# Multi-Factor Composite (JP Growth Stocks)

- **Slug**: `multi-factor-jp-growth`
- **Verdict**: marginal (regime_dependent)
- **Asset class**: equity
- **Categories**: composite, cross-sectional, multi-factor
- **Source**: qbuntu-analysis (computed asof 2026-07-29T01:08:35)
- **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/multi-factor-jp-growth
- **JSON**: https://qbuntu.ai/v1/strategies/multi-factor-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Combines signals from marginal/promising single factors (short-term reversal, low volatility, max return, mean reversion) into a z-scored composite. Tests whether combining weak signals produces a stronger overall signal.

## Why it didn't work

Across 240 grid combinations, median Sharpe=0.23, best=1.95. Primary failure mode: regime_dependent.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | 0.2277 |
| Max drawdown | -21.6% |
| p-value | 0.49 |
| Backtest period | 2022-02-01 to 2026-06-01 |

Sharpe distribution across 240 grid runs: median 0.23, best 1.95 (best-case — not representative), worst -0.62, p25 -0.03, p75 0.55.

## 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-multi-factor-jp-growth-0000` | cost_bps=5, n_stocks=5, n_factors=2, regime_gate=false | 1.34 | 2.5 | 0.87 | 15.95 |
| `r-multi-factor-jp-growth-0001` | cost_bps=5, n_stocks=5, n_factors=2, regime_gate=true | 0.97 | 0.3 | 0.87 | 15.95 |
| `r-multi-factor-jp-growth-0002` | cost_bps=10, n_stocks=5, n_factors=2, regime_gate=false | 1.21 | 2.31 | 0.75 | 15.48 |
| `r-multi-factor-jp-growth-0003` | cost_bps=10, n_stocks=5, n_factors=2, regime_gate=true | 0.85 | 0.19 | 0.75 | 15.48 |
| `r-multi-factor-jp-growth-0012` | cost_bps=5, n_stocks=50, n_factors=2, regime_gate=false | 0.27 | -0.46 | 0.5 | 3.06 |
| `r-multi-factor-jp-growth-0014` | cost_bps=10, n_stocks=50, n_factors=2, regime_gate=false | -0.18 | -0.84 | 0.03 | 1.97 |
| `r-multi-factor-jp-growth-0024` | cost_bps=5, n_stocks=20, n_factors=2, regime_gate=false | 0.08 | -0.32 | 0.2 | 3.49 |
| `r-multi-factor-jp-growth-0034` | cost_bps=10, n_stocks=5, n_factors=2, regime_gate=false | 0.07 | -0.7 | 0.24 | 6.04 |
| `r-multi-factor-jp-growth-0044` | cost_bps=5, n_stocks=50, n_factors=2, regime_gate=false | -0.27 | -2.31 | 0.23 | -0.99 |
| `r-multi-factor-jp-growth-0054` | cost_bps=10, n_stocks=10, n_factors=2, regime_gate=false | -0.02 | -0.58 | 0.04 | 1.8 |
| `r-multi-factor-jp-growth-0064` | cost_bps=5, n_stocks=5, n_factors=2, regime_gate=false | 0.29 | 0.24 | 0.29 | 0.54 |
| `r-multi-factor-jp-growth-0065` | cost_bps=5, n_stocks=5, n_factors=2, regime_gate=true | 0.24 | -0.1 | 0.29 | 0.54 |
| `r-multi-factor-jp-growth-0075` | cost_bps=10, n_stocks=20, n_factors=2, regime_gate=true | -0.38 | -1.51 | -0.18 | -2.09 |
| `r-multi-factor-jp-growth-0080` | cost_bps=5, n_stocks=5, n_factors=3, regime_gate=false | 1.95 | 1.97 | 1.66 | 7.44 |
| `r-multi-factor-jp-growth-0086` | cost_bps=10, n_stocks=10, n_factors=3, regime_gate=false | 1.41 | 0.96 | 1.33 | 12.58 |
| `r-multi-factor-jp-growth-0096` | cost_bps=5, n_stocks=5, n_factors=3, regime_gate=false | 0.85 | 0.35 | 0.79 | 19.79 |
