トレンドフォロー（東証グロース）のバックテスト
Trend Following / Donchian Breakout (JP Growth Stocks)
slug: trend-following-jp-growth
東証グロース（約495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 -0.16。p-value は 0.64。Max DD は -31.0%。期間は 2022-02-01〜2026-09-01。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）
-0.16
Max DD
-31.0%
勝率
—
Alpha（年率）
—
p-value
0.64
期間: 2022-02-01 → 2026-09-01
768通りの Sharpe:中央値 -0.16最良 0.50 （代表値ではない）最悪 -1.07p25–p75 -0.31–-0.05
仮説
原文は英語。
Donchian channel breakout: stocks breaking above N-day highs continue trending. LONG breakout stocks with configurable exit methods (hold, channel exit, trailing midline).
採用しなかった理由
Across 768 grid combinations, median Sharpe=-0.16, best=0.50. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 0.50 (p=0.28).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/trend-following-jp-growth-fact-best-sharpevia r-trend-following-jp-growth-0060
Median Sharpe across 768 grid runs is -0.16.
Full grid of 768 parameter combinations.
Median Sharpe in DOWN regime is -0.73 across 768 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.28 across 768 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.22 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-growth-0000 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | -0.03 | -0.12 | +0.08 | -1.83 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=True r-trend-following-jp-growth-0001 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | -0.07 | -0.29 | +0.08 | -1.83 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=10, regime_gate=False r-trend-following-jp-growth-0002 | cost_bps: 10 n_stocks: 5 exit_method: "hold" | -0.11 | -0.21 | +0.01 | -1.95 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=10, regime_gate=True r-trend-following-jp-growth-0003 | cost_bps: 10 n_stocks: 5 exit_method: "hold" | -0.14 | -0.33 | +0.01 | -1.95 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=channel_exit, cost_bps=5, regime_gate=False r-trend-following-jp-growth-0004 | cost_bps: 5 n_stocks: 5 exit_method: "channel_exit" | -0.03 | -0.12 | +0.08 | -1.83 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=trailing_mid, cost_bps=5, regime_gate=False r-trend-following-jp-growth-0008 | cost_bps: 5 n_stocks: 5 exit_method: "trailing_mid" | -0.03 | -0.12 | +0.08 | -1.83 |
channel_days=20, holding_days=5, n_stocks=50, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-jp-growth-0036 | cost_bps: 5 n_stocks: 50 exit_method: "hold" | -0.48 | -0.12 | -0.50 | -1.67 |
channel_days=20, holding_days=5, n_stocks=50, exit_method=channel_exit, cost_bps=10, regime_gate=True r-trend-following-jp-growth-0043 | cost_bps: 10 n_stocks: 50 exit_method: "channel_exit" | -0.61 | +0.25 | -0.83 | -1.89 |
channel_days=20, holding_days=10, n_stocks=10, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-jp-growth-0060 | cost_bps: 5 n_stocks: 10 exit_method: "hold" | +0.50 | +1.16 | +0.24 | -0.60 |
channel_days=20, holding_days=10, n_stocks=20, exit_method=trailing_mid, cost_bps=5, regime_gate=True r-trend-following-jp-growth-0081 | cost_bps: 5 n_stocks: 20 exit_method: "trailing_mid" | +0.01 | +0.49 | -0.21 | +0.37 |
channel_days=20, holding_days=20, n_stocks=10, exit_method=trailing_mid, cost_bps=10, regime_gate=False r-trend-following-jp-growth-0118 | cost_bps: 10 n_stocks: 10 exit_method: "trailing_mid" | +0.07 | +0.45 | +0.03 | -2.44 |
channel_days=20, holding_days=60, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-jp-growth-0144 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | -0.10 | -0.43 | -0.04 | +0.08 |
channel_days=20, holding_days=60, n_stocks=10, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-jp-growth-0156 | cost_bps: 5 n_stocks: 10 exit_method: "hold" | -0.21 | -1.21 | -0.08 | +0.25 |
