# Mean Reversion (JP Growth Stocks)

- **Slug**: `mean-reversion-jp-growth`
- **Verdict**: rejected (regime_dependent)
- **Asset class**: equity
- **Categories**: cross-sectional, factor, mean-reversion
- **Source**: qbuntu-analysis (computed asof 2026-07-27T03:36:14)
- **Reproducibility**: analysis-engine@bfafe7d, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/mean-reversion-jp-growth
- **JSON**: https://qbuntu.ai/v1/strategies/mean-reversion-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Stocks deviating from fair value (measured by z-score, RSI, Bollinger, or MRS) revert to the mean. LONG oversold, SHORT overbought. Tests 4 mean-reversion indicators in TSE Growth Market.

## Why it didn't work

Across 1024 grid combinations, median Sharpe=0.03, best=1.88. Primary failure mode: regime_dependent.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | 0.0314 |
| Max drawdown | -15.2% |
| p-value | 0.51 |
| Backtest period | 2022-02-01 to 2026-06-01 |

Sharpe distribution across 1024 grid runs: median 0.03, best 1.88 (best-case — not representative), worst -1.08, p25 -0.27, p75 0.36.

## 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-mean-reversion-jp-growth-0000` | cost_bps=5, lookback=10, n_stocks=5, indicator="zscore" | -0.17 | -0.94 | -0.12 | 2.39 |
| `r-mean-reversion-jp-growth-0001` | cost_bps=5, lookback=10, n_stocks=5, indicator="zscore" | -0.16 | -1.71 | -0.12 | 2.39 |
| `r-mean-reversion-jp-growth-0002` | cost_bps=10, lookback=10, n_stocks=5, indicator="zscore" | -0.3 | -1.08 | -0.25 | 2.25 |
| `r-mean-reversion-jp-growth-0003` | cost_bps=10, lookback=10, n_stocks=5, indicator="zscore" | -0.29 | -1.85 | -0.25 | 2.25 |
| `r-mean-reversion-jp-growth-0012` | cost_bps=5, lookback=10, n_stocks=50, indicator="zscore" | -0.31 | 0.11 | -0.49 | 2.58 |
| `r-mean-reversion-jp-growth-0048` | cost_bps=5, lookback=10, n_stocks=5, indicator="zscore" | -0.6 | -1.48 | -0.68 | 3.03 |
| `r-mean-reversion-jp-growth-0053` | cost_bps=5, lookback=10, n_stocks=10, indicator="zscore" | -0.51 | -1.48 | -0.55 | 2.64 |
| `r-mean-reversion-jp-growth-0101` | cost_bps=5, lookback=20, n_stocks=10, indicator="zscore" | 0.16 | 0.08 | 0.24 | -1.94 |
| `r-mean-reversion-jp-growth-0149` | cost_bps=5, lookback=40, n_stocks=10, indicator="zscore" | 0.13 | -0.57 | 0.22 | 4.21 |
| `r-mean-reversion-jp-growth-0192` | cost_bps=5, lookback=60, n_stocks=5, indicator="zscore" | 0.49 | 0.12 | 0.56 | 0.92 |
| `r-mean-reversion-jp-growth-0198` | cost_bps=10, lookback=60, n_stocks=10, indicator="zscore" | 0.13 | -0.41 | 0.28 | 2.88 |
| `r-mean-reversion-jp-growth-0238` | cost_bps=10, lookback=60, n_stocks=50, indicator="zscore" | -1.08 | -1.63 | -0.95 | -0.01 |
| `r-mean-reversion-jp-growth-0247` | cost_bps=10, lookback=60, n_stocks=10, indicator="zscore" | 0.08 | -0.95 | 0.12 | 1.27 |
| `r-mean-reversion-jp-growth-0295` | cost_bps=10, lookback=10, n_stocks=10, indicator="rsi" | 0.48 | 0.21 | 0.58 | 0.02 |
| `r-mean-reversion-jp-growth-0343` | cost_bps=10, lookback=20, n_stocks=10, indicator="rsi" | 0.67 | 0.66 | 0.58 | 1.78 |
| `r-mean-reversion-jp-growth-0391` | cost_bps=10, lookback=40, n_stocks=10, indicator="rsi" | 0.48 | -0.79 | 0.9 | 0.41 |
