時系列モメンタム（米国S&P500）のバックテスト
Time-Series Momentum (US S&P 500)
slug: ts-momentum-us-sp500
米国S&P500（約503銘柄）で時系列モメンタムをバックテストした。120通りの中央値 Sharpe は -0.31。p-value は 0.39。Max DD は -9.3%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +0.94 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。
何を検証したか
時系列モメンタムは、銘柄どうしの比較ではなく、その銘柄自身の過去リターンが正のときに同じ方向を取る方法です。横断モメンタムとは別のルールです。中央値がマイナスなら、上昇相場の一時期だけ当たった組み合わせを見出しにしてはいけません。
成績の中央値
Sharpe（中央値）
-0.31
Max DD
-9.3%
勝率
—
Alpha（年率）
—
p-value
0.39
期間: 2022-02-01 → 2026-09-01
120通りの Sharpe:中央値 -0.31最良 0.94 （代表値ではない）最悪 -1.44p25–p75 -0.55–-0.03
仮説
原文は英語。
Moskowitz, Ooi, Pedersen (2012): each stock's own past return predicts its future return. Applied to S&P 500 constituents.
採用しなかった理由
Across 120 grid combinations, median Sharpe=-0.31, best=0.94. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 0.94 (p=0.045).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/ts-momentum-us-sp500-fact-best-sharpevia r-ts-momentum-us-sp500-0004
Median Sharpe across 120 grid runs is -0.31.
Full grid of 120 parameter combinations.
Median Sharpe in DOWN regime is -0.07 across 120 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.66 across 120 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.02 across 120 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
formation_days=20, holding_days=1, threshold_pct=0, cost_bps=5 r-ts-momentum-us-sp500-0000 | cost_bps: 5 holding_days: 1 threshold_pct: 0 | +0.36 | +0.45 | +0.16 | +0.53 |
formation_days=20, holding_days=1, threshold_pct=0, cost_bps=10 r-ts-momentum-us-sp500-0001 | cost_bps: 10 holding_days: 1 threshold_pct: 0 | -0.39 | -0.53 | -0.56 | +0.02 |
formation_days=20, holding_days=1, threshold_pct=0.05, cost_bps=5 r-ts-momentum-us-sp500-0002 | cost_bps: 5 holding_days: 1 threshold_pct: 0.05 | +0.63 | +0.89 | +0.29 | +0.70 |
formation_days=20, holding_days=1, threshold_pct=0.1, cost_bps=5 r-ts-momentum-us-sp500-0004 | cost_bps: 5 holding_days: 1 threshold_pct: 0.1 | +0.94 | +1.38 | +0.31 | +1.07 |
formation_days=20, holding_days=5, threshold_pct=0, cost_bps=10 r-ts-momentum-us-sp500-0007 | cost_bps: 10 holding_days: 5 threshold_pct: 0 | -0.42 | -0.20 | -0.97 | +0.24 |
formation_days=20, holding_days=5, threshold_pct=0.1, cost_bps=10 r-ts-momentum-us-sp500-0011 | cost_bps: 10 holding_days: 5 threshold_pct: 0.1 | -0.25 | -0.18 | -0.46 | +0.05 |
formation_days=20, holding_days=10, threshold_pct=0.05, cost_bps=10 r-ts-momentum-us-sp500-0015 | cost_bps: 10 holding_days: 10 threshold_pct: 0.05 | -0.68 | -0.19 | -1.18 | -0.83 |
formation_days=20, holding_days=20, threshold_pct=0, cost_bps=10 r-ts-momentum-us-sp500-0019 | cost_bps: 10 holding_days: 20 threshold_pct: 0 | -0.28 | -0.04 | -0.80 | -0.04 |
formation_days=20, holding_days=20, threshold_pct=0.1, cost_bps=10 r-ts-momentum-us-sp500-0023 | cost_bps: 10 holding_days: 20 threshold_pct: 0.1 | -0.03 | +0.37 | -0.60 | +0.16 |
formation_days=20, holding_days=60, threshold_pct=0, cost_bps=5 r-ts-momentum-us-sp500-0024 | cost_bps: 5 holding_days: 60 threshold_pct: 0 | -0.13 | +0.15 | -0.41 | -0.27 |
formation_days=20, holding_days=60, threshold_pct=0.1, cost_bps=5 r-ts-momentum-us-sp500-0028 | cost_bps: 5 holding_days: 60 threshold_pct: 0.1 | -0.12 | +0.03 | -0.33 | -0.09 |
formation_days=60, holding_days=1, threshold_pct=0.05, cost_bps=5 r-ts-momentum-us-sp500-0032 | cost_bps: 5 holding_days: 1 threshold_pct: 0.05 | +0.01 | +1.22 | -0.81 | -0.62 |
