# Cross-Sectional Momentum (JP Growth Stocks)

- **Slug**: `momentum-cross-sectional-jp-growth`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: cross-sectional, factor, momentum
- **Source**: qbuntu-analysis (computed asof 2026-07-27T03:36:58)
- **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-growth
- **JSON**: https://qbuntu.ai/v1/strategies/momentum-cross-sectional-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Jegadeesh & Titman (1993): stocks with high past returns continue to outperform over intermediate horizons. LONG winners, SHORT losers. Tests cross-sectional momentum in TSE Growth Market.

## Why it didn't work

Across 960 grid combinations, median Sharpe=-0.46, best=0.91. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.4648 |
| Max drawdown | -29.5% |
| p-value | 0.33 |
| Backtest period | 2022-05-02 to 2026-06-01 |

Sharpe distribution across 960 grid runs: median -0.46, best 0.91 (best-case — not representative), worst -1.77, p25 -0.76, p75 -0.14.

## 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-momentum-cross-sectional-jp-growth-0000` | cost_bps=5, n_stocks=5, skip_days=0, regime_gate=false | -1.12 | -0.21 | -1.66 | -3.71 |
| `r-momentum-cross-sectional-jp-growth-0001` | cost_bps=5, n_stocks=5, skip_days=0, regime_gate=true | -1.27 | -0.65 | -1.66 | -3.71 |
| `r-momentum-cross-sectional-jp-growth-0002` | cost_bps=10, n_stocks=5, skip_days=0, regime_gate=false | -1.24 | -0.3 | -1.8 | -4.04 |
| `r-momentum-cross-sectional-jp-growth-0003` | cost_bps=10, n_stocks=5, skip_days=0, regime_gate=true | -1.37 | -0.69 | -1.8 | -4.04 |
| `r-momentum-cross-sectional-jp-growth-0008` | cost_bps=5, n_stocks=5, skip_days=21, regime_gate=false | -0.64 | -0.87 | -0.78 | 1.53 |
| `r-momentum-cross-sectional-jp-growth-0036` | cost_bps=5, n_stocks=50, skip_days=0, regime_gate=false | -1.25 | -1.44 | -1.03 | -5.13 |
| `r-momentum-cross-sectional-jp-growth-0050` | cost_bps=10, n_stocks=5, skip_days=0, regime_gate=false | -1.06 | -1.75 | -0.79 | -2.38 |
| `r-momentum-cross-sectional-jp-growth-0095` | cost_bps=10, n_stocks=50, skip_days=21, regime_gate=true | -0.51 | 0.21 | -1.04 | 0.18 |
| `r-momentum-cross-sectional-jp-growth-0140` | cost_bps=5, n_stocks=50, skip_days=21, regime_gate=false | 0.16 | 0.27 | 0.12 | -0.29 |
| `r-momentum-cross-sectional-jp-growth-0185` | cost_bps=5, n_stocks=50, skip_days=5, regime_gate=true | 0.2 | 0.24 | 0.29 | -0.67 |
| `r-momentum-cross-sectional-jp-growth-0192` | cost_bps=5, n_stocks=5, skip_days=0, regime_gate=false | -0.04 | -0.27 | 0.05 | -1.35 |
| `r-momentum-cross-sectional-jp-growth-0231` | cost_bps=10, n_stocks=50, skip_days=0, regime_gate=true | 0.06 | -0.41 | 0.37 | -2.13 |
| `r-momentum-cross-sectional-jp-growth-0276` | cost_bps=5, n_stocks=50, skip_days=0, regime_gate=false | -0.88 | -0.89 | -0.71 | -7.42 |
| `r-momentum-cross-sectional-jp-growth-0321` | cost_bps=5, n_stocks=20, skip_days=21, regime_gate=true | -0.06 | 0.22 | -0.15 | -0.52 |
| `r-momentum-cross-sectional-jp-growth-0366` | cost_bps=10, n_stocks=20, skip_days=5, regime_gate=false | -0.27 | -0.45 | -0.08 | -2.53 |
| `r-momentum-cross-sectional-jp-growth-0411` | cost_bps=10, n_stocks=20, skip_days=0, regime_gate=true | -0.48 | -0.3 | -0.43 | -1.92 |
