ボラティリティ・ブレイクアウト（東証グロース）のバックテスト
Volatility Breakout (JP Growth Stocks)
slug: volatility-breakout-jp-growth
東証グロース（約495銘柄）でボラティリティ・ブレイクアウトをバックテストした。720通りの中央値 Sharpe は -0.55。p-value は 0.24。Max DD は -32.9%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +0.67 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）
-0.55
Max DD
-32.9%
勝率
—
Alpha（年率）
—
p-value
0.24
期間: 2022-02-01 → 2026-09-01
720通りの Sharpe:中央値 -0.55最良 0.67 （代表値ではない）最悪 -1.74p25–p75 -0.84–-0.24
仮説
原文は英語。
Stocks with rising short-term ATR relative to long-term ATR are experiencing volatility expansion, signaling breakout opportunities. LONG high ATR-ratio stocks, SHORT low ATR-ratio.
採用しなかった理由
Across 720 grid combinations, median Sharpe=-0.55, best=0.67. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 0.67 (p=0.15).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/volatility-breakout-jp-growth-fact-best-sharpevia r-volatility-breakout-jp-growth-0224
Median Sharpe across 720 grid runs is -0.55.
Full grid of 720 parameter combinations.
Median Sharpe in DOWN regime is -1.05 across 720 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.40 across 720 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.67 across 720 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
atr_short=5, atr_long=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-volatility-breakout-jp-growth-0000 | atr_long: 20 cost_bps: 5 n_stocks: 5 | -1.23 | -2.22 | -0.98 | -2.32 |
atr_short=5, atr_long=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-volatility-breakout-jp-growth-0001 | atr_long: 20 cost_bps: 5 n_stocks: 5 | -1.34 | -2.69 | -0.98 | -2.32 |
atr_short=5, atr_long=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-volatility-breakout-jp-growth-0002 | atr_long: 20 cost_bps: 10 n_stocks: 5 | -1.37 | -2.37 | -1.10 | -2.63 |
atr_short=5, atr_long=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-volatility-breakout-jp-growth-0003 | atr_long: 20 cost_bps: 10 n_stocks: 5 | -1.46 | -2.76 | -1.10 | -2.63 |
atr_short=5, atr_long=20, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=False r-volatility-breakout-jp-growth-0008 | atr_long: 20 cost_bps: 5 n_stocks: 20 | -0.66 | -0.69 | -0.61 | -1.14 |
atr_short=5, atr_long=20, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-volatility-breakout-jp-growth-0036 | atr_long: 20 cost_bps: 5 n_stocks: 5 | -0.76 | -1.32 | -0.47 | -7.94 |
atr_short=5, atr_long=20, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=False r-volatility-breakout-jp-growth-0038 | atr_long: 20 cost_bps: 10 n_stocks: 5 | -0.80 | -1.37 | -0.50 | -8.06 |
atr_short=5, atr_long=40, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=True r-volatility-breakout-jp-growth-0071 | atr_long: 40 cost_bps: 10 n_stocks: 20 | -0.26 | -0.08 | -0.26 | -0.71 |
atr_short=5, atr_long=60, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=False r-volatility-breakout-jp-growth-0104 | atr_long: 60 cost_bps: 5 n_stocks: 20 | -0.32 | -0.80 | -0.18 | -0.39 |
atr_short=5, atr_long=60, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-volatility-breakout-jp-growth-0137 | atr_long: 60 cost_bps: 5 n_stocks: 10 | -0.14 | +0.18 | -0.08 | -7.36 |
atr_short=5, atr_long=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-volatility-breakout-jp-growth-0144 | atr_long: 120 cost_bps: 5 n_stocks: 5 | -0.44 | -1.13 | -0.26 | -0.32 |
atr_short=5, atr_long=120, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=True r-volatility-breakout-jp-growth-0171 | atr_long: 120 cost_bps: 10 n_stocks: 5 | -0.17 | +0.27 | -0.12 | -2.21 |