| `r-multi-factor-jp-growth-0106` | cost_bps=10, n_stocks=20, n_factors=3, regime_gate=false | 0.49 | 0.06 | 0.54 | 6.22 |
| `r-multi-factor-jp-growth-0116` | cost_bps=5, n_stocks=10, n_factors=3, regime_gate=false | -0.18 | -1.31 | -0.02 | 6.25 |
| `r-multi-factor-jp-growth-0126` | cost_bps=10, n_stocks=50, n_factors=3, regime_gate=false | -0.62 | -1.94 | -0.07 | -3.47 |
| `r-multi-factor-jp-growth-0127` | cost_bps=10, n_stocks=50, n_factors=3, regime_gate=true | -0.28 | -0.4 | -0.07 | -3.47 |
| `r-multi-factor-jp-growth-0137` | cost_bps=5, n_stocks=20, n_factors=3, regime_gate=true | 0.52 | -0.17 | 0.61 | 1.85 |
| `r-multi-factor-jp-growth-0147` | cost_bps=10, n_stocks=5, n_factors=3, regime_gate=true | 0.43 | -1.22 | 0.6 | 1.09 |
| `r-multi-factor-jp-growth-0157` | cost_bps=5, n_stocks=50, n_factors=3, regime_gate=true | -0.3 | -0.89 | -0.12 | -1.31 |
| `r-multi-factor-jp-growth-0160` | cost_bps=5, n_stocks=5, n_factors=4, regime_gate=false | 1.75 | 1.99 | 1.44 | 8.76 |
| `r-multi-factor-jp-growth-0168` | cost_bps=5, n_stocks=20, n_factors=4, regime_gate=false | 0.9 | 0.63 | 0.8 | 9.32 |
| `r-multi-factor-jp-growth-0178` | cost_bps=10, n_stocks=5, n_factors=4, regime_gate=false | 0.7 | 0.26 | 0.66 | 48 |
| `r-multi-factor-jp-growth-0188` | cost_bps=5, n_stocks=50, n_factors=4, regime_gate=false | 0.22 | -0.28 | 0.33 | 1.78 |
| `r-multi-factor-jp-growth-0198` | cost_bps=10, n_stocks=10, n_factors=4, regime_gate=false | -0.24 | -0.99 | -0.13 | 6.03 |
| `r-multi-factor-jp-growth-0208` | cost_bps=5, n_stocks=5, n_factors=4, regime_gate=false | 0.6 | -0.45 | 0.83 | 6.34 |
| `r-multi-factor-jp-growth-0218` | cost_bps=10, n_stocks=20, n_factors=4, regime_gate=false | 0.05 | -1.22 | 0.41 | 1.65 |

## 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: 0.17**
  - Value: 0.1749 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/multi-factor-jp-growth-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): 0.05**
  - Value: 0.05 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/multi-factor-jp-growth-fact-avg-corr-full

- **Best grid Sharpe ratio is 1.95 (p=0.00012).**
  - Value: 1.95 sharpe_ratio
  - Context: period 2022-02-01–2026-06-01; cost=5bps
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/multi-factor-jp-growth-fact-best-sharpe

- **Median Sharpe across 240 grid runs is 0.23.**
  - Value: 0.23 sharpe_ratio
  - Context: Full grid of 240 parameter combinations.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/multi-factor-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is 3.07 across 240 runs.**
  - Value: 3.07 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/multi-factor-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is 0.26 across 240 runs.**
  - Value: 0.26 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/multi-factor-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.28 across 240 runs.**
  - Value: -0.28 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/multi-factor-jp-growth-fact-regime-up

---

Cite as: qbuntu (2026). Multi-Factor Composite (JP Growth Stocks). https://qbuntu.ai/strategies/multi-factor-jp-growth

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