# Trend Following / Donchian Breakout (JP Growth Stocks)

- **Slug**: `trend-following-jp-growth`
- **Verdict**: rejected (regime_dependent)
- **Asset class**: equity
- **Categories**: breakout, momentum, trend-following
- **Source**: qbuntu-analysis (computed asof 2026-07-28T01:10:02)
- **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/trend-following-jp-growth
- **JSON**: https://qbuntu.ai/v1/strategies/trend-following-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Donchian channel breakout: stocks breaking above N-day highs continue trending. LONG breakout stocks with configurable exit methods (hold, channel exit, trailing midline).

## Why it didn't work

Across 768 grid combinations, median Sharpe=-0.18, best=0.49. Primary failure mode: regime_dependent.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.181 |
| Max drawdown | -31% |
| p-value | 0.62 |
| Backtest period | 2022-02-01 to 2026-06-01 |

Sharpe distribution across 768 grid runs: median -0.18, best 0.49 (best-case — not representative), worst -1.03, p25 -0.34, 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-trend-following-jp-growth-0000` | cost_bps=5, n_stocks=5, exit_method="hold", regime_gate=false | -0.31 | -0.12 | -0.28 | -1.83 |
| `r-trend-following-jp-growth-0001` | cost_bps=5, n_stocks=5, exit_method="hold", regime_gate=true | -0.35 | -0.29 | -0.28 | -1.83 |
| `r-trend-following-jp-growth-0002` | cost_bps=10, n_stocks=5, exit_method="hold", regime_gate=false | -0.39 | -0.21 | -0.36 | -1.95 |
| `r-trend-following-jp-growth-0003` | cost_bps=10, n_stocks=5, exit_method="hold", regime_gate=true | -0.42 | -0.33 | -0.36 | -1.95 |
| `r-trend-following-jp-growth-0004` | cost_bps=5, n_stocks=5, exit_method="channel_exit", regime_gate=false | -0.31 | -0.12 | -0.28 | -1.83 |
| `r-trend-following-jp-growth-0008` | cost_bps=5, n_stocks=5, exit_method="trailing_mid", regime_gate=false | -0.31 | -0.12 | -0.28 | -1.83 |
| `r-trend-following-jp-growth-0036` | cost_bps=5, n_stocks=50, exit_method="hold", regime_gate=false | -0.47 | -0.12 | -0.48 | -1.67 |
| `r-trend-following-jp-growth-0043` | cost_bps=10, n_stocks=50, exit_method="channel_exit", regime_gate=true | -0.59 | 0.25 | -0.8 | -1.89 |
| `r-trend-following-jp-growth-0060` | cost_bps=5, n_stocks=10, exit_method="hold", regime_gate=false | 0.49 | 1.63 | 0.01 | -0.6 |
| `r-trend-following-jp-growth-0081` | cost_bps=5, n_stocks=20, exit_method="trailing_mid", regime_gate=true | -0.04 | 0.97 | -0.45 | 0.37 |
| `r-trend-following-jp-growth-0118` | cost_bps=10, n_stocks=10, exit_method="trailing_mid", regime_gate=false | 0.07 | 0.6 | -0.02 | -2.44 |
| `r-trend-following-jp-growth-0144` | cost_bps=5, n_stocks=5, exit_method="hold", regime_gate=false | -0.15 | -0.52 | -0.09 | 0.08 |
| `r-trend-following-jp-growth-0156` | cost_bps=5, n_stocks=10, exit_method="hold", regime_gate=false | -0.27 | -1.4 | -0.18 | 0.25 |
| `r-trend-following-jp-growth-0193` | cost_bps=5, n_stocks=5, exit_method="hold", regime_gate=true | -0.61 | -1.48 | -0.3 | -0.99 |
| `r-trend-following-jp-growth-0230` | cost_bps=10, n_stocks=50, exit_method="hold", regime_gate=false | -1.03 | -0.85 | -1 | -1.69 |
| `r-trend-following-jp-growth-0231` | cost_bps=10, n_stocks=50, exit_method="hold", regime_gate=true | -0.74 | 0.21 | -1 | -1.69 |
