レジームゲート付き短期リバーサル（東証グロース）のバックテスト
Short-Term Reversal Regime-Gated (JP Growth Stocks)
slug: short-term-reversal-regime-gated-jp-growth
東証グロース（約495銘柄）でレジームゲート付き短期リバーサルをバックテストした。81通りの中央値 Sharpe は +0.46。p-value は 0.64。Max DD は -5.0%。期間は 2023-07-03〜2024-06-24。最良 Sharpe +2.65 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）
+0.46
Max DD
-5.0%
勝率
—
Alpha（年率）
—
p-value
0.64
期間: 2023-07-03 → 2024-06-24
81通りの Sharpe:中央値 0.46最良 2.65 （代表値ではない）最悪 -1.04p25–p75 0.09–1.00
仮説
原文は英語。
Short-term reversal confined to FLAT regime removes UP-regime drag (UP=-0.11) and achieves positive median Sharpe. Phase 1 showed overall median 0.30 (marginal) with FLAT=1.77 but UP=-0.11.
採用しなかった理由
Across 81 grid combinations, median Sharpe=0.46, best=2.65. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 2.65 (p=0.072).
period 2023-07-03–2024-06-24; cost=5.0bps
cite ↗ /cite/short-term-reversal-regime-gated-jp-growth-fact-best-sharpevia r-short-term-reversal-regime-gated-jp-growth-0028
Median Sharpe across 81 grid runs is 0.46.
Full grid of 81 parameter combinations.
Median Sharpe in DOWN regime is -0.34 across 81 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is 0.83 across 81 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.19 across 81 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
regime_gate=ALL, lookback=3, n_positions=10 r-short-term-reversal-regime-gated-jp-growth-0000 | lookback: 3 n_positions: 10 regime_gate: "ALL" | +0.51 | -0.35 | +1.00 | +0.31 |
regime_gate=ALL, lookback=3, n_positions=10 r-short-term-reversal-regime-gated-jp-growth-0001 | lookback: 3 n_positions: 10 regime_gate: "ALL" | +1.28 | +0.67 | +2.65 | +0.49 |
regime_gate=ALL, lookback=3, n_positions=15 r-short-term-reversal-regime-gated-jp-growth-0004 | lookback: 3 n_positions: 15 regime_gate: "ALL" | +0.38 | +0.53 | +1.08 | -0.90 |
regime_gate=ALL, lookback=3, n_positions=20 r-short-term-reversal-regime-gated-jp-growth-0006 | lookback: 3 n_positions: 20 regime_gate: "ALL" | +0.17 | -1.34 | +0.92 | +1.23 |
regime_gate=ALL, lookback=3, n_positions=20 r-short-term-reversal-regime-gated-jp-growth-0008 | lookback: 3 n_positions: 20 regime_gate: "ALL" | -0.05 | -0.14 | -0.46 | — |
regime_gate=ALL, lookback=5, n_positions=10 r-short-term-reversal-regime-gated-jp-growth-0011 | lookback: 5 n_positions: 10 regime_gate: "ALL" | -0.04 | -0.67 | +1.53 | — |
regime_gate=ALL, lookback=5, n_positions=15 r-short-term-reversal-regime-gated-jp-growth-0014 | lookback: 5 n_positions: 15 regime_gate: "ALL" | -0.15 | -0.31 | +0.25 | — |
regime_gate=ALL, lookback=5, n_positions=20 r-short-term-reversal-regime-gated-jp-growth-0017 | lookback: 5 n_positions: 20 regime_gate: "ALL" | -0.45 | -0.60 | +0.09 | — |
regime_gate=ALL, lookback=10, n_positions=10 r-short-term-reversal-regime-gated-jp-growth-0018 | lookback: 10 n_positions: 10 regime_gate: "ALL" | -0.49 | -1.12 | -0.23 | +0.05 |
regime_gate=ALL, lookback=10, n_positions=15 r-short-term-reversal-regime-gated-jp-growth-0021 | lookback: 10 n_positions: 15 regime_gate: "ALL" | -0.13 | -0.09 | -0.04 | -0.50 |
regime_gate=ALL, lookback=10, n_positions=20 r-short-term-reversal-regime-gated-jp-growth-0024 | lookback: 10 n_positions: 20 regime_gate: "ALL" | -0.50 | -0.32 | -0.27 | -1.55 |
regime_gate=FLAT-only, lookback=3, n_positions=10 r-short-term-reversal-regime-gated-jp-growth-0027 | lookback: 3 n_positions: 10 regime_gate: "FLAT-only" | +1.00 | — | +1.00 | — |
