# Skewness Reversal (JP Growth Stocks)

- **Slug**: `skewness-reversal-jp-growth`
- **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-growth
- **JSON**: https://qbuntu.ai/v1/strategies/skewness-reversal-jp-growth
- **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 144 grid combinations, median Sharpe=-0.36, best=0.46. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.3641 |
| Max drawdown | -13.5% |
| p-value | 0.43 |
| Backtest period | 2022-02-01 to 2026-06-01 |

Sharpe distribution across 144 grid runs: median -0.36, best 0.46 (best-case — not representative), worst -1.58, p25 -0.74, 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: 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-skewness-reversal-jp-growth-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.25 | 0.79 | -0.68 | 3.48 |
| `r-skewness-reversal-jp-growth-0001` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | -0.06 | 1.34 | -0.67 | 1.22 |
| `r-skewness-reversal-jp-growth-0002` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | -0.74 | 1.06 | -1.16 | -5.89 |
| `r-skewness-reversal-jp-growth-0003` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.44 | -0.1 | -0.68 | 3.48 |
| `r-skewness-reversal-jp-growth-0006` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.44 | 0.55 | -0.85 | 3.09 |
| `r-skewness-reversal-jp-growth-0010` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | -0.49 | 0.24 | -0.79 | 1.12 |
| `r-skewness-reversal-jp-growth-0016` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=5 | 0.03 | 0.15 | -0.08 | 2.06 |
| `r-skewness-reversal-jp-growth-0022` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | -0.13 | -0.01 | -0.23 | 1.76 |
| `r-skewness-reversal-jp-growth-0028` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=5 | 0.11 | 0.79 | 0.08 | -0.82 |
| `r-skewness-reversal-jp-growth-0034` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=5 | -0.09 | 0.62 | -0.14 | -0.96 |
| `r-skewness-reversal-jp-growth-0036` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | -0.51 | -1.13 | -0.2 | -1.03 |
| `r-skewness-reversal-jp-growth-0041` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=20 | -0.61 | -0.75 | -0.46 | -2.4 |
| `r-skewness-reversal-jp-growth-0047` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=20 | -0.75 | -0.82 | -0.62 | -2.66 |
| `r-skewness-reversal-jp-growth-0053` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=20 | -1.15 | -0.08 | -1.35 | -2.13 |
| `r-skewness-reversal-jp-growth-0059` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=20 | -1.19 | -0.16 | -1.39 | -2.28 |
| `r-skewness-reversal-jp-growth-0065` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | -1.47 | -1.74 | -1.52 | -2.57 |
| `r-skewness-reversal-jp-growth-0068` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=20 | -1.58 | -1.35 | -1.59 | -2.71 |
| `r-skewness-reversal-jp-growth-0072` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=1 | -0.12 | -1.76 | 0.09 | 1.83 |
| `r-skewness-reversal-jp-growth-0078` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=1 | -0.52 | -2.26 | -0.32 | 1.58 |
| `r-skewness-reversal-jp-growth-0084` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | -0.48 | -0.93 | -0.53 | 2.21 |
| `r-skewness-reversal-jp-growth-0090` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | -1.06 | -1.53 | -1.1 | 1.57 |
| `r-skewness-reversal-jp-growth-0096` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.37 | 0.98 | 0.13 | 1.2 |
| `r-skewness-reversal-jp-growth-0097` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 0.23 | 1.32 | -0.16 | 0.43 |
| `r-skewness-reversal-jp-growth-0103` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | 0.1 | 1.19 | -0.29 | 0.22 |
| `r-skewness-reversal-jp-growth-0109` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=5 | 0.15 | -0.04 | 0.13 | 5 |
| `r-skewness-reversal-jp-growth-0115` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | 0 | -0.2 | -0 | 4.28 |
| `r-skewness-reversal-jp-growth-0121` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=5 | 0.46 | -0.02 | 0.61 | 2.39 |
| `r-skewness-reversal-jp-growth-0122` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=20 | -0.74 | 0.13 | -1.07 | -0.7 |
| `r-skewness-reversal-jp-growth-0128` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=20 | -0.85 | 0.03 | -1.17 | -1.67 |
| `r-skewness-reversal-jp-growth-0134` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=20 | -0.58 | -0.39 | -0.95 | 3.92 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.46 (p=0.33).**
  - Value: 0.46 sharpe_ratio
  - Context: period 2022-02-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/skewness-reversal-jp-growth-fact-best-sharpe

- **Median Sharpe across 144 grid runs is -0.36.**
  - Value: -0.36 sharpe_ratio
  - Context: Full grid of 144 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/skewness-reversal-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is 1.10 across 144 runs.**
  - Value: 1.1 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/skewness-reversal-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is -0.46 across 144 runs.**
  - Value: -0.46 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/skewness-reversal-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.30 across 144 runs.**
  - Value: -0.3 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/skewness-reversal-jp-growth-fact-regime-up

## Related strategies

- same_strategy: [skewness-reversal-jp-all](https://qbuntu.ai/strategies/skewness-reversal-jp-all)
- 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 Growth Stocks). https://qbuntu.ai/strategies/skewness-reversal-jp-growth

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