トレンドフォロー（東証全銘柄）のバックテスト
Trend Following / Donchian Breakout (JP All Stocks)
slug: trend-following-jp-all
東証全銘柄（約3,747銘柄）でトレンドフォローをバックテストした。768通りの中央値 Sharpe は -0.31。p-value は 0.26。Max DD は -28.1%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +0.80 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）
-0.31
Max DD
-28.1%
勝率
—
Alpha（年率）
—
p-value
0.26
期間: 2022-02-01 → 2026-09-01
768通りの Sharpe:中央値 -0.31最良 0.80 （代表値ではない）最悪 -1.34p25–p75 -0.74–0.08
仮説
原文は英語。
Donchian channel breakout: stocks breaking above N-day highs continue trending. Testing on the full Japanese stock universe.
採用しなかった理由
Across 768 grid combinations, median Sharpe=-0.31, best=0.80. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 0.80 (p=0.086).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/trend-following-jp-all-fact-best-sharpevia r-trend-following-jp-all-0037
Median Sharpe across 768 grid runs is -0.31.
Full grid of 768 parameter combinations.
Median Sharpe in DOWN regime is -0.93 across 768 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is 0.04 across 768 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.55 across 768 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
channel_days=20, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-jp-all-0000 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | -0.48 | -0.68 | +0.11 | -1.62 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=True r-trend-following-jp-all-0001 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | -0.45 | -0.68 | +0.11 | -1.62 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=10, regime_gate=False r-trend-following-jp-all-0002 | cost_bps: 10 n_stocks: 5 exit_method: "hold" | -0.58 | -0.78 | +0.01 | -1.72 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=10, regime_gate=True r-trend-following-jp-all-0003 | cost_bps: 10 n_stocks: 5 exit_method: "hold" | -0.54 | -0.75 | +0.01 | -1.72 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=channel_exit, cost_bps=5, regime_gate=False r-trend-following-jp-all-0004 | cost_bps: 5 n_stocks: 5 exit_method: "channel_exit" | -0.48 | -0.68 | +0.11 | -1.62 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=trailing_mid, cost_bps=5, regime_gate=False r-trend-following-jp-all-0008 | cost_bps: 5 n_stocks: 5 exit_method: "trailing_mid" | -0.48 | -0.68 | +0.11 | -1.62 |
channel_days=20, holding_days=5, n_stocks=50, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-jp-all-0036 | cost_bps: 5 n_stocks: 50 exit_method: "hold" | +0.72 | +0.59 | +0.95 | +0.35 |
channel_days=20, holding_days=5, n_stocks=50, exit_method=hold, cost_bps=5, regime_gate=True r-trend-following-jp-all-0037 | cost_bps: 5 n_stocks: 50 exit_method: "hold" | +0.80 | +0.78 | +0.95 | +0.35 |
channel_days=20, holding_days=5, n_stocks=50, exit_method=trailing_mid, cost_bps=5, regime_gate=False r-trend-following-jp-all-0044 | cost_bps: 5 n_stocks: 50 exit_method: "trailing_mid" | +0.72 | +0.59 | +0.95 | +0.35 |
channel_days=20, holding_days=10, n_stocks=20, exit_method=trailing_mid, cost_bps=5, regime_gate=True r-trend-following-jp-all-0081 | cost_bps: 5 n_stocks: 20 exit_method: "trailing_mid" | -0.01 | -0.01 | +0.53 | -1.28 |
channel_days=20, holding_days=20, n_stocks=10, exit_method=trailing_mid, cost_bps=10, regime_gate=False r-trend-following-jp-all-0118 | cost_bps: 10 n_stocks: 10 exit_method: "trailing_mid" | -1.03 | -1.23 | -0.94 | -0.57 |
channel_days=20, holding_days=60, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-jp-all-0144 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | -0.76 | -1.29 | -0.28 | -0.93 |
channel_days=20, holding_days=60, n_stocks=10, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-jp-all-0156 | cost_bps: 5 n_stocks: 10 exit_method: "hold" | -0.82 | -0.96 | -0.71 | -0.72 |
