# Post-Earnings Announcement Drift (JP Growth Stocks)

- **Slug**: `pead-jp-growth`
- **Verdict**: rejected (regime_dependent)
- **Asset class**: equity
- **Categories**: earnings, event-driven, momentum
- **Source**: qbuntu-analysis (computed asof 2026-07-27T03:36:53)
- **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/pead-jp-growth
- **JSON**: https://qbuntu.ai/v1/strategies/pead-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Ball & Brown (1968): stocks with positive earnings surprises drift upward over subsequent weeks/months, negative surprises drift downward. Tests PEAD with varying holding periods (5-60 days) in TSE Growth Market. Note: lookback_days is defined in grid but unused in evaluation (surprise is always 1-day abnormal return); grid inflates 3x as a result.

## Why it didn't work

Across 2400 grid combinations, median Sharpe=-0.28, best=1.14. Primary failure mode: regime_dependent.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.2777 |
| Max drawdown | -47.2% |
| p-value | 0.63 |
| Backtest period | 2023-12-08 to 2026-06-09 |

Sharpe distribution across 2400 grid runs: median -0.28, best 1.14 (best-case — not representative), worst -1.46, p25 -0.52, p75 -0.09.

## Methodology

- Notes: {"data_start": "2023-12-06 (earnings data availability)", "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-pead-jp-growth-0000` | side="BOTH", cost_bps=5, n_positions=3, holding_period=5 | 0.06 | -0.29 | 0.55 | 0.93 |
| `r-pead-jp-growth-0001` | side="LONG_ONLY", cost_bps=5, n_positions=3, holding_period=5 | -1.03 | -1.1 | -2.19 | 1.54 |
| `r-pead-jp-growth-0002` | side="BOTH", cost_bps=10, n_positions=3, holding_period=5 | -0.06 | -0.39 | 0.41 | 0.75 |
| `r-pead-jp-growth-0006` | side="BOTH", cost_bps=20, n_positions=3, holding_period=5 | -0.29 | -0.59 | 0.12 | 0.39 |
| `r-pead-jp-growth-0024` | side="BOTH", cost_bps=5, n_positions=20, holding_period=5 | 0.19 | 0.08 | 0.17 | 1.26 |
| `r-pead-jp-growth-0112` | side="BOTH", cost_bps=5, n_positions=10, holding_period=5 | 0.25 | 0.11 | 0.06 | 2.4 |
| `r-pead-jp-growth-0220` | side="BOTH", cost_bps=15, n_positions=20, holding_period=5 | 0.02 | -0.2 | 0.03 | 1.9 |
| `r-pead-jp-growth-0319` | side="LONG_ONLY", cost_bps=20, n_positions=20, holding_period=5 | -1.46 | -1.54 | -2.48 | 1.12 |
| `r-pead-jp-growth-0329` | side="LONG_ONLY", cost_bps=5, n_positions=5, holding_period=5 | -1.07 | -1.31 | -1.72 | 1.53 |
| `r-pead-jp-growth-0384` | side="BOTH", cost_bps=5, n_positions=3, holding_period=5 | 0.17 | -0.12 | 0.41 | 2.04 |
| `r-pead-jp-growth-0438` | side="BOTH", cost_bps=20, n_positions=10, holding_period=5 | -0.07 | -0.18 | -0.41 | 2.13 |
| `r-pead-jp-growth-0546` | side="BOTH", cost_bps=10, n_positions=3, holding_period=10 | -0.49 | -0.57 | -0.64 | 0.32 |
| `r-pead-jp-growth-0654` | side="BOTH", cost_bps=20, n_positions=5, holding_period=10 | -0.68 | -0.94 | -0.64 | 0.72 |
| `r-pead-jp-growth-0762` | side="BOTH", cost_bps=10, n_positions=20, holding_period=10 | -0.23 | -0.5 | -0.19 | 1.4 |
| `r-pead-jp-growth-0870` | side="BOTH", cost_bps=20, n_positions=3, holding_period=10 | -0.32 | -0.58 | 0.04 | 0.45 |
| `r-pead-jp-growth-0978` | side="BOTH", cost_bps=10, n_positions=10, holding_period=20 | 0.28 | -0.26 | 0.3 | 2.15 |
