有効性判定
一部有効
Sector Season Validation
検証対象ETF
15
検証サンプル
66,211
180日後 最良Season
冬
この分析は過去データに基づく検証であり、将来の投資成果を保証するものではありません。Sector Seasonは売買シグナルではなく、セクターETFの価格トレンドとSPY相対を分類する補助指標です。
有効性判定
180日後リターンを主軸に、春 > 夏 > 秋 > 冬の傾向、春と夏の比較、秋・冬の低下傾向を確認しています。
- 春の180日後平均リターンが夏を上回っています。
- 秋と冬の差は明確ではありません。
- 春 > 夏 > 秋 > 冬の単調性は限定的です。
- 春の勝率は冬を上回っています。
期待値の高低
最も期待値の高いSeason: 冬 / 平均リターン +9.1%
最も期待値の低いSeason: 夏 / 平均リターン +6.7%
Season別サマリー
30d後
| Season | サンプル数 | 勝率 | 平均リターン | 中央値 |
|---|---|---|---|---|
| 春 | 6,587 | +63.4% | +1.3% | +1.7% |
| 夏 | 20,942 | +59.1% | +0.7% | +1.1% |
| 秋 | 21,004 | +64.7% | +1.6% | +1.9% |
| 冬 | 17,228 | +61.1% | +1.4% | +2.2% |
90d後
| Season | サンプル数 | 勝率 | 平均リターン | 中央値 |
|---|---|---|---|---|
| 春 | 6,530 | +68.1% | +3.5% | +3.9% |
| 夏 | 20,639 | +67.0% | +3.0% | +3.6% |
| 秋 | 20,611 | +70.7% | +3.9% | +4.5% |
| 冬 | 17,081 | +65.3% | +4.1% | +5.3% |
180d後
| Season | サンプル数 | 勝率 | 平均リターン | 中央値 |
|---|---|---|---|---|
| 春 | 6,402 | +73.3% | +7.1% | +8.1% |
| 夏 | 20,122 | +71.7% | +6.7% | +7.6% |
| 秋 | 20,070 | +71.0% | +7.0% | +7.4% |
| 冬 | 16,917 | +71.9% | +9.1% | +9.8% |
365d後
| Season | サンプル数 | 勝率 | 平均リターン | 中央値 |
|---|---|---|---|---|
| 春 | 6,068 | +84.8% | +18.6% | +17.7% |
| 夏 | 19,371 | +75.5% | +13.7% | +13.8% |
| 秋 | 19,304 | +76.9% | +13.8% | +13.6% |
| 冬 | 15,993 | +77.3% | +20.1% | +19.5% |
ランキング
180日後 平均リターンランキング
- 冬+9.1%
- 春+7.1%
- 秋+7.0%
- 夏+6.7%
180日後 勝率ランキング
- 春+73.3%
- 冬+71.9%
- 夏+71.7%
- 秋+71.0%
セクター別・Season別 180日後成績
| Sector | Ticker | Season | サンプル数 | 勝率 | 平均リターン | 中央値 |
|---|---|---|---|---|---|---|
| Communication Services | XLC | 春 | 26 | +92.3% | +24.4% | +29.4% |
| Communication Services | XLC | 夏 | 628 | +89.3% | +14.7% | +16.5% |
| Communication Services | XLC | 秋 | 450 | +77.8% | +12.0% | +20.8% |
| Communication Services | XLC | 冬 | 367 | +58.0% | +7.2% | +5.1% |
| Consumer Discretionary | XLY | 春 | 428 | +96.3% | +15.3% | +14.1% |
| Consumer Discretionary | XLY | 夏 | 1,662 | +85.8% | +8.5% | +8.2% |
| Consumer Discretionary | XLY | 秋 | 1,494 | +84.3% | +9.9% | +10.6% |
| Consumer Discretionary | XLY | 冬 | 1,023 | +57.6% | +6.1% | +10.2% |
| Consumer Staples | XLP | 春 | 608 | +69.9% | +4.3% | +4.3% |
| Consumer Staples | XLP | 夏 | 1,458 | +69.8% | +3.0% | +4.3% |
| Consumer Staples | XLP | 秋 | 1,694 | +77.2% | +4.3% | +5.0% |
| Consumer Staples | XLP | 冬 | 847 | +85.4% | +8.5% | +7.1% |
| Energy | XLE | 春 | 462 | +68.0% | +8.1% | +7.8% |
| Energy | XLE | 夏 | 973 | +47.0% | -0.5% | -1.3% |
| Energy | XLE | 秋 | 1,197 | +55.8% | +3.5% | +1.9% |
| Energy | XLE | 冬 | 1,975 | +61.1% | +5.2% | +5.5% |
| Financials | XLF | 春 | 419 | +59.9% | +6.5% | +7.0% |
| Financials | XLF | 夏 | 1,233 | +67.6% | +4.5% | +5.4% |
| Financials | XLF | 秋 | 1,347 | +63.0% | +4.7% | +6.8% |
| Financials | XLF | 冬 | 1,608 | +67.6% | +6.5% | +10.2% |
| Healthcare | XLV | 春 | 461 | +71.6% | +3.1% | +5.2% |
| Healthcare | XLV | 夏 | 1,506 | +71.8% | +7.0% | +6.8% |
