.3
base_signal: "momentum_60"
-0.47-0.21-0.55-0.47
target_vol=0.3, vol_lookback=60, holding_days=5, base_signal=mean_reversion, cost_bps=10
r-risk-parity-jp-growth-0365
cost_bps: 10
target_vol: 0.3
base_signal: "mean_reversion"
-0.87-1.62-0.60-1.10

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: 2026-09-24T02:22:17
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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