| `r-mean-reversion-jp-growth-0439` | cost_bps=10, lookback=40, n_stocks=10, indicator="rsi" | 0.61 | 0.02 | 0.63 | 6.31 |
| `r-mean-reversion-jp-growth-0487` | cost_bps=10, lookback=60, n_stocks=10, indicator="rsi" | 0.25 | -0.67 | 0.34 | 1.24 |
| `r-mean-reversion-jp-growth-0512` | cost_bps=5, lookback=10, n_stocks=5, indicator="bollinger_pct" | -0.17 | -0.94 | -0.12 | 2.39 |
| `r-mean-reversion-jp-growth-0536` | cost_bps=5, lookback=10, n_stocks=20, indicator="bollinger_pct" | -0.44 | -0.93 | -0.43 | 2.11 |
| `r-mean-reversion-jp-growth-0584` | cost_bps=5, lookback=20, n_stocks=20, indicator="bollinger_pct" | 0.38 | 0.4 | 0.27 | 3.02 |
| `r-mean-reversion-jp-growth-0632` | cost_bps=5, lookback=20, n_stocks=20, indicator="bollinger_pct" | 0.28 | -0.96 | 0.51 | 3.07 |
| `r-mean-reversion-jp-growth-0680` | cost_bps=5, lookback=40, n_stocks=20, indicator="bollinger_pct" | -0.69 | -1.15 | -0.64 | 0.58 |
| `r-mean-reversion-jp-growth-0728` | cost_bps=5, lookback=60, n_stocks=20, indicator="bollinger_pct" | -0.18 | -0.36 | -0.25 | 3.1 |
| `r-mean-reversion-jp-growth-0776` | cost_bps=5, lookback=10, n_stocks=20, indicator="mrs" | 0.39 | 0.69 | 0.24 | 1.43 |
| `r-mean-reversion-jp-growth-0824` | cost_bps=5, lookback=10, n_stocks=20, indicator="mrs" | -0.44 | -1.87 | -0.09 | -0.07 |
| `r-mean-reversion-jp-growth-0852` | cost_bps=5, lookback=20, n_stocks=10, indicator="mrs" | 1.88 | 0.92 | 2.01 | 7.42 |
| `r-mean-reversion-jp-growth-0873` | cost_bps=5, lookback=20, n_stocks=20, indicator="mrs" | 0.91 | 0.13 | 1.22 | 0.84 |
| `r-mean-reversion-jp-growth-0921` | cost_bps=5, lookback=40, n_stocks=20, indicator="mrs" | 0.83 | -0.23 | 1.1 | 2.2 |
| `r-mean-reversion-jp-growth-0969` | cost_bps=5, lookback=60, n_stocks=20, indicator="mrs" | 0.16 | -0.94 | 0.58 | 8.4 |

## 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: -0.04**
  - Value: -0.0409 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/mean-reversion-jp-growth-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): 0.01**
  - Value: 0.0143 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/mean-reversion-jp-growth-fact-avg-corr-full

- **Best grid Sharpe ratio is 1.88 (p=0.0002).**
  - Value: 1.88 sharpe_ratio
  - Context: period 2022-02-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/mean-reversion-jp-growth-fact-best-sharpe

- **Median Sharpe across 1024 grid runs is 0.03.**
  - Value: 0.03 sharpe_ratio
  - Context: Full grid of 1024 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/mean-reversion-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is 1.18 across 1024 runs.**
  - Value: 1.18 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/mean-reversion-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is 0.15 across 1024 runs.**
  - Value: 0.15 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/mean-reversion-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.43 across 1024 runs.**
  - Value: -0.43 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/mean-reversion-jp-growth-fact-regime-up

---

Cite as: qbuntu (2026). Mean Reversion (JP Growth Stocks). https://qbuntu.ai/strategies/mean-reversion-jp-growth

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