channel_days=40, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=True r-trend-following-jp-growth-0193 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | -0.36 | -1.48 | -0.00 | -0.99 |
channel_days=40, holding_days=5, n_stocks=50, exit_method=hold, cost_bps=10, regime_gate=False r-trend-following-jp-growth-0230 | cost_bps: 10 n_stocks: 50 exit_method: "hold" | -1.07 | -0.85 | -1.05 | -1.69 |
channel_days=40, holding_days=5, n_stocks=50, exit_method=hold, cost_bps=10, regime_gate=True r-trend-following-jp-growth-0231 | cost_bps: 10 n_stocks: 50 exit_method: "hold" | -0.78 | +0.21 | -1.05 | -1.69 |
channel_days=40, holding_days=10, n_stocks=20, exit_method=channel_exit, cost_bps=5, regime_gate=False r-trend-following-jp-growth-0268 | cost_bps: 5 n_stocks: 20 exit_method: "channel_exit" | +0.25 | +0.90 | +0.01 | +0.41 |
channel_days=40, holding_days=20, n_stocks=10, exit_method=channel_exit, cost_bps=5, regime_gate=True r-trend-following-jp-growth-0305 | cost_bps: 5 n_stocks: 10 exit_method: "channel_exit" | 0.00 | +0.74 | -0.23 | -0.96 |
channel_days=40, holding_days=60, n_stocks=5, exit_method=channel_exit, cost_bps=10, regime_gate=False r-trend-following-jp-growth-0342 | cost_bps: 10 n_stocks: 5 exit_method: "channel_exit" | +0.04 | -0.57 | +0.20 | +0.02 |
channel_days=40, holding_days=60, n_stocks=50, exit_method=channel_exit, cost_bps=10, regime_gate=True r-trend-following-jp-growth-0379 | cost_bps: 10 n_stocks: 50 exit_method: "channel_exit" | -0.34 | -0.53 | -0.25 | -2.64 |
channel_days=60, holding_days=5, n_stocks=20, exit_method=trailing_mid, cost_bps=5, regime_gate=False r-trend-following-jp-growth-0416 | cost_bps: 5 n_stocks: 20 exit_method: "trailing_mid" | -0.48 | -0.42 | -0.37 | -1.97 |
channel_days=60, holding_days=10, n_stocks=10, exit_method=trailing_mid, cost_bps=5, regime_gate=True r-trend-following-jp-growth-0453 | cost_bps: 5 n_stocks: 10 exit_method: "trailing_mid" | +0.04 | +0.94 | -0.56 | +1.02 |
channel_days=60, holding_days=20, n_stocks=5, exit_method=trailing_mid, cost_bps=10, regime_gate=False r-trend-following-jp-growth-0490 | cost_bps: 10 n_stocks: 5 exit_method: "trailing_mid" | -0.22 | +0.99 | -0.67 | -1.44 |
channel_days=60, holding_days=20, n_stocks=50, exit_method=trailing_mid, cost_bps=10, regime_gate=True r-trend-following-jp-growth-0527 | cost_bps: 10 n_stocks: 50 exit_method: "trailing_mid" | -0.41 | +0.09 | -0.59 | -1.90 |
channel_days=60, holding_days=60, n_stocks=50, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-jp-growth-0564 | cost_bps: 5 n_stocks: 50 exit_method: "hold" | +0.12 | +0.29 | +0.10 | -0.50 |
channel_days=120, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-jp-growth-0576 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | -0.03 | +0.85 | -0.54 | -0.20 |
channel_days=120, holding_days=5, n_stocks=20, exit_method=hold, cost_bps=10, regime_gate=False r-trend-following-jp-growth-0602 | cost_bps: 10 n_stocks: 20 exit_method: "hold" | -0.63 | +0.14 | -0.77 | -2.07 |
channel_days=120, holding_days=10, n_stocks=10, exit_method=hold, cost_bps=10, regime_gate=True r-trend-following-jp-growth-0639 | cost_bps: 10 n_stocks: 10 exit_method: "hold" | -0.09 | +0.71 | -0.58 | +0.32 |
channel_days=120, holding_days=20, n_stocks=5, exit_method=channel_exit, cost_bps=5, regime_gate=False r-trend-following-jp-growth-0676 | cost_bps: 5 n_stocks: 5 exit_method: "channel_exit" | -0.23 | +0.62 | -0.68 | +0.53 |
channel_days=120, holding_days=20, n_stocks=50, exit_method=channel_exit, cost_bps=5, regime_gate=True r-trend-following-jp-growth-0713 | cost_bps: 5 n_stocks: 50 exit_method: "channel_exit" | -0.10 | +0.22 | -0.18 | -1.78 |
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: 2026-09-24T21:54:27