# Best Component Portfolio (JP Growth Stocks)

- **Slug**: `portfolio-best-components-jp-growth`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: multi-strategy, portfolio-synthesis, regime-switching
- **Source**: qbuntu-analysis (computed asof 2026-09-24T02:22:16)
- **Reproducibility**: analysis-engine@1455e77, backtest-lib@17a7674, grid tier=shallow (python 3.12.10, numpy 2.4.2, pandas 3.0.0)
- **HTML**: https://qbuntu.ai/strategies/portfolio-best-components-jp-growth
- **JSON**: https://qbuntu.ai/v1/strategies/portfolio-best-components-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

A multi-strategy portfolio composed of Phase 2c/2d best variants (ml-factor best version + FLAT-only reversal + fx-carry + pair-trading) achieves higher regime stability than any single component. Phase 2b showed regime-conditional weighting improved UP-regime Sharpe from -1.11 to 0.36.

## Why it didn't work

Across 3 grid combinations, median Sharpe=1.43, best=1.63. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | 1.4316 |
| Max drawdown | -6.5% |
| p-value | 0.13 |
| Backtest period | 2024-07-01 to 2025-06-30 |

Sharpe distribution across 3 grid runs: median 1.43, best 1.63 (best-case — not representative), worst 0, p25 0.72, p75 1.53.

## Methodology

- Notes: {"validation": "walk-forward (3 folds)", "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: method-dependent (equal_weight / risk_parity / regime_conditional)
- Regime definition: N225 SMA20/SMA60 three-class
- Transaction cost bps: 5

## Target universe

Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY

## Runs (3)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-portfolio-best-components-jp-growth-0001` | method="equal_weight" | 1.43 | 0.49 | 1.71 | 2.44 |
| `r-portfolio-best-components-jp-growth-0004` | method="risk_parity" | 0 | — | — | — |
| `r-portfolio-best-components-jp-growth-0007` | method="regime_conditional" | 1.63 | 0.57 | 1.52 | 2.85 |

## Facts (5)

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

- **Best grid Sharpe ratio is 1.63 (p=0.11).**
  - Value: 1.63 sharpe_ratio
  - Context: period 2024-07-01–2025-06-30; cost=5.0bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/portfolio-best-components-jp-growth-fact-best-sharpe

- **Median Sharpe across 3 grid runs is 1.43.**
  - Value: 1.43 sharpe_ratio
  - Context: Full grid of 3 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/portfolio-best-components-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is 2.65 across 3 runs.**
  - Value: 2.65 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/portfolio-best-components-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is 1.61 across 3 runs.**
  - Value: 1.61 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/portfolio-best-components-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is 0.53 across 3 runs.**
  - Value: 0.53 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/portfolio-best-components-jp-growth-fact-regime-up

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Cite as: qbuntu (2026). Best Component Portfolio (JP Growth Stocks). https://qbuntu.ai/strategies/portfolio-best-components-jp-growth

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