| `r-pead-jp-growth-1086` | side="BOTH", cost_bps=20, n_positions=20, holding_period=20 | 0.39 | -0.07 | 0.26 | 2.74 |
| `r-pead-jp-growth-1194` | side="BOTH", cost_bps=10, n_positions=5, holding_period=20 | 0.21 | -0.18 | 0.04 | 2.67 |
| `r-pead-jp-growth-1272` | side="BOTH", cost_bps=5, n_positions=20, holding_period=20 | 1.14 | 0.47 | 1.23 | 3.7 |
| `r-pead-jp-growth-1303` | side="LONG_ONLY", cost_bps=20, n_positions=10, holding_period=20 | -0.3 | 0.05 | -1.22 | 0.84 |
| `r-pead-jp-growth-1411` | side="LONG_ONLY", cost_bps=10, n_positions=3, holding_period=20 | -0.41 | -0.14 | -1.48 | 1.15 |
| `r-pead-jp-growth-1519` | side="LONG_ONLY", cost_bps=20, n_positions=5, holding_period=40 | -0.27 | -0.37 | -0.76 | 1.08 |
| `r-pead-jp-growth-1627` | side="LONG_ONLY", cost_bps=10, n_positions=20, holding_period=40 | -0.3 | -0.09 | -1.1 | 0.62 |
| `r-pead-jp-growth-1735` | side="LONG_ONLY", cost_bps=20, n_positions=3, holding_period=40 | -0.39 | -0.39 | -1.07 | 1 |
| `r-pead-jp-growth-1843` | side="LONG_ONLY", cost_bps=10, n_positions=10, holding_period=40 | -0.44 | -0.46 | -1.05 | 0.79 |
| `r-pead-jp-growth-1920` | side="BOTH", cost_bps=5, n_positions=3, holding_period=60 | -0.31 | 0.66 | -1.18 | 1.78 |
| `r-pead-jp-growth-1952` | side="BOTH", cost_bps=5, n_positions=3, holding_period=60 | -0.31 | 0.66 | -1.18 | 1.78 |
| `r-pead-jp-growth-2060` | side="BOTH", cost_bps=15, n_positions=5, holding_period=60 | -0.32 | 0.31 | -1.01 | 2.06 |
| `r-pead-jp-growth-2168` | side="BOTH", cost_bps=5, n_positions=20, holding_period=60 | -0.58 | -0.07 | -1.1 | 0.77 |
| `r-pead-jp-growth-2276` | side="BOTH", cost_bps=15, n_positions=3, holding_period=60 | -0.18 | 0.62 | -1.06 | 1.74 |

## 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: -0.24**
  - Value: -0.2377 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/pead-jp-growth-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): 0.07**
  - Value: 0.0661 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/pead-jp-growth-fact-avg-corr-full

- **Best grid Sharpe ratio is 1.14 (p=0.074).**
  - Value: 1.14 sharpe_ratio
  - Context: period 2023-12-08–2026-06-09; cost=5bps; side=BOTH
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/pead-jp-growth-fact-best-sharpe

- **Median Sharpe across 2400 grid runs is -0.28.**
  - Value: -0.28 sharpe_ratio
  - Context: Full grid of 2400 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/pead-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is 1.13 across 2400 runs.**
  - Value: 1.13 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/pead-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is -0.98 across 2400 runs.**
  - Value: -0.98 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/pead-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.30 across 2400 runs.**
  - Value: -0.3 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/pead-jp-growth-fact-regime-up

## Related strategies

- same_data_source: [earnings-reversal-short-jp-growth](https://qbuntu.ai/strategies/earnings-reversal-short-jp-growth)

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Cite as: qbuntu (2026). Post-Earnings Announcement Drift (JP Growth Stocks). https://qbuntu.ai/strategies/pead-jp-growth

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