# Momentum × Volume Interaction (JP All Stocks)

- **Slug**: `momentum-volume-jp-all`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: factor, interaction, momentum, volume
- **Source**: qbuntu-analysis (computed asof 2026-07-30T01:21:19)
- **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/momentum-volume-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/momentum-volume-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Lee & Swaminathan (2000): volume confirms momentum quality. Testing on the full Japanese stock universe.

## Why it didn't work

Across 160 grid combinations, median Sharpe=-0.09, best=0.76. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.089 |
| Max drawdown | -20.9% |
| p-value | 0.57 |
| Backtest period | 2022-05-02 to 2026-02-02 |

Sharpe distribution across 160 grid runs: median -0.09, best 0.76 (best-case — not representative), worst -1.71, p25 -0.38, 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 all listed (Prime/Standard/Growth), ~3747 stocks

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-momentum-volume-jp-all-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.26 | 0.25 | 0.25 | 0.43 |
| `r-momentum-volume-jp-all-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.45 | 1.16 | 0.25 | 0.43 |
| `r-momentum-volume-jp-all-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | 0.07 | 0.09 | 0.06 | -0.02 |
| `r-momentum-volume-jp-all-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | 0.27 | 1.06 | 0.06 | -0.02 |
| `r-momentum-volume-jp-all-0004` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | 0.04 | 0.39 | -0.02 | -1.83 |
| `r-momentum-volume-jp-all-0018` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | 0.04 | 0 | 0.19 | -3.77 |
| `r-momentum-volume-jp-all-0032` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | 0.67 | 0.76 | 0.89 | -3.08 |
| `r-momentum-volume-jp-all-0033` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=10 | 0.76 | 1.08 | 0.89 | -3.08 |
| `r-momentum-volume-jp-all-0039` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=10 | 0.45 | 0.84 | 0.42 | -1.74 |
| `r-momentum-volume-jp-all-0053` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | 0.37 | 1 | 0.04 | 1.83 |
| `r-momentum-volume-jp-all-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | 0.17 | 0.47 | -0.06 | 0.93 |
| `r-momentum-volume-jp-all-0068` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=60 | 0.28 | 0.31 | 0.01 | 2.26 |
| `r-momentum-volume-jp-all-0082` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.28 | -0.69 | -0.17 | 1.49 |
| `r-momentum-volume-jp-all-0096` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | -0.3 | -0.63 | -0.09 | -0.3 |
| `r-momentum-volume-jp-all-0102` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | -0.36 | -0.56 | -0.14 | -3.4 |
| `r-momentum-volume-jp-all-0116` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=10 | -0.36 | 0.24 | -0.68 | -2.82 |
| `r-momentum-volume-jp-all-0130` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=20 | 0.07 | 0.12 | -0.11 | 2.31 |
| `r-momentum-volume-jp-all-0144` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | 0.2 | 0.7 | -0.08 | 0.5 |
| `r-momentum-volume-jp-all-0150` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=60 | -0.12 | 1.04 | -0.58 | 0.76 |
| `r-momentum-volume-jp-all-0164` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -0.34 | -3.02 | 0.15 | 3.1 |
| `r-momentum-volume-jp-all-0178` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -0.35 | -1.37 | 0.22 | -1.8 |
| `r-momentum-volume-jp-all-0192` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | -0.37 | -1.08 | -0.2 | 1.4 |
| `r-momentum-volume-jp-all-0198` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=10 | -0.35 | -0.76 | -0.09 | -1.7 |
| `r-momentum-volume-jp-all-0212` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | -0.2 | 0.2 | -0.45 | 0.51 |
| `r-momentum-volume-jp-all-0226` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=60 | -0.38 | -1.37 | -0.41 | 1.11 |
| `r-momentum-volume-jp-all-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -1.34 | -3.61 | -0.6 | 1.05 |
| `r-momentum-volume-jp-all-0241` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.72 | -1.69 | -0.6 | 1.05 |
| `r-momentum-volume-jp-all-0246` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=1 | -1.71 | -2.97 | -1.48 | 0.59 |
| `r-momentum-volume-jp-all-0256` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | -0.89 | -2.48 | 0.16 | -0.24 |
| `r-momentum-volume-jp-all-0262` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | -0.96 | -1.89 | -0.36 | -1.24 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.76 (p=0.14).**
  - Value: 0.76 sharpe_ratio
  - Context: period 2022-05-02–2026-02-02; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/momentum-volume-jp-all-fact-best-sharpe

- **Median Sharpe across 160 grid runs is -0.09.**
  - Value: -0.09 sharpe_ratio
  - Context: Full grid of 160 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/momentum-volume-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is 0.38 across 160 runs.**
  - Value: 0.38 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/momentum-volume-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is -0.11 across 160 runs.**
  - Value: -0.11 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/momentum-volume-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is 0.07 across 160 runs.**
  - Value: 0.07 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/momentum-volume-jp-all-fact-regime-up

## Related strategies

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

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Cite as: qbuntu (2026). Momentum × Volume Interaction (JP All Stocks). https://qbuntu.ai/strategies/momentum-volume-jp-all

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