# PEG Ratio Value (JP All Stocks)

- **Slug**: `peg-ratio-value-jp-all`
- **Verdict**: rejected (signal_frequency)
- **Asset class**: equity
- **Categories**: fundamental, growth, value
- **Source**: qbuntu-analysis (computed asof 2026-08-05T03:18:59)
- **Reproducibility**: analysis-engine@2f23bb7, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/peg-ratio-value-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/peg-ratio-value-jp-all
- **License**: CC-BY-4.0

## Hypothesis

A low P/E relative to earnings growth (low PEG, the ratio popularized by Peter Lynch) marks growth priced below its rate; ranking on PEG with a minimum-growth screen tests this growth-adjusted value premium on Japanese fundamentals.

## Why it didn't work

Across 24 grid combinations, median Sharpe=2.23, best=4.17. Primary failure mode: signal_frequency.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | 2.2269 |
| Max drawdown | 0% |
| p-value | 0.38 |
| Backtest period | 2025-09-01 to 2025-11-04 |

Sharpe distribution across 24 grid runs: median 2.23, best 4.17 (best-case — not representative), worst 0.38, p25 2.11, p75 2.55.

## 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 all listed (Prime/Standard/Growth), ~3747 stocks; fundamentals from J-Quants financial statements (coverage from 2023-12)

## Runs (24)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-peg-ratio-value-jp-all-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 2.86 | 14.24 | — | — |
| `r-peg-ratio-value-jp-all-0001` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 2.19 | 67.12 | — | — |
| `r-peg-ratio-value-jp-all-0002` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | 4.17 | 3.07 | — | — |
| `r-peg-ratio-value-jp-all-0003` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 1.11 | 4.46 | — | — |
| `r-peg-ratio-value-jp-all-0004` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=5 | 2.27 | 33.86 | — | — |
| `r-peg-ratio-value-jp-all-0005` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=20 | 2.26 | 1.42 | — | — |
| `r-peg-ratio-value-jp-all-0006` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | 2.44 | 12.99 | — | — |
| `r-peg-ratio-value-jp-all-0007` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | 2.03 | 64.43 | — | — |
| `r-peg-ratio-value-jp-all-0008` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=20 | 3.89 | 2.88 | — | — |
| `r-peg-ratio-value-jp-all-0009` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | 0.38 | 3.65 | — | — |
| `r-peg-ratio-value-jp-all-0010` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | 2.14 | 33.23 | — | — |
| `r-peg-ratio-value-jp-all-0011` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=20 | 2.13 | 1.34 | — | — |
| `r-peg-ratio-value-jp-all-0048` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 2.86 | 14.24 | — | — |
| `r-peg-ratio-value-jp-all-0049` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 2.19 | 67.12 | — | — |
| `r-peg-ratio-value-jp-all-0050` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | 4.17 | 3.07 | — | — |
| `r-peg-ratio-value-jp-all-0051` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 1.11 | 4.46 | — | — |
| `r-peg-ratio-value-jp-all-0052` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=5 | 2.27 | 33.86 | — | — |
| `r-peg-ratio-value-jp-all-0053` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=20 | 2.26 | 1.42 | — | — |
| `r-peg-ratio-value-jp-all-0054` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | 2.44 | 12.99 | — | — |
| `r-peg-ratio-value-jp-all-0055` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | 2.03 | 64.43 | — | — |
| `r-peg-ratio-value-jp-all-0056` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=20 | 3.89 | 2.88 | — | — |
| `r-peg-ratio-value-jp-all-0057` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | 0.38 | 3.65 | — | — |
| `r-peg-ratio-value-jp-all-0058` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | 2.14 | 33.23 | — | — |
| `r-peg-ratio-value-jp-all-0059` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=20 | 2.13 | 1.34 | — | — |

## Facts (5)

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

- **Best grid Sharpe ratio is 4.17 (p=0.17).**
  - Value: 4.17 sharpe_ratio
  - Context: period 2025-09-01–2025-11-04; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/peg-ratio-value-jp-all-fact-best-sharpe

- **Median Sharpe across 24 grid runs is 2.23.**
  - Value: 2.23 sharpe_ratio
  - Context: Full grid of 24 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/peg-ratio-value-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is nan across 24 runs.**
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/peg-ratio-value-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is nan across 24 runs.**
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/peg-ratio-value-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is 8.72 across 24 runs.**
  - Value: 8.72 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/peg-ratio-value-jp-all-fact-regime-up

## Related strategies

- same_strategy: [peg-ratio-value-jp-growth](https://qbuntu.ai/strategies/peg-ratio-value-jp-growth)

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Cite as: qbuntu (2026). PEG Ratio Value (JP All Stocks). https://qbuntu.ai/strategies/peg-ratio-value-jp-all

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