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rejectedno_edge· equity· divergence· technical· volume

VPTダイバージェンス（米国S&P500）のバックテスト

VPT Divergence (US S&P 500)

slug: vpt-divergence-us-sp500

米国S&P500（約503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 -0.21。p-value は 0.52。Max DD は -8.1%。期間は 2022-03-01〜2026-09-01。最良 Sharpe +0.83 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）
-0.21
Max DD
-8.1%
勝率
—
Alpha（年率）
—
p-value
0.52
期間: 2022-03-01 → 2026-09-01
144通りの Sharpe:中央値 -0.21最良 0.83 （代表値ではない）最悪 -0.91p25–p75 -0.47–0.07

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=-0.21, best=0.83. Primary failure mode: no_edge.

検証ファクト (5)

Best grid Sharpe ratio is 0.83 (p=0.078).
period 2022-03-01–2026-09-01; cost=5bps
sharpe_ratio0.83
cite ↗ /cite/vpt-divergence-us-sp500-fact-best-sharpevia r-vpt-divergence-us-sp500-0003
Median Sharpe across 144 grid runs is -0.21.
Full grid of 144 parameter combinations.
sharpe_ratio-0.21
cite ↗ /cite/vpt-divergence-us-sp500-fact-median-sharpe
Median Sharpe in DOWN regime is -0.50 across 144 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.50
cite ↗ /cite/vpt-divergence-us-sp500-fact-regime-down
Median Sharpe in FLAT regime is -0.36 across 144 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.36
cite ↗ /cite/vpt-divergence-us-sp500-fact-regime-flat
Median Sharpe in UP regime is -0.07 across 144 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.07
cite ↗ /cite/vpt-divergence-us-sp500-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-us-sp500-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.77+0.64+1.05+0.60
vpt_lookback=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-vpt-divergence-us-sp500-0001
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.27-0.14+0.81+0.33
vpt_lookback=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-vpt-divergence-us-sp500-0002
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.20-0.26+1.25-0.67
vpt_lookback=20, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-vpt-divergence-us-sp500-0003
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.83+0.74+1.05+0.60
vpt_lookback=20, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-vpt-divergence-us-sp500-0006
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.47+0.35+0.71+0.34
vpt_lookback=20, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=1
r-vpt-divergence-us-sp500-0009
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.55+0.51+0.71+0.34
vpt_lookback=20, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20
r-vpt-divergence-us-sp500-0014
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.25-0.24+1.20-0.34
vpt_lookback=20, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5
r-vpt-divergence-us-sp500-0019
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.17-0.38-0.07+0.12
vpt_lookback=20, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=1
r-vpt-divergence-us-sp500-0024
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.37+0.31-0.03+1.29
vpt_lookback=20, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=20
r-vpt-divergence-us-sp500-0029
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.40+0.69+0.46-0.19
vpt_lookback=20, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=5
r-vpt-divergence-us-sp500-0034
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.42-0.35-0.65-0.12
vpt_lookback=20, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-vpt-divergence-us-sp500-0036
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.19-0.18-0.32+0.13
vpt_lookback=20, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=5
r-vpt-divergence-us-sp500-0040
cost_bps: 5
n_stocks: 50
regime_gate: true
+0.03+0.43-0.21-0.44
vpt_lookback=20, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=1
r-vpt-divergence-us-sp500-0045
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.60-0.39-0.84-0.49
vpt_lookback=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-vpt-divergence-us-sp500-0050
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.42-0.44+0.02-1.16
vpt_lookback=40, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5
r-vpt-divergence-us-sp500-0055
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.64-0.61-0.28-1.71
vpt_lookback=40, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1
r-vpt-divergence-us-sp500-0060
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.01+0.13+0.16-0.79
vpt_lookback=40, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20
r-vpt-divergence-us-sp500-0065
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.01+0.21-0.02-0.73
vpt_lookback=40, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5
r-vpt-divergence-us-sp500-0070
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.38-0.38-0.07-0.96
vpt_lookback=40, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=1
r-vpt-divergence-us-sp500-0075
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.06+0.25+0.01-0.25
vpt_lookback=40, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=20
r-vpt-divergence-us-sp500-0080
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.64-0.58-0.75-0.49
vpt_lookback=40, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=5
r-vpt-divergence-us-sp500-0085
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.22-0.19-0.22-0.26
vpt_lookback=40, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-vpt-divergence-us-sp500-0090
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.88-0.50-1.51-0.24
vpt_lookback=40, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=20
r-vpt-divergence-us-sp500-0095
cost_bps: 10
n_stocks: 50
regime_gate: true
0.00+0.87-0.98-0.70
vpt_lookback=60, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-vpt-divergence-us-sp500-0096
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.11+0.44-0.53+0.37
vpt_lookback=60, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20
r-vpt-divergence-us-sp500-0101
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.49+0.68-1.36-0.61
vpt_lookback=60, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5
r-vpt-divergence-us-sp500-0106
cost_bps: 10
n_stocks: 5
regime_gate: true
0.00+0.69-0.85+0.21
vpt_lookback=60, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=1
r-vpt-divergence-us-sp500-0111
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.13+0.00-0.13-0.58
vpt_lookback=60, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20
r-vpt-divergence-us-sp500-0116
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.89-0.62-0.92-2.43
vpt_lookback=60, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=20
r-vpt-divergence-us-sp500-0128
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.91-0.33-1.23-1.55

対象ユニバース

S&P 500 constituents, ~503 stocks

関連する戦略

same_strategy:VPTダイバージェンス（東証全銘柄）same_strategy:VPTダイバージェンス（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