formation_days=60, holding_days=5, threshold_pct=0, cost_bps=5 r-ts-momentum-us-sp500-0036 | cost_bps: 5 holding_days: 5 threshold_pct: 0 | -0.45 | -0.35 | -0.89 | +0.74 |
formation_days=60, holding_days=5, threshold_pct=0.1, cost_bps=5 r-ts-momentum-us-sp500-0040 | cost_bps: 5 holding_days: 5 threshold_pct: 0.1 | -0.18 | -0.18 | -0.43 | +0.60 |
formation_days=60, holding_days=10, threshold_pct=0.05, cost_bps=5 r-ts-momentum-us-sp500-0044 | cost_bps: 5 holding_days: 10 threshold_pct: 0.05 | -0.66 | +0.06 | -1.26 | -0.78 |
formation_days=60, holding_days=20, threshold_pct=0, cost_bps=5 r-ts-momentum-us-sp500-0048 | cost_bps: 5 holding_days: 20 threshold_pct: 0 | -0.49 | -0.21 | -0.65 | -0.70 |
formation_days=60, holding_days=20, threshold_pct=0.1, cost_bps=5 r-ts-momentum-us-sp500-0052 | cost_bps: 5 holding_days: 20 threshold_pct: 0.1 | -0.38 | -0.05 | -0.66 | -0.43 |
formation_days=60, holding_days=60, threshold_pct=0.05, cost_bps=5 r-ts-momentum-us-sp500-0056 | cost_bps: 5 holding_days: 60 threshold_pct: 0.05 | -0.17 | -0.03 | -0.00 | -1.20 |
formation_days=120, holding_days=1, threshold_pct=0, cost_bps=5 r-ts-momentum-us-sp500-0060 | cost_bps: 5 holding_days: 1 threshold_pct: 0 | -0.69 | +0.11 | -1.43 | -1.12 |
formation_days=120, holding_days=1, threshold_pct=0, cost_bps=10 r-ts-momentum-us-sp500-0061 | cost_bps: 10 holding_days: 1 threshold_pct: 0 | -1.44 | -0.84 | -2.21 | -1.58 |
formation_days=120, holding_days=1, threshold_pct=0.1, cost_bps=10 r-ts-momentum-us-sp500-0065 | cost_bps: 10 holding_days: 1 threshold_pct: 0.1 | -0.84 | -0.03 | -1.79 | -0.99 |
formation_days=120, holding_days=5, threshold_pct=0.05, cost_bps=10 r-ts-momentum-us-sp500-0069 | cost_bps: 10 holding_days: 5 threshold_pct: 0.05 | -0.76 | -0.62 | -1.35 | +0.46 |
formation_days=120, holding_days=10, threshold_pct=0, cost_bps=10 r-ts-momentum-us-sp500-0073 | cost_bps: 10 holding_days: 10 threshold_pct: 0 | -1.19 | -0.49 | -1.97 | -1.29 |
formation_days=120, holding_days=10, threshold_pct=0.1, cost_bps=10 r-ts-momentum-us-sp500-0077 | cost_bps: 10 holding_days: 10 threshold_pct: 0.1 | -0.69 | +0.06 | -1.39 | -0.84 |
formation_days=120, holding_days=20, threshold_pct=0.05, cost_bps=10 r-ts-momentum-us-sp500-0081 | cost_bps: 10 holding_days: 20 threshold_pct: 0.05 | -0.49 | -0.33 | -0.56 | -0.74 |
formation_days=120, holding_days=60, threshold_pct=0, cost_bps=10 r-ts-momentum-us-sp500-0085 | cost_bps: 10 holding_days: 60 threshold_pct: 0 | +0.18 | +0.21 | +0.16 | +0.07 |
formation_days=120, holding_days=60, threshold_pct=0.1, cost_bps=10 r-ts-momentum-us-sp500-0089 | cost_bps: 10 holding_days: 60 threshold_pct: 0.1 | +0.21 | +0.22 | +0.24 | +0.06 |
formation_days=250, holding_days=1, threshold_pct=0, cost_bps=5 r-ts-momentum-us-sp500-0090 | cost_bps: 5 holding_days: 1 threshold_pct: 0 | -0.53 | -0.07 | -1.73 | +0.03 |
formation_days=250, holding_days=1, threshold_pct=0.1, cost_bps=5 r-ts-momentum-us-sp500-0094 | cost_bps: 5 holding_days: 1 threshold_pct: 0.1 | -0.51 | -0.11 | -1.24 | -0.34 |
formation_days=250, holding_days=5, threshold_pct=0.05, cost_bps=5 r-ts-momentum-us-sp500-0098 | cost_bps: 5 holding_days: 5 threshold_pct: 0.05 | -0.07 | -0.26 | -0.31 | +1.93 |
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: 2026-09-24T21:54:27