# Skewness Reversal (JP All Stocks)

- **Slug**: `skewness-reversal-jp-all`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: factor, reversal, skewness
- **Source**: qbuntu-analysis (computed asof 2026-08-02T16:26:49)
- **Reproducibility**: analysis-engine@2f23bb7, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/skewness-reversal-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/skewness-reversal-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Investors overpay for lottery-like positive skewness and shun negative skewness (Harvey & Siddique 2000 line): stocks with extreme recent return skewness should subsequently revert. Ranking on realized skewness tests the effect long/short.

## Why it didn't work

Across 72 grid combinations, median Sharpe=-0.65, best=0.23. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.6519 |
| Max drawdown | -23% |
| p-value | 0.19 |
| Backtest period | 2022-02-01 to 2026-02-02 |

Sharpe distribution across 72 grid runs: median -0.65, best 0.23 (best-case — not representative), worst -1.51, p25 -0.97, p75 -0.41.

## 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-skewness-reversal-jp-all-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.69 | -1.84 | -0.15 | -1.24 |
| `r-skewness-reversal-jp-all-0001` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | -1.12 | -2.11 | -0.8 | -0.18 |
| `r-skewness-reversal-jp-all-0002` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | -0.96 | -4.33 | -0.37 | -0.72 |
| `r-skewness-reversal-jp-all-0003` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.41 | -0.98 | -0.15 | -1.24 |
| `r-skewness-reversal-jp-all-0005` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=20 | -0.65 | -2.03 | -0.37 | -0.72 |
| `r-skewness-reversal-jp-all-0006` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.95 | -2.03 | -0.46 | -1.54 |
| `r-skewness-reversal-jp-all-0008` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=20 | -1.04 | -4.45 | -0.45 | -0.77 |
| `r-skewness-reversal-jp-all-0010` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | -0.88 | -0.63 | -0.96 | -0.42 |
| `r-skewness-reversal-jp-all-0012` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -0.63 | -1.89 | -0.47 | 2.33 |
| `r-skewness-reversal-jp-all-0013` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=5 | -1.33 | -2.55 | -1.3 | 1.35 |
| `r-skewness-reversal-jp-all-0015` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | -0.34 | -0.69 | -0.47 | 2.33 |
| `r-skewness-reversal-jp-all-0017` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | -0.54 | -0.97 | -0.43 | -0.45 |
| `r-skewness-reversal-jp-all-0019` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | -1.51 | -2.66 | -1.56 | 1.2 |
| `r-skewness-reversal-jp-all-0020` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=20 | -1 | -3.26 | -0.52 | -0.56 |
| `r-skewness-reversal-jp-all-0022` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | -1.08 | -0.63 | -1.56 | 1.2 |
| `r-skewness-reversal-jp-all-0048` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.84 | -2.23 | -0.56 | 8.92 |
| `r-skewness-reversal-jp-all-0050` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | -0.49 | -2.17 | 0.15 | 1.17 |
| `r-skewness-reversal-jp-all-0052` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=5 | -0.52 | 0.05 | -0.95 | 2.77 |
| `r-skewness-reversal-jp-all-0054` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -1.07 | -2.4 | -0.83 | 7.92 |
| `r-skewness-reversal-jp-all-0056` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=20 | -0.57 | -2.23 | 0.04 | 1.08 |
| `r-skewness-reversal-jp-all-0058` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | -0.67 | -0.05 | -1.13 | 2.59 |
| `r-skewness-reversal-jp-all-0060` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -0.14 | -2.03 | 0.52 | 1.43 |
| `r-skewness-reversal-jp-all-0062` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | -0.38 | -1.47 | 0 | -1.65 |
| `r-skewness-reversal-jp-all-0063` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | 0.23 | -0.82 | 0.52 | 1.43 |
| `r-skewness-reversal-jp-all-0065` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | -0.17 | -0.44 | 0 | -1.65 |
| `r-skewness-reversal-jp-all-0067` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | -1.16 | -2.36 | -0.92 | 1.14 |
| `r-skewness-reversal-jp-all-0069` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=1 | -0.08 | -0.96 | 0.17 | 0.91 |
| `r-skewness-reversal-jp-all-0071` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=20 | -0.28 | -0.5 | -0.11 | -1.82 |
| `r-skewness-reversal-jp-all-0096` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.72 | -1.52 | -0.45 | 0.23 |
| `r-skewness-reversal-jp-all-0098` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | -0.19 | -3.25 | 0.42 | -0.21 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.23 (p=0.65).**
  - Value: 0.23 sharpe_ratio
  - Context: period 2022-02-01–2026-02-02; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/skewness-reversal-jp-all-fact-best-sharpe

- **Median Sharpe across 72 grid runs is -0.65.**
  - Value: -0.65 sharpe_ratio
  - Context: Full grid of 72 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/skewness-reversal-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is 0.25 across 72 runs.**
  - Value: 0.25 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/skewness-reversal-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is -0.50 across 72 runs.**
  - Value: -0.5 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/skewness-reversal-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is -1.55 across 72 runs.**
  - Value: -1.55 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/skewness-reversal-jp-all-fact-regime-up

## Related strategies

- same_strategy: [skewness-reversal-jp-growth](https://qbuntu.ai/strategies/skewness-reversal-jp-growth)
- same_strategy: [skewness-reversal-us-sp500](https://qbuntu.ai/strategies/skewness-reversal-us-sp500)

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Cite as: qbuntu (2026). Skewness Reversal (JP All Stocks). https://qbuntu.ai/strategies/skewness-reversal-jp-all

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