qbuntuqbuntu
rejectedno_edge· equity· reversal· technical· volatility

ボラティリティ比率のリバーサル（米国S&P500）のバックテスト

Volatility Ratio Reversal (US S&P 500)

slug: volatility-ratio-reversal-us-sp500

米国S&P500（約503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 -0.31。p-value は 0.43。Max DD は -10.9%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +0.80 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）
-0.31
Max DD
-10.9%
勝率
—
Alpha（年率）
—
p-value
0.43
期間: 2022-02-01 → 2026-09-01
432通りの Sharpe:中央値 -0.31最良 0.80 （代表値ではない）最悪 -2.04p25–p75 -0.61–-0.06

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=-0.31, best=0.80. Primary failure mode: no_edge.

検証ファクト (5)

Best grid Sharpe ratio is 0.80 (p=0.088).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio0.80
cite ↗ /cite/volatility-ratio-reversal-us-sp500-fact-best-sharpevia r-volatility-ratio-reversal-us-sp500-0386
Median Sharpe across 432 grid runs is -0.31.
Full grid of 432 parameter combinations.
sharpe_ratio-0.31
cite ↗ /cite/volatility-ratio-reversal-us-sp500-fact-median-sharpe
Median Sharpe in DOWN regime is -1.04 across 432 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-1.04
cite ↗ /cite/volatility-ratio-reversal-us-sp500-fact-regime-down
Median Sharpe in FLAT regime is -0.64 across 432 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.64
cite ↗ /cite/volatility-ratio-reversal-us-sp500-fact-regime-flat
Median Sharpe in UP regime is 0.16 across 432 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.16
cite ↗ /cite/volatility-ratio-reversal-us-sp500-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-us-sp500-0000
cost_bps: 5
n_stocks: 5
long_window: 15
-0.10-0.52+0.83-1.04
short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-volatility-ratio-reversal-us-sp500-0001
cost_bps: 5
n_stocks: 5
long_window: 15
+0.38+0.23+1.24-1.51
short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-volatility-ratio-reversal-us-sp500-0002
cost_bps: 5
n_stocks: 5
long_window: 15
-0.09+0.40-0.58-0.67
short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-volatility-ratio-reversal-us-sp500-0003
cost_bps: 5
n_stocks: 5
long_window: 15
-0.03-0.40+0.83-1.04
short_window=3, long_window=15, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-us-sp500-0006
cost_bps: 10
n_stocks: 5
long_window: 15
-0.44-0.97+0.52-1.31
short_window=3, long_window=15, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-us-sp500-0024
cost_bps: 5
n_stocks: 20
long_window: 15
-0.46-0.67+0.20-1.19
short_window=3, long_window=15, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-us-sp500-0036
cost_bps: 5
n_stocks: 50
long_window: 15
-0.68-0.80-0.45-0.78
short_window=3, long_window=15, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=1
r-volatility-ratio-reversal-us-sp500-0045
cost_bps: 10
n_stocks: 50
long_window: 15
-0.97-0.59-1.34-1.26
short_window=3, long_window=20, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20
r-volatility-ratio-reversal-us-sp500-0065
cost_bps: 5
n_stocks: 10
long_window: 20
+0.09+0.91-0.40-0.53
short_window=3, long_window=20, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=5
r-volatility-ratio-reversal-us-sp500-0085
cost_bps: 5
n_stocks: 50
long_window: 20
-0.52-0.23-0.63-0.81
short_window=3, long_window=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-us-sp500-0096
cost_bps: 5
n_stocks: 5
long_window: 40
-0.03+0.29+0.22-0.98
short_window=3, long_window=40, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5
r-volatility-ratio-reversal-us-sp500-0106
cost_bps: 10
n_stocks: 5
long_window: 40
+0.17+0.84-0.04-0.85
short_window=3, long_window=40, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-us-sp500-0126
cost_bps: 10
n_stocks: 20
long_window: 40
-1.14-1.37-0.75-1.49
short_window=5, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-volatility-ratio-reversal-us-sp500-0146
cost_bps: 5
n_stocks: 5
long_window: 15
-0.98-0.73-1.03-1.31
short_window=5, long_window=15, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5
r-volatility-ratio-reversal-us-sp500-0166
cost_bps: 10
n_stocks: 10
long_window: 15
-0.29+0.29-0.24-1.63
short_window=5, long_window=15, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-us-sp500-0186
cost_bps: 10
n_stocks: 50
long_window: 15
-1.27-0.94-1.96-1.21
short_window=5, long_window=20, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20
r-volatility-ratio-reversal-us-sp500-0206
cost_bps: 5
n_stocks: 10
long_window: 20
-0.69-0.30-0.57-1.79
short_window=5, long_window=20, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=5
r-volatility-ratio-reversal-us-sp500-0226
cost_bps: 10
n_stocks: 20
long_window: 20
-0.12+0.32-0.03-1.25
short_window=5, long_window=40, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-us-sp500-0246
cost_bps: 10
n_stocks: 5
long_window: 40
-0.32+0.05-2.00+1.01
short_window=5, long_window=40, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=20
r-volatility-ratio-reversal-us-sp500-0266
cost_bps: 5
n_stocks: 20
long_window: 40
-0.45-0.31-0.15-1.11
short_window=5, long_window=40, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=5
r-volatility-ratio-reversal-us-sp500-0286
cost_bps: 10
n_stocks: 50
long_window: 40
-0.22+0.65-0.50-1.11
short_window=10, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-us-sp500-0288
cost_bps: 5
n_stocks: 5
long_window: 15
-0.34-0.23-1.09+0.59
short_window=10, long_window=15, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5
r-volatility-ratio-reversal-us-sp500-0307
cost_bps: 10
n_stocks: 10
long_window: 15
-0.55+0.04-1.15-1.04
short_window=10, long_window=15, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=1
r-volatility-ratio-reversal-us-sp500-0327
cost_bps: 5
n_stocks: 50
long_window: 15
-0.48+0.08-1.76+0.86
short_window=10, long_window=15, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-us-sp500-0330
cost_bps: 10
n_stocks: 50
long_window: 15
-2.04-2.23-2.56-0.42
short_window=10, long_window=20, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1
r-volatility-ratio-reversal-us-sp500-0348
cost_bps: 5
n_stocks: 10
long_window: 20
-0.03+0.46-0.59+0.06
short_window=10, long_window=20, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=20
r-volatility-ratio-reversal-us-sp500-0368
cost_bps: 10
n_stocks: 20
long_window: 20
-0.91+0.51-1.63-2.12
short_window=10, long_window=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-volatility-ratio-reversal-us-sp500-0386
cost_bps: 5
n_stocks: 5
long_window: 40
+0.80+2.07+0.42-1.12
short_window=10, long_window=40, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20
r-volatility-ratio-reversal-us-sp500-0389
cost_bps: 5
n_stocks: 5
long_window: 40
+0.45+1.20+0.42-1.12
short_window=10, long_window=40, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=5
r-volatility-ratio-reversal-us-sp500-0409
cost_bps: 5
n_stocks: 20
long_window: 40
+0.10+0.63+0.38-1.29

対象ユニバース

S&P 500 constituents, ~503 stocks

関連する戦略

same_strategy:ボラティリティ比率のリバーサル（東証全銘柄）same_strategy:ボラティリティ比率のリバーサル（東証グロース）
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T21:54:30
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

関連する戦略