セクターローテーション（東証全銘柄）のバックテスト
Sector Rotation / Sector Momentum (JP All Stocks)
slug: sector-rotation-jp-all
東証全銘柄（約3,747銘柄）でセクターローテーションをバックテストした。384通りの中央値 Sharpe は -0.09。p-value は 0.68。Max DD は -23.7%。期間は 2022-03-01〜2026-09-01。最良 Sharpe +0.50 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）
-0.09
Max DD
-23.7%
勝率
—
Alpha（年率）
—
p-value
0.68
期間: 2022-03-01 → 2026-09-01
384通りの Sharpe:中央値 -0.09最良 0.50 （代表値ではない）最悪 -0.80p25–p75 -0.29–0.08
仮説
原文は英語。
Cross-sectional sector momentum: group stocks by TSE ticker-code sector. Testing on the full Japanese stock universe.
採用しなかった理由
Across 384 grid combinations, median Sharpe=-0.09, best=0.50. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 0.50 (p=0.34).
period 2022-03-01–2026-09-01; cost=5bps
cite ↗ /cite/sector-rotation-jp-all-fact-best-sharpevia r-sector-rotation-jp-all-0685
Median Sharpe across 384 grid runs is -0.09.
Full grid of 384 parameter combinations.
Median Sharpe in DOWN regime is 0.07 across 384 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.14 across 384 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.08 across 384 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
formation_days=20, holding_days=5, n_sectors=2, weighting=equal_sector, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0000 | cost_bps: 5 n_sectors: 2 weighting: "equal_sector" | -0.30 | -0.07 | -0.34 | -0.50 |
formation_days=20, holding_days=5, n_sectors=2, weighting=equal_sector, cost_bps=5, regime_gate=True r-sector-rotation-jp-all-0001 | cost_bps: 5 n_sectors: 2 weighting: "equal_sector" | -0.27 | +0.01 | -0.34 | -0.50 |
formation_days=20, holding_days=5, n_sectors=2, weighting=equal_sector, cost_bps=10, regime_gate=False r-sector-rotation-jp-all-0002 | cost_bps: 10 n_sectors: 2 weighting: "equal_sector" | -0.45 | -0.25 | -0.49 | -0.65 |
formation_days=20, holding_days=5, n_sectors=2, weighting=equal_sector, cost_bps=10, regime_gate=True r-sector-rotation-jp-all-0003 | cost_bps: 10 n_sectors: 2 weighting: "equal_sector" | -0.40 | -0.06 | -0.49 | -0.65 |
formation_days=20, holding_days=5, n_sectors=2, weighting=equal_stock, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0004 | cost_bps: 5 n_sectors: 2 weighting: "equal_stock" | -0.17 | +0.12 | -0.23 | -0.36 |
formation_days=20, holding_days=5, n_sectors=2, weighting=cap_weight, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0008 | cost_bps: 5 n_sectors: 2 weighting: "cap_weight" | -0.34 | -0.90 | -0.16 | +0.14 |
formation_days=20, holding_days=5, n_sectors=3, weighting=equal_sector, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0012 | cost_bps: 5 n_sectors: 3 weighting: "equal_sector" | -0.22 | +0.18 | -0.32 | -0.60 |
formation_days=20, holding_days=10, n_sectors=2, weighting=equal_sector, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0048 | cost_bps: 5 n_sectors: 2 weighting: "equal_sector" | -0.03 | +0.57 | -0.20 | -0.55 |
formation_days=20, holding_days=10, n_sectors=3, weighting=equal_stock, cost_bps=10, regime_gate=False r-sector-rotation-jp-all-0066 | cost_bps: 10 n_sectors: 3 weighting: "equal_stock" | +0.12 | +1.73 | -0.21 | -1.21 |
formation_days=20, holding_days=10, n_sectors=3, weighting=cap_weight, cost_bps=10, regime_gate=False r-sector-rotation-jp-all-0070 | cost_bps: 10 n_sectors: 3 weighting: "cap_weight" | -0.80 | -0.07 | -0.95 | -2.02 |
formation_days=20, holding_days=20, n_sectors=3, weighting=equal_sector, cost_bps=5, regime_gate=True r-sector-rotation-jp-all-0109 | cost_bps: 5 n_sectors: 3 weighting: "equal_sector" | -0.17 | +1.08 | -0.76 | -1.93 |
formation_days=20, holding_days=60, n_sectors=2, weighting=equal_sector, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0144 | cost_bps: 5 n_sectors: 2 weighting: "equal_sector" | -0.06 | -0.60 | +0.29 | +5.15 |
formation_days=20, holding_days=60, n_sectors=2, weighting=cap_weight, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0152 | cost_bps: 5 n_sectors: 2 weighting: "cap_weight" | -0.12 | -0.86 | +0.42 | +4.66 |
