# Earnings Yield x Momentum (JP Growth Stocks)

- **Slug**: `earnings-yield-momentum-jp-growth`
- **Verdict**: rejected (regime_dependent)
- **Asset class**: equity
- **Categories**: fundamental, momentum, value
- **Source**: qbuntu-analysis (computed asof 2026-08-03T01:03:13)
- **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-growth
- **JSON**: https://qbuntu.ai/v1/strategies/earnings-yield-momentum-jp-growth
- **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 144 grid combinations, median Sharpe=-0.15, best=0.99. Primary failure mode: regime_dependent.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.1501 |
| Max drawdown | -8.5% |
| p-value | 0.64 |
| Backtest period | 2024-01-04 to 2026-06-01 |

Sharpe distribution across 144 grid runs: median -0.15, best 0.99 (best-case — not representative), worst -1.16, p25 -0.37, p75 0.15.

## 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 Growth Market, ~495 stocks, tv >= 30M JPY; fundamentals from J-Quants financial statements (coverage from 2023-12)

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-earnings-yield-momentum-jp-growth-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.24 | -0.07 | -0.45 | 0.39 |
| `r-earnings-yield-momentum-jp-growth-0001` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | -0.18 | -0.66 | -0.2 | 1.63 |
| `r-earnings-yield-momentum-jp-growth-0002` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | 0.18 | 0.28 | 0.15 | -0.1 |
| `r-earnings-yield-momentum-jp-growth-0003` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.58 | -1.19 | -0.45 | 0.39 |
| `r-earnings-yield-momentum-jp-growth-0006` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.42 | -0.29 | -0.6 | 0.23 |
| `r-earnings-yield-momentum-jp-growth-0010` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | -0.4 | -1.3 | -0.3 | 1.49 |
| `r-earnings-yield-momentum-jp-growth-0016` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=5 | -0.07 | -0.09 | 0.07 | -1.37 |
| `r-earnings-yield-momentum-jp-growth-0022` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | -0.22 | -0.18 | -0.1 | -1.71 |
| `r-earnings-yield-momentum-jp-growth-0028` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=5 | 0.59 | 0.01 | 0.91 | 0.45 |
| `r-earnings-yield-momentum-jp-growth-0034` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=5 | 0.42 | -0.11 | 0.73 | 0.15 |
| `r-earnings-yield-momentum-jp-growth-0036` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | 0.11 | -0.72 | 0.71 | 0.8 |
| `r-earnings-yield-momentum-jp-growth-0041` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=20 | -0.12 | -0.51 | 0.27 | 0.28 |
| `r-earnings-yield-momentum-jp-growth-0047` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=20 | -0.27 | -0.58 | 0.04 | -0.06 |
| `r-earnings-yield-momentum-jp-growth-0053` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=20 | -0.51 | 0.43 | -0.39 | -13.45 |
| `r-earnings-yield-momentum-jp-growth-0059` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=20 | -0.57 | 0.39 | -0.46 | -13.67 |
| `r-earnings-yield-momentum-jp-growth-0065` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | -0.13 | -0.23 | 0.42 | -6.46 |
| `r-earnings-yield-momentum-jp-growth-0071` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=20 | -0.2 | -0.27 | 0.35 | -6.65 |
| `r-earnings-yield-momentum-jp-growth-0077` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=20 | 0.02 | 0.31 | 0.08 | -3.2 |
| `r-earnings-yield-momentum-jp-growth-0083` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=20 | -0.07 | 0.26 | -0.06 | -3.45 |
| `r-earnings-yield-momentum-jp-growth-0089` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=20 | 0.06 | -0.16 | 0.15 | 3.2 |
| `r-earnings-yield-momentum-jp-growth-0091` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=5 | -1.16 | -6.18 | 0.42 | -2.31 |
| `r-earnings-yield-momentum-jp-growth-0096` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.2 | -0.28 | 1.03 | -2.1 |
| `r-earnings-yield-momentum-jp-growth-0097` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 0.64 | -0.36 | 1.7 | -0.06 |
| `r-earnings-yield-momentum-jp-growth-0100` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=5 | 0.99 | 0.21 | 1.7 | -0.06 |
| `r-earnings-yield-momentum-jp-growth-0104` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=20 | 0.27 | -0.06 | 0.72 | -1.06 |
| `r-earnings-yield-momentum-jp-growth-0110` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | -0.34 | 0.08 | -0.51 | -1.91 |
| `r-earnings-yield-momentum-jp-growth-0116` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=20 | -0.42 | -0 | -0.58 | -2.18 |
| `r-earnings-yield-momentum-jp-growth-0122` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=20 | 0.22 | 0.91 | 0.15 | -10.91 |
| `r-earnings-yield-momentum-jp-growth-0128` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=20 | 0.1 | 0.77 | 0.04 | -11.78 |
| `r-earnings-yield-momentum-jp-growth-0134` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=20 | 0.04 | 1.06 | -0.02 | -6.81 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.99 (p=0.13).**
  - Value: 0.99 sharpe_ratio
  - Context: period 2024-01-04–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/earnings-yield-momentum-jp-growth-fact-best-sharpe

- **Median Sharpe across 144 grid runs is -0.15.**
  - Value: -0.15 sharpe_ratio
  - Context: Full grid of 144 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/earnings-yield-momentum-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is -1.32 across 144 runs.**
  - Value: -1.32 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/earnings-yield-momentum-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is 0.34 across 144 runs.**
  - Value: 0.34 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/earnings-yield-momentum-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.36 across 144 runs.**
  - Value: -0.36 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/earnings-yield-momentum-jp-growth-fact-regime-up

## Related strategies

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

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

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