# Short-Term Reversal (JP Growth Stocks)

- **Slug**: `short-term-reversal-jp-growth`
- **Verdict**: marginal (no_edge)
- **Asset class**: equity
- **Categories**: cross-sectional, factor, reversal
- **Source**: qbuntu-analysis (computed asof 2026-07-27T03:36:14)
- **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-growth
- **JSON**: https://qbuntu.ai/v1/strategies/short-term-reversal-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Jegadeesh (1990): stocks that dropped most over past N days tend to bounce back (and vice versa). LONG worst performers, SHORT best. Tests raw past-return reversal in TSE Growth Market.

## Why it didn't work

Across 320 grid combinations, median Sharpe=0.30, best=1.98. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | 0.3032 |
| Max drawdown | -22.4% |
| p-value | 0.36 |
| Backtest period | 2022-01-24 to 2026-06-08 |

Sharpe distribution across 320 grid runs: median 0.3, best 1.98 (best-case — not representative), worst -1.53, p25 -0.07, p75 0.64.

## 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-short-term-reversal-jp-growth-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 1.1 | 0.12 | 1.75 | 0.84 |
| `r-short-term-reversal-jp-growth-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.76 | -1.85 | 1.75 | 0.84 |
| `r-short-term-reversal-jp-growth-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | 0.9 | -0.05 | 1.53 | 0.59 |
| `r-short-term-reversal-jp-growth-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | 0.57 | -2 | 1.53 | 0.59 |
| `r-short-term-reversal-jp-growth-0012` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | 0.59 | -0.28 | 1.11 | 0.28 |
| `r-short-term-reversal-jp-growth-0018` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=3 | 0.87 | 0.48 | 0.95 | 2.28 |
| `r-short-term-reversal-jp-growth-0032` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 0.67 | 0.11 | 0.77 | 2.33 |
| `r-short-term-reversal-jp-growth-0046` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=5 | -0.3 | -1.68 | 0.28 | 2.05 |
| `r-short-term-reversal-jp-growth-0048` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | -0.69 | -2.51 | -0.09 | 0.98 |
| `r-short-term-reversal-jp-growth-0061` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=10 | 0.39 | -0.12 | 0.74 | 0.11 |
| `r-short-term-reversal-jp-growth-0075` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=1 | -0.51 | -2.71 | 0.71 | -0.96 |
| `r-short-term-reversal-jp-growth-0089` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=3 | 0.9 | -1.54 | 1.99 | 1.92 |
| `r-short-term-reversal-jp-growth-0103` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | 0.3 | -3.16 | 1.21 | 1.62 |
| `r-short-term-reversal-jp-growth-0117` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=10 | 0.67 | -1.67 | 1.27 | 8.49 |
| `r-short-term-reversal-jp-growth-0131` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | 0.25 | -2.98 | 1.29 | 0.16 |
| `r-short-term-reversal-jp-growth-0145` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=3 | 0.82 | -3.23 | 1.9 | 1.19 |
| `r-short-term-reversal-jp-growth-0159` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=3 | -0.49 | -1.65 | 0.09 | 0.67 |
| `r-short-term-reversal-jp-growth-0173` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=5 | 0.09 | -1.83 | 0.96 | 1.63 |
| `r-short-term-reversal-jp-growth-0187` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=10 | 0.91 | -0.4 | 1.15 | 3.38 |
| `r-short-term-reversal-jp-growth-0201` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=1 | -0.03 | -2.59 | 1.13 | 0.97 |
| `r-short-term-reversal-jp-growth-0208` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=3 | 1.98 | 1.46 | 2.16 | 3.65 |
| `r-short-term-reversal-jp-growth-0216` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=3 | 0.77 | -0.23 | 1.48 | 1.05 |
| `r-short-term-reversal-jp-growth-0230` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | 0.36 | -0.27 | 0.52 | 2.13 |
| `r-short-term-reversal-jp-growth-0244` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=10 | -0.22 | -2.07 | 0.2 | 2.56 |
| `r-short-term-reversal-jp-growth-0256` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 1.14 | -0.1 | 1.38 | 5.6 |
| `r-short-term-reversal-jp-growth-0259` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | 0.62 | -2.38 | 1.15 | 5.34 |
| `r-short-term-reversal-jp-growth-0271` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=1 | -1.53 | -2.49 | -1.34 | 3.36 |
| `r-short-term-reversal-jp-growth-0274` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=3 | 1.3 | 0.11 | 1.7 | 3.61 |
| `r-short-term-reversal-jp-growth-0288` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 0.87 | -0.15 | 1.07 | 3.84 |
| `r-short-term-reversal-jp-growth-0302` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=5 | -0.83 | -2.16 | -0.48 | 2.98 |

## 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: -0.22**
  - Value: -0.2155 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/short-term-reversal-jp-growth-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): -0.08**
  - Value: -0.0833 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/short-term-reversal-jp-growth-fact-avg-corr-full

- **Best grid Sharpe ratio is 1.98 (p=4.6e-05).**
  - Value: 1.98 sharpe_ratio
  - Context: period 2022-01-24–2026-06-08; cost=5bps
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/short-term-reversal-jp-growth-fact-best-sharpe

- **Median Sharpe across 320 grid runs is 0.30.**
  - Value: 0.3 sharpe_ratio
  - Context: Full grid of 320 parameter combinations.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/short-term-reversal-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is 1.76 across 320 runs.**
  - Value: 1.76 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/short-term-reversal-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is 0.95 across 320 runs.**
  - Value: 0.95 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/short-term-reversal-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -1.50 across 320 runs.**
  - Value: -1.5 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/short-term-reversal-jp-growth-fact-regime-up

---

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

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