# Momentum × Volume Interaction (JP Growth Stocks)

- **Slug**: `momentum-volume-jp-growth`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: factor, interaction, momentum, volume
- **Source**: qbuntu-analysis (computed asof 2026-07-30T01:21:10)
- **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-growth
- **JSON**: https://qbuntu.ai/v1/strategies/momentum-volume-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Lee & Swaminathan (2000): volume confirms momentum quality. High-volume winners underperform (overreaction), low-volume winners continue (underreaction). LONG low-volume winners, SHORT high-volume losers.

## Why it didn't work

Across 320 grid combinations, median Sharpe=-0.16, best=0.79. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.1576 |
| Max drawdown | -18.1% |
| p-value | 0.52 |
| Backtest period | 2022-05-02 to 2026-06-01 |

Sharpe distribution across 320 grid runs: median -0.16, best 0.79 (best-case — not representative), worst -1.77, p25 -0.5, p75 0.12.

## 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-volume-jp-growth-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.27 | 1.23 | -0.49 | 4.54 |
| `r-momentum-volume-jp-growth-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.07 | 0.74 | -0.49 | 4.54 |
| `r-momentum-volume-jp-growth-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | 0.12 | 1.12 | -0.68 | 4.07 |
| `r-momentum-volume-jp-growth-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -0.07 | 0.69 | -0.68 | 4.07 |
| `r-momentum-volume-jp-growth-0012` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | -0.09 | 0.57 | -0.7 | 1.97 |
| `r-momentum-volume-jp-growth-0018` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -0.38 | 0.68 | -1.14 | 1.74 |
| `r-momentum-volume-jp-growth-0032` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | -0.45 | 0.37 | -0.98 | -0.85 |
| `r-momentum-volume-jp-growth-0046` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=10 | -1.39 | -0.62 | -1.77 | 0.21 |
| `r-momentum-volume-jp-growth-0060` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=20 | -1.59 | -1 | -1.98 | 0.58 |
| `r-momentum-volume-jp-growth-0062` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=20 | -1.77 | -1.18 | -2.17 | 0.36 |
| `r-momentum-volume-jp-growth-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | 0.22 | 0.18 | 0.28 | -0.94 |
| `r-momentum-volume-jp-growth-0076` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=60 | -0.76 | -0.74 | -0.86 | 42.02 |
| `r-momentum-volume-jp-growth-0090` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=1 | 0.01 | 0.64 | -0.33 | 1.66 |
| `r-momentum-volume-jp-growth-0104` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=5 | -0.1 | 0.19 | -0.23 | -0.02 |
| `r-momentum-volume-jp-growth-0118` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=10 | -0.25 | -0.34 | -0.21 | -0.14 |
| `r-momentum-volume-jp-growth-0132` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | 0.22 | -0.38 | 0.44 | 3.74 |
| `r-momentum-volume-jp-growth-0146` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=60 | 0.43 | 0.85 | 0.32 | 0.58 |
| `r-momentum-volume-jp-growth-0160` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.55 | 1.32 | 0.15 | 0.77 |
| `r-momentum-volume-jp-growth-0174` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | -0.36 | 0.12 | -0.8 | 1.55 |
| `r-momentum-volume-jp-growth-0188` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=5 | -0.21 | 1.34 | -0.64 | 0.02 |
| `r-momentum-volume-jp-growth-0202` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=10 | -0.3 | 0.36 | -0.84 | 1.05 |
| `r-momentum-volume-jp-growth-0208` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | 0.79 | 1.47 | 0.4 | 2.8 |
| `r-momentum-volume-jp-growth-0217` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=20 | 0.22 | 0.64 | -0.2 | 1.58 |
| `r-momentum-volume-jp-growth-0231` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=60 | -0.28 | -0.4 | -0.26 | -0.07 |
| `r-momentum-volume-jp-growth-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.5 | 0.9 | 0.25 | 0.89 |
| `r-momentum-volume-jp-growth-0246` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=1 | 0.22 | 0.57 | 0.05 | 0.98 |
| `r-momentum-volume-jp-growth-0260` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=5 | 0.31 | 0.33 | 0.21 | 1.53 |
| `r-momentum-volume-jp-growth-0274` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=10 | -0.4 | 1.59 | -1.68 | 0.96 |
| `r-momentum-volume-jp-growth-0288` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | -0.23 | 0.56 | -0.45 | -0.02 |
| `r-momentum-volume-jp-growth-0302` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=20 | -0.94 | -1.72 | -0.66 | -0.2 |

## 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: 0.1097 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-volume-jp-growth-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): 0.07**
  - Value: 0.0682 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/momentum-volume-jp-growth-fact-avg-corr-full

- **Best grid Sharpe ratio is 0.79 (p=0.12).**
  - Value: 0.79 sharpe_ratio
  - Context: period 2022-05-02–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/momentum-volume-jp-growth-fact-best-sharpe

- **Median Sharpe across 320 grid runs is -0.16.**
  - Value: -0.16 sharpe_ratio
  - Context: Full grid of 320 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/momentum-volume-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is 0.37 across 320 runs.**
  - Value: 0.37 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/momentum-volume-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is -0.45 across 320 runs.**
  - Value: -0.45 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/momentum-volume-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is 0.34 across 320 runs.**
  - Value: 0.34 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/momentum-volume-jp-growth-fact-regime-up

---

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

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