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rejectedno_edge· equity· reversal· technical· volatility

ボラティリティ比率のリバーサル（東証全銘柄）のバックテスト

Volatility Ratio Reversal (JP All Stocks)

slug: volatility-ratio-reversal-jp-all

東証全銘柄（約3,747銘柄）でボラティリティ比率のリバーサルをバックテストした。432通りの中央値 Sharpe は -0.01。p-value は 0.50。Max DD は -10.5%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +1.52 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）
-0.01
Max DD
-10.5%
勝率
—
Alpha（年率）
—
p-value
0.50
期間: 2022-02-01 → 2026-09-01
432通りの Sharpe:中央値 -0.01最良 1.52 （代表値ではない）最悪 -1.22p25–p75 -0.31–0.34

仮説

原文は英語。

When short-window realized volatility spikes relative to the long-window baseline (high vol ratio), prices have typically overreacted; buying the dislocated side tests whether the spike mean-reverts within the holding period.

採用しなかった理由

Across 432 grid combinations, median Sharpe=-0.01, best=1.52. Primary failure mode: no_edge.

検証ファクト (5)

Best grid Sharpe ratio is 1.52 (p=0.0019).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio1.52
cite ↗ /cite/volatility-ratio-reversal-jp-all-fact-best-sharpevia r-volatility-ratio-reversal-jp-all-0125
Median Sharpe across 432 grid runs is -0.01.
Full grid of 432 parameter combinations.
sharpe_ratio-0.01
cite ↗ /cite/volatility-ratio-reversal-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is -0.65 across 432 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.65
cite ↗ /cite/volatility-ratio-reversal-jp-all-fact-regime-down
Median Sharpe in FLAT regime is 0.21 across 432 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.21
cite ↗ /cite/volatility-ratio-reversal-jp-all-fact-regime-flat
Median Sharpe in UP regime is 0.23 across 432 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.23
cite ↗ /cite/volatility-ratio-reversal-jp-all-fact-regime-up

検証ラン (30)

