# Cross-Sectional Momentum (JP All Stocks)

- **Slug**: `momentum-cross-sectional-jp-all`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: cross-sectional, factor, momentum
- **Source**: qbuntu-analysis (computed asof 2026-07-27T03:37:03)
- **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/momentum-cross-sectional-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/momentum-cross-sectional-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Jegadeesh & Titman (1993): stocks with high past returns continue to outperform. Testing cross-sectional momentum on the full Japanese stock universe.

## Why it didn't work

Across 480 grid combinations, median Sharpe=-0.33, best=0.60. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.3307 |
| Max drawdown | -23.2% |
| p-value | 0.44 |
| Backtest period | 2022-05-02 to 2026-02-02 |

Sharpe distribution across 480 grid runs: median -0.33, best 0.6 (best-case — not representative), worst -1.65, p25 -0.67, p75 -0.04.

## 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

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-momentum-cross-sectional-jp-all-0000` | cost_bps=5, n_stocks=5, skip_days=0, regime_gate=false | -0.13 | 0.99 | -0.27 | -2.34 |
| `r-momentum-cross-sectional-jp-all-0001` | cost_bps=5, n_stocks=5, skip_days=0, regime_gate=true | -0.33 | -0.26 | -0.27 | -2.34 |
| `r-momentum-cross-sectional-jp-all-0002` | cost_bps=10, n_stocks=5, skip_days=0, regime_gate=false | -0.39 | 0.63 | -0.5 | -2.88 |
| `r-momentum-cross-sectional-jp-all-0003` | cost_bps=10, n_stocks=5, skip_days=0, regime_gate=true | -0.56 | -0.41 | -0.5 | -2.88 |
| `r-momentum-cross-sectional-jp-all-0008` | cost_bps=5, n_stocks=5, skip_days=21, regime_gate=false | -0.55 | -0.55 | -0.56 | -0.87 |
| `r-momentum-cross-sectional-jp-all-0012` | cost_bps=5, n_stocks=10, skip_days=0, regime_gate=false | 0.29 | 1.72 | -0.1 | 4.22 |
| `r-momentum-cross-sectional-jp-all-0051` | cost_bps=10, n_stocks=5, skip_days=0, regime_gate=true | -0.08 | 0.27 | -0.09 | -1.32 |
| `r-momentum-cross-sectional-jp-all-0097` | cost_bps=5, n_stocks=5, skip_days=0, regime_gate=true | 0.06 | 0.34 | -0.2 | 2.14 |
| `r-momentum-cross-sectional-jp-all-0119` | cost_bps=10, n_stocks=10, skip_days=21, regime_gate=true | 0.26 | 0.87 | -0.05 | 2.07 |
| `r-momentum-cross-sectional-jp-all-0165` | cost_bps=5, n_stocks=10, skip_days=21, regime_gate=true | 0.34 | 0.32 | 0.22 | 37.27 |
| `r-momentum-cross-sectional-jp-all-0192` | cost_bps=5, n_stocks=5, skip_days=0, regime_gate=false | -0.31 | 0.01 | -0.49 | 0.23 |
| `r-momentum-cross-sectional-jp-all-0212` | cost_bps=5, n_stocks=10, skip_days=21, regime_gate=false | -0.51 | -0.43 | -0.33 | -2.23 |
| `r-momentum-cross-sectional-jp-all-0258` | cost_bps=10, n_stocks=10, skip_days=5, regime_gate=false | -0.99 | -0.37 | -1.16 | -0.98 |
| `r-momentum-cross-sectional-jp-all-0262` | cost_bps=10, n_stocks=10, skip_days=21, regime_gate=false | -1.65 | -1.87 | -1.8 | 0.95 |
| `r-momentum-cross-sectional-jp-all-0305` | cost_bps=5, n_stocks=10, skip_days=5, regime_gate=true | 0.13 | 1.09 | -0.14 | -2.24 |
| `r-momentum-cross-sectional-jp-all-0351` | cost_bps=10, n_stocks=10, skip_days=0, regime_gate=true | 0.06 | 0.53 | -0.31 | 2.96 |
| `r-momentum-cross-sectional-jp-all-0397` | cost_bps=5, n_stocks=10, skip_days=0, regime_gate=true | -0.49 | 0.31 | -1.28 | 9.91 |
| `r-momentum-cross-sectional-jp-all-0443` | cost_bps=10, n_stocks=5, skip_days=21, regime_gate=true | -0.46 | -0.76 | -0.22 | -1.29 |
| `r-momentum-cross-sectional-jp-all-0489` | cost_bps=5, n_stocks=5, skip_days=21, regime_gate=true | -0.57 | 0.66 | -1.24 | 0.84 |
| `r-momentum-cross-sectional-jp-all-0535` | cost_bps=10, n_stocks=5, skip_days=5, regime_gate=true | -0.06 | 0.5 | -0.14 | -1.6 |
| `r-momentum-cross-sectional-jp-all-0581` | cost_bps=5, n_stocks=5, skip_days=5, regime_gate=true | 0.26 | 0.3 | 0.22 | 0.35 |
| `r-momentum-cross-sectional-jp-all-0585` | cost_bps=5, n_stocks=5, skip_days=21, regime_gate=true | 0.6 | 0.29 | 0.5 | 2.45 |
| `r-momentum-cross-sectional-jp-all-0628` | cost_bps=5, n_stocks=5, skip_days=5, regime_gate=false | -0.21 | -0.75 | -0.13 | 0.51 |
| `r-momentum-cross-sectional-jp-all-0674` | cost_bps=10, n_stocks=5, skip_days=0, regime_gate=false | -0.16 | -1.31 | 0.03 | 0.42 |
| `r-momentum-cross-sectional-jp-all-0720` | cost_bps=5, n_stocks=5, skip_days=0, regime_gate=false | -0.92 | -0.47 | -1.23 | -0.25 |
| `r-momentum-cross-sectional-jp-all-0721` | cost_bps=5, n_stocks=5, skip_days=0, regime_gate=true | -0.62 | 0.56 | -1.23 | -0.25 |
| `r-momentum-cross-sectional-jp-all-0743` | cost_bps=10, n_stocks=10, skip_days=21, regime_gate=true | -0.93 | -0.33 | -1.28 | 0.25 |
| `r-momentum-cross-sectional-jp-all-0789` | cost_bps=5, n_stocks=10, skip_days=21, regime_gate=true | -0.25 | 0.22 | -0.39 | -1.37 |
| `r-momentum-cross-sectional-jp-all-0835` | cost_bps=10, n_stocks=10, skip_days=5, regime_gate=true | 0.27 | 0.49 | 0.21 | 0.03 |
| `r-momentum-cross-sectional-jp-all-0881` | cost_bps=5, n_stocks=10, skip_days=5, regime_gate=true | -0.24 | 0.5 | -0.77 | 1.45 |