atr_short=10, atr_long=20, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-volatility-breakout-jp-growth-0204 | atr_long: 20 cost_bps: 5 n_stocks: 5 | -1.10 | -1.01 | -1.24 | +0.06 |
atr_short=10, atr_long=20, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=False r-volatility-breakout-jp-growth-0224 | atr_long: 20 cost_bps: 5 n_stocks: 20 | +0.67 | +0.85 | +0.50 | +2.01 |
atr_short=10, atr_long=20, holding_days=20, n_stocks=20, cost_bps=10, regime_gate=False r-volatility-breakout-jp-growth-0238 | atr_long: 20 cost_bps: 10 n_stocks: 20 | -0.40 | -0.27 | -0.53 | +1.23 |
atr_short=10, atr_long=40, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True r-volatility-breakout-jp-growth-0271 | atr_long: 40 cost_bps: 10 n_stocks: 10 | -0.24 | -0.74 | -0.25 | +0.62 |
atr_short=10, atr_long=60, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False r-volatility-breakout-jp-growth-0304 | atr_long: 60 cost_bps: 5 n_stocks: 10 | -0.17 | -0.59 | -0.05 | -0.58 |
atr_short=10, atr_long=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-volatility-breakout-jp-growth-0337 | atr_long: 120 cost_bps: 5 n_stocks: 5 | -0.51 | -0.95 | -0.37 | -0.08 |
atr_short=10, atr_long=120, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-volatility-breakout-jp-growth-0370 | atr_long: 120 cost_bps: 10 n_stocks: 20 | +0.48 | +0.57 | +0.35 | +1.68 |
atr_short=14, atr_long=20, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True r-volatility-breakout-jp-growth-0403 | atr_long: 20 cost_bps: 10 n_stocks: 10 | -0.54 | -1.10 | -0.13 | -2.84 |
atr_short=14, atr_long=40, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False r-volatility-breakout-jp-growth-0436 | atr_long: 40 cost_bps: 5 n_stocks: 10 | -1.36 | -1.48 | -1.33 | -1.08 |
atr_short=14, atr_long=40, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True r-volatility-breakout-jp-growth-0469 | atr_long: 40 cost_bps: 5 n_stocks: 5 | -0.78 | -1.76 | -0.25 | -4.18 |
atr_short=14, atr_long=60, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=False r-volatility-breakout-jp-growth-0502 | atr_long: 60 cost_bps: 10 n_stocks: 20 | -0.68 | -2.77 | -0.03 | -1.68 |
atr_short=14, atr_long=120, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True r-volatility-breakout-jp-growth-0535 | atr_long: 120 cost_bps: 10 n_stocks: 10 | -0.96 | -1.10 | -0.93 | -0.70 |
atr_short=14, atr_long=120, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False r-volatility-breakout-jp-growth-0538 | atr_long: 120 cost_bps: 10 n_stocks: 20 | -1.74 | -1.84 | -1.70 | -1.26 |
atr_short=14, atr_long=120, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-volatility-breakout-jp-growth-0569 | atr_long: 120 cost_bps: 5 n_stocks: 10 | -0.80 | -0.93 | -0.68 | -1.42 |
atr_short=20, atr_long=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-volatility-breakout-jp-growth-0576 | atr_long: 40 cost_bps: 5 n_stocks: 5 | -0.93 | -0.09 | -1.29 | -1.80 |
atr_short=20, atr_long=40, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=True r-volatility-breakout-jp-growth-0603 | atr_long: 40 cost_bps: 10 n_stocks: 5 | -0.86 | -1.62 | -0.64 | -1.55 |
atr_short=20, atr_long=60, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-volatility-breakout-jp-growth-0636 | atr_long: 60 cost_bps: 5 n_stocks: 5 | -0.57 | -0.43 | -0.63 | -0.71 |
atr_short=20, atr_long=60, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True r-volatility-breakout-jp-growth-0669 | atr_long: 60 cost_bps: 5 n_stocks: 20 | -0.50 | +0.55 | -1.31 | +5.41 |
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