回転率ファクター（東証全銘柄）のバックテスト
Turnover Factor (JP All Stocks)
slug: turnover-jp-all
東証全銘柄（約3,747銘柄）で回転率ファクターをバックテストした。320通りの中央値 Sharpe は -0.20。p-value は 0.43。Max DD は -27.6%。期間は 2022-05-02〜2026-09-01。最良 Sharpe +0.89 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）
-0.20
Max DD
-27.6%
勝率
—
Alpha（年率）
—
p-value
0.43
期間: 2022-05-02 → 2026-09-01
320通りの Sharpe:中央値 -0.20最良 0.89 （代表値ではない）最悪 -1.25p25–p75 -0.51–0.11
仮説
原文は英語。
Datar, Naik, Radcliffe (1998): low turnover stocks outperform. Testing on the full Japanese stock universe.
採用しなかった理由
Across 320 grid combinations, median Sharpe=-0.20, best=0.89. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 0.89 (p=0.064).
period 2022-05-02–2026-09-01; cost=5bps
cite ↗ /cite/turnover-jp-all-fact-best-sharpevia r-turnover-jp-all-0184
Median Sharpe across 320 grid runs is -0.20.
Full grid of 320 parameter combinations.
Median Sharpe in DOWN regime is -0.11 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.44 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.02 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-turnover-jp-all-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.16 | +0.87 | +0.10 | -1.01 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-turnover-jp-all-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.23 | -0.16 | +0.10 | -1.01 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-turnover-jp-all-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | +0.04 | +0.73 | -0.03 | -1.10 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-turnover-jp-all-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.34 | -0.29 | -0.03 | -1.10 |
formation_days=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-turnover-jp-all-0012 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.20 | -0.04 | -0.40 | -0.03 |
formation_days=10, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-turnover-jp-all-0018 | cost_bps: 10 n_stocks: 5 regime_gate: false | +0.10 | +1.88 | -0.50 | -0.98 |
formation_days=10, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-turnover-jp-all-0032 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.02 | +1.07 | +0.17 | -2.29 |
formation_days=10, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-turnover-jp-all-0046 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.89 | -0.47 | -1.30 | -0.33 |
formation_days=10, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False r-turnover-jp-all-0060 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.32 | -0.14 | -0.77 | +0.70 |
formation_days=10, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-turnover-jp-all-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.09 | +0.05 | +0.32 | -0.54 |
formation_days=10, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True r-turnover-jp-all-0075 | cost_bps: 10 n_stocks: 20 regime_gate: true | -0.48 | -0.56 | -0.52 | +0.07 |
formation_days=20, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True r-turnover-jp-all-0089 | cost_bps: 5 n_stocks: 20 regime_gate: true | +0.09 | -0.02 | +0.22 | +0.05 |
formation_days=20, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True r-turnover-jp-all-0103 | cost_bps: 10 n_stocks: 10 regime_gate: true | -0.08 | +0.32 | -0.43 | +0.24 |
formation_days=20, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True r-turnover-jp-all-0117 | cost_bps: 5 n_stocks: 10 regime_gate: true | -0.57 | -0.39 | -0.72 | -0.53 |
formation_days=20, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True r-turnover-jp-all-0131 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.53 | -0.56 | -0.34 | -1.45 |
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True r-turnover-jp-all-0145 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.49 | -0.34 | -0.64 | -0.34 |
formation_days=20, holding_days=60, n_stocks=50, cost_bps=10, regime_gate=True r-turnover-jp-all-0159 | cost_bps: 10 n_stocks: 50 regime_gate: true | -0.80 | -0.87 | -0.92 | -0.05 |
formation_days=40, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=True r-turnover-jp-all-0173 | cost_bps: 5 n_stocks: 50 regime_gate: true | +0.08 | +0.17 | -0.03 | +0.10 |
formation_days=40, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False r-turnover-jp-all-0184 | cost_bps: 5 n_stocks: 20 regime_gate: false | +0.89 | +1.95 | +0.08 | +0.72 |
formation_days=40, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False r-turnover-jp-all-0188 | cost_bps: 5 n_stocks: 50 regime_gate: false | +0.43 | +1.30 | -0.39 | +0.35 |
formation_days=40, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-turnover-jp-all-0202 | cost_bps: 10 n_stocks: 20 regime_gate: false | -0.26 | +0.87 | -0.90 | -1.32 |
formation_days=40, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-turnover-jp-all-0216 | cost_bps: 5 n_stocks: 20 regime_gate: false | -0.02 | +0.67 | -0.32 | -0.84 |
formation_days=40, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False r-turnover-jp-all-0230 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.42 | +0.12 | -0.70 | -0.43 |
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-turnover-jp-all-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.41 | +0.59 | +0.06 | +0.85 |
formation_days=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True r-turnover-jp-all-0245 | cost_bps: 5 n_stocks: 10 regime_gate: true | +0.23 | -0.04 | +0.40 | +0.38 |
formation_days=60, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True r-turnover-jp-all-0259 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.35 | -0.38 | -0.64 | +0.61 |
formation_days=60, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True r-turnover-jp-all-0273 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.47 | -0.00 | -0.95 | -0.27 |
formation_days=60, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True r-turnover-jp-all-0287 | cost_bps: 10 n_stocks: 50 regime_gate: true | -1.25 | -0.45 | -2.53 | +0.20 |
formation_days=60, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-turnover-jp-all-0288 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.46 | +1.20 | -0.40 | +0.96 |
formation_days=60, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-turnover-jp-all-0302 | cost_bps: 10 n_stocks: 50 regime_gate: false | -1.00 | -0.51 | -1.95 | +0.31 |
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: 2026-09-26T05:54:41