トレンドフォロー（米国S&P500）のバックテスト
Trend Following / Donchian Breakout (US S&P 500)
slug: trend-following-us-sp500
米国S&P500（約503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 +0.10。p-value は 0.57。Max DD は -20.6%。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 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）
+0.10
Max DD
-20.6%
勝率
—
Alpha（年率）
—
p-value
0.57
期間: 2022-02-01 → 2026-09-01
768通りの Sharpe:中央値 0.10最良 0.80 （代表値ではない）最悪 -0.87p25–p75 -0.11–0.39
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. Applied to S&P 500 constituents.
採用しなかった理由
Across 768 grid combinations, median Sharpe=0.10, best=0.80. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 0.80 (p=0.085).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/trend-following-us-sp500-fact-best-sharpevia r-trend-following-us-sp500-0013
Median Sharpe across 768 grid runs is 0.10.
Full grid of 768 parameter combinations.
Median Sharpe in DOWN regime is -0.39 across 768 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.17 across 768 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.48 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-us-sp500-0000 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | +0.43 | +0.16 | +0.91 | +0.56 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=True r-trend-following-us-sp500-0001 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | +0.73 | +0.75 | +0.91 | +0.56 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=10, regime_gate=False r-trend-following-us-sp500-0002 | cost_bps: 10 n_stocks: 5 exit_method: "hold" | +0.28 | +0.03 | +0.68 | +0.45 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=10, regime_gate=True r-trend-following-us-sp500-0003 | cost_bps: 10 n_stocks: 5 exit_method: "hold" | +0.60 | +0.67 | +0.68 | +0.45 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=channel_exit, cost_bps=5, regime_gate=False r-trend-following-us-sp500-0004 | cost_bps: 5 n_stocks: 5 exit_method: "channel_exit" | +0.43 | +0.16 | +0.91 | +0.56 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=trailing_mid, cost_bps=5, regime_gate=False r-trend-following-us-sp500-0008 | cost_bps: 5 n_stocks: 5 exit_method: "trailing_mid" | +0.43 | +0.16 | +0.91 | +0.56 |
channel_days=20, holding_days=5, n_stocks=10, exit_method=hold, cost_bps=5, regime_gate=True r-trend-following-us-sp500-0013 | cost_bps: 5 n_stocks: 10 exit_method: "hold" | +0.80 | +0.81 | +0.88 | +0.67 |
channel_days=20, holding_days=5, n_stocks=50, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-us-sp500-0036 | cost_bps: 5 n_stocks: 50 exit_method: "hold" | +0.14 | -0.09 | +0.14 | +0.86 |
channel_days=20, holding_days=5, n_stocks=50, exit_method=trailing_mid, cost_bps=5, regime_gate=False r-trend-following-us-sp500-0044 | cost_bps: 5 n_stocks: 50 exit_method: "trailing_mid" | +0.14 | -0.09 | +0.14 | +0.86 |
channel_days=20, holding_days=10, n_stocks=20, exit_method=trailing_mid, cost_bps=5, regime_gate=True r-trend-following-us-sp500-0081 | cost_bps: 5 n_stocks: 20 exit_method: "trailing_mid" | 0.00 | +0.54 | -0.45 | -0.43 |
channel_days=20, holding_days=20, n_stocks=10, exit_method=trailing_mid, cost_bps=10, regime_gate=False r-trend-following-us-sp500-0118 | cost_bps: 10 n_stocks: 10 exit_method: "trailing_mid" | -0.05 | +0.51 | -0.28 | -1.31 |
channel_days=20, holding_days=60, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-us-sp500-0144 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | +0.23 | +0.44 | +0.07 | -0.15 |
channel_days=20, holding_days=60, n_stocks=10, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-us-sp500-0156 | cost_bps: 5 n_stocks: 10 exit_method: "hold" | -0.06 | -0.02 | -0.10 | -0.21 |
