# Earnings Reversal (JP Growth Stocks)

- **Slug**: `earnings-reversal-short-jp-growth`
- **Verdict**: rejected (regime_dependent)
- **Asset class**: equity
- **Categories**: earnings, event-driven, reversal
- **Source**: qbuntu-analysis (computed asof 2026-07-27T03:36:43)
- **Reproducibility**: analysis-engine@bfafe7d, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/earnings-reversal-short-jp-growth
- **JSON**: https://qbuntu.ai/v1/strategies/earnings-reversal-short-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Post-earnings price reactions in JP Growth stocks tend to overshoot. Shorting large positive reactions and buying large negative reactions captures mean-reversion after earnings announcements. Note: lookback_days is defined in grid but unused in evaluation (reaction is always 1-day close-to-close); grid inflates 3x as a result.

## Why it didn't work

Across 2880 grid combinations, median Sharpe=-0.18, best=1.54. Primary failure mode: regime_dependent.

## Performance summary

Headline figures are the **median across the parameter grid**, not the best run.

| Metric | Value |
|---|---|
| Sharpe (median) | -0.1814 |
| Max drawdown | -83% |
| p-value | 0.23 |
| Backtest period | 2023-12-12 to 2026-05-29 |

Sharpe distribution across 2880 grid runs: median -0.18, best 1.54 (best-case — not representative), worst -5.46, p25 -2.62, p75 0.71.

## Methodology

- Notes: {"data_start": "2023-12-06 (earnings data availability)", "walk_forward_definition": {"type": "single_pass", "description": "Full period backtest without walk-forward split", "verdict_basis": "full_period"}}
- Slippage model: open-on-open + variable bps fixed
- Position sizing: equal_weight
- Regime definition: N225 SMA20/SMA60 three-class
- Transaction cost bps: 5

