# Earnings Yield x Momentum (JP All Stocks)

- **Slug**: `earnings-yield-momentum-jp-all`
- **Verdict**: marginal (regime_dependent)
- **Asset class**: equity
- **Categories**: fundamental, momentum, value
- **Source**: qbuntu-analysis (computed asof 2026-08-05T03:19:17)
- **Reproducibility**: analysis-engine@2f23bb7, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/earnings-yield-momentum-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/earnings-yield-momentum-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Value and momentum are individually noisy but historically complementary; requiring both a high earnings yield and positive price momentum tests whether the intersection avoids value traps better than either signal alone.

## Why it didn't work

Across 72 grid combinations, median Sharpe=0.08, best=2.18. Primary failure mode: regime_dependent.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | 0.0757 |
| Max drawdown | -4.5% |
| p-value | 0.63 |
| Backtest period | 2024-08-01 to 2026-02-02 |

Sharpe distribution across 72 grid runs: median 0.08, best 2.18 (best-case — not representative), worst -2.4, p25 -0.54, p75 0.4.

## Methodology

- Notes: {"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 all listed (Prime/Standard/Growth), ~3747 stocks; fundamentals from J-Quants financial statements (coverage from 2023-12)

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-earnings-yield-momentum-jp-all-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.57 | -0.47 | 1.14 | -4.88 |
| `r-earnings-yield-momentum-jp-all-0001` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 1.26 | 0.21 | 1.9 | -0.43 |
| `r-earnings-yield-momentum-jp-all-0002` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | -0.45 | 1.03 | -0.59 | -6.62 |
| `r-earnings-yield-momentum-jp-all-0003` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.61 | 0.12 | 1.14 | -4.88 |
| `r-earnings-yield-momentum-jp-all-0005` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=20 | -0.54 | 0.41 | -0.59 | -6.62 |
| `r-earnings-yield-momentum-jp-all-0006` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | 0.37 | -1.09 | 0.97 | -5.31 |
| `r-earnings-yield-momentum-jp-all-0008` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=20 | -0.56 | 0.91 | -0.7 | -6.88 |
| `r-earnings-yield-momentum-jp-all-0010` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | 1.58 | 2.09 | 1.75 | -0.6 |
| `r-earnings-yield-momentum-jp-all-0012` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | 1.07 | 1.96 | 2.7 | -3.07 |
| `r-earnings-yield-momentum-jp-all-0013` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=5 | 0.56 | 0.27 | 1.35 | 0.72 |
| `r-earnings-yield-momentum-jp-all-0015` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | 0.51 | 0.69 | 2.7 | -3.07 |
| `r-earnings-yield-momentum-jp-all-0016` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=5 | 2.18 | 12.69 | 1.35 | 0.72 |
| `r-earnings-yield-momentum-jp-all-0018` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=1 | 0.55 | 1.54 | 1.95 | -3.81 |
| `r-earnings-yield-momentum-jp-all-0020` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=20 | -0.62 | 0.62 | -1.55 | -1.06 |
| `r-earnings-yield-momentum-jp-all-0022` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | 1.88 | 12.19 | 0.5 | 0.56 |
| `r-earnings-yield-momentum-jp-all-0048` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.58 | 1.94 | 0.75 | -10.3 |
| `r-earnings-yield-momentum-jp-all-0050` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | 0.44 | 1.59 | 0.06 | 3.18 |
| `r-earnings-yield-momentum-jp-all-0052` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=5 | 0.47 | 2.3 | 0.56 | -6.64 |
| `r-earnings-yield-momentum-jp-all-0054` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | 0.39 | 1.39 | 0.59 | -11.5 |
| `r-earnings-yield-momentum-jp-all-0056` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=20 | 0.38 | 1.51 | 0.01 | 2.51 |
| `r-earnings-yield-momentum-jp-all-0058` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | 0.37 | 2.15 | 0.46 | -7.05 |
| `r-earnings-yield-momentum-jp-all-0060` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -0.03 | 8.45 | -2.69 | -1.81 |
| `r-earnings-yield-momentum-jp-all-0062` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | 0.19 | 3.96 | -1.05 | 3.25 |
| `r-earnings-yield-momentum-jp-all-0064` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=5 | 0.33 | 9.28 | -1.71 | 0.88 |
| `r-earnings-yield-momentum-jp-all-0066` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=1 | -0.51 | 7.2 | -3.26 | -2.36 |
| `r-earnings-yield-momentum-jp-all-0068` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=20 | 0.1 | 3.71 | -1.11 | 2.97 |
| `r-earnings-yield-momentum-jp-all-0070` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | 0.18 | 8.98 | -1.85 | 0.41 |
| `r-earnings-yield-momentum-jp-all-0096` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.45 | 0.42 | 0.43 | 0.96 |
| `r-earnings-yield-momentum-jp-all-0097` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 0.05 | 0.11 | 0.12 | -2.16 |
| `r-earnings-yield-momentum-jp-all-0114` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=1 | -2.4 | -2.24 | -0.99 | -4.5 |

## Facts (5)

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

- **Best grid Sharpe ratio is 2.18 (p=0.11).**
  - Value: 2.18 sharpe_ratio
  - Context: period 2024-08-01–2026-02-02; cost=5bps
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/earnings-yield-momentum-jp-all-fact-best-sharpe

- **Median Sharpe across 72 grid runs is 0.08.**
  - Value: 0.08 sharpe_ratio
  - Context: Full grid of 72 parameter combinations.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/earnings-yield-momentum-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is -0.79 across 72 runs.**
  - Value: -0.79 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/earnings-yield-momentum-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is -0.21 across 72 runs.**
  - Value: -0.21 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/earnings-yield-momentum-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is 0.85 across 72 runs.**
  - Value: 0.85 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/earnings-yield-momentum-jp-all-fact-regime-up

## Related strategies

- same_strategy: [earnings-yield-momentum-jp-growth](https://qbuntu.ai/strategies/earnings-yield-momentum-jp-growth)

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Cite as: qbuntu (2026). Earnings Yield x Momentum (JP All Stocks). https://qbuntu.ai/strategies/earnings-yield-momentum-jp-all

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