# Return Autocorrelation Factor (JP Growth Stocks)

- **Slug**: `return-autocorrelation-jp-growth`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: anomaly, autocorrelation, factor, momentum
- **Source**: qbuntu-analysis (computed asof 2026-07-31T01:32:04)
- **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-growth
- **JSON**: https://qbuntu.ai/v1/strategies/return-autocorrelation-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Jegadeesh (1990): serial correlation in stock returns. Stocks with positive lag-1 autocorrelation exhibit trend continuation, negative autocorrelation exhibits mean reversion. LONG highest autocorrelation, SHORT lowest.

## Why it didn't work

Across 320 grid combinations, median Sharpe=-0.40, best=0.95. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.3996 |
| Max drawdown | -22.8% |
| p-value | 0.35 |
| Backtest period | 2022-02-01 to 2026-06-01 |

Sharpe distribution across 320 grid runs: median -0.4, best 0.95 (best-case — not representative), worst -2.14, p25 -0.76, p75 -0.14.

## 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

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-return-autocorrelation-jp-growth-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -1.04 | -1.52 | -0.86 | -1.49 |
| `r-return-autocorrelation-jp-growth-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -1.07 | -1.5 | -0.86 | -1.49 |
| `r-return-autocorrelation-jp-growth-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -1.21 | -1.75 | -1.03 | -1.58 |
| `r-return-autocorrelation-jp-growth-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -1.22 | -1.6 | -1.03 | -1.58 |
| `r-return-autocorrelation-jp-growth-0012` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | -1.45 | -1.57 | -1.31 | -6.69 |
| `r-return-autocorrelation-jp-growth-0014` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | -2.14 | -2.12 | -2.04 | -9.4 |
| `r-return-autocorrelation-jp-growth-0019` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | -0.59 | -3.04 | -0.19 | -1.28 |
| `r-return-autocorrelation-jp-growth-0033` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=10 | -0.35 | -0.41 | -0.22 | -1.42 |
| `r-return-autocorrelation-jp-growth-0047` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=10 | 0.02 | 0.4 | -0.14 | -0.62 |
| `r-return-autocorrelation-jp-growth-0061` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=20 | -0.11 | -0.23 | -0.04 | -0.45 |
| `r-return-autocorrelation-jp-growth-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | -0.19 | -0.38 | 0.04 | -2.19 |
| `r-return-autocorrelation-jp-growth-0076` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=60 | -0.09 | -0.2 | 0.03 | -2.06 |
| `r-return-autocorrelation-jp-growth-0090` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=1 | -1.41 | -0.97 | -1.3 | -9.12 |
| `r-return-autocorrelation-jp-growth-0104` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=5 | -0.37 | -0.98 | 0.21 | -4.81 |
| `r-return-autocorrelation-jp-growth-0118` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=10 | -0.86 | -1.12 | -0.73 | -1.46 |
| `r-return-autocorrelation-jp-growth-0132` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | -0.94 | -0.49 | -1.11 | -1.92 |
| `r-return-autocorrelation-jp-growth-0146` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=60 | 0.05 | 0.6 | 0.06 | -2.7 |
| `r-return-autocorrelation-jp-growth-0160` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.09 | 0.79 | -0.22 | -1.48 |
| `r-return-autocorrelation-jp-growth-0174` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | -1.48 | -0.55 | -1.82 | -0.78 |
| `r-return-autocorrelation-jp-growth-0188` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=5 | 0.01 | 0.46 | -0.21 | 0.13 |
| `r-return-autocorrelation-jp-growth-0202` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=10 | 0.3 | 0.58 | 0.17 | 1.22 |
| `r-return-autocorrelation-jp-growth-0216` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=20 | -0.37 | -0.24 | -0.36 | -19.01 |
| `r-return-autocorrelation-jp-growth-0230` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=60 | 0.1 | -0.08 | 0.26 | -1.42 |
| `r-return-autocorrelation-jp-growth-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.17 | 0.85 | -0.34 | -1.1 |
| `r-return-autocorrelation-jp-growth-0245` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | -1.15 | -0.4 | -1.15 | -11.56 |
| `r-return-autocorrelation-jp-growth-0259` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | -0.04 | -1.73 | 0.42 | 0.62 |
| `r-return-autocorrelation-jp-growth-0273` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=10 | -0.38 | -1.92 | -0.09 | 0.39 |
| `r-return-autocorrelation-jp-growth-0284` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=10 | 0.95 | 1.86 | 0.61 | 0.79 |
| `r-return-autocorrelation-jp-growth-0288` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | -0.91 | -1.58 | -0.74 | -0.1 |
| `r-return-autocorrelation-jp-growth-0302` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=20 | 0.21 | 0.3 | 0.25 | -0.44 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.95 (p=0.057).**
  - Value: 0.95 sharpe_ratio
  - Context: period 2022-02-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/return-autocorrelation-jp-growth-fact-best-sharpe

- **Median Sharpe across 320 grid runs is -0.40.**
  - Value: -0.4 sharpe_ratio
  - Context: Full grid of 320 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/return-autocorrelation-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is -1.58 across 320 runs.**
  - Value: -1.58 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/return-autocorrelation-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is -0.24 across 320 runs.**
  - Value: -0.24 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/return-autocorrelation-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.47 across 320 runs.**
  - Value: -0.47 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/return-autocorrelation-jp-growth-fact-regime-up

---

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

Visit qbuntu.ai — the honest scorecard for quant strategies (live, promising, marginal, rejected).