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rejectedno_edge· equity· anomaly· factor· volume

出来高アノマリー（東証全銘柄）のバックテスト

Volume Anomaly (JP All Stocks)

slug: volume-anomaly-jp-all

東証全銘柄（約3,747銘柄）で出来高アノマリーをバックテストした。768通りの中央値 Sharpe は -0.25。p-value は 0.47。Max DD は -21.8%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +0.86 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）
-0.25
Max DD
-21.8%
勝率
—
Alpha（年率）
—
p-value
0.47
期間: 2022-02-01 → 2026-09-01
768通りの Sharpe:中央値 -0.25最良 0.86 （代表値ではない）最悪 -2.42p25–p75 -0.53–0.06

仮説

原文は英語。

Campbell, Grossman, Wang (1993): abnormal volume spikes predict subsequent price drift or reversal. Testing on the full Japanese stock universe.

採用しなかった理由

Across 768 grid combinations, median Sharpe=-0.25, best=0.86. Primary failure mode: no_edge.

検証ファクト (5)

Best grid Sharpe ratio is 0.86 (p=0.066).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio0.86
cite ↗ /cite/volume-anomaly-jp-all-fact-best-sharpevia r-volume-anomaly-jp-all-0044
Median Sharpe across 768 grid runs is -0.25.
Full grid of 768 parameter combinations.
sharpe_ratio-0.25
cite ↗ /cite/volume-anomaly-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is -0.03 across 768 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.03
cite ↗ /cite/volume-anomaly-jp-all-fact-regime-down
Median Sharpe in FLAT regime is -0.47 across 768 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.47
cite ↗ /cite/volume-anomaly-jp-all-fact-regime-flat
Median Sharpe in UP regime is -0.19 across 768 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.19
cite ↗ /cite/volume-anomaly-jp-all-fact-regime-up

検証ラン (30)