## Target universe

Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-earnings-reversal-short-jp-growth-0000` | side="SHORT_ONLY", cost_bps=5, n_positions=1, holding_period=1 | 1.31 | 2.12 | 0.4 | -0.31 |
| `r-earnings-reversal-short-jp-growth-0001` | side="LONG_ONLY", cost_bps=5, n_positions=1, holding_period=1 | -2.3 | -0.23 | -4.49 | -3.87 |
| `r-earnings-reversal-short-jp-growth-0002` | side="BOTH", cost_bps=5, n_positions=1, holding_period=1 | 0.98 | 2.11 | -0.56 | -1.84 |
| `r-earnings-reversal-short-jp-growth-0009` | side="SHORT_ONLY", cost_bps=20, n_positions=1, holding_period=1 | 1.02 | 1.86 | 0.08 | -0.73 |
| `r-earnings-reversal-short-jp-growth-0036` | side="SHORT_ONLY", cost_bps=5, n_positions=10, holding_period=1 | 1.3 | 1.94 | 0.59 | -0.29 |
| `r-earnings-reversal-short-jp-growth-0134` | side="BOTH", cost_bps=5, n_positions=10, holding_period=1 | 0.16 | 1.34 | -2.06 | -3.54 |
| `r-earnings-reversal-short-jp-growth-0264` | side="SHORT_ONLY", cost_bps=5, n_positions=5, holding_period=1 | 1.23 | 1.94 | 0.36 | -0.37 |
| `r-earnings-reversal-short-jp-growth-0324` | side="SHORT_ONLY", cost_bps=5, n_positions=10, holding_period=1 | 1.54 | 2.16 | 0.78 | 0.07 |
| `r-earnings-reversal-short-jp-growth-0395` | side="BOTH", cost_bps=20, n_positions=1, holding_period=1 | 0.32 | 1.58 | -1.75 | -2.48 |
| `r-earnings-reversal-short-jp-growth-0525` | side="SHORT_ONLY", cost_bps=20, n_positions=10, holding_period=1 | 0.2 | 0.63 | 0.02 | -1.14 |
| `r-earnings-reversal-short-jp-growth-0576` | side="SHORT_ONLY", cost_bps=5, n_positions=1, holding_period=1 | 1.09 | 2.05 | -0.3 | 1.86 |
| `r-earnings-reversal-short-jp-growth-0598` | side="LONG_ONLY", cost_bps=20, n_positions=3, holding_period=1 | -5.46 | -2.75 | -8.5 | -6.89 |
| `r-earnings-reversal-short-jp-growth-0657` | side="SHORT_ONLY", cost_bps=20, n_positions=5, holding_period=1 | 0.72 | 1.28 | 0.21 | -0.49 |
| `r-earnings-reversal-short-jp-growth-0787` | side="LONG_ONLY", cost_bps=15, n_positions=3, holding_period=2 | -3.32 | -2.72 | -3.7 | -4.03 |
| `r-earnings-reversal-short-jp-growth-0917` | side="BOTH", cost_bps=10, n_positions=1, holding_period=2 | 0.56 | 1.39 | 0.12 | -3.83 |
| `r-earnings-reversal-short-jp-growth-1047` | side="SHORT_ONLY", cost_bps=10, n_positions=10, holding_period=2 | 1.07 | 1.66 | 0.57 | -1.32 |
| `r-earnings-reversal-short-jp-growth-1177` | side="LONG_ONLY", cost_bps=5, n_positions=5, holding_period=2 | -4.14 | -3.65 | -4.53 | -4.6 |
| `r-earnings-reversal-short-jp-growth-1307` | side="BOTH", cost_bps=20, n_positions=1, holding_period=2 | -0.2 | 0.46 | -1.14 | -0.32 |
| `r-earnings-reversal-short-jp-growth-1437` | side="SHORT_ONLY", cost_bps=20, n_positions=10, holding_period=2 | 0.23 | 0.38 | 0.21 | -0.53 |
| `r-earnings-reversal-short-jp-growth-1567` | side="LONG_ONLY", cost_bps=15, n_positions=5, holding_period=3 | -2.41 | -1.93 | -3.41 | -1.7 |
| `r-earnings-reversal-short-jp-growth-1697` | side="BOTH", cost_bps=10, n_positions=3, holding_period=3 | -0.03 | 0.77 | -1.46 | -3.48 |
| `r-earnings-reversal-short-jp-growth-1827` | side="SHORT_ONLY", cost_bps=10, n_positions=1, holding_period=3 | 1.24 | 1.85 | 0.6 | -0.43 |
| `r-earnings-reversal-short-jp-growth-1957` | side="LONG_ONLY", cost_bps=5, n_positions=10, holding_period=3 | -3.68 | -3.07 | -3.94 | -4.75 |
| `r-earnings-reversal-short-jp-growth-2087` | side="BOTH", cost_bps=20, n_positions=3, holding_period=3 | -0.48 | 0.3 | -0.87 | -3.5 |
| `r-earnings-reversal-short-jp-growth-2160` | side="SHORT_ONLY", cost_bps=5, n_positions=1, holding_period=5 | 1.07 | 1.32 | 1.19 | -0.4 |
| `r-earnings-reversal-short-jp-growth-2218` | side="LONG_ONLY", cost_bps=20, n_positions=1, holding_period=5 | -1.83 | -0.8 | -2.91 | -2.36 |
| `r-earnings-reversal-short-jp-growth-2348` | side="BOTH", cost_bps=15, n_positions=10, holding_period=5 | -0.69 | -0.18 | -1.08 | -3.6 |
| `r-earnings-reversal-short-jp-growth-2478` | side="SHORT_ONLY", cost_bps=15, n_positions=5, holding_period=5 | 0.67 | 0.57 | 1.88 | -1.63 |
| `r-earnings-reversal-short-jp-growth-2608` | side="LONG_ONLY", cost_bps=10, n_positions=3, holding_period=5 | -2.57 | -1.27 | -3.68 | -4.23 |
| `r-earnings-reversal-short-jp-growth-2738` | side="BOTH", cost_bps=5, n_positions=1, holding_period=5 | 0.58 | 0.77 | 0.15 | 0.88 |

## Facts (7)

Each fact has a permanent citation URL. AI agents quoting qbuntu should use these.

- **Average monthly return correlation with other strategies in DOWN regime: -0.14**
  - Value: -0.1361 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/earnings-reversal-short-jp-growth-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): 0.05**
  - Value: 0.0468 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/earnings-reversal-short-jp-growth-fact-avg-corr-full

- **Best grid Sharpe ratio is 1.54 (p=0.088).**
  - Value: 1.54 sharpe_ratio
  - Context: period 2023-12-12–2026-05-29; cost=5bps; side=SHORT_ONLY
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/earnings-reversal-short-jp-growth-fact-best-sharpe

- **Median Sharpe across 2880 grid runs is -0.18.**
  - Value: -0.18 sharpe_ratio
  - Context: Full grid of 2880 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/earnings-reversal-short-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is -2.93 across 2880 runs.**
  - Value: -2.93 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/earnings-reversal-short-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is -1.31 across 2880 runs.**
  - Value: -1.31 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/earnings-reversal-short-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is 0.53 across 2880 runs.**
  - Value: 0.53 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/earnings-reversal-short-jp-growth-fact-regime-up

## Related strategies

- same_universe: [gap-reversal-short-jp-growth](https://qbuntu.ai/strategies/gap-reversal-short-jp-growth)
- same_data_source: [pead-jp-growth](https://qbuntu.ai/strategies/pead-jp-growth)

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Cite as: qbuntu (2026). Earnings Reversal (JP Growth Stocks). https://qbuntu.ai/strategies/earnings-reversal-short-jp-growth

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