channel_days=40, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=True r-trend-following-jp-all-0193 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | -0.45 | -1.13 | +0.42 | -1.66 |
channel_days=40, holding_days=5, n_stocks=50, exit_method=hold, cost_bps=10, regime_gate=False r-trend-following-jp-all-0230 | cost_bps: 10 n_stocks: 50 exit_method: "hold" | +0.27 | -0.14 | +0.77 | -0.12 |
channel_days=40, holding_days=10, n_stocks=20, exit_method=hold, cost_bps=10, regime_gate=True r-trend-following-jp-all-0267 | cost_bps: 10 n_stocks: 20 exit_method: "hold" | -0.19 | -0.14 | -0.05 | -0.77 |
channel_days=40, holding_days=20, n_stocks=10, exit_method=channel_exit, cost_bps=5, regime_gate=False r-trend-following-jp-all-0304 | cost_bps: 5 n_stocks: 10 exit_method: "channel_exit" | -0.99 | -1.24 | -0.81 | -0.77 |
channel_days=40, holding_days=60, n_stocks=5, exit_method=channel_exit, cost_bps=5, regime_gate=True r-trend-following-jp-all-0341 | cost_bps: 5 n_stocks: 5 exit_method: "channel_exit" | -0.30 | -0.55 | -0.05 | -0.51 |
channel_days=40, holding_days=60, n_stocks=50, exit_method=channel_exit, cost_bps=10, regime_gate=False r-trend-following-jp-all-0378 | cost_bps: 10 n_stocks: 50 exit_method: "channel_exit" | +0.42 | +0.45 | +0.56 | -0.51 |
channel_days=60, holding_days=5, n_stocks=20, exit_method=channel_exit, cost_bps=10, regime_gate=True r-trend-following-jp-all-0415 | cost_bps: 10 n_stocks: 20 exit_method: "channel_exit" | -0.08 | -0.99 | +0.67 | -0.46 |
channel_days=60, holding_days=10, n_stocks=10, exit_method=trailing_mid, cost_bps=5, regime_gate=False r-trend-following-jp-all-0452 | cost_bps: 5 n_stocks: 10 exit_method: "trailing_mid" | -0.74 | -1.10 | -0.42 | -1.29 |
channel_days=60, holding_days=20, n_stocks=5, exit_method=trailing_mid, cost_bps=5, regime_gate=True r-trend-following-jp-all-0489 | cost_bps: 5 n_stocks: 5 exit_method: "trailing_mid" | -0.92 | -1.42 | -0.76 | -0.57 |
channel_days=60, holding_days=20, n_stocks=50, exit_method=trailing_mid, cost_bps=10, regime_gate=False r-trend-following-jp-all-0526 | cost_bps: 10 n_stocks: 50 exit_method: "trailing_mid" | -0.25 | -0.22 | -0.14 | -0.72 |
channel_days=60, holding_days=60, n_stocks=20, exit_method=trailing_mid, cost_bps=10, regime_gate=True r-trend-following-jp-all-0563 | cost_bps: 10 n_stocks: 20 exit_method: "trailing_mid" | +0.10 | +0.35 | +0.14 | -0.93 |
channel_days=120, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-jp-all-0576 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | -0.80 | -0.49 | -0.75 | -1.81 |
channel_days=120, holding_days=5, n_stocks=20, exit_method=hold, cost_bps=5, regime_gate=True r-trend-following-jp-all-0601 | cost_bps: 5 n_stocks: 20 exit_method: "hold" | +0.09 | -0.67 | +0.70 | +0.38 |
channel_days=120, holding_days=10, n_stocks=10, exit_method=hold, cost_bps=10, regime_gate=False r-trend-following-jp-all-0638 | cost_bps: 10 n_stocks: 10 exit_method: "hold" | -0.82 | -1.09 | -0.42 | -1.82 |
channel_days=120, holding_days=20, n_stocks=5, exit_method=hold, cost_bps=10, regime_gate=True r-trend-following-jp-all-0675 | cost_bps: 10 n_stocks: 5 exit_method: "hold" | -1.34 | -2.07 | -0.66 | -2.02 |
channel_days=120, holding_days=20, n_stocks=5, exit_method=channel_exit, cost_bps=5, regime_gate=False r-trend-following-jp-all-0676 | cost_bps: 5 n_stocks: 5 exit_method: "channel_exit" | -1.23 | -1.82 | -0.61 | -1.93 |
channel_days=120, holding_days=20, n_stocks=50, exit_method=channel_exit, cost_bps=5, regime_gate=True r-trend-following-jp-all-0713 | cost_bps: 5 n_stocks: 50 exit_method: "channel_exit" | +0.30 | +0.39 | +0.52 | -1.14 |
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: 2026-09-26T05:52:48