# Forecast Revision (JP Growth Stocks)

- **Slug**: `forecast-revision-jp-growth`
- **Verdict**: marginal (no_edge)
- **Asset class**: equity
- **Categories**: drift, fundamental, revision
- **Source**: qbuntu-analysis (computed asof 2026-08-03T01:02:57)
- **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-growth
- **JSON**: https://qbuntu.ai/v1/strategies/forecast-revision-jp-growth
- **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 48 grid combinations, median Sharpe=0.24, best=0.89. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | 0.2413 |
| Max drawdown | -7.3% |
| p-value | 0.41 |
| Backtest period | 2024-03-01 to 2026-06-01 |

Sharpe distribution across 48 grid runs: median 0.24, best 0.89 (best-case — not representative), worst -1.99, p25 -0.41, p75 0.59.

## 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-forecast-revision-jp-growth-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.19 | 0.24 | -0.36 | 1.62 |
| `r-forecast-revision-jp-growth-0001` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 0.87 | 3.22 | -0.46 | 0.69 |
| `r-forecast-revision-jp-growth-0002` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | 0.77 | 1.02 | 0.58 | 1.43 |
| `r-forecast-revision-jp-growth-0003` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.29 | 0.52 | -0.36 | 1.62 |
| `r-forecast-revision-jp-growth-0004` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=5 | 0.59 | 2.28 | -0.46 | 0.69 |
| `r-forecast-revision-jp-growth-0005` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=20 | 0.64 | 0.59 | 0.58 | 1.43 |
| `r-forecast-revision-jp-growth-0006` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | 0.02 | 0.12 | -0.61 | 1.47 |
| `r-forecast-revision-jp-growth-0007` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | 0.79 | 3.14 | -0.54 | 0.52 |
| `r-forecast-revision-jp-growth-0008` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=20 | 0.73 | 0.98 | 0.55 | 1.35 |
| `r-forecast-revision-jp-growth-0009` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | 0.11 | 0.43 | -0.61 | 1.47 |
| `r-forecast-revision-jp-growth-0010` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | 0.52 | 2.24 | -0.54 | 0.52 |
| `r-forecast-revision-jp-growth-0011` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=20 | 0.6 | 0.57 | 0.55 | 1.35 |
| `r-forecast-revision-jp-growth-0012` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -0.98 | -1.57 | -0.66 | 0.14 |
| `r-forecast-revision-jp-growth-0013` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=5 | 0.35 | 1.81 | -0.31 | -2.28 |
| `r-forecast-revision-jp-growth-0014` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | 0.2 | -0.67 | 0.73 | 1.89 |
| `r-forecast-revision-jp-growth-0015` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | -0.47 | -0.4 | -0.66 | 0.14 |
| `r-forecast-revision-jp-growth-0016` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=5 | 0.5 | 1.52 | -0.31 | -2.28 |
| `r-forecast-revision-jp-growth-0017` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | 0.64 | 0.14 | 0.73 | 1.89 |
| `r-forecast-revision-jp-growth-0018` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=1 | -1.28 | -1.79 | -1.05 | -0.22 |
| `r-forecast-revision-jp-growth-0019` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | 0.17 | 1.64 | -0.49 | -2.67 |
| `r-forecast-revision-jp-growth-0020` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=20 | 0.15 | -0.71 | 0.67 | 1.79 |
| `r-forecast-revision-jp-growth-0021` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=1 | -0.74 | -0.52 | -1.05 | -0.22 |
| `r-forecast-revision-jp-growth-0022` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | 0.39 | 1.47 | -0.49 | -2.67 |
| `r-forecast-revision-jp-growth-0023` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=20 | 0.58 | 0.11 | 0.67 | 1.79 |
| `r-forecast-revision-jp-growth-0024` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=1 | -0.58 | -1.24 | 0.09 | -0.31 |
| `r-forecast-revision-jp-growth-0025` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=5 | 0.62 | 1.07 | 0.31 | 0.15 |
| `r-forecast-revision-jp-growth-0026` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=20 | 0.53 | 0.12 | 0.9 | 0.49 |
| `r-forecast-revision-jp-growth-0028` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=5 | 0.89 | 1.57 | 0.31 | 0.15 |
| `r-forecast-revision-jp-growth-0036` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | -1.42 | -1.99 | -1.04 | -0.39 |
| `r-forecast-revision-jp-growth-0042` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | -1.99 | -2.41 | -1.8 | -2.32 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.89 (p=0.2).**
  - Value: 0.89 sharpe_ratio
  - Context: period 2024-03-01–2026-06-01; cost=5bps
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/forecast-revision-jp-growth-fact-best-sharpe

- **Median Sharpe across 48 grid runs is 0.24.**
  - Value: 0.24 sharpe_ratio
  - Context: Full grid of 48 parameter combinations.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/forecast-revision-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is 0.51 across 48 runs.**
  - Value: 0.51 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/forecast-revision-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is -0.38 across 48 runs.**
  - Value: -0.38 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/forecast-revision-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is 0.25 across 48 runs.**
  - Value: 0.25 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/forecast-revision-jp-growth-fact-regime-up

## Related strategies

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

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

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