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rejectedno_edge· equity· divergence· technical· volume

VPTダイバージェンス（東証全銘柄）のバックテスト

VPT Divergence (JP All Stocks)

slug: vpt-divergence-jp-all

東証全銘柄（約3,747銘柄）でVPTダイバージェンスをバックテストした。144通りの中央値 Sharpe は -0.60。p-value は 0.17。Max DD は -14.1%。期間は 2022-03-01〜2026-09-01。最良 Sharpe +1.08 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）
-0.60
Max DD
-14.1%
勝率
—
Alpha（年率）
—
p-value
0.17
期間: 2022-03-01 → 2026-09-01
144通りの Sharpe:中央値 -0.60最良 1.08 （代表値ではない）最悪 -2.50p25–p75 -0.96–0.01

仮説

原文は英語。

Volume-Price-Trend (VPT) accumulates volume signed by returns; a divergence between the VPT path and the price path is read as hidden accumulation/distribution. Ranking on VPT-price divergence tests whether price subsequently closes the gap.

採用しなかった理由

Across 144 grid combinations, median Sharpe=-0.60, best=1.08. Primary failure mode: no_edge.

検証ファクト (5)

Best grid Sharpe ratio is 1.08 (p=0.026).
period 2022-03-01–2026-09-01; cost=5bps
sharpe_ratio1.08
cite ↗ /cite/vpt-divergence-jp-all-fact-best-sharpevia r-vpt-divergence-jp-all-0089
Median Sharpe across 144 grid runs is -0.60.
Full grid of 144 parameter combinations.
sharpe_ratio-0.60
cite ↗ /cite/vpt-divergence-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is -1.55 across 144 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-1.55
cite ↗ /cite/vpt-divergence-jp-all-fact-regime-down
Median Sharpe in FLAT regime is -0.39 across 144 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.39
cite ↗ /cite/vpt-divergence-jp-all-fact-regime-flat
Median Sharpe in UP regime is -0.34 across 144 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.34
cite ↗ /cite/vpt-divergence-jp-all-fact-regime-up

検証ラン (30)

runparamssharpeUPFLATDOWN
vpt_lookback=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-vpt-divergence-jp-all-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.07+0.22+0.27-1.28
vpt_lookback=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-vpt-divergence-jp-all-0001
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.56+0.04-0.22-3.86
vpt_lookback=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-vpt-divergence-jp-all-0002
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.53+0.51+0.77-0.50
vpt_lookback=20, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-vpt-divergence-jp-all-0003
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.22-0.15+0.27-1.28
vpt_lookback=20, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-vpt-divergence-jp-all-0006
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.31-0.02+0.01-1.46
vpt_lookback=20, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5
r-vpt-divergence-jp-all-0010
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.59+0.26-0.39-4.10
vpt_lookback=20, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=5
r-vpt-divergence-jp-all-0016
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.77-0.33-1.01-0.96
vpt_lookback=20, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5
r-vpt-divergence-jp-all-0022
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.94-0.46-1.23-1.11
vpt_lookback=20, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=5
r-vpt-divergence-jp-all-0028
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.61+0.06-0.69-2.46
vpt_lookback=20, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=5
r-vpt-divergence-jp-all-0034
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.80-0.05-0.93-2.74
vpt_lookback=20, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-vpt-divergence-jp-all-0036
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.08-0.11-1.40-2.27
vpt_lookback=20, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=20
r-vpt-divergence-jp-all-0041
cost_bps: 5
n_stocks: 50
regime_gate: true
+0.57+1.46-0.19+0.44
vpt_lookback=20, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=20
r-vpt-divergence-jp-all-0047
cost_bps: 10
n_stocks: 50
regime_gate: true
+0.43+1.37-0.37+0.25
vpt_lookback=40, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20
r-vpt-divergence-jp-all-0053
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.41+0.24+0.56+0.19
vpt_lookback=40, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20
r-vpt-divergence-jp-all-0059
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.34+0.19+0.49+0.08
vpt_lookback=40, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20
r-vpt-divergence-jp-all-0065
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.48+0.48+0.63-0.33
vpt_lookback=40, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=20
r-vpt-divergence-jp-all-0071
cost_bps: 10
n_stocks: 10
regime_gate: true
+0.39+0.41+0.54-0.49
vpt_lookback=40, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=20
r-vpt-divergence-jp-all-0077
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.69+1.09+0.30+0.95
vpt_lookback=40, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=20
r-vpt-divergence-jp-all-0083
cost_bps: 10
n_stocks: 20
regime_gate: true
+0.54+0.99+0.13+0.68
vpt_lookback=40, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=20
r-vpt-divergence-jp-all-0089
cost_bps: 5
n_stocks: 50
regime_gate: true
+1.08+1.18+0.94+1.11
vpt_lookback=40, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-vpt-divergence-jp-all-0090
cost_bps: 10
n_stocks: 50
regime_gate: false
-2.50-1.55-2.74-6.99
vpt_lookback=40, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=5
r-vpt-divergence-jp-all-0091
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.31-2.01-0.95-1.32
vpt_lookback=60, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-vpt-divergence-jp-all-0096
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.37+0.46-1.04-0.21
vpt_lookback=60, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-vpt-divergence-jp-all-0098
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.16-0.17+0.13-1.50
vpt_lookback=60, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20
r-vpt-divergence-jp-all-0104
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.25-0.27+0.06-1.60
vpt_lookback=60, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20
r-vpt-divergence-jp-all-0110
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.10-0.04+0.96-4.82
vpt_lookback=60, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20
r-vpt-divergence-jp-all-0116
cost_bps: 10
n_stocks: 10
regime_gate: false
0.00-0.13+0.84-5.09
vpt_lookback=60, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=20
r-vpt-divergence-jp-all-0122
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.24-0.51+0.74-10.63
vpt_lookback=60, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=20
r-vpt-divergence-jp-all-0128
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.38-0.64+0.58-11.37
vpt_lookback=60, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=20
r-vpt-divergence-jp-all-0134
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.17+0.12+0.36+0.37

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:VPTダイバージェンス（東証グロース）same_strategy:VPTダイバージェンス（米国S&P500）
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-26T06:03:10
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

関連する戦略