ブレイクダウンの確率
株価が過去数日間の最安値を更新したタイミングで株を売る手法。これをブレイクダウンというらしい。
（前回検証した「ブレイクアウト」と逆の手法です）
今回は、ブレイクダウンが起きたあとの株価の推移（確率）を計算してみた。
ブレイクダウンが起きたあとの株価推移
ブレイクダウンが起きたあと、株価はどのように推移するのか？以下のような手順で計算してみた。
- 2000年1月～2014年8月の日経平均銘柄（225種）の日足データを用意。
- 株価の終値が過去20日間の最安値を更新した日を抽出。
- 抽出した日の1営業日～5営業日後の株価の統計をとって前日比が「プラスである確率」と「マイナスである確率」を計算。
以下が計算結果。
計算結果を見ると、ブレイクダウンが起きたとき、
・1営業日後の前日比がマイナスである確率は46.6％
・2営業日後の前日比がマイナスである確率は46.8％
・3営業日後の前日比がマイナスである確率は47.1％
・4営業日後の前日比がマイナスである確率は46.8％
・5営業日後の前日比がマイナスである確率は47.3％
であった。
この計算結果を見ると、ブレイクダウンが起きたあとはむしろ株価が上がっていく傾向があるように見える（すごく小さい傾向だけど）。
前回のブレイクアウトの検証をしたときと同じで、なんだか予想とは逆の結果が出てきてしまった・・・。
（※ちなみに、ブレイクダウンが発生した日は全部で87839件あったので、サンプル数は十分たくさんあると思います。）
同様の方法で、今度は最安値更新の判定期間を20日～40日といろいろ変えてみて、以降の営業日の前日比がマイナスとなる確率を求めてみた。
以下が計算結果。
計算結果を見ると、20日間、30日間、40日間いずれの場合もほぼブレイクダウン後は株価が上がる確率が高かった（晴れマークは「前日比がプラスとなる確率が高い」ことを表しています）。
計算期間20日間～40日間をそれぞれ比べてみても、株価の推移する傾向にはあまり影響がないみたい。
結論
株価が下降してブレイクダウンが起きると、その後一週間は株価が上がっていく傾向が見られた（ただしすごく小さい傾向だけど）。
単純に確率だけ考えると、ブレイクダウンが起きたあとはむしろ株を買ったほうが良さそうに思えた。
前回のブレイクアウトの検証のときも言ったけど、やっぱり株価の確率だけじゃなくて、前日比の期待値みたいなものも計算した方がよさそう。
株価が上がったときor下がったときの勢いの違いも調べてみたいところ。
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