# Short-Term Reversal (JP All Stocks)

- **Slug**: `short-term-reversal-jp-all`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: cross-sectional, factor, reversal
- **Source**: qbuntu-analysis (computed asof 2026-07-28T01:10:15)
- **Reproducibility**: analysis-engine@bfafe7d, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/short-term-reversal-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/short-term-reversal-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Jegadeesh (1990): stocks that dropped most over past N days tend to bounce back. Testing raw past-return reversal on the full Japanese stock universe.

## Why it didn't work

Across 160 grid combinations, median Sharpe=-0.66, best=0.83. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.6612 |
| Max drawdown | -35% |
| p-value | 0.16 |
| Backtest period | 2022-01-24 to 2026-02-16 |

Sharpe distribution across 160 grid runs: median -0.66, best 0.83 (best-case — not representative), worst -3.21, p25 -1.46, p75 -0.11.

## 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-short-term-reversal-jp-all-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.27 | 0.31 | 0.07 | 1.89 |
| `r-short-term-reversal-jp-all-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.1 | -1.49 | 0.07 | 1.89 |
| `r-short-term-reversal-jp-all-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.19 | -0.2 | -0.36 | 1.36 |
| `r-short-term-reversal-jp-all-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -0.51 | -1.83 | -0.36 | 1.36 |
| `r-short-term-reversal-jp-all-0004` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -0.07 | -0.09 | -0.26 | 1.46 |
| `r-short-term-reversal-jp-all-0018` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=3 | -0.08 | 0.25 | -0.43 | 1.53 |
| `r-short-term-reversal-jp-all-0032` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 0.42 | 0.37 | 0.28 | 1.53 |
| `r-short-term-reversal-jp-all-0038` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | 0.21 | -0.3 | 0.29 | 1.48 |
| `r-short-term-reversal-jp-all-0048` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | 0.53 | 1.28 | 0.22 | 1.14 |
| `r-short-term-reversal-jp-all-0053` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=10 | 0.52 | 1.05 | 0.26 | 1.02 |
| `r-short-term-reversal-jp-all-0067` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -1.08 | -1.23 | -1.25 | 0.51 |
| `r-short-term-reversal-jp-all-0081` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=3 | -0.08 | -0.96 | 0.12 | 0.83 |
| `r-short-term-reversal-jp-all-0087` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=3 | -0.97 | -1.67 | -0.77 | 0.08 |
| `r-short-term-reversal-jp-all-0101` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=5 | -0.81 | -1.94 | -0.34 | -0.56 |
| `r-short-term-reversal-jp-all-0115` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=10 | 0.51 | 1.5 | 0.41 | -3.97 |
| `r-short-term-reversal-jp-all-0117` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=10 | 0.83 | 1.78 | 0.57 | 0.14 |
| `r-short-term-reversal-jp-all-0130` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.97 | -0.86 | -1.23 | 0.83 |
| `r-short-term-reversal-jp-all-0144` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=3 | -0.12 | 0.1 | -0.49 | 1.43 |
| `r-short-term-reversal-jp-all-0150` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=3 | -0.83 | -0.79 | -1.01 | 0.31 |
| `r-short-term-reversal-jp-all-0164` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=5 | -0.66 | -0.84 | -0.64 | -0.09 |
| `r-short-term-reversal-jp-all-0178` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=10 | -0.1 | 0.47 | -0.19 | -2.76 |
| `r-short-term-reversal-jp-all-0192` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -1.47 | -1.62 | -1.84 | 2.26 |
| `r-short-term-reversal-jp-all-0198` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=1 | -2.39 | -2.96 | -2.31 | -1.34 |
| `r-short-term-reversal-jp-all-0212` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=3 | -1.16 | -1.78 | -1.01 | -0.18 |
| `r-short-term-reversal-jp-all-0226` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -1.48 | -2.05 | -1.64 | 1.65 |
| `r-short-term-reversal-jp-all-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | -0.44 | -0.56 | -0.28 | -2.5 |
| `r-short-term-reversal-jp-all-0246` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=10 | -0.71 | -0.57 | -0.7 | -0.94 |
| `r-short-term-reversal-jp-all-0256` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -2.27 | -2.67 | -2.88 | 4.59 |
| `r-short-term-reversal-jp-all-0261` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | -2.24 | -2.72 | -2.62 | 2.18 |
| `r-short-term-reversal-jp-all-0262` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=1 | -3.21 | -4.39 | -3.4 | 1.36 |

## 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: 0.0404 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/short-term-reversal-jp-all-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): -0.03**
  - Value: -0.028 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/short-term-reversal-jp-all-fact-avg-corr-full

- **Best grid Sharpe ratio is 0.83 (p=0.096).**
  - Value: 0.83 sharpe_ratio
  - Context: period 2022-01-24–2026-02-16; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/short-term-reversal-jp-all-fact-best-sharpe

- **Median Sharpe across 160 grid runs is -0.66.**
  - Value: -0.66 sharpe_ratio
  - Context: Full grid of 160 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/short-term-reversal-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is 0.86 across 160 runs.**
  - Value: 0.86 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/short-term-reversal-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is -0.71 across 160 runs.**
  - Value: -0.71 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/short-term-reversal-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is -1.19 across 160 runs.**
  - Value: -1.19 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/short-term-reversal-jp-all-fact-regime-up

## Related strategies

- same_strategy: [short-term-reversal-jp-growth](https://qbuntu.ai/strategies/short-term-reversal-jp-growth)

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Cite as: qbuntu (2026). Short-Term Reversal (JP All Stocks). https://qbuntu.ai/strategies/short-term-reversal-jp-all

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