リスクパリティ（米国S&P500）のバックテスト
Risk Parity / Volatility Targeting Overlay (US S&P 500)
slug: risk-parity-us-sp500
米国S&P500（約503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 +0.34。p-value は 0.34。Max DD は -25.1%。期間は 2022-04-01〜2026-09-01。最良 Sharpe +1.16 は代表値ではない。
判定は marginal。どこかのパラメータでは p-value が 0.10 を下回るが、中央値自体は promising の基準（Sharpe > 0.5 かつ p-value < 0.05）に届いていない。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）
+0.34
Max DD
-25.1%
勝率
—
Alpha（年率）
—
p-value
0.34
期間: 2022-04-01 → 2026-09-01
384通りの Sharpe:中央値 0.34最良 1.16 （代表値ではない）最悪 -0.96p25–p75 -0.15–0.53
仮説
原文は英語。
Sizing positions inversely proportional to their recent volatility. Applied to S&P 500 constituents.
採用しなかった理由
Across 384 grid combinations, median Sharpe=0.34, best=1.16. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 1.16 (p=0.00024).
period 2022-04-01–2026-09-01; cost=5bps
cite ↗ /cite/risk-parity-us-sp500-fact-best-sharpevia r-risk-parity-us-sp500-0308
Median Sharpe across 384 grid runs is 0.34.
Full grid of 384 parameter combinations.
Median Sharpe in DOWN regime is 0.17 across 384 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.03 across 384 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.65 across 384 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
target_vol=0.1, vol_lookback=10, holding_days=5, base_signal=momentum_60, cost_bps=5 r-risk-parity-us-sp500-0000 | cost_bps: 5 target_vol: 0.1 base_signal: "momentum_60" | +0.44 | +0.26 | +0.37 | +1.38 |
target_vol=0.1, vol_lookback=10, holding_days=5, base_signal=momentum_60, cost_bps=10 r-risk-parity-us-sp500-0001 | cost_bps: 10 target_vol: 0.1 base_signal: "momentum_60" | +0.34 | +0.16 | +0.28 | +1.25 |
target_vol=0.1, vol_lookback=10, holding_days=5, base_signal=momentum_120, cost_bps=5 r-risk-parity-us-sp500-0002 | cost_bps: 5 target_vol: 0.1 base_signal: "momentum_120" | +0.51 | +0.40 | +0.21 | +2.06 |
target_vol=0.1, vol_lookback=10, holding_days=5, base_signal=mean_reversion, cost_bps=5 r-risk-parity-us-sp500-0004 | cost_bps: 5 target_vol: 0.1 base_signal: "mean_reversion" | -0.77 | -0.48 | -1.37 | -0.73 |
target_vol=0.1, vol_lookback=10, holding_days=60, base_signal=momentum_60, cost_bps=5 r-risk-parity-us-sp500-0018 | cost_bps: 5 target_vol: 0.1 base_signal: "momentum_60" | +0.60 | +0.93 | +0.58 | -0.75 |
target_vol=0.1, vol_lookback=10, holding_days=60, base_signal=momentum_120, cost_bps=10 r-risk-parity-us-sp500-0021 | cost_bps: 10 target_vol: 0.1 base_signal: "momentum_120" | +1.14 | +1.39 | +1.04 | +0.51 |
target_vol=0.1, vol_lookback=20, holding_days=20, base_signal=momentum_120, cost_bps=5 r-risk-parity-us-sp500-0038 | cost_bps: 5 target_vol: 0.1 base_signal: "momentum_120" | +0.65 | +1.26 | +0.08 | +0.46 |
target_vol=0.1, vol_lookback=40, holding_days=10, base_signal=momentum_60, cost_bps=10 r-risk-parity-us-sp500-0055 | cost_bps: 10 target_vol: 0.1 base_signal: "momentum_60" | -0.12 | +0.74 | -0.65 | -0.53 |
target_vol=0.1, vol_lookback=60, holding_days=5, base_signal=momentum_60, cost_bps=5 r-risk-parity-us-sp500-0072 | cost_bps: 5 target_vol: 0.1 base_signal: "momentum_60" | +0.41 | +0.32 | +0.19 | +1.43 |
target_vol=0.1, vol_lookback=60, holding_days=5, base_signal=momentum_60, cost_bps=10 r-risk-parity-us-sp500-0073 | cost_bps: 10 target_vol: 0.1 base_signal: "momentum_60" | +0.32 | +0.23 | +0.09 | +1.32 |
target_vol=0.1, vol_lookback=60, holding_days=5, base_signal=mean_reversion, cost_bps=10 r-risk-parity-us-sp500-0077 | cost_bps: 10 target_vol: 0.1 base_signal: "mean_reversion" | -0.96 | -0.55 | -1.86 | -1.02 |
target_vol=0.1, vol_lookback=60, holding_days=60, base_signal=momentum_60, cost_bps=10 r-risk-parity-us-sp500-0091 | cost_bps: 10 target_vol: 0.1 base_signal: "momentum_60" | +0.54 | +0.88 | +0.45 | -0.67 |
