# Risk Parity / Volatility Targeting Overlay (JP All Stocks)

- **Slug**: `risk-parity-jp-all`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: overlay, risk-parity, volatility-targeting
- **Source**: qbuntu-analysis (computed asof 2026-07-29T01:08:35)
- **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/risk-parity-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/risk-parity-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Sizing positions inversely proportional to their recent volatility. Testing on the full Japanese stock universe.

## Why it didn't work

Across 384 grid combinations, median Sharpe=-0.20, best=0.26. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.2034 |
| Max drawdown | -25.8% |
| p-value | 0.63 |
| Backtest period | 2022-05-02 to 2026-02-02 |

Sharpe distribution across 384 grid runs: median -0.2, best 0.26 (best-case — not representative), worst -0.93, p25 -0.55, p75 -0.04.

## 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: volatility_targeted
- 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-risk-parity-jp-all-0000` | cost_bps=5, target_vol=0.1, base_signal="momentum_60", holding_days=5 | 0.22 | 0.29 | 0.19 | 0.41 |
| `r-risk-parity-jp-all-0001` | cost_bps=10, target_vol=0.1, base_signal="momentum_60", holding_days=5 | 0.04 | 0.09 | 0.02 | 0.21 |
| `r-risk-parity-jp-all-0002` | cost_bps=5, target_vol=0.1, base_signal="momentum_120", holding_days=5 | -0.24 | -0.3 | -0.1 | -1.58 |
| `r-risk-parity-jp-all-0004` | cost_bps=5, target_vol=0.1, base_signal="mean_reversion", holding_days=5 | -0.49 | -1.04 | -0.29 | -0.7 |
| `r-risk-parity-jp-all-0018` | cost_bps=5, target_vol=0.1, base_signal="momentum_60", holding_days=60 | -0.03 | 1.13 | -0.12 | -1.25 |
| `r-risk-parity-jp-all-0020` | cost_bps=5, target_vol=0.1, base_signal="momentum_120", holding_days=60 | -0.71 | -0.32 | -1.15 | 0.47 |
| `r-risk-parity-jp-all-0036` | cost_bps=5, target_vol=0.1, base_signal="momentum_60", holding_days=20 | 0.03 | 2.22 | -0.53 | -0.68 |
| `r-risk-parity-jp-all-0052` | cost_bps=5, target_vol=0.1, base_signal="mean_reversion", holding_days=5 | -0.4 | -1.31 | -0.01 | -1.15 |
| `r-risk-parity-jp-all-0068` | cost_bps=5, target_vol=0.1, base_signal="momentum_120", holding_days=60 | -0.8 | -0.63 | -1.12 | 0.4 |
| `r-risk-parity-jp-all-0072` | cost_bps=5, target_vol=0.1, base_signal="momentum_60", holding_days=5 | 0.26 | 0.26 | 0.3 | -0.35 |
| `r-risk-parity-jp-all-0085` | cost_bps=10, target_vol=0.1, base_signal="momentum_60", holding_days=20 | 0 | 1.83 | -0.52 | -0.34 |
| `r-risk-parity-jp-all-0101` | cost_bps=10, target_vol=0.15, base_signal="mean_reversion", holding_days=5 | -0.68 | -1.23 | -0.49 | -0.81 |
| `r-risk-parity-jp-all-0117` | cost_bps=10, target_vol=0.15, base_signal="momentum_120", holding_days=60 | -0.75 | -0.36 | -1.2 | 0.45 |
| `r-risk-parity-jp-all-0133` | cost_bps=10, target_vol=0.15, base_signal="momentum_60", holding_days=20 | -0.07 | 2.11 | -0.63 | -0.9 |
| `r-risk-parity-jp-all-0141` | cost_bps=10, target_vol=0.15, base_signal="momentum_120", holding_days=60 | -0.93 | -0.58 | -1.32 | 0.28 |
| `r-risk-parity-jp-all-0150` | cost_bps=5, target_vol=0.15, base_signal="momentum_60", holding_days=10 | -0.05 | 0.81 | -0.29 | -0.17 |
