# Forecast Revision (JP All Stocks)

- **Slug**: `forecast-revision-jp-all`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: drift, fundamental, revision
- **Source**: qbuntu-analysis (computed asof 2026-08-05T03:19:07)
- **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/forecast-revision-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/forecast-revision-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Japanese companies publish their own full-year guidance; upward revisions are informative and historically under-reacted to. Ranking on the latest guidance revision tests for a post-revision drift analogous to PEAD.

## Why it didn't work

Across 12 grid combinations, median Sharpe=-0.49, best=0.38. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.4913 |
| Max drawdown | -11.3% |
| p-value | 0.49 |
| Backtest period | 2024-11-01 to 2026-02-02 |

Sharpe distribution across 12 grid runs: median -0.49, best 0.38 (best-case — not representative), worst -1.64, p25 -1.08, p75 0.29.

## 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 (12)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-forecast-revision-jp-all-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -1.43 | -3.12 | -0.69 | 3.15 |
| `r-forecast-revision-jp-all-0001` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | -0.89 | -1.83 | -0.14 | 2.11 |
| `r-forecast-revision-jp-all-0002` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | 0.36 | -0.93 | 0.22 | 123.66 |
| `r-forecast-revision-jp-all-0003` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.99 | -2.53 | -0.69 | 3.15 |
| `r-forecast-revision-jp-all-0004` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=5 | 0.09 | -0.18 | -0.14 | 2.11 |
| `r-forecast-revision-jp-all-0005` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=20 | 0.38 | -1.23 | 0.22 | 123.66 |
| `r-forecast-revision-jp-all-0006` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -1.64 | -3.27 | -1.09 | 2.39 |
| `r-forecast-revision-jp-all-0007` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -0.97 | -1.87 | -0.35 | 1.87 |
| `r-forecast-revision-jp-all-0008` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=20 | 0.28 | -1.01 | 0.14 | 121.37 |
| `r-forecast-revision-jp-all-0009` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -1.34 | -2.72 | -1.09 | 2.39 |
| `r-forecast-revision-jp-all-0010` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | -0.09 | -0.27 | -0.35 | 1.87 |
| `r-forecast-revision-jp-all-0011` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=20 | 0.32 | -1.28 | 0.14 | 121.37 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.38 (p=0.67).**
  - Value: 0.38 sharpe_ratio
  - Context: period 2024-11-01–2026-02-02; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/forecast-revision-jp-all-fact-best-sharpe

- **Median Sharpe across 12 grid runs is -0.49.**
  - Value: -0.49 sharpe_ratio
  - Context: Full grid of 12 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/forecast-revision-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is 2.77 across 12 runs.**
  - Value: 2.77 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/forecast-revision-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is -0.25 across 12 runs.**
  - Value: -0.25 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/forecast-revision-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is -1.55 across 12 runs.**
  - Value: -1.55 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/forecast-revision-jp-all-fact-regime-up

## Related strategies

- same_strategy: [forecast-revision-jp-growth](https://qbuntu.ai/strategies/forecast-revision-jp-growth)

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Cite as: qbuntu (2026). Forecast Revision (JP All Stocks). https://qbuntu.ai/strategies/forecast-revision-jp-all

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