| Healthcare | XLV | 秋 | 1,553 | +73.0% | +5.7% | +4.4% |
| Healthcare | XLV | 冬 | 1,087 | +80.5% | +8.5% | +10.3% |
| Industrials | XLI | 春 | 490 | +66.7% | +5.5% | +6.2% |
| Industrials | XLI | 夏 | 1,375 | +73.2% | +6.3% | +8.7% |
| Industrials | XLI | 秋 | 1,652 | +68.4% | +5.6% | +7.5% |
| Industrials | XLI | 冬 | 1,090 | +80.5% | +11.5% | +11.3% |
| Materials | XLB | 春 | 496 | +68.1% | +4.4% | +5.5% |
| Materials | XLB | 夏 | 1,287 | +57.0% | +0.6% | +3.5% |
| Materials | XLB | 秋 | 1,444 | +59.1% | +2.6% | +3.9% |
| Materials | XLB | 冬 | 1,380 | +77.6% | +11.6% | +9.6% |
| Nasdaq Benchmark | QQQ | 春 | 232 | +86.2% | +12.9% | +18.3% |
| Nasdaq Benchmark | QQQ | 夏 | 1,966 | +81.7% | +11.4% | +13.3% |
| Nasdaq Benchmark | QQQ | 秋 | 1,606 | +82.8% | +11.7% | +14.5% |
| Nasdaq Benchmark | QQQ | 冬 | 803 | +71.9% | +13.4% | +17.1% |
| Real Estate | XLRE | 春 | 316 | +63.6% | +7.3% | +4.8% |
| Real Estate | XLRE | 夏 | 428 | +47.7% | -0.7% | -1.0% |
| Real Estate | XLRE | 秋 | 590 | +50.3% | +1.9% | +0.1% |
| Real Estate | XLRE | 冬 | 815 | +68.5% | +4.1% | +4.5% |
| S&P500 Benchmark | SPY | 春 | 780 | +77.8% | +6.5% | +8.7% |
| S&P500 Benchmark | SPY | 夏 | 1,848 | +82.2% | +7.5% | +8.8% |
| S&P500 Benchmark | SPY | 秋 | 1,192 | +71.6% | +7.3% | +8.9% |
| S&P500 Benchmark | SPY | 冬 | 787 | +73.7% | +7.5% | +12.2% |
| Semiconductors | SOXX | 春 | 250 | +88.8% | +20.4% | +18.8% |
| Semiconductors | SOXX | 夏 | 1,442 | +70.0% | +13.1% | +15.3% |
| Semiconductors | SOXX | 秋 | 1,518 | +70.8% | +14.9% | +15.1% |
| Semiconductors | SOXX | 冬 | 1,397 | +75.2% | +16.6% | +17.6% |
| Small Caps | IWM | 春 | 539 | +55.5% | +1.6% | +4.3% |
| Small Caps | IWM | 夏 | 1,165 | +61.8% | +4.8% | +5.3% |
| Small Caps | IWM | 秋 | 1,317 | +66.4% | +5.8% | +6.4% |
| Small Caps | IWM | 冬 | 1,586 | +69.7% | +9.9% | +8.9% |
| Technology | XLK | 春 | 224 | +89.7% | +13.1% | +16.1% |
| Technology | XLK | 夏 | 1,934 | +79.4% | +10.2% | +11.4% |
| Technology | XLK | 秋 | 1,617 | +80.5% | +11.7% | +13.4% |
| Technology | XLK | 冬 | 832 | +73.8% | +13.6% | +18.7% |
| Utilities | XLU | 春 | 671 | +80.8% | +5.3% | +6.1% |
| Utilities | XLU | 夏 | 1,217 | +58.8% | +0.9% | +2.6% |
| Utilities | XLU | 秋 | 1,399 | +69.0% | +2.5% | +4.2% |
| Utilities | XLU | 冬 | 1,320 | +78.6% | +7.0% | +9.5% |
6段階Season試算
6段階モデル 180日後成績
| Season | サンプル数 | 勝率 | 平均リターン | 中央値 |
|---|---|---|---|---|
| 真冬 | 5,452 | +71.3% | +10.7% | +11.1% |
| 冬 | 17,367 | +74.5% | +8.8% | +9.9% |
| 春 | 3,014 | +70.4% | +6.2% | +7.0% |
| 夏 | 11,795 | +70.8% | +6.5% | +7.4% |
| 真夏 | 5,754 | +74.3% | +9.3% | +10.1% |
| 秋 | 20,129 | +69.4% | +5.7% | +6.2% |
採用判断
判定: 本番採用は時期尚早
最良Season: 真冬 / 平均 +10.7%
最低Season: 秋 / 平均 +5.7%
- 冬は真冬より良好とは言えず、売られすぎ局面の分離効果は限定的です。
- 真夏は夏より悪化しておらず、過熱分離の効果は限定的です。
- 6段階内で期待値の高低差は確認できます。
真冬 vs 冬
真冬 180日後平均: +10.7%
冬 180日後平均: +8.8%
差分: -1.9%
夏 vs 真夏
夏 180日後平均: +6.5%
真夏 180日後平均: +9.3%
差分: +2.8%
6段階Seasonは試算です。本番のSector Season判定にはまだ反映していません。分類閾値は今後の検証で変更される可能性があります。