# PEG Ratio Value (JP Growth Stocks)

- **Slug**: `peg-ratio-value-jp-growth`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: fundamental, growth, value
- **Source**: qbuntu-analysis (computed asof 2026-08-02T16:26:17)
- **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-growth
- **JSON**: https://qbuntu.ai/v1/strategies/peg-ratio-value-jp-growth
- **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 132 grid combinations, median Sharpe=-0.57, best=4.46. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.5726 |
| Max drawdown | -4.6% |
| p-value | 0.32 |
| Backtest period | 2025-01-06 to 2026-06-01 |

Sharpe distribution across 132 grid runs: median -0.57, best 4.46 (best-case — not representative), worst -2.56, p25 -1.11, p75 0.45.

## 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; fundamentals from J-Quants financial statements (coverage from 2023-12)

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-peg-ratio-value-jp-growth-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -1.18 | -1.98 | -2.45 | 12.77 |
| `r-peg-ratio-value-jp-growth-0001` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 0.71 | 0.62 | -0.16 | 13.55 |
| `r-peg-ratio-value-jp-growth-0002` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | 0.57 | 0.72 | 0.02 | 2.69 |
| `r-peg-ratio-value-jp-growth-0003` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.96 | -1.25 | -2.45 | 12.77 |
| `r-peg-ratio-value-jp-growth-0006` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -1.68 | -2.51 | -3.09 | 11.35 |
| `r-peg-ratio-value-jp-growth-0009` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -1.22 | -1.38 | -3.09 | 11.35 |
| `r-peg-ratio-value-jp-growth-0014` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | -1.33 | -1 | -1.32 | -2.15 |
| `r-peg-ratio-value-jp-growth-0019` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | -0.27 | -0.34 | -0.32 | 0.51 |
| `r-peg-ratio-value-jp-growth-0024` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=1 | -1.69 | -3.87 | 1.3 | -1.72 |
| `r-peg-ratio-value-jp-growth-0029` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=20 | -1.26 | -0.77 | -1.28 | -3.77 |
| `r-peg-ratio-value-jp-growth-0030` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=1 | -2.56 | -4.83 | -0.02 | -2.44 |
| `r-peg-ratio-value-jp-growth-0035` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=20 | -1.35 | -0.81 | -1.44 | -3.91 |
| `r-peg-ratio-value-jp-growth-0036` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | -0.17 | -0.79 | 0.59 | — |
| `r-peg-ratio-value-jp-growth-0040` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=5 | 4.46 | 4.88 | 3.64 | — |
| `r-peg-ratio-value-jp-growth-0042` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | -0.84 | -1.25 | -0.19 | — |
| `r-peg-ratio-value-jp-growth-0047` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=20 | 0.43 | 1.24 | -0.93 | — |
| `r-peg-ratio-value-jp-growth-0052` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=5 | 0.39 | 1.08 | -1.14 | 2.08 |
| `r-peg-ratio-value-jp-growth-0057` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -1.17 | -1.38 | -2.56 | 3.59 |
| `r-peg-ratio-value-jp-growth-0062` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | -0.82 | -0.24 | -0.25 | -3.67 |
| `r-peg-ratio-value-jp-growth-0067` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | 0.11 | -0.46 | 0.89 | 0.23 |
| `r-peg-ratio-value-jp-growth-0072` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=1 | -1.39 | -2.84 | 0.9 | -1.43 |
| `r-peg-ratio-value-jp-growth-0077` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=20 | -1.24 | -0.77 | -1.19 | -3.85 |
| `r-peg-ratio-value-jp-growth-0082` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=5 | 1.67 | 1.55 | 3.57 | -0.01 |
| `r-peg-ratio-value-jp-growth-0087` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=1 | -1.3 | -5.06 | 0.46 | — |
| `r-peg-ratio-value-jp-growth-0092` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=20 | -2.48 | -23.35 | -1.17 | — |
| `r-peg-ratio-value-jp-growth-0096` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.03 | -0.11 | -0.63 | 2.44 |
| `r-peg-ratio-value-jp-growth-0098` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | 0.02 | -0.45 | 0.85 | -0.45 |
| `r-peg-ratio-value-jp-growth-0103` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | 0.34 | -0.05 | 0.2 | 1.98 |
| `r-peg-ratio-value-jp-growth-0108` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -0.22 | -0.64 | 0.71 | -1.01 |
| `r-peg-ratio-value-jp-growth-0113` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | -0.71 | -0.67 | 0.28 | -2.82 |

## Facts (5)

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

- **Best grid Sharpe ratio is 4.46 (p=0.043).**
  - Value: 4.46 sharpe_ratio
  - Context: period 2025-01-06–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/peg-ratio-value-jp-growth-fact-best-sharpe

- **Median Sharpe across 132 grid runs is -0.57.**
  - Value: -0.57 sharpe_ratio
  - Context: Full grid of 132 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/peg-ratio-value-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is -0.07 across 132 runs.**
  - Value: -0.07 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/peg-ratio-value-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is -0.07 across 132 runs.**
  - Value: -0.07 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/peg-ratio-value-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.49 across 132 runs.**
  - Value: -0.49 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/peg-ratio-value-jp-growth-fact-regime-up

## Related strategies

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

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

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