出来高アノマリー（米国S&P500）のバックテスト
Volume Anomaly (US S&P 500)
slug: volume-anomaly-us-sp500
米国S&P500（約503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 +0.05。p-value は 0.41。Max DD は -15.3%。期間は 2022-02-01〜2026-09-01。最良 Sharpe +2.70 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。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）
+0.05
Max DD
-15.3%
勝率
—
Alpha（年率）
—
p-value
0.41
期間: 2022-02-01 → 2026-09-01
768通りの Sharpe:中央値 0.05最良 2.70 （代表値ではない）最悪 -2.98p25–p75 -0.58–0.41
仮説
原文は英語。
Campbell, Grossman, Wang (1993): abnormal volume spikes predict subsequent price drift or reversal. Applied to S&P 500 constituents.
採用しなかった理由
Across 768 grid combinations, median Sharpe=0.05, best=2.70. Primary failure mode: no_edge.
検証ファクト (5)
Best grid Sharpe ratio is 2.70 (p=0.06).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/volume-anomaly-us-sp500-fact-best-sharpevia r-volume-anomaly-us-sp500-0172
Median Sharpe across 768 grid runs is 0.05.
Full grid of 768 parameter combinations.
Median Sharpe in DOWN regime is 0.48 across 768 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.03 across 768 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.33 across 768 runs.
Regime=UP, N225 SMA20/SMA60 classification.
検証ラン (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=5, regime_gate=False r-volume-anomaly-us-sp500-0000 | cost_bps: 5 direction: "momentum" regime_gate: false | +0.30 | +0.87 | +0.44 | -1.28 |
volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=5, regime_gate=True r-volume-anomaly-us-sp500-0001 | cost_bps: 5 direction: "momentum" regime_gate: true | +0.38 | +0.72 | +0.44 | -1.28 |
volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=10, regime_gate=False r-volume-anomaly-us-sp500-0002 | cost_bps: 10 direction: "momentum" regime_gate: false | -0.16 | +0.42 | -0.05 | -1.69 |
volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=10, regime_gate=True r-volume-anomaly-us-sp500-0003 | cost_bps: 10 direction: "momentum" regime_gate: true | +0.11 | +0.52 | -0.05 | -1.69 |
volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=vol_only, cost_bps=5, regime_gate=False r-volume-anomaly-us-sp500-0008 | cost_bps: 5 direction: "vol_only" regime_gate: false | +0.26 | +0.16 | -0.43 | +1.64 |
volume_lookback=5, volume_threshold=1.5, holding_days=20, direction=momentum, cost_bps=5, regime_gate=False r-volume-anomaly-us-sp500-0036 | cost_bps: 5 direction: "momentum" regime_gate: false | +0.23 | +0.62 | -0.85 | +0.55 |
volume_lookback=5, volume_threshold=1.5, holding_days=20, direction=reversal, cost_bps=5, regime_gate=True r-volume-anomaly-us-sp500-0041 | cost_bps: 5 direction: "reversal" regime_gate: true | +0.04 | +0.16 | +0.53 | -0.65 |
volume_lookback=5, volume_threshold=2, holding_days=10, direction=reversal, cost_bps=5, regime_gate=True r-volume-anomaly-us-sp500-0077 | cost_bps: 5 direction: "reversal" regime_gate: true | +0.44 | -0.12 | +0.53 | +1.59 |
volume_lookback=5, volume_threshold=3, holding_days=5, direction=reversal, cost_bps=5, regime_gate=True r-volume-anomaly-us-sp500-0113 | cost_bps: 5 direction: "reversal" regime_gate: true | +0.39 | +0.17 | +0.35 | +3.02 |
volume_lookback=5, volume_threshold=5, holding_days=1, direction=momentum, cost_bps=5, regime_gate=False r-volume-anomaly-us-sp500-0144 | cost_bps: 5 direction: "momentum" regime_gate: false | +0.19 | -1.33 | +0.58 | — |
volume_lookback=5, volume_threshold=5, holding_days=1, direction=reversal, cost_bps=10, regime_gate=False r-volume-anomaly-us-sp500-0150 | cost_bps: 10 direction: "reversal" regime_gate: false | -0.46 | +0.96 | -0.78 | — |
volume_lookback=5, volume_threshold=5, holding_days=10, direction=momentum, cost_bps=10, regime_gate=False r-volume-anomaly-us-sp500-0170 | cost_bps: 10 direction: "momentum" regime_gate: false | -2.98 | -2.28 | -3.12 | — |
volume_lookback=5, volume_threshold=5, holding_days=10, direction=reversal, cost_bps=5, regime_gate=False r-volume-anomaly-us-sp500-0172 | cost_bps: 5 direction: "reversal" regime_gate: false | +2.70 | +2.08 | +2.86 | — |
