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marginalno_edge· equity· cross-sectional· factor· reversal

短期リバーサル（東証グロース）のバックテスト

Short-Term Reversal (JP Growth Stocks)

slug: short-term-reversal-jp-growth

東証グロース（約495銘柄）で短期リバーサルをバックテストした。320通りの中央値 Sharpe は +0.33。p-value は 0.34。Max DD は -23.3%。期間は 2022-01-24〜2026-09-14。最良 Sharpe +2.07 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）
+0.33
Max DD
-23.3%
勝率
—
Alpha（年率）
—
p-value
0.34
期間: 2022-01-24 → 2026-09-14
320通りの Sharpe:中央値 0.33最良 2.07 （代表値ではない）最悪 -1.51p25–p75 -0.06–0.64

仮説

原文は英語。

Jegadeesh (1990): stocks that dropped most over past N days tend to bounce back (and vice versa). LONG worst performers, SHORT best. Tests raw past-return reversal in TSE Growth Market.

採用しなかった理由

Across 320 grid combinations, median Sharpe=0.33, best=2.07. Primary failure mode: no_edge.

検証ファクト (5)

Best grid Sharpe ratio is 2.07 (p=1.2e-05).
period 2022-01-24–2026-09-14; cost=5bps
sharpe_ratio2.07
cite ↗ /cite/short-term-reversal-jp-growth-fact-best-sharpevia r-short-term-reversal-jp-growth-0208
Median Sharpe across 320 grid runs is 0.33.
Full grid of 320 parameter combinations.
sharpe_ratio0.33
cite ↗ /cite/short-term-reversal-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is 1.76 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio1.76
cite ↗ /cite/short-term-reversal-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is 0.93 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.93
cite ↗ /cite/short-term-reversal-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -1.50 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-1.50
cite ↗ /cite/short-term-reversal-jp-growth-fact-regime-up

検証ラン (30)

runparamssharpeUPFLATDOWN
reversal_days=1, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
+1.09+0.12+1.64+0.84
reversal_days=1, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-short-term-reversal-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.77-1.85+1.64+0.84
reversal_days=1, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-short-term-reversal-jp-growth-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.89-0.05+1.43+0.59
reversal_days=1, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-short-term-reversal-jp-growth-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.58-2.00+1.43+0.59
reversal_days=1, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-growth-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.59-0.28+1.05+0.28
reversal_days=1, holding_days=3, n_stocks=5, cost_bps=10, regime_gate=False
r-short-term-reversal-jp-growth-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.84+0.48+0.90+2.28
reversal_days=1, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-growth-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.75+0.11+0.89+2.33
reversal_days=1, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False
r-short-term-reversal-jp-growth-0046
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.27-1.68+0.28+2.05
reversal_days=1, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-growth-0048
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.55-1.93-0.04+0.98
reversal_days=1, holding_days=10, n_stocks=50, cost_bps=5, regime_gate=True
r-short-term-reversal-jp-growth-0061
cost_bps: 5
n_stocks: 50
regime_gate: true
+0.27-0.36+0.65+0.11
reversal_days=2, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=True
r-short-term-reversal-jp-growth-0075
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.46-2.71+0.63-0.96
reversal_days=2, holding_days=3, n_stocks=20, cost_bps=5, regime_gate=True
r-short-term-reversal-jp-growth-0089
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.88-1.54+1.87+1.92
reversal_days=2, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True
r-short-term-reversal-jp-growth-0103
cost_bps: 10
n_stocks: 10
regime_gate: true
+0.30-3.16+1.14+1.62
reversal_days=2, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True
r-short-term-reversal-jp-growth-0117
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.46-1.97+1.04+8.49
reversal_days=3, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-short-term-reversal-jp-growth-0131
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.48-2.98+1.45+0.16
reversal_days=3, holding_days=3, n_stocks=5, cost_bps=5, regime_gate=True
r-short-term-reversal-jp-growth-0145
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.89-3.23+1.89+1.19
reversal_days=3, holding_days=3, n_stocks=50, cost_bps=10, regime_gate=True
r-short-term-reversal-jp-growth-0159
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.42-1.65+0.16+0.67
reversal_days=3, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=True
r-short-term-reversal-jp-growth-0173
cost_bps: 5
n_stocks: 50
regime_gate: true
+0.14-1.83+0.96+1.63
reversal_days=3, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True
r-short-term-reversal-jp-growth-0187
cost_bps: 10
n_stocks: 20
regime_gate: true
+0.64-0.64+0.82+3.38
reversal_days=5, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True
r-short-term-reversal-jp-growth-0201
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.06-2.59+1.14+0.97
reversal_days=5, holding_days=3, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-growth-0208
cost_bps: 5
n_stocks: 5
regime_gate: false
+2.07+1.46+2.29+3.65
reversal_days=5, holding_days=3, n_stocks=20, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-growth-0216
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.78-0.23+1.43+1.05
reversal_days=5, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False
r-short-term-reversal-jp-growth-0230
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.48-0.27+0.70+2.13
reversal_days=5, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-growth-0244
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.18-2.07+0.28+2.56
reversal_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-growth-0256
cost_bps: 5
n_stocks: 5
regime_gate: false
+1.08-0.10+1.25+5.60
reversal_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-short-term-reversal-jp-growth-0259
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.59-2.38+1.03+5.34
reversal_days=10, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=True
r-short-term-reversal-jp-growth-0271
cost_bps: 10
n_stocks: 50
regime_gate: true
-1.51-2.49-1.33+3.36
reversal_days=10, holding_days=3, n_stocks=5, cost_bps=10, regime_gate=False
r-short-term-reversal-jp-growth-0274
cost_bps: 10
n_stocks: 5
regime_gate: false
+1.14+0.11+1.35+3.61
reversal_days=10, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-growth-0288
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.83-0.15+0.98+3.84
reversal_days=10, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False
r-short-term-reversal-jp-growth-0302
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.82-2.16-0.49+2.98

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: 2026-09-24T02:22:14
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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