channel_days=40, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=True r-trend-following-us-sp500-0193 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | +0.64 | +0.85 | +0.82 | -0.02 |
channel_days=40, holding_days=5, n_stocks=50, exit_method=hold, cost_bps=10, regime_gate=False r-trend-following-us-sp500-0230 | cost_bps: 10 n_stocks: 50 exit_method: "hold" | +0.05 | +0.02 | +0.11 | -0.02 |
channel_days=40, holding_days=10, n_stocks=20, exit_method=hold, cost_bps=10, regime_gate=True r-trend-following-us-sp500-0267 | cost_bps: 10 n_stocks: 20 exit_method: "hold" | -0.31 | +0.37 | -0.78 | -1.13 |
channel_days=40, holding_days=20, n_stocks=10, exit_method=channel_exit, cost_bps=5, regime_gate=False r-trend-following-us-sp500-0304 | cost_bps: 5 n_stocks: 10 exit_method: "channel_exit" | +0.12 | +0.57 | +0.28 | -0.98 |
channel_days=40, holding_days=60, n_stocks=5, exit_method=channel_exit, cost_bps=5, regime_gate=True r-trend-following-us-sp500-0341 | cost_bps: 5 n_stocks: 5 exit_method: "channel_exit" | +0.54 | +0.78 | +0.63 | -0.39 |
channel_days=40, holding_days=60, n_stocks=50, exit_method=channel_exit, cost_bps=10, regime_gate=False r-trend-following-us-sp500-0378 | cost_bps: 10 n_stocks: 50 exit_method: "channel_exit" | -0.01 | +0.25 | -0.25 | -0.30 |
channel_days=60, holding_days=5, n_stocks=20, exit_method=channel_exit, cost_bps=10, regime_gate=True r-trend-following-us-sp500-0415 | cost_bps: 10 n_stocks: 20 exit_method: "channel_exit" | +0.19 | +0.58 | -0.02 | -0.47 |
channel_days=60, holding_days=10, n_stocks=10, exit_method=trailing_mid, cost_bps=5, regime_gate=False r-trend-following-us-sp500-0452 | cost_bps: 5 n_stocks: 10 exit_method: "trailing_mid" | -0.16 | +0.39 | -0.61 | -0.88 |
channel_days=60, holding_days=10, n_stocks=50, exit_method=hold, cost_bps=10, regime_gate=False r-trend-following-us-sp500-0470 | cost_bps: 10 n_stocks: 50 exit_method: "hold" | -0.87 | -0.07 | -1.56 | -1.21 |
channel_days=60, holding_days=20, n_stocks=5, exit_method=trailing_mid, cost_bps=10, regime_gate=False r-trend-following-us-sp500-0490 | cost_bps: 10 n_stocks: 5 exit_method: "trailing_mid" | -0.05 | +0.46 | -0.21 | -1.06 |
channel_days=60, holding_days=20, n_stocks=50, exit_method=trailing_mid, cost_bps=10, regime_gate=True r-trend-following-us-sp500-0527 | cost_bps: 10 n_stocks: 50 exit_method: "trailing_mid" | -0.16 | +1.07 | -0.92 | -0.74 |
channel_days=60, holding_days=60, n_stocks=50, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-us-sp500-0564 | cost_bps: 5 n_stocks: 50 exit_method: "hold" | -0.11 | +0.23 | -0.38 | -0.51 |
channel_days=120, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-us-sp500-0576 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | +0.65 | +0.47 | +1.23 | +0.21 |
channel_days=120, holding_days=5, n_stocks=20, exit_method=hold, cost_bps=10, regime_gate=False r-trend-following-us-sp500-0602 | cost_bps: 10 n_stocks: 20 exit_method: "hold" | -0.01 | +0.16 | -0.26 | -0.07 |
channel_days=120, holding_days=10, n_stocks=10, exit_method=hold, cost_bps=10, regime_gate=True r-trend-following-us-sp500-0639 | cost_bps: 10 n_stocks: 10 exit_method: "hold" | -0.22 | +0.22 | -0.50 | -0.65 |
channel_days=120, holding_days=20, n_stocks=5, exit_method=channel_exit, cost_bps=5, regime_gate=False r-trend-following-us-sp500-0676 | cost_bps: 5 n_stocks: 5 exit_method: "channel_exit" | +0.48 | +0.67 | +0.84 | -0.41 |
channel_days=120, holding_days=20, n_stocks=50, exit_method=channel_exit, cost_bps=5, regime_gate=True r-trend-following-us-sp500-0713 | cost_bps: 5 n_stocks: 50 exit_method: "channel_exit" | -0.01 | +1.10 | -0.47 | -0.70 |
対象ユニバース
S&P 500 constituents, ~503 stocks
関連する戦略
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:15