runparamssharpeUPFLATDOWN
short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-jp-all-0000
cost_bps: 5
n_stocks: 5
long_window: 15
-0.26-0.17+0.29-1.25
short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-volatility-ratio-reversal-jp-all-0001
cost_bps: 5
n_stocks: 5
long_window: 15
-0.02+0.10+1.13-2.39
short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-volatility-ratio-reversal-jp-all-0002
cost_bps: 5
n_stocks: 5
long_window: 15
+0.79+1.41+0.93-0.67
short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-volatility-ratio-reversal-jp-all-0003
cost_bps: 5
n_stocks: 5
long_window: 15
-0.36-0.80+0.29-1.25
short_window=3, long_window=15, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-jp-all-0006
cost_bps: 10
n_stocks: 5
long_window: 15
-0.46-0.42+0.08-1.38
short_window=3, long_window=15, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-jp-all-0024
cost_bps: 5
n_stocks: 20
long_window: 15
-0.15+1.21-0.27-1.33
short_window=3, long_window=15, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-jp-all-0036
cost_bps: 5
n_stocks: 50
long_window: 15
-0.28+0.05+0.21-1.42
short_window=3, long_window=15, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=1
r-volatility-ratio-reversal-jp-all-0045
cost_bps: 10
n_stocks: 50
long_window: 15
-0.60-0.30-0.32-1.76
short_window=3, long_window=20, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20
r-volatility-ratio-reversal-jp-all-0065
cost_bps: 5
n_stocks: 10
long_window: 20
+0.68+0.96+0.99-0.67
short_window=3, long_window=20, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=5
r-volatility-ratio-reversal-jp-all-0085
cost_bps: 5
n_stocks: 50
long_window: 20
-0.29-0.46+0.77-1.81
short_window=3, long_window=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-jp-all-0096
cost_bps: 5
n_stocks: 5
long_window: 40
+0.39+0.88+0.42-0.19
short_window=3, long_window=40, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5
r-volatility-ratio-reversal-jp-all-0106
cost_bps: 10
n_stocks: 5
long_window: 40
-0.18-0.47+0.13-0.63
short_window=3, long_window=40, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=20
r-volatility-ratio-reversal-jp-all-0125
cost_bps: 5
n_stocks: 20
long_window: 40
+1.52+1.24+1.58+1.95
short_window=3, long_window=40, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=5
r-volatility-ratio-reversal-jp-all-0127
cost_bps: 10
n_stocks: 20
long_window: 40
-0.10+0.02+0.50-1.51
short_window=5, long_window=15, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-volatility-ratio-reversal-jp-all-0147
cost_bps: 5
n_stocks: 5
long_window: 15
-0.31+0.42-0.65-0.97
short_window=5, long_window=15, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=20
r-volatility-ratio-reversal-jp-all-0167
cost_bps: 10
n_stocks: 10
long_window: 15
-0.16+0.31-0.14-0.64
short_window=5, long_window=15, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=5
r-volatility-ratio-reversal-jp-all-0187
cost_bps: 10
n_stocks: 50
long_window: 15
-0.70-0.71-0.35-1.35
short_window=5, long_window=20, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=1
r-volatility-ratio-reversal-jp-all-0207
cost_bps: 5
n_stocks: 10
long_window: 20
-0.20+0.50-0.38-0.78
short_window=5, long_window=20, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=20
r-volatility-ratio-reversal-jp-all-0227
cost_bps: 10
n_stocks: 20
long_window: 20
+0.06+0.41+0.20-1.02
short_window=5, long_window=40, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5
r-volatility-ratio-reversal-jp-all-0247
cost_bps: 10
n_stocks: 5
long_window: 40
+0.64+1.14+0.81-0.59
short_window=5, long_window=40, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=1
r-volatility-ratio-reversal-jp-all-0267
cost_bps: 5
n_stocks: 20
long_window: 40
-0.06-0.05+0.02-0.21
short_window=5, long_window=40, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=20
r-volatility-ratio-reversal-jp-all-0287
cost_bps: 10
n_stocks: 50
long_window: 40
+0.93+0.88+0.91+1.32
short_window=10, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-jp-all-0288
cost_bps: 5
n_stocks: 5
long_window: 15
-0.05+0.16-0.49+0.51
short_window=10, long_window=15, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20
r-volatility-ratio-reversal-jp-all-0308
cost_bps: 10
n_stocks: 10
long_window: 15
+0.33+0.73+0.19-0.35
short_window=10, long_window=15, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=5
r-volatility-ratio-reversal-jp-all-0328
cost_bps: 5
n_stocks: 50
long_window: 15
-0.06+0.27-0.30-0.15
short_window=10, long_window=15, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-jp-all-0330
cost_bps: 10
n_stocks: 50
long_window: 15
-1.22-0.80-1.90-0.83
short_window=10, long_window=20, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=5
r-volatility-ratio-reversal-jp-all-0349
cost_bps: 5
n_stocks: 10
long_window: 20
+0.07+0.31+0.21-0.84
short_window=10, long_window=20, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=1
r-volatility-ratio-reversal-jp-all-0369
cost_bps: 10
n_stocks: 20
long_window: 20
-0.68-0.63-1.02+0.19
short_window=10, long_window=40, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20
r-volatility-ratio-reversal-jp-all-0389
cost_bps: 5
n_stocks: 5
long_window: 40
+0.25+0.54+0.62-1.08
short_window=10, long_window=40, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=5
r-volatility-ratio-reversal-jp-all-0409
cost_bps: 5
n_stocks: 20
long_window: 40
+0.59+0.42+0.88+0.18

対象ユニバース

Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks

関連する戦略

same_strategy:ボラティリティ比率のリバーサル（東証グロース）same_strategy:ボラティリティ比率のリバーサル（米国S&P500）
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-26T06:02:32
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

関連する戦略