## 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: 0.19**
  - Value: 0.1885 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/momentum-cross-sectional-jp-all-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): 0.04**
  - Value: 0.0386 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/momentum-cross-sectional-jp-all-fact-avg-corr-full

- **Best grid Sharpe ratio is 0.60 (p=0.27).**
  - Value: 0.6 sharpe_ratio
  - Context: period 2022-05-02–2026-02-02; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/momentum-cross-sectional-jp-all-fact-best-sharpe

- **Median Sharpe across 480 grid runs is -0.33.**
  - Value: -0.33 sharpe_ratio
  - Context: Full grid of 480 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/momentum-cross-sectional-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is 0.02 across 480 runs.**
  - Value: 0.02 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/momentum-cross-sectional-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is -0.45 across 480 runs.**
  - Value: -0.45 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/momentum-cross-sectional-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is -0.15 across 480 runs.**
  - Value: -0.15 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/momentum-cross-sectional-jp-all-fact-regime-up

## Related strategies

- same_strategy: [momentum-cross-sectional-jp-growth](https://qbuntu.ai/strategies/momentum-cross-sectional-jp-growth)

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Cite as: qbuntu (2026). Cross-Sectional Momentum (JP All Stocks). https://qbuntu.ai/strategies/momentum-cross-sectional-jp-all

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