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rejectedregime_dependent· equity· factor· fundamental· growth

売上成長率ランキング（東証全銘柄）のバックテスト

Sales Growth Rank (JP All Stocks)

slug: sales-growth-rank-jp-all

東証全銘柄（約3,747銘柄）で売上成長率ランキングをバックテストした。48通りの中央値 Sharpe は -0.23。p-value は 0.46。Max DD は -8.1%。期間は 2025-01-06〜2026-09-01。最良 Sharpe +1.00 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。上昇・横ばい・下落で結果が割れ、中央値としては安定しない。

成績の中央値

Sharpe（中央値）
-0.23
Max DD
-8.1%
勝率
—
Alpha（年率）
—
p-value
0.46
期間: 2025-01-06 → 2026-09-01
48通りの Sharpe:中央値 -0.23最良 1.00 （代表値ではない）最悪 -1.28p25–p75 -0.59–0.56

仮説

原文は英語。

Top-line growth is the simplest growth signal retail screens sort on; ranking on year-over-year sales growth tests whether revenue growth alone predicts returns, or is already priced in (the classic growth-factor disappointment).

採用しなかった理由

Across 48 grid combinations, median Sharpe=-0.23, best=1.00. Primary failure mode: regime_dependent.

検証ファクト (5)

Best grid Sharpe ratio is 1.00 (p=0.22).
period 2025-01-06–2026-09-01; cost=5bps
sharpe_ratio1
cite ↗ /cite/sales-growth-rank-jp-all-fact-best-sharpevia r-sales-growth-rank-jp-all-0040
Median Sharpe across 48 grid runs is -0.23.
Full grid of 48 parameter combinations.
sharpe_ratio-0.23
cite ↗ /cite/sales-growth-rank-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is 1.06 across 48 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio1.06
cite ↗ /cite/sales-growth-rank-jp-all-fact-regime-down
Median Sharpe in FLAT regime is -0.49 across 48 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.49
cite ↗ /cite/sales-growth-rank-jp-all-fact-regime-flat
Median Sharpe in UP regime is 0.07 across 48 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.07
cite ↗ /cite/sales-growth-rank-jp-all-fact-regime-up

検証ラン (30)

runparamssharpeUPFLATDOWN
n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-sales-growth-rank-jp-all-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.84+2.52-0.09+2.07
n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-sales-growth-rank-jp-all-0001
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.09+0.35-0.71+2.49
n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-sales-growth-rank-jp-all-0002
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.80-0.51-1.73+2.54
n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-sales-growth-rank-jp-all-0003
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.19+0.11-0.09+2.07
n_stocks=5, cost_bps=5, regime_gate=True, holding_days=5
r-sales-growth-rank-jp-all-0004
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.61+2.93-0.71+2.49
n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20
r-sales-growth-rank-jp-all-0005
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.90-0.78-1.73+2.54
n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-sales-growth-rank-jp-all-0006
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.59+2.12-0.26+1.64
n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5
r-sales-growth-rank-jp-all-0007
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.01+0.20-0.78+2.36
n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20
r-sales-growth-rank-jp-all-0008
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.85-0.58-1.78+2.44
n_stocks=5, cost_bps=10, regime_gate=True, holding_days=1
r-sales-growth-rank-jp-all-0009
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.04+0.03-0.26+1.64
n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5
r-sales-growth-rank-jp-all-0010
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.53+2.83-0.78+2.36
n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20
r-sales-growth-rank-jp-all-0011
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.94-0.81-1.78+2.44
n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1
r-sales-growth-rank-jp-all-0012
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.18-0.44+0.19-0.37
n_stocks=10, cost_bps=5, regime_gate=False, holding_days=5
r-sales-growth-rank-jp-all-0013
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.57+1.40-0.10+0.95
n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20
r-sales-growth-rank-jp-all-0014
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.36+0.61-1.85+2.70
n_stocks=10, cost_bps=5, regime_gate=True, holding_days=1
r-sales-growth-rank-jp-all-0015
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.25-0.41+0.19-0.37
n_stocks=10, cost_bps=5, regime_gate=True, holding_days=5
r-sales-growth-rank-jp-all-0016
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.80+1.93-0.10+0.95
n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20
r-sales-growth-rank-jp-all-0017
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.79-0.68-1.85+2.70
n_stocks=10, cost_bps=10, regime_gate=False, holding_days=1
r-sales-growth-rank-jp-all-0018
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.46-0.96-0.12-0.51
n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5
r-sales-growth-rank-jp-all-0019
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.44+1.21-0.21+0.83
n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20
r-sales-growth-rank-jp-all-0020
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.45+0.48-1.92+2.59
n_stocks=10, cost_bps=10, regime_gate=True, holding_days=1
r-sales-growth-rank-jp-all-0021
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.42-0.49-0.12-0.51
n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5
r-sales-growth-rank-jp-all-0022
cost_bps: 10
n_stocks: 10
regime_gate: true
+0.70+1.85-0.21+0.83
n_stocks=10, cost_bps=10, regime_gate=True, holding_days=20
r-sales-growth-rank-jp-all-0023
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.85-0.72-1.92+2.59
n_stocks=20, cost_bps=5, regime_gate=False, holding_days=1
r-sales-growth-rank-jp-all-0024
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.14-0.70+1.18-0.53
n_stocks=20, cost_bps=5, regime_gate=False, holding_days=5
r-sales-growth-rank-jp-all-0025
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.73+3.09+1.11-0.51
n_stocks=20, cost_bps=5, regime_gate=False, holding_days=20
r-sales-growth-rank-jp-all-0026
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.21+0.35-1.13+2.50
n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-sales-growth-rank-jp-all-0036
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.79-0.88-1.06-0.52
n_stocks=50, cost_bps=5, regime_gate=True, holding_days=5
r-sales-growth-rank-jp-all-0040
cost_bps: 5
n_stocks: 50
regime_gate: true
+1.00+1.84+0.09+0.12
n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-sales-growth-rank-jp-all-0042
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.28-1.59-1.58-0.78

対象ユニバース

Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks; fundamentals from J-Quants financial statements (coverage from 2023-12)

関連する戦略

same_strategy:売上成長率ランキング（東証グロース）
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-26T06:05:07
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

関連する戦略