target_vol=0.15, vol_lookback=10, holding_days=20, base_signal=momentum_60, cost_bps=5 r-risk-parity-us-sp500-0108 | cost_bps: 5 target_vol: 0.15 base_signal: "momentum_60" | +0.44 | +1.18 | -0.19 | -0.09 |
target_vol=0.15, vol_lookback=20, holding_days=5, base_signal=mean_reversion, cost_bps=10 r-risk-parity-us-sp500-0125 | cost_bps: 10 target_vol: 0.15 base_signal: "mean_reversion" | -0.95 | -0.60 | -1.80 | -0.88 |
target_vol=0.15, vol_lookback=20, holding_days=60, base_signal=mean_reversion, cost_bps=5 r-risk-parity-us-sp500-0142 | cost_bps: 5 target_vol: 0.15 base_signal: "mean_reversion" | -0.31 | -0.26 | -0.56 | +0.03 |
target_vol=0.15, vol_lookback=40, holding_days=20, base_signal=momentum_120, cost_bps=10 r-risk-parity-us-sp500-0159 | cost_bps: 10 target_vol: 0.15 base_signal: "momentum_120" | +0.59 | +1.27 | -0.04 | +0.42 |
target_vol=0.15, vol_lookback=60, holding_days=10, base_signal=momentum_120, cost_bps=5 r-risk-parity-us-sp500-0176 | cost_bps: 5 target_vol: 0.15 base_signal: "momentum_120" | +0.51 | +1.87 | -0.29 | +0.33 |
target_vol=0.2, vol_lookback=10, holding_days=5, base_signal=momentum_60, cost_bps=10 r-risk-parity-us-sp500-0193 | cost_bps: 10 target_vol: 0.2 base_signal: "momentum_60" | +0.34 | +0.16 | +0.28 | +1.25 |
target_vol=0.2, vol_lookback=10, holding_days=60, base_signal=momentum_60, cost_bps=5 r-risk-parity-us-sp500-0210 | cost_bps: 5 target_vol: 0.2 base_signal: "momentum_60" | +0.60 | +0.93 | +0.58 | -0.75 |
target_vol=0.2, vol_lookback=20, holding_days=10, base_signal=mean_reversion, cost_bps=10 r-risk-parity-us-sp500-0227 | cost_bps: 10 target_vol: 0.2 base_signal: "mean_reversion" | -0.26 | -0.50 | -0.11 | +0.01 |
target_vol=0.2, vol_lookback=40, holding_days=5, base_signal=mean_reversion, cost_bps=5 r-risk-parity-us-sp500-0244 | cost_bps: 5 target_vol: 0.2 base_signal: "mean_reversion" | -0.76 | -0.39 | -1.58 | -0.74 |
target_vol=0.2, vol_lookback=40, holding_days=60, base_signal=momentum_120, cost_bps=10 r-risk-parity-us-sp500-0261 | cost_bps: 10 target_vol: 0.2 base_signal: "momentum_120" | +1.09 | +1.38 | +0.98 | +0.46 |
target_vol=0.2, vol_lookback=60, holding_days=20, base_signal=momentum_120, cost_bps=5 r-risk-parity-us-sp500-0278 | cost_bps: 5 target_vol: 0.2 base_signal: "momentum_120" | +0.64 | +1.30 | +0.02 | +0.47 |
target_vol=0.3, vol_lookback=10, holding_days=5, base_signal=momentum_60, cost_bps=5 r-risk-parity-us-sp500-0288 | cost_bps: 5 target_vol: 0.3 base_signal: "momentum_60" | +0.44 | +0.26 | +0.38 | +1.37 |
target_vol=0.3, vol_lookback=10, holding_days=10, base_signal=momentum_120, cost_bps=5 r-risk-parity-us-sp500-0296 | cost_bps: 5 target_vol: 0.3 base_signal: "momentum_120" | +0.63 | +1.76 | -0.21 | +0.47 |
target_vol=0.3, vol_lookback=10, holding_days=60, base_signal=momentum_120, cost_bps=5 r-risk-parity-us-sp500-0308 | cost_bps: 5 target_vol: 0.3 base_signal: "momentum_120" | +1.16 | +1.41 | +1.06 | +0.54 |
target_vol=0.3, vol_lookback=20, holding_days=5, base_signal=momentum_120, cost_bps=5 r-risk-parity-us-sp500-0314 | cost_bps: 5 target_vol: 0.3 base_signal: "momentum_120" | +0.51 | +0.43 | +0.20 | +1.81 |
target_vol=0.3, vol_lookback=20, holding_days=60, base_signal=momentum_60, cost_bps=10 r-risk-parity-us-sp500-0331 | cost_bps: 10 target_vol: 0.3 base_signal: "momentum_60" | +0.53 | +0.82 | +0.51 | -0.66 |
target_vol=0.3, vol_lookback=40, holding_days=20, base_signal=momentum_60, cost_bps=5 r-risk-parity-us-sp500-0348 | cost_bps: 5 target_vol: 0.3 base_signal: "momentum_60" | +0.32 | +1.11 | -0.41 | +0.07 |
target_vol=0.3, vol_lookback=60, holding_days=5, base_signal=mean_reversion, cost_bps=10 r-risk-parity-us-sp500-0365 | cost_bps: 10 target_vol: 0.3 base_signal: "mean_reversion" | -0.96 | -0.54 | -1.86 | -1.02 |
対象ユニバース
S&P 500 constituents, ~503 stocks
関連する戦略
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:17