| `r-risk-parity-jp-all-0166` | cost_bps=5, target_vol=0.15, base_signal="mean_reversion", holding_days=60 | -0.14 | -0.83 | 0.06 | -1.32 |
| `r-risk-parity-jp-all-0182` | cost_bps=5, target_vol=0.15, base_signal="momentum_120", holding_days=20 | -0.52 | -0.02 | -0.98 | 5.04 |
| `r-risk-parity-jp-all-0198` | cost_bps=5, target_vol=0.2, base_signal="momentum_60", holding_days=10 | -0.04 | 1.31 | -0.43 | 0.45 |
| `r-risk-parity-jp-all-0214` | cost_bps=5, target_vol=0.2, base_signal="mean_reversion", holding_days=60 | -0.25 | -0.53 | -0.08 | -3.62 |
| `r-risk-parity-jp-all-0230` | cost_bps=5, target_vol=0.2, base_signal="momentum_120", holding_days=20 | -0.72 | -0.32 | -1.2 | 8.17 |
| `r-risk-parity-jp-all-0246` | cost_bps=5, target_vol=0.2, base_signal="momentum_60", holding_days=10 | -0.05 | 0.81 | -0.29 | -0.17 |
| `r-risk-parity-jp-all-0262` | cost_bps=5, target_vol=0.2, base_signal="mean_reversion", holding_days=60 | -0.14 | -0.83 | 0.06 | -1.32 |
| `r-risk-parity-jp-all-0278` | cost_bps=5, target_vol=0.2, base_signal="momentum_120", holding_days=20 | -0.52 | -0.02 | -0.98 | 5.04 |
| `r-risk-parity-jp-all-0288` | cost_bps=5, target_vol=0.3, base_signal="momentum_60", holding_days=5 | 0.22 | 0.29 | 0.19 | 0.41 |
| `r-risk-parity-jp-all-0295` | cost_bps=10, target_vol=0.3, base_signal="momentum_60", holding_days=10 | -0.14 | 1.2 | -0.53 | 0.32 |
| `r-risk-parity-jp-all-0311` | cost_bps=10, target_vol=0.3, base_signal="mean_reversion", holding_days=60 | -0.29 | -0.56 | -0.12 | -3.74 |
| `r-risk-parity-jp-all-0327` | cost_bps=10, target_vol=0.3, base_signal="momentum_120", holding_days=20 | -0.83 | -0.47 | -1.3 | 7.87 |
| `r-risk-parity-jp-all-0343` | cost_bps=10, target_vol=0.3, base_signal="momentum_60", holding_days=10 | -0.15 | 0.7 | -0.39 | -0.28 |
| `r-risk-parity-jp-all-0359` | cost_bps=10, target_vol=0.3, base_signal="mean_reversion", holding_days=60 | -0.18 | -0.87 | 0.02 | -1.41 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.26 (p=0.61).**
  - Value: 0.26 sharpe_ratio
  - Context: period 2022-05-02–2026-02-02; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/risk-parity-jp-all-fact-best-sharpe

- **Median Sharpe across 384 grid runs is -0.20.**
  - Value: -0.2 sharpe_ratio
  - Context: Full grid of 384 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/risk-parity-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is -0.31 across 384 runs.**
  - Value: -0.31 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/risk-parity-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is -0.22 across 384 runs.**
  - Value: -0.22 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/risk-parity-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is -0.49 across 384 runs.**
  - Value: -0.49 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/risk-parity-jp-all-fact-regime-up

## Related strategies

- same_strategy: [risk-parity-jp-growth](https://qbuntu.ai/strategies/risk-parity-jp-growth)

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Cite as: qbuntu (2026). Risk Parity / Volatility Targeting Overlay (JP All Stocks). https://qbuntu.ai/strategies/risk-parity-jp-all

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