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rejectedno_edge· equity· anomaly· factor· lottery· skewness

歪度アノマリー（東証グロース）のバックテスト

Skewness Anomaly (JP Growth Stocks)

slug: skewness-anomaly-jp-growth

東証グロース（約495銘柄）で歪度アノマリーをバックテストした。320通りの中央値 Sharpe は -0.33。p-value は 0.40。Max DD は -21.7%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +0.61 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）
-0.33
Max DD
-21.7%
勝率
—
Alpha（年率）
—
p-value
0.40
期間: 2022-02-01 → 2026-09-01
320通りの Sharpe:中央値 -0.33最良 0.61 （代表値ではない）最悪 -1.43p25–p75 -0.59–-0.06

仮説

原文は英語。

Boyer, Mitton, Vorkink (2010): stocks with high expected skewness earn lower returns as investors overpay for lottery-like payoffs. LONG lowest skew, SHORT highest skew.

採用しなかった理由

Across 320 grid combinations, median Sharpe=-0.33, best=0.61. Primary failure mode: no_edge.

検証ファクト (5)

Best grid Sharpe ratio is 0.61 (p=0.19).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio0.61
cite ↗ /cite/skewness-anomaly-jp-growth-fact-best-sharpevia r-skewness-anomaly-jp-growth-0160
Median Sharpe across 320 grid runs is -0.33.
Full grid of 320 parameter combinations.
sharpe_ratio-0.33
cite ↗ /cite/skewness-anomaly-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is 0.93 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio0.93
cite ↗ /cite/skewness-anomaly-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is -0.40 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.40
cite ↗ /cite/skewness-anomaly-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -0.34 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.34
cite ↗ /cite/skewness-anomaly-jp-growth-fact-regime-up

検証ラン (30)

runparamssharpeUPFLATDOWN
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-skewness-anomaly-jp-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.25+0.79-0.64+3.48
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-skewness-anomaly-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.43-0.10-0.64+3.48
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-skewness-anomaly-jp-growth-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.44+0.55-0.83+3.09
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-skewness-anomaly-jp-growth-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.61-0.25-0.83+3.09
formation_days=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-skewness-anomaly-jp-growth-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.44-1.13-0.13-1.03
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-skewness-anomaly-jp-growth-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.25+1.22-0.87+1.12
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-skewness-anomaly-jp-growth-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.28+1.27-0.82-1.05
formation_days=20, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False
r-skewness-anomaly-jp-growth-0046
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.81-1.52-0.54-3.19
formation_days=20, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False
r-skewness-anomaly-jp-growth-0060
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.65-0.77-0.52-2.40
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-skewness-anomaly-jp-growth-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.63-0.24-0.67-2.29
formation_days=20, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True
r-skewness-anomaly-jp-growth-0075
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.68-1.09-0.61-0.67
formation_days=40, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True
r-skewness-anomaly-jp-growth-0089
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.01-1.12+0.21+1.83
formation_days=40, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True
r-skewness-anomaly-jp-growth-0103
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.08-0.84-0.06+3.92
formation_days=40, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True
r-skewness-anomaly-jp-growth-0117
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.42-1.18-0.36+1.10
formation_days=40, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True
r-skewness-anomaly-jp-growth-0131
cost_bps: 10
n_stocks: 5
regime_gate: true
-1.15-0.58-1.30-2.28
formation_days=40, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True
r-skewness-anomaly-jp-growth-0135
cost_bps: 10
n_stocks: 10
regime_gate: true
-1.43-2.17-1.40-2.71
formation_days=40, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False
r-skewness-anomaly-jp-growth-0146
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.59+0.22-0.76-1.03
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-skewness-anomaly-jp-growth-0160
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.61+0.98+0.49+1.20
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-skewness-anomaly-jp-growth-0161
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.49+0.35+0.49+1.20
formation_days=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=True
r-skewness-anomaly-jp-growth-0175
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.59-0.58-0.92+1.81
formation_days=60, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=True
r-skewness-anomaly-jp-growth-0189
cost_bps: 5
n_stocks: 50
regime_gate: true
-0.02+0.39-0.43+5.73
formation_days=60, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True
r-skewness-anomaly-jp-growth-0203
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.36-0.95-0.34+1.42
formation_days=60, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True
r-skewness-anomaly-jp-growth-0217
cost_bps: 5
n_stocks: 20
regime_gate: true
-1.02-1.07-1.07-0.70
formation_days=60, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True
r-skewness-anomaly-jp-growth-0231
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.83-1.23-0.93+0.43
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-skewness-anomaly-jp-growth-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.05+0.08+0.01+0.71
formation_days=120, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False
r-skewness-anomaly-jp-growth-0246
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.14-0.45+0.22+1.27
formation_days=120, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False
r-skewness-anomaly-jp-growth-0260
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.33+0.54+0.18+4.62
formation_days=120, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False
r-skewness-anomaly-jp-growth-0274
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.15-0.69+0.03+1.58
formation_days=120, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-skewness-anomaly-jp-growth-0288
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.32-0.98-0.24+5.68
formation_days=120, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-skewness-anomaly-jp-growth-0302
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.34-0.47-0.51+9.56

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: 2026-09-24T21:54:29
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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