regime_gate=FLAT-only, lookback=3, n_positions=10 r-short-term-reversal-regime-gated-jp-growth-0028 | lookback: 3 n_positions: 10 regime_gate: "FLAT-only" | +2.65 | — | +2.65 | — |
regime_gate=FLAT-only, lookback=3, n_positions=10 r-short-term-reversal-regime-gated-jp-growth-0029 | lookback: 3 n_positions: 10 regime_gate: "FLAT-only" | +1.53 | — | +1.53 | — |
regime_gate=FLAT-only, lookback=3, n_positions=15 r-short-term-reversal-regime-gated-jp-growth-0032 | lookback: 3 n_positions: 15 regime_gate: "FLAT-only" | +0.98 | — | +0.98 | — |
regime_gate=FLAT-only, lookback=3, n_positions=20 r-short-term-reversal-regime-gated-jp-growth-0035 | lookback: 3 n_positions: 20 regime_gate: "FLAT-only" | -0.46 | — | -0.46 | — |
regime_gate=FLAT-only, lookback=5, n_positions=10 r-short-term-reversal-regime-gated-jp-growth-0038 | lookback: 5 n_positions: 10 regime_gate: "FLAT-only" | +1.53 | — | +1.53 | — |
regime_gate=FLAT-only, lookback=5, n_positions=15 r-short-term-reversal-regime-gated-jp-growth-0041 | lookback: 5 n_positions: 15 regime_gate: "FLAT-only" | +0.25 | — | +0.25 | — |
regime_gate=FLAT-only, lookback=5, n_positions=20 r-short-term-reversal-regime-gated-jp-growth-0044 | lookback: 5 n_positions: 20 regime_gate: "FLAT-only" | +0.09 | — | +0.09 | — |
regime_gate=FLAT-only, lookback=10, n_positions=10 r-short-term-reversal-regime-gated-jp-growth-0047 | lookback: 10 n_positions: 10 regime_gate: "FLAT-only" | +2.23 | — | +2.23 | — |
regime_gate=FLAT-only, lookback=10, n_positions=15 r-short-term-reversal-regime-gated-jp-growth-0050 | lookback: 10 n_positions: 15 regime_gate: "FLAT-only" | +2.21 | — | +2.21 | — |
regime_gate=FLAT-only, lookback=10, n_positions=20 r-short-term-reversal-regime-gated-jp-growth-0052 | lookback: 10 n_positions: 20 regime_gate: "FLAT-only" | -1.04 | — | -1.04 | — |
regime_gate=FLAT+DOWN, lookback=3, n_positions=10 r-short-term-reversal-regime-gated-jp-growth-0054 | lookback: 3 n_positions: 10 regime_gate: "FLAT+DOWN" | +0.90 | — | +1.00 | +0.31 |
regime_gate=FLAT+DOWN, lookback=3, n_positions=15 r-short-term-reversal-regime-gated-jp-growth-0057 | lookback: 3 n_positions: 15 regime_gate: "FLAT+DOWN" | +0.44 | — | +0.74 | -1.23 |
regime_gate=FLAT+DOWN, lookback=3, n_positions=20 r-short-term-reversal-regime-gated-jp-growth-0060 | lookback: 3 n_positions: 20 regime_gate: "FLAT+DOWN" | +0.96 | — | +0.92 | +1.23 |
regime_gate=FLAT+DOWN, lookback=5, n_positions=10 r-short-term-reversal-regime-gated-jp-growth-0063 | lookback: 5 n_positions: 10 regime_gate: "FLAT+DOWN" | -0.59 | — | -0.13 | -2.71 |
regime_gate=FLAT+DOWN, lookback=5, n_positions=15 r-short-term-reversal-regime-gated-jp-growth-0066 | lookback: 5 n_positions: 15 regime_gate: "FLAT+DOWN" | +0.14 | — | +0.37 | -0.95 |
regime_gate=FLAT+DOWN, lookback=5, n_positions=20 r-short-term-reversal-regime-gated-jp-growth-0069 | lookback: 5 n_positions: 20 regime_gate: "FLAT+DOWN" | +0.56 | — | +0.91 | -1.72 |
regime_gate=FLAT+DOWN, lookback=10, n_positions=10 r-short-term-reversal-regime-gated-jp-growth-0072 | lookback: 10 n_positions: 10 regime_gate: "FLAT+DOWN" | -0.17 | — | -0.23 | +0.05 |
regime_gate=FLAT+DOWN, lookback=10, n_positions=15 r-short-term-reversal-regime-gated-jp-growth-0075 | lookback: 10 n_positions: 15 regime_gate: "FLAT+DOWN" | -0.15 | — | -0.04 | -0.50 |
対象ユニバース
Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY
関連する戦略
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:16