formation_days=60, holding_days=5, n_sectors=2, weighting=equal_sector, cost_bps=10, regime_gate=False r-sector-rotation-jp-all-0194 | cost_bps: 10 n_sectors: 2 weighting: "equal_sector" | -0.21 | -0.58 | +0.07 | -0.89 |
formation_days=60, holding_days=5, n_sectors=3, weighting=cap_weight, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0212 | cost_bps: 5 n_sectors: 3 weighting: "cap_weight" | +0.30 | +1.26 | -0.04 | +0.00 |
formation_days=60, holding_days=10, n_sectors=3, weighting=equal_sector, cost_bps=10, regime_gate=False r-sector-rotation-jp-all-0254 | cost_bps: 10 n_sectors: 3 weighting: "equal_sector" | -0.14 | +0.56 | -0.46 | +45.52 |
formation_days=60, holding_days=20, n_sectors=2, weighting=cap_weight, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0296 | cost_bps: 5 n_sectors: 2 weighting: "cap_weight" | +0.36 | +1.00 | +0.04 | -0.22 |
formation_days=60, holding_days=60, n_sectors=2, weighting=equal_sector, cost_bps=10, regime_gate=False r-sector-rotation-jp-all-0338 | cost_bps: 10 n_sectors: 2 weighting: "equal_sector" | +0.09 | +0.16 | +0.00 | +0.61 |
formation_days=60, holding_days=60, n_sectors=3, weighting=cap_weight, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0356 | cost_bps: 5 n_sectors: 3 weighting: "cap_weight" | -0.09 | +0.23 | -0.32 | -0.51 |
formation_days=120, holding_days=5, n_sectors=3, weighting=equal_sector, cost_bps=10, regime_gate=False r-sector-rotation-jp-all-0398 | cost_bps: 10 n_sectors: 3 weighting: "equal_sector" | -0.23 | -0.41 | -0.15 | +0.32 |
formation_days=120, holding_days=10, n_sectors=2, weighting=cap_weight, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0440 | cost_bps: 5 n_sectors: 2 weighting: "cap_weight" | -0.48 | -0.82 | -0.44 | +6.14 |
formation_days=120, holding_days=20, n_sectors=2, weighting=equal_sector, cost_bps=10, regime_gate=False r-sector-rotation-jp-all-0482 | cost_bps: 10 n_sectors: 2 weighting: "equal_sector" | -0.46 | -1.06 | -0.26 | +2.72 |
formation_days=120, holding_days=20, n_sectors=3, weighting=cap_weight, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0500 | cost_bps: 5 n_sectors: 3 weighting: "cap_weight" | -0.51 | +0.29 | -0.79 | -2.02 |
formation_days=120, holding_days=60, n_sectors=3, weighting=equal_sector, cost_bps=10, regime_gate=False r-sector-rotation-jp-all-0542 | cost_bps: 10 n_sectors: 3 weighting: "equal_sector" | -0.18 | -0.62 | +0.04 | +0.14 |
formation_days=250, holding_days=5, n_sectors=2, weighting=equal_sector, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0576 | cost_bps: 5 n_sectors: 2 weighting: "equal_sector" | -0.44 | -1.22 | +0.11 | -1.27 |
formation_days=250, holding_days=5, n_sectors=2, weighting=cap_weight, cost_bps=5, regime_gate=True r-sector-rotation-jp-all-0585 | cost_bps: 5 n_sectors: 2 weighting: "cap_weight" | 0.00 | -1.14 | +0.63 | -0.91 |
formation_days=250, holding_days=10, n_sectors=2, weighting=equal_sector, cost_bps=10, regime_gate=True r-sector-rotation-jp-all-0627 | cost_bps: 10 n_sectors: 2 weighting: "equal_sector" | -0.13 | -0.17 | -0.18 | +0.93 |
formation_days=250, holding_days=10, n_sectors=3, weighting=cap_weight, cost_bps=5, regime_gate=True r-sector-rotation-jp-all-0645 | cost_bps: 5 n_sectors: 3 weighting: "cap_weight" | -0.22 | -0.48 | -0.24 | +1.27 |
formation_days=250, holding_days=20, n_sectors=3, weighting=equal_sector, cost_bps=5, regime_gate=True r-sector-rotation-jp-all-0685 | cost_bps: 5 n_sectors: 3 weighting: "equal_sector" | +0.50 | +0.92 | +0.07 | +1.61 |
formation_days=250, holding_days=20, n_sectors=3, weighting=equal_stock, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0688 | cost_bps: 5 n_sectors: 3 weighting: "equal_stock" | +0.08 | +0.28 | -0.16 | +0.51 |
対象ユニバース
Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 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