# Return Autocorrelation Factor (JP All Stocks)

- **Slug**: `return-autocorrelation-jp-all`
- **Verdict**: marginal (no_edge)
- **Asset class**: equity
- **Categories**: anomaly, autocorrelation, factor, momentum
- **Source**: qbuntu-analysis (computed asof 2026-07-31T01:31:48)
- **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/return-autocorrelation-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/return-autocorrelation-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Jegadeesh (1990): serial correlation in stock returns. Testing on the full Japanese stock universe.

## Why it didn't work

Across 160 grid combinations, median Sharpe=0.05, best=0.82. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | 0.0537 |
| Max drawdown | -18.9% |
| p-value | 0.5 |
| Backtest period | 2022-02-01 to 2026-02-02 |

Sharpe distribution across 160 grid runs: median 0.05, best 0.82 (best-case — not representative), worst -2.05, p25 -0.3, p75 0.26.

## 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

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-return-autocorrelation-jp-all-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.24 | -1.78 | 0.35 | -0.29 |
| `r-return-autocorrelation-jp-all-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.05 | -0.98 | 0.35 | -0.29 |
| `r-return-autocorrelation-jp-all-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.49 | -1.99 | 0.06 | -0.46 |
| `r-return-autocorrelation-jp-all-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -0.21 | -1.14 | 0.06 | -0.46 |
| `r-return-autocorrelation-jp-all-0004` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -0.49 | -1.74 | 0.18 | -1.31 |
| `r-return-autocorrelation-jp-all-0018` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -0.38 | -1.01 | -0.07 | 0.34 |
| `r-return-autocorrelation-jp-all-0032` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | 0.26 | -0.74 | 0.66 | 1.52 |
| `r-return-autocorrelation-jp-all-0038` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=10 | -0.25 | -1.42 | 0.06 | 4.37 |
| `r-return-autocorrelation-jp-all-0052` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | -0.24 | -3.42 | 0.42 | 3.63 |
| `r-return-autocorrelation-jp-all-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | 0.28 | -0.68 | 0.68 | 0.14 |
| `r-return-autocorrelation-jp-all-0067` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=60 | 0.44 | -0.34 | 0.66 | -0.02 |
| `r-return-autocorrelation-jp-all-0081` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.68 | -0.79 | -0.65 | -0.61 |
| `r-return-autocorrelation-jp-all-0086` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=1 | -2.05 | -1.38 | -2.36 | -1 |
| `r-return-autocorrelation-jp-all-0096` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | -0.32 | -0.76 | -0.27 | 0.66 |
| `r-return-autocorrelation-jp-all-0102` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | -0.96 | -0.41 | -1.28 | 0.46 |
| `r-return-autocorrelation-jp-all-0116` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=10 | -0.3 | -0.73 | -0.4 | 3.47 |
| `r-return-autocorrelation-jp-all-0130` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=20 | 0.5 | -0.39 | 0.48 | 5.64 |
| `r-return-autocorrelation-jp-all-0144` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | 0.44 | -0.58 | 0.84 | 0.39 |
| `r-return-autocorrelation-jp-all-0150` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=60 | 0.17 | -1 | 0.46 | -0.19 |
| `r-return-autocorrelation-jp-all-0164` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -0.5 | 0.24 | -0.76 | -0.49 |
| `r-return-autocorrelation-jp-all-0178` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | 0.23 | 1.25 | -0.46 | 1.12 |
| `r-return-autocorrelation-jp-all-0192` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | 0.65 | 0.87 | 0.35 | 3.31 |
| `r-return-autocorrelation-jp-all-0193` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=10 | 0.82 | 1.54 | 0.35 | 3.31 |
| `r-return-autocorrelation-jp-all-0199` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=10 | 0.26 | 1.01 | -0.17 | 3.39 |
| `r-return-autocorrelation-jp-all-0213` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | 0.22 | -0.04 | 0.08 | 4.26 |
| `r-return-autocorrelation-jp-all-0227` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=60 | 0.27 | -0.51 | 0.43 | 0.72 |
| `r-return-autocorrelation-jp-all-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.41 | -0.04 | -0.31 | -5.03 |
| `r-return-autocorrelation-jp-all-0242` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.69 | -0.26 | -0.61 | -5.51 |
| `r-return-autocorrelation-jp-all-0256` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 0.25 | 0.99 | -0.14 | -0.94 |
| `r-return-autocorrelation-jp-all-0262` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | -0.29 | 1.27 | -0.93 | -2.29 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.82 (p=0.1).**
  - Value: 0.82 sharpe_ratio
  - Context: period 2022-02-01–2026-02-02; cost=5bps
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/return-autocorrelation-jp-all-fact-best-sharpe

- **Median Sharpe across 160 grid runs is 0.05.**
  - Value: 0.05 sharpe_ratio
  - Context: Full grid of 160 parameter combinations.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/return-autocorrelation-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is 0.51 across 160 runs.**
  - Value: 0.51 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/return-autocorrelation-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is 0.01 across 160 runs.**
  - Value: 0.01 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/return-autocorrelation-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is -0.27 across 160 runs.**
  - Value: -0.27 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/return-autocorrelation-jp-all-fact-regime-up

## Related strategies

- same_strategy: [return-autocorrelation-jp-growth](https://qbuntu.ai/strategies/return-autocorrelation-jp-growth)

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Cite as: qbuntu (2026). Return Autocorrelation Factor (JP All Stocks). https://qbuntu.ai/strategies/return-autocorrelation-jp-all

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