# Sector Rotation / Sector Momentum (JP Growth Stocks)

- **Slug**: `sector-rotation-jp-growth`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: cross-sectional, momentum, sector-rotation
- **Source**: qbuntu-analysis (computed asof 2026-07-29T01:08:55)
- **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/sector-rotation-jp-growth
- **JSON**: https://qbuntu.ai/v1/strategies/sector-rotation-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Cross-sectional sector momentum: group stocks by TSE ticker-code sector, compute sector-level momentum, LONG top sectors, SHORT bottom sectors. Tests equal-sector, equal-stock, and cap-weighted approaches.

## Why it didn't work

Across 576 grid combinations, median Sharpe=-0.38, best=0.97. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.3821 |
| Max drawdown | -19.2% |
| p-value | 0.36 |
| Backtest period | 2022-03-01 to 2026-06-01 |

Sharpe distribution across 576 grid runs: median -0.38, best 0.97 (best-case — not representative), worst -1.68, p25 -0.66, p75 -0.1.

## 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-sector-rotation-jp-growth-0000` | cost_bps=5, n_sectors=2, weighting="equal_sector", regime_gate=false | -0.8 | -0.12 | -1.09 | -1.34 |
| `r-sector-rotation-jp-growth-0001` | cost_bps=5, n_sectors=2, weighting="equal_sector", regime_gate=true | -0.78 | 0.33 | -1.09 | -1.34 |
| `r-sector-rotation-jp-growth-0002` | cost_bps=10, n_sectors=2, weighting="equal_sector", regime_gate=false | -0.96 | -0.24 | -1.25 | -1.54 |
| `r-sector-rotation-jp-growth-0003` | cost_bps=10, n_sectors=2, weighting="equal_sector", regime_gate=true | -0.93 | 0.24 | -1.25 | -1.54 |
| `r-sector-rotation-jp-growth-0004` | cost_bps=5, n_sectors=2, weighting="equal_stock", regime_gate=false | -1.1 | -0.58 | -1.18 | -1.85 |
| `r-sector-rotation-jp-growth-0008` | cost_bps=5, n_sectors=2, weighting="cap_weight", regime_gate=false | -1.11 | -0.63 | -1.35 | -0.21 |
| `r-sector-rotation-jp-growth-0024` | cost_bps=5, n_sectors=4, weighting="equal_sector", regime_gate=false | -0.59 | 0.01 | -0.95 | 3.22 |
| `r-sector-rotation-jp-growth-0034` | cost_bps=10, n_sectors=4, weighting="cap_weight", regime_gate=false | -1.68 | -1.17 | -1.77 | -2.18 |
| `r-sector-rotation-jp-growth-0035` | cost_bps=10, n_sectors=4, weighting="cap_weight", regime_gate=true | -1.16 | -0.03 | -1.77 | -2.18 |
| `r-sector-rotation-jp-growth-0075` | cost_bps=10, n_sectors=4, weighting="equal_sector", regime_gate=true | -0.14 | 0.55 | -0.62 | 0.55 |
| `r-sector-rotation-jp-growth-0115` | cost_bps=10, n_sectors=3, weighting="equal_stock", regime_gate=true | -0.42 | -0.12 | -0.67 | 0.68 |
| `r-sector-rotation-jp-growth-0144` | cost_bps=5, n_sectors=2, weighting="equal_sector", regime_gate=false | -0.18 | 0.15 | -0.31 | 0.01 |
| `r-sector-rotation-jp-growth-0156` | cost_bps=5, n_sectors=3, weighting="equal_sector", regime_gate=false | -0.09 | 0.31 | -0.24 | 0.04 |
| `r-sector-rotation-jp-growth-0196` | cost_bps=5, n_sectors=2, weighting="equal_stock", regime_gate=false | -1 | -1.38 | -0.58 | -6.12 |
| `r-sector-rotation-jp-growth-0224` | cost_bps=5, n_sectors=4, weighting="cap_weight", regime_gate=false | -0.25 | -0.38 | -0.19 | -0.49 |
| `r-sector-rotation-jp-growth-0249` | cost_bps=5, n_sectors=2, weighting="cap_weight", regime_gate=true | 0.97 | 0.52 | 1.27 | 0.03 |
| `r-sector-rotation-jp-growth-0265` | cost_bps=5, n_sectors=4, weighting="equal_sector", regime_gate=true | 0.05 | 0.35 | 0 | -2.52 |
