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marginalregime_dependent· equity· reversal· technical· volatility

ボラティリティ比率のリバーサル（東証グロース）のバックテスト

Volatility Ratio Reversal (JP Growth Stocks)

slug: volatility-ratio-reversal-jp-growth

東証グロース（約495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 +0.12。p-value は 0.50。Max DD は -12.4%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +1.37 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。上昇・横ばい・下落で結果が割れ、中央値としては安定しない。

成績の中央値

Sharpe（中央値）
+0.12
Max DD
-12.4%
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 0.12最良 1.37 （代表値ではない）最悪 -1.31p25–p75 -0.16–0.41

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=0.12, best=1.37. Primary failure mode: regime_dependent.

検証ファクト (5)

Best grid Sharpe ratio is 1.37 (p=0.0045).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio1.37
cite ↗ /cite/volatility-ratio-reversal-jp-growth-fact-best-sharpevia r-volatility-ratio-reversal-jp-growth-0396
Median Sharpe across 432 grid runs is 0.12.
Full grid of 432 parameter combinations.
sharpe_ratio0.12
cite ↗ /cite/volatility-ratio-reversal-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is 1.18 across 432 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio1.18
cite ↗ /cite/volatility-ratio-reversal-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is 0.06 across 432 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.06
cite ↗ /cite/volatility-ratio-reversal-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -0.10 across 432 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.10
cite ↗ /cite/volatility-ratio-reversal-jp-growth-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-growth-0000
cost_bps: 5
n_stocks: 5
long_window: 15
+0.06-0.40+0.00+2.38
short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-volatility-ratio-reversal-jp-growth-0001
cost_bps: 5
n_stocks: 5
long_window: 15
-0.09-0.96+0.32-0.22
short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-volatility-ratio-reversal-jp-growth-0002
cost_bps: 5
n_stocks: 5
long_window: 15
+0.47-0.20+0.73+0.80
short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-volatility-ratio-reversal-jp-growth-0003
cost_bps: 5
n_stocks: 5
long_window: 15
-0.09-1.61+0.00+2.38
short_window=3, long_window=15, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-jp-growth-0006
cost_bps: 10
n_stocks: 5
long_window: 15
-0.10-0.56-0.15+2.25
short_window=3, long_window=15, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-jp-growth-0024
cost_bps: 5
n_stocks: 20
long_window: 15
+0.03-1.61+0.38+1.06
short_window=3, long_window=15, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-jp-growth-0036
cost_bps: 5
n_stocks: 50
long_window: 15
-0.04+0.56-0.10-1.60
short_window=3, long_window=15, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=1
r-volatility-ratio-reversal-jp-growth-0045
cost_bps: 10
n_stocks: 50
long_window: 15
-0.52-0.24-0.68-2.12
short_window=3, long_window=20, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20
r-volatility-ratio-reversal-jp-growth-0065
cost_bps: 5
n_stocks: 10
long_window: 20
+0.16-0.42+0.22+1.75
short_window=3, long_window=20, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=5
r-volatility-ratio-reversal-jp-growth-0085
cost_bps: 5
n_stocks: 50
long_window: 20
-0.56-2.19-0.31+2.62
short_window=3, long_window=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-jp-growth-0096
cost_bps: 5
n_stocks: 5
long_window: 40
+0.75-0.25+0.97+2.31
short_window=3, long_window=40, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5
r-volatility-ratio-reversal-jp-growth-0106
cost_bps: 10
n_stocks: 5
long_window: 40
+0.19-2.87+0.60+0.43
short_window=3, long_window=40, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-jp-growth-0126
cost_bps: 10
n_stocks: 20
long_window: 40
-0.05-0.82+0.20+0.14
short_window=5, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-volatility-ratio-reversal-jp-growth-0146
cost_bps: 5
n_stocks: 5
long_window: 15
-0.15+1.29-0.49+0.59
short_window=5, long_window=15, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5
r-volatility-ratio-reversal-jp-growth-0166
cost_bps: 10
n_stocks: 10
long_window: 15
-0.09-0.30-0.10+0.74
short_window=5, long_window=15, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-jp-growth-0186
cost_bps: 10
n_stocks: 50
long_window: 15
-0.71-0.41-0.79-1.13
short_window=5, long_window=20, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20
r-volatility-ratio-reversal-jp-growth-0206
cost_bps: 5
n_stocks: 10
long_window: 20
+0.42+1.12+0.18+3.30
short_window=5, long_window=20, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=5
r-volatility-ratio-reversal-jp-growth-0226
cost_bps: 10
n_stocks: 20
long_window: 20
+0.02-0.36+0.10+2.34
short_window=5, long_window=40, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-jp-growth-0246
cost_bps: 10
n_stocks: 5
long_window: 40
+0.55+0.74+0.37+1.59
short_window=5, long_window=40, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=20
r-volatility-ratio-reversal-jp-growth-0266
cost_bps: 5
n_stocks: 20
long_window: 40
+0.77+0.85+0.69+1.83
short_window=5, long_window=40, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=5
r-volatility-ratio-reversal-jp-growth-0286
cost_bps: 10
n_stocks: 50
long_window: 40
-0.43-0.13-0.73+1.12
short_window=10, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-jp-growth-0288
cost_bps: 5
n_stocks: 5
long_window: 15
-0.34+1.00-0.70-0.54
short_window=10, long_window=15, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5
r-volatility-ratio-reversal-jp-growth-0307
cost_bps: 10
n_stocks: 10
long_window: 15
-0.40+0.13-0.62-0.71
short_window=10, long_window=15, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=1
r-volatility-ratio-reversal-jp-growth-0327
cost_bps: 5
n_stocks: 50
long_window: 15
-0.22-0.24-0.27+0.28
short_window=10, long_window=20, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20
r-volatility-ratio-reversal-jp-growth-0347
cost_bps: 10
n_stocks: 5
long_window: 20
+0.52+1.43-0.09+7.09
short_window=10, long_window=20, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=5
r-volatility-ratio-reversal-jp-growth-0367
cost_bps: 10
n_stocks: 20
long_window: 20
-0.61-0.35-0.58-32.62
short_window=10, long_window=20, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=5
r-volatility-ratio-reversal-jp-growth-0379
cost_bps: 10
n_stocks: 50
long_window: 20
-1.31-1.46-1.28-0.60
short_window=10, long_window=40, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=5
r-volatility-ratio-reversal-jp-growth-0388
cost_bps: 5
n_stocks: 5
long_window: 40
+0.35+1.03+0.24+0.34
short_window=10, long_window=40, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-jp-growth-0396
cost_bps: 5
n_stocks: 10
long_window: 40
+1.37+1.15+1.39+1.47
short_window=10, long_window=40, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=5
r-volatility-ratio-reversal-jp-growth-0409
cost_bps: 5
n_stocks: 20
long_window: 40
-0.50-0.59-0.45-18.15

対象ユニバース

Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY

関連する戦略

same_strategy:ボラティリティ比率のリバーサル（東証全銘柄）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: 2026-09-24T02:22:21
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

関連する戦略