| `r-trend-following-jp-growth-0268` | cost_bps=5, n_stocks=20, exit_method="channel_exit", regime_gate=false | 0.21 | 1.14 | -0.14 | 0.41 |
| `r-trend-following-jp-growth-0305` | cost_bps=5, n_stocks=10, exit_method="channel_exit", regime_gate=true | 0.08 | 0.83 | -0.15 | -0.96 |
| `r-trend-following-jp-growth-0342` | cost_bps=10, n_stocks=5, exit_method="channel_exit", regime_gate=false | 0.01 | -0.62 | 0.15 | 0.02 |
| `r-trend-following-jp-growth-0379` | cost_bps=10, n_stocks=50, exit_method="channel_exit", regime_gate=true | -0.32 | -0.37 | -0.27 | -2.64 |
| `r-trend-following-jp-growth-0416` | cost_bps=5, n_stocks=20, exit_method="trailing_mid", regime_gate=false | -0.49 | -0.42 | -0.38 | -1.97 |
| `r-trend-following-jp-growth-0453` | cost_bps=5, n_stocks=10, exit_method="trailing_mid", regime_gate=true | 0.03 | 1.25 | -0.73 | 1.02 |
| `r-trend-following-jp-growth-0490` | cost_bps=10, n_stocks=5, exit_method="trailing_mid", regime_gate=false | -0.26 | 1.01 | -0.74 | -1.44 |
| `r-trend-following-jp-growth-0527` | cost_bps=10, n_stocks=50, exit_method="trailing_mid", regime_gate=true | -0.29 | 0.36 | -0.52 | -1.9 |
| `r-trend-following-jp-growth-0564` | cost_bps=5, n_stocks=50, exit_method="hold", regime_gate=false | 0.15 | 0.41 | 0.12 | -0.5 |
| `r-trend-following-jp-growth-0576` | cost_bps=5, n_stocks=5, exit_method="hold", regime_gate=false | -0.14 | 0.85 | -0.81 | -0.2 |
| `r-trend-following-jp-growth-0602` | cost_bps=10, n_stocks=20, exit_method="hold", regime_gate=false | -0.68 | 0.14 | -0.85 | -2.07 |
| `r-trend-following-jp-growth-0639` | cost_bps=10, n_stocks=10, exit_method="hold", regime_gate=true | -0.15 | 0.87 | -0.79 | 0.32 |
| `r-trend-following-jp-growth-0676` | cost_bps=5, n_stocks=5, exit_method="channel_exit", regime_gate=false | -0.22 | 0.46 | -0.6 | 0.53 |
| `r-trend-following-jp-growth-0713` | cost_bps=5, n_stocks=50, exit_method="channel_exit", regime_gate=true | 0.04 | 0.36 | -0.01 | -1.78 |

## 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: -0.12**
  - Value: -0.1156 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/trend-following-jp-growth-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): 0.12**
  - Value: 0.1207 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/trend-following-jp-growth-fact-avg-corr-full

- **Best grid Sharpe ratio is 0.49 (p=0.31).**
  - Value: 0.49 sharpe_ratio
  - Context: period 2022-02-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/trend-following-jp-growth-fact-best-sharpe

- **Median Sharpe across 768 grid runs is -0.18.**
  - Value: -0.18 sharpe_ratio
  - Context: Full grid of 768 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/trend-following-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is -0.73 across 768 runs.**
  - Value: -0.73 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/trend-following-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is -0.37 across 768 runs.**
  - Value: -0.37 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/trend-following-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is 0.35 across 768 runs.**
  - Value: 0.35 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/trend-following-jp-growth-fact-regime-up

---

Cite as: qbuntu (2026). Trend Following / Donchian Breakout (JP Growth Stocks). https://qbuntu.ai/strategies/trend-following-jp-growth

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