runparamssharpeUPFLATDOWN
volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=5, regime_gate=False
r-volume-anomaly-jp-all-0000
cost_bps: 5
direction: "momentum"
regime_gate: false
-1.09-1.52-0.54-2.02
volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=5, regime_gate=True
r-volume-anomaly-jp-all-0001
cost_bps: 5
direction: "momentum"
regime_gate: true
-0.49-0.45-0.54-2.02
volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=10, regime_gate=False
r-volume-anomaly-jp-all-0002
cost_bps: 10
direction: "momentum"
regime_gate: false
-1.82-2.45-1.15-2.78
volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0003
cost_bps: 10
direction: "momentum"
regime_gate: true
-0.74-0.61-1.15-2.78
volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=vol_only, cost_bps=5, regime_gate=False
r-volume-anomaly-jp-all-0008
cost_bps: 5
direction: "vol_only"
regime_gate: false
-0.82-0.33-1.34+0.09
volume_lookback=5, volume_threshold=1.5, holding_days=20, direction=momentum, cost_bps=5, regime_gate=False
r-volume-anomaly-jp-all-0036
cost_bps: 5
direction: "momentum"
regime_gate: false
+0.23-0.51+1.09+0.09
volume_lookback=5, volume_threshold=1.5, holding_days=20, direction=reversal, cost_bps=5, regime_gate=True
r-volume-anomaly-jp-all-0041
cost_bps: 5
direction: "reversal"
regime_gate: true
+0.37+1.20-1.23-0.43
volume_lookback=5, volume_threshold=1.5, holding_days=20, direction=vol_only, cost_bps=5, regime_gate=False
r-volume-anomaly-jp-all-0044
cost_bps: 5
direction: "vol_only"
regime_gate: false
+0.86+1.06+0.18+2.45
volume_lookback=5, volume_threshold=2, holding_days=10, direction=reversal, cost_bps=10, regime_gate=False
r-volume-anomaly-jp-all-0078
cost_bps: 10
direction: "reversal"
regime_gate: false
-0.26+0.13-1.13+1.01
volume_lookback=5, volume_threshold=3, holding_days=5, direction=reversal, cost_bps=10, regime_gate=False
r-volume-anomaly-jp-all-0114
cost_bps: 10
direction: "reversal"
regime_gate: false
-0.25-0.21-1.02+0.88
volume_lookback=5, volume_threshold=5, holding_days=1, direction=momentum, cost_bps=5, regime_gate=False
r-volume-anomaly-jp-all-0144
cost_bps: 5
direction: "momentum"
regime_gate: false
-0.11-0.50+0.18-0.16
volume_lookback=5, volume_threshold=5, holding_days=1, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0151
cost_bps: 10
direction: "reversal"
regime_gate: true
-0.27-0.34-0.63+0.02
volume_lookback=5, volume_threshold=5, holding_days=20, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0187
cost_bps: 10
direction: "reversal"
regime_gate: true
0.00-0.18+0.58-0.64
volume_lookback=10, volume_threshold=1.5, holding_days=10, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0223
cost_bps: 10
direction: "reversal"
regime_gate: true
+0.14+0.52-1.31+0.82
volume_lookback=10, volume_threshold=2, holding_days=5, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0259
cost_bps: 10
direction: "reversal"
regime_gate: true
+0.02+0.29-1.76+1.49
volume_lookback=10, volume_threshold=3, holding_days=1, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0295
cost_bps: 10
direction: "reversal"
regime_gate: true
+0.08+0.10-0.43+0.59
volume_lookback=10, volume_threshold=3, holding_days=20, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0331
cost_bps: 10
direction: "reversal"
regime_gate: true
-0.10-0.38+0.39+0.16
volume_lookback=10, volume_threshold=5, holding_days=10, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0367
cost_bps: 10
direction: "reversal"
regime_gate: true
+0.07-0.07+0.24+0.29
volume_lookback=20, volume_threshold=1.5, holding_days=5, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0403
cost_bps: 10
direction: "reversal"
regime_gate: true
+0.01+0.31-1.29+0.81
volume_lookback=20, volume_threshold=2, holding_days=1, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0439
cost_bps: 10
direction: "reversal"
regime_gate: true
-0.14-0.27-0.46+0.92
volume_lookback=20, volume_threshold=2, holding_days=20, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0475
cost_bps: 10
direction: "reversal"
regime_gate: true
-0.13-0.03-0.20-0.80
volume_lookback=20, volume_threshold=3, holding_days=10, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0511
cost_bps: 10
direction: "reversal"
regime_gate: true
-0.01-0.49+0.64+0.91
volume_lookback=20, volume_threshold=5, holding_days=5, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0547
cost_bps: 10
direction: "reversal"
regime_gate: true
-0.18-0.40-0.33+0.59
volume_lookback=60, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=5, regime_gate=False
r-volume-anomaly-jp-all-0576
cost_bps: 5
direction: "momentum"
regime_gate: false
-1.53-1.40-1.54-1.70
volume_lookback=60, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=10, regime_gate=False
r-volume-anomaly-jp-all-0578
cost_bps: 10
direction: "momentum"
regime_gate: false
-2.42-2.48-2.38-2.38
volume_lookback=60, volume_threshold=1.5, holding_days=1, direction=vol_only, cost_bps=5, regime_gate=True
r-volume-anomaly-jp-all-0585
cost_bps: 5
direction: "vol_only"
regime_gate: true
-0.89-0.37-1.34-0.37
volume_lookback=60, volume_threshold=1.5, holding_days=20, direction=vol_only, cost_bps=5, regime_gate=True
r-volume-anomaly-jp-all-0621
cost_bps: 5
direction: "vol_only"
regime_gate: true
+0.75+1.03-0.10+3.03
volume_lookback=60, volume_threshold=2, holding_days=10, direction=vol_only, cost_bps=5, regime_gate=True
r-volume-anomaly-jp-all-0657
cost_bps: 5
direction: "vol_only"
regime_gate: true
+0.13+0.21-0.24+1.20
volume_lookback=60, volume_threshold=3, holding_days=5, direction=vol_only, cost_bps=5, regime_gate=True
r-volume-anomaly-jp-all-0693
cost_bps: 5
direction: "vol_only"
regime_gate: true
-0.61-0.05-0.85-1.01
volume_lookback=60, volume_threshold=5, holding_days=1, direction=vol_only, cost_bps=5, regime_gate=True
r-volume-anomaly-jp-all-0729
cost_bps: 5
direction: "vol_only"
regime_gate: true
-1.32-0.84-1.88-0.88

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:出来高アノマリー（東証グロース）
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-26T05:54:03
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

関連する戦略