# 52-Week High Momentum (JP Growth Stocks)

- **Slug**: `high52w-momentum-jp-growth`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: anchoring, factor, momentum
- **Source**: qbuntu-analysis (computed asof 2026-07-30T01:20:50)
- **Reproducibility**: analysis-engine@18193e9, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/high52w-momentum-jp-growth
- **JSON**: https://qbuntu.ai/v1/strategies/high52w-momentum-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

George & Hwang (2004): proximity to 52-week high as momentum signal. Stocks near their 52-week high continue to outperform. Signal = Close / max(Close, 250d). LONG highest ratio, SHORT lowest.

## Why it didn't work

Across 320 grid combinations, median Sharpe=-0.56, best=0.30. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.5593 |
| Max drawdown | -39.9% |
| p-value | 0.22 |
| Backtest period | 2022-05-02 to 2026-06-01 |

Sharpe distribution across 320 grid runs: median -0.56, best 0.3 (best-case — not representative), worst -1.36, p25 -0.8, p75 -0.27.

## 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

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-high52w-momentum-jp-growth-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -1.02 | -1.31 | -0.82 | -4 |
| `r-high52w-momentum-jp-growth-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -1.07 | -1.47 | -0.82 | -4 |
| `r-high52w-momentum-jp-growth-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -1.13 | -1.4 | -0.94 | -4.35 |
| `r-high52w-momentum-jp-growth-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -1.17 | -1.52 | -0.94 | -4.35 |
| `r-high52w-momentum-jp-growth-0012` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | -0.55 | -0.78 | -0.55 | 0.37 |
| `r-high52w-momentum-jp-growth-0018` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -1.28 | -0.32 | -1.57 | -9.01 |
| `r-high52w-momentum-jp-growth-0032` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | -0.51 | 0.4 | -0.83 | -0.45 |
| `r-high52w-momentum-jp-growth-0046` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=10 | -0.5 | 0.44 | -0.68 | -1.55 |
| `r-high52w-momentum-jp-growth-0060` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=20 | -0.4 | 0.36 | -0.53 | -1.99 |
| `r-high52w-momentum-jp-growth-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | 0.02 | 0.49 | 0.04 | -2.36 |
| `r-high52w-momentum-jp-growth-0075` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=60 | -0.22 | 0.28 | -0.17 | -1.87 |
| `r-high52w-momentum-jp-growth-0089` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=1 | -0.66 | -0.85 | -0.49 | -3.19 |
| `r-high52w-momentum-jp-growth-0103` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | -1.15 | -1.45 | -0.97 | -3.78 |
| `r-high52w-momentum-jp-growth-0106` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=5 | -1.36 | -1.16 | -1.19 | -4.67 |
| `r-high52w-momentum-jp-growth-0118` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=10 | -1.11 | 0.52 | -1.45 | -2.11 |
| `r-high52w-momentum-jp-growth-0132` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | -1.06 | 0.84 | -1.5 | -5.61 |
| `r-high52w-momentum-jp-growth-0146` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=60 | -0.65 | -0.2 | -0.79 | -3.32 |
| `r-high52w-momentum-jp-growth-0160` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.46 | -0.08 | -0.53 | -2.2 |
| `r-high52w-momentum-jp-growth-0174` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | -0.9 | -1.08 | -0.71 | -1.45 |
| `r-high52w-momentum-jp-growth-0188` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=5 | -0.75 | -1.84 | -0.13 | -1.36 |
| `r-high52w-momentum-jp-growth-0202` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=10 | -0.76 | 0.12 | -0.83 | -2.56 |
| `r-high52w-momentum-jp-growth-0216` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=20 | -0.52 | 0.42 | -0.67 | -5.46 |
| `r-high52w-momentum-jp-growth-0230` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=60 | -0.52 | 0.3 | -0.54 | -9.98 |
| `r-high52w-momentum-jp-growth-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.26 | 0.42 | 0.13 | 0.27 |
| `r-high52w-momentum-jp-growth-0245` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | -0.05 | 0.1 | -0.25 | 1.5 |
| `r-high52w-momentum-jp-growth-0259` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | -0.05 | 0.14 | -0.08 | -0.4 |
| `r-high52w-momentum-jp-growth-0269` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=5 | 0.3 | 0.14 | 0.45 | 0.08 |
| `r-high52w-momentum-jp-growth-0274` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=10 | -0.82 | 0.19 | -1.22 | -0.42 |
| `r-high52w-momentum-jp-growth-0288` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | -0.64 | 0.04 | -0.64 | -4.09 |
| `r-high52w-momentum-jp-growth-0302` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=20 | -0.25 | -0.17 | -0.03 | -1.76 |

## 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: 0.06**
  - Value: 0.0586 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/high52w-momentum-jp-growth-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): 0.08**
  - Value: 0.0759 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/high52w-momentum-jp-growth-fact-avg-corr-full

- **Best grid Sharpe ratio is 0.30 (p=0.57).**
  - Value: 0.3 sharpe_ratio
  - Context: period 2022-05-02–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/high52w-momentum-jp-growth-fact-best-sharpe

- **Median Sharpe across 320 grid runs is -0.56.**
  - Value: -0.56 sharpe_ratio
  - Context: Full grid of 320 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/high52w-momentum-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is -2.07 across 320 runs.**
  - Value: -2.07 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/high52w-momentum-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is -0.58 across 320 runs.**
  - Value: -0.58 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/high52w-momentum-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.01 across 320 runs.**
  - Value: -0.01 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/high52w-momentum-jp-growth-fact-regime-up

---

Cite as: qbuntu (2026). 52-Week High Momentum (JP Growth Stocks). https://qbuntu.ai/strategies/high52w-momentum-jp-growth

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