| `r-sector-rotation-jp-growth-0305` | cost_bps=5, n_sectors=3, weighting="equal_stock", regime_gate=true | -0.09 | 0.03 | -0.06 | -2.34 |
| `r-sector-rotation-jp-growth-0345` | cost_bps=5, n_sectors=2, weighting="cap_weight", regime_gate=true | 0.34 | -0.6 | 0.76 | 0.86 |
| `r-sector-rotation-jp-growth-0385` | cost_bps=5, n_sectors=2, weighting="equal_sector", regime_gate=true | -0.65 | -0.18 | -0.55 | -2.95 |
| `r-sector-rotation-jp-growth-0413` | cost_bps=5, n_sectors=4, weighting="equal_stock", regime_gate=true | -0.48 | 0.13 | -1.04 | -0.2 |
| `r-sector-rotation-jp-growth-0453` | cost_bps=5, n_sectors=3, weighting="cap_weight", regime_gate=true | 0.03 | 0.45 | -0.05 | -3.07 |
| `r-sector-rotation-jp-growth-0493` | cost_bps=5, n_sectors=3, weighting="equal_sector", regime_gate=true | -0.75 | -0.48 | -0.78 | -1.56 |
| `r-sector-rotation-jp-growth-0533` | cost_bps=5, n_sectors=2, weighting="equal_stock", regime_gate=true | 0.05 | -0.73 | 0.37 | -1.35 |
| `r-sector-rotation-jp-growth-0561` | cost_bps=5, n_sectors=4, weighting="cap_weight", regime_gate=true | -0.71 | -1.62 | -0.41 | -2.59 |
| `r-sector-rotation-jp-growth-0576` | cost_bps=5, n_sectors=2, weighting="equal_sector", regime_gate=false | 0.63 | 1.07 | 1 | -2.2 |
| `r-sector-rotation-jp-growth-0602` | cost_bps=10, n_sectors=4, weighting="equal_sector", regime_gate=false | -0.8 | -0.97 | -0.42 | -1.97 |
| `r-sector-rotation-jp-growth-0642` | cost_bps=10, n_sectors=3, weighting="equal_stock", regime_gate=false | -0.6 | -1.05 | -0.23 | -2.62 |
| `r-sector-rotation-jp-growth-0682` | cost_bps=10, n_sectors=2, weighting="cap_weight", regime_gate=false | -0.24 | -0.04 | 0.11 | -7.63 |
| `r-sector-rotation-jp-growth-0722` | cost_bps=10, n_sectors=2, weighting="equal_sector", regime_gate=false | -0.09 | 0.01 | 0.37 | -6.98 |

## Facts (7)

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

- **Average monthly return correlation with other strategies in DOWN regime: -0.04**
  - Value: -0.0367 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/sector-rotation-jp-growth-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): 0.09**
  - Value: 0.0891 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/sector-rotation-jp-growth-fact-avg-corr-full

- **Best grid Sharpe ratio is 0.97 (p=0.053).**
  - Value: 0.97 sharpe_ratio
  - Context: period 2022-03-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/sector-rotation-jp-growth-fact-best-sharpe

- **Median Sharpe across 576 grid runs is -0.38.**
  - Value: -0.38 sharpe_ratio
  - Context: Full grid of 576 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/sector-rotation-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is -2.32 across 576 runs.**
  - Value: -2.32 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/sector-rotation-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is -0.31 across 576 runs.**
  - Value: -0.31 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/sector-rotation-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.23 across 576 runs.**
  - Value: -0.23 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/sector-rotation-jp-growth-fact-regime-up

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Cite as: qbuntu (2026). Sector Rotation / Sector Momentum (JP Growth Stocks). https://qbuntu.ai/strategies/sector-rotation-jp-growth

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