| `r-momentum-cross-sectional-jp-growth-0456` | cost_bps=5, n_stocks=20, skip_days=0, regime_gate=false | -0.44 | -0.26 | -0.35 | -2.96 |
| `r-momentum-cross-sectional-jp-growth-0501` | cost_bps=5, n_stocks=10, skip_days=21, regime_gate=true | -0.27 | -0.46 | -0.03 | -2.16 |
| `r-momentum-cross-sectional-jp-growth-0546` | cost_bps=10, n_stocks=10, skip_days=5, regime_gate=false | -0.57 | -0.17 | -0.56 | -1.78 |
| `r-momentum-cross-sectional-jp-growth-0591` | cost_bps=10, n_stocks=10, skip_days=0, regime_gate=true | -0.44 | -0.03 | -0.36 | -1.78 |
| `r-momentum-cross-sectional-jp-growth-0626` | cost_bps=10, n_stocks=5, skip_days=0, regime_gate=false | -1.77 | -1.23 | -1.66 | -8.09 |
| `r-momentum-cross-sectional-jp-growth-0637` | cost_bps=5, n_stocks=10, skip_days=0, regime_gate=true | -0.71 | -1.22 | -0.27 | -3.24 |
| `r-momentum-cross-sectional-jp-growth-0682` | cost_bps=10, n_stocks=5, skip_days=21, regime_gate=false | -0.67 | -1.16 | -0.36 | -1.92 |
| `r-momentum-cross-sectional-jp-growth-0720` | cost_bps=5, n_stocks=5, skip_days=0, regime_gate=false | -0.15 | 1.38 | -1.06 | -1.55 |
| `r-momentum-cross-sectional-jp-growth-0728` | cost_bps=5, n_stocks=5, skip_days=21, regime_gate=false | 0.09 | 1.02 | -1.05 | 2.22 |
| `r-momentum-cross-sectional-jp-growth-0773` | cost_bps=5, n_stocks=5, skip_days=5, regime_gate=true | 0.75 | 2.24 | 0.06 | -0.89 |
| `r-momentum-cross-sectional-jp-growth-0789` | cost_bps=5, n_stocks=10, skip_days=21, regime_gate=true | 0.91 | 3.05 | -0.03 | -0.96 |
| `r-momentum-cross-sectional-jp-growth-0819` | cost_bps=10, n_stocks=5, skip_days=0, regime_gate=true | -0.68 | 1.5 | -1.5 | -1.01 |
| `r-momentum-cross-sectional-jp-growth-0864` | cost_bps=5, n_stocks=5, skip_days=0, regime_gate=false | -1.05 | 0.32 | -1.7 | -2 |
| `r-momentum-cross-sectional-jp-growth-0909` | cost_bps=5, n_stocks=50, skip_days=21, regime_gate=true | -0.39 | -0.35 | -0.04 | -2.51 |

## 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: 0.11**
  - Value: 0.1067 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-growth-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): 0.02**
  - Value: 0.017 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-growth-fact-avg-corr-full

- **Best grid Sharpe ratio is 0.91 (p=0.1).**
  - Value: 0.91 sharpe_ratio
  - Context: period 2022-05-02–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/momentum-cross-sectional-jp-growth-fact-best-sharpe

- **Median Sharpe across 960 grid runs is -0.46.**
  - Value: -0.46 sharpe_ratio
  - Context: Full grid of 960 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/momentum-cross-sectional-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is -1.71 across 960 runs.**
  - Value: -1.71 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/momentum-cross-sectional-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is -0.42 across 960 runs.**
  - Value: -0.42 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/momentum-cross-sectional-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.27 across 960 runs.**
  - Value: -0.27 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/momentum-cross-sectional-jp-growth-fact-regime-up

---

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

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