volume_lookback=5, volume_threshold=5, holding_days=20, direction=vol_only, cost_bps=5, regime_gate=False r-volume-anomaly-us-sp500-0188 | cost_bps: 5 direction: "vol_only" regime_gate: false | +2.47 | +0.79 | +2.78 | — |
volume_lookback=10, volume_threshold=1.5, holding_days=10, direction=vol_only, cost_bps=5, regime_gate=False r-volume-anomaly-us-sp500-0224 | cost_bps: 5 direction: "vol_only" regime_gate: false | +0.74 | +0.37 | +0.62 | +1.57 |
volume_lookback=10, volume_threshold=2, holding_days=5, direction=vol_only, cost_bps=5, regime_gate=False r-volume-anomaly-us-sp500-0260 | cost_bps: 5 direction: "vol_only" regime_gate: false | +0.17 | -0.02 | +0.37 | +0.27 |
volume_lookback=10, volume_threshold=3, holding_days=1, direction=vol_only, cost_bps=5, regime_gate=False r-volume-anomaly-us-sp500-0296 | cost_bps: 5 direction: "vol_only" regime_gate: false | -0.36 | -1.83 | +0.26 | +1.09 |
volume_lookback=10, volume_threshold=3, holding_days=20, direction=vol_only, cost_bps=5, regime_gate=False r-volume-anomaly-us-sp500-0332 | cost_bps: 5 direction: "vol_only" regime_gate: false | +0.48 | -0.04 | +0.66 | +1.31 |
volume_lookback=10, volume_threshold=5, holding_days=10, direction=vol_only, cost_bps=5, regime_gate=False r-volume-anomaly-us-sp500-0368 | cost_bps: 5 direction: "vol_only" regime_gate: false | +0.41 | -1.27 | +2.69 | — |
volume_lookback=20, volume_threshold=1.5, holding_days=5, direction=vol_only, cost_bps=5, regime_gate=False r-volume-anomaly-us-sp500-0404 | cost_bps: 5 direction: "vol_only" regime_gate: false | +0.17 | +0.41 | +0.06 | -0.02 |
volume_lookback=20, volume_threshold=2, holding_days=1, direction=vol_only, cost_bps=5, regime_gate=False r-volume-anomaly-us-sp500-0440 | cost_bps: 5 direction: "vol_only" regime_gate: false | -0.22 | -1.03 | -0.73 | +2.87 |
volume_lookback=20, volume_threshold=2, holding_days=20, direction=vol_only, cost_bps=5, regime_gate=False r-volume-anomaly-us-sp500-0476 | cost_bps: 5 direction: "vol_only" regime_gate: false | +0.19 | -0.57 | -0.03 | +2.07 |
volume_lookback=20, volume_threshold=3, holding_days=10, direction=vol_only, cost_bps=5, regime_gate=False r-volume-anomaly-us-sp500-0512 | cost_bps: 5 direction: "vol_only" regime_gate: false | -0.08 | -1.13 | +0.57 | +1.36 |
volume_lookback=20, volume_threshold=5, holding_days=5, direction=vol_only, cost_bps=5, regime_gate=False r-volume-anomaly-us-sp500-0548 | cost_bps: 5 direction: "vol_only" regime_gate: false | -0.33 | -1.13 | +1.23 | -2.25 |
volume_lookback=60, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=5, regime_gate=False r-volume-anomaly-us-sp500-0576 | cost_bps: 5 direction: "momentum" regime_gate: false | -0.11 | -0.05 | +0.48 | -1.84 |
volume_lookback=60, volume_threshold=1.5, holding_days=1, direction=vol_only, cost_bps=5, regime_gate=True r-volume-anomaly-us-sp500-0585 | cost_bps: 5 direction: "vol_only" regime_gate: true | +0.28 | -0.03 | -0.26 | +2.15 |
volume_lookback=60, volume_threshold=1.5, holding_days=20, direction=vol_only, cost_bps=5, regime_gate=True r-volume-anomaly-us-sp500-0621 | cost_bps: 5 direction: "vol_only" regime_gate: true | +1.10 | +0.85 | +0.56 | +2.99 |
volume_lookback=60, volume_threshold=2, holding_days=10, direction=vol_only, cost_bps=5, regime_gate=True r-volume-anomaly-us-sp500-0657 | cost_bps: 5 direction: "vol_only" regime_gate: true | +0.20 | -0.92 | +0.37 | +2.24 |
volume_lookback=60, volume_threshold=3, holding_days=5, direction=vol_only, cost_bps=5, regime_gate=True r-volume-anomaly-us-sp500-0693 | cost_bps: 5 direction: "vol_only" regime_gate: true | -0.65 | -1.62 | +0.59 | +0.20 |
volume_lookback=60, volume_threshold=5, holding_days=1, direction=vol_only, cost_bps=5, regime_gate=True r-volume-anomaly-us-sp500-0729 | cost_bps: 5 direction: "vol_only" regime_gate: true | +0.10 | -3.57 | +2.70 | +1.04 |
対象ユニバース
S&P 500 constituents, ~503 stocks
関連する戦略
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:16