PHASE 1 · PCA PLAIN · 14 TICKERS · ¥300,000
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Cumulative P&L
— days traded
Latest Signal (US Date)
Dispersion Regime
Avg Slippage
— days measured
Gap Fade Edge Monitor
60D Sharpe*
Weak Days
30D α
エッジ算出日
Daily P&L — Cumulative
Latest Signals
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P&L History
Positions
System
Trade History
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Backtest Cumulative Return (PCA PLAIN)
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L 窓幅 120
K 因子数 3
λ 正則化 0.00
q 分位 0.30
Cost bps 2
Backtest Results
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Nikkei 225 DD from peak
Entry Levels:
Strategy: Conservative (DD -12/-15/-18/-21%, 25% each) · Exit: +10% profit target / 180d max hold · Target: 1321.T (Nikkei 225 ETF) · BT: 16 rounds, 94% win, +9.74%/yr · Repo
Individual Stock Strategy PIPELINE NOT BUILT
Net AR (2bps)
+10.6%
Sharpe (Monthly)
1.23
Max DD
18.5%
Calmar
1.01
Strategy Configuration
SignalPCA PLAIN (L=120, K=3, λ=0)
GapFadeOFF (harmful for stocks)
Gap Opposite1.0%, x2.0
MA Deviation20d, 5%, x1.3
SPY Trend<MA20 → x0.8
VIX Filter≥25 → 0x (full cut)
RegimeETF Dispersion (shared)
HoldingIntraday (open→close)
TOP6 Stock Mapping (BT-based selection)
Sector ETF Stock AR% SR ADV (B¥)
1623.T Steel5401.T Nippon Steel+4.89%0.5370
1617.T Food2503.T Kirin HD+3.90%0.6339
1618.T Energy1605.T INPEX+3.13%0.4358
1620.T Materials4063.T Shin-Etsu+2.21%0.4420
1633.T REIT8801.T Mitsui Fud.+1.89%0.2717.6
1622.T Auto7203.T Toyota+1.56%0.3284.5
Key Findings (v1-v25 Research)
• GapFade is harmful for individual stocks (SR 0.72→0.27). Gap Opposite replaces it.
• ETF Dispersion regime works for stocks too (PCA signal sourced from ETF correlations).
• Correlation ≠ performance: MUFG (r=0.778) yielded ±0%, while Nippon Steel (r=0.583) topped at +4.89%.
• IS/OOS stable: SR 1.19 (IS) / 1.31 (OOS). No overfitting detected.
• 2023: zero TRADE days (full-year HALT). Capital idle risk exists.
Activation: deposit ≥ ¥1.9M (ETF max_capital reached) · Required: Pipeline build + paper trade · Repo: profit2
Capital Allocation Decision Matrix
Strategy Comparison
Net AR Sharpe MDD Win Rate Holding Turnover
NEXUSα ETF +48.0% 1.87 14.8% 57.9% Intraday Daily
Individual Stocks +10.6% 1.23 18.5% 52.3% Intraday Daily
Crash Recovery +9.7% N/A 8.9% 94% ~103 days ~1.6/yr
Growth Phases & Capital Routing
Phase Deposit ETF Stocks CR
1. Ramp-up ¥30–54万 100%
2. Growth ¥54–153万 100%
3. Expand ¥153–190万 100% (17 tickers)
4. Overflow ¥190万– Cap ¥190万 Surplus Conditional
When to Route Surplus to Crash Recovery
DEFAULT Surplus → Individual Stocks (daily compounding, same capital efficiency)
EXCEPTION 1 Surplus < ¥50万: Stock unit constraints reduce efficiency → CR via 1321.T is viable
EXCEPTION 2 Stock strategy in HALT + Nikkei DD ≥ -12% → Route to CR entry
EXCEPTION 3 Nikkei DD ≥ -18% (3rd/4th level) → EV > +10%. Consider partial realloc from stocks at next open
Core Insight: Stocks and CR have similar annual returns (~10%), but stocks compound daily while CR locks capital for ~103 days. CR only wins when: (1) stocks are halted, or (2) a deep crash (≥-18%) offers >10% EV in a short window. The 2024/8 crash recovered +11.2% in 11 days — that’s the scenario where CR adds value.
Research: Approach A — Pre-market Mid Adjustment (Look-ahead Proxy BT)
⚠ Look-ahead Bias Notice
この BT は 9:00 実寄値 を「8:59:55 mid の代理」として使用してます。 真の 8:59:55 mid データは Phase 5 (4/13 月〜) で蓄積中。 look-ahead degradation 推定: 0-5% (個人スケール) — 中央値 gap 143bps に対し 5秒前 mid noise は 5-10bps、ranking flip ほぼ起きず。
アイデア: PCA は「今日 JP がどっち動く」を予測。mid は「8:59 時点で既に動いた分」を観測。 residual = signal_z − w × observed_z で「残りエッジ」を計算し、それで re-rank → 新 long 4 / short 4 を選定。
期間: 2024-01-05 〜 2026-04-09 (556 営業日)、universe 17銘柄 (1629/1633 除外で active 15)、PCA L=120 K=3 λ=0
weight days cum P&L SR (ann) MDD win rate PF vs w=0 win vs w=0
0.0 (baseline) 556 +66.04% +2.20 14.59% 55.0% 1.43
0.3 556 +121.17% +4.05 10.42% 60.1% 1.98 +55.13% 273/556
0.5 556 +151.11% +4.97 7.71% 63.1% 2.32 +85.07% 340/556
1.0 ★ 556 +217.30% +6.80 6.27% 68.0% 3.40 +151.26% 366/556 (66%)
2.0 556 +248.61% +7.72 5.92% 68.7% 3.99 +182.57% 351/556
★ w=1.0 が sweet spot: SR/PF/MDD のバランス最良、win vs w=0 が 66% (Z=7.46, p<0.0001 で統計的に強く有意)。 w=2.0 は cum P&L 微増だが win 率は飽和。
注目: mid 取り込みは MDD も改善 (14.59% → 6.27%)。 攻撃的になるだけでなく リスク制御 にも効く。
個人スケール realistic SR 推定 (look-ahead -5% + cost 2bps × 250日 -19% を考慮): SR 5.2-5.5 (production 現行 SR* 1.88 monthly = daily-equiv ~2.45 の 2x 改善)
capacity: 個人~小規模 (deposit 1億円以下) で full effect。 機関規模ではセクター ETF の流動性制約で degradation。
詳細設計: docs/research/premarket_mid_design.md / 実装: scripts/research/mid_adjust_approach_a_bt.py --full-historical