# Time-Series Momentum (JP All Stocks)

- **Slug**: `ts-momentum-jp-all`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: factor, momentum, time-series
- **Source**: qbuntu-analysis (computed asof 2026-07-28T01:10:24)
- **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/ts-momentum-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/ts-momentum-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Moskowitz, Ooi, Pedersen (2012): each stock's own past return predicts its future return. Testing time-series momentum on the full Japanese stock universe.

## Why it didn't work

Across 120 grid combinations, median Sharpe=-0.19, best=1.09. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.1866 |
| Max drawdown | -25.3% |
| p-value | 0.51 |
| Backtest period | 2022-03-01 to 2026-02-02 |

Sharpe distribution across 120 grid runs: median -0.19, best 1.09 (best-case — not representative), worst -1.45, p25 -0.5, p75 0.13.

## 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-ts-momentum-jp-all-0000` | cost_bps=5, holding_days=1, threshold_pct=0, formation_days=20 | 0.57 | 1.74 | 0.21 | 0.41 |
| `r-ts-momentum-jp-all-0001` | cost_bps=10, holding_days=1, threshold_pct=0, formation_days=20 | 0.25 | 1.44 | -0.11 | 0.12 |
| `r-ts-momentum-jp-all-0002` | cost_bps=5, holding_days=1, threshold_pct=0.05, formation_days=20 | 0.49 | 1.1 | 0.36 | -0.01 |
| `r-ts-momentum-jp-all-0004` | cost_bps=5, holding_days=1, threshold_pct=0.1, formation_days=20 | 0.04 | 0.71 | -0.01 | -1.35 |
| `r-ts-momentum-jp-all-0006` | cost_bps=5, holding_days=5, threshold_pct=0, formation_days=20 | 1.09 | 2.39 | 0.61 | 1.18 |
| `r-ts-momentum-jp-all-0008` | cost_bps=5, holding_days=5, threshold_pct=0.05, formation_days=20 | 0.66 | 1.96 | 0.22 | -0.01 |
| `r-ts-momentum-jp-all-0012` | cost_bps=5, holding_days=10, threshold_pct=0, formation_days=20 | 0.44 | 2.73 | -0.1 | 0.35 |
| `r-ts-momentum-jp-all-0016` | cost_bps=5, holding_days=10, threshold_pct=0.1, formation_days=20 | 0.32 | 2.17 | -0.23 | 0.75 |
| `r-ts-momentum-jp-all-0020` | cost_bps=5, holding_days=20, threshold_pct=0.05, formation_days=20 | 0.23 | 2.38 | -0.72 | 0.04 |
| `r-ts-momentum-jp-all-0024` | cost_bps=5, holding_days=60, threshold_pct=0, formation_days=20 | -0.03 | 2.13 | -0.43 | 0.22 |
| `r-ts-momentum-jp-all-0025` | cost_bps=10, holding_days=60, threshold_pct=0, formation_days=20 | -0.06 | 2.08 | -0.46 | 0.2 |
| `r-ts-momentum-jp-all-0029` | cost_bps=10, holding_days=60, threshold_pct=0.1, formation_days=20 | 0.06 | 1.8 | -0.28 | 1.06 |
| `r-ts-momentum-jp-all-0033` | cost_bps=10, holding_days=1, threshold_pct=0.05, formation_days=60 | -0.64 | 2.12 | -1.21 | -1.33 |
| `r-ts-momentum-jp-all-0037` | cost_bps=10, holding_days=5, threshold_pct=0, formation_days=60 | 0.14 | 0.34 | 0.05 | 0.68 |
| `r-ts-momentum-jp-all-0041` | cost_bps=10, holding_days=5, threshold_pct=0.1, formation_days=60 | 0.31 | 0.43 | 0.35 | -1.47 |
| `r-ts-momentum-jp-all-0045` | cost_bps=10, holding_days=10, threshold_pct=0.05, formation_days=60 | 0.02 | 0.67 | -0.26 | 2.46 |
| `r-ts-momentum-jp-all-0049` | cost_bps=10, holding_days=20, threshold_pct=0, formation_days=60 | 0 | 0.89 | -0.43 | 6.57 |
| `r-ts-momentum-jp-all-0053` | cost_bps=10, holding_days=20, threshold_pct=0.1, formation_days=60 | 0.17 | 1.44 | -0.27 | 9.08 |
| `r-ts-momentum-jp-all-0057` | cost_bps=10, holding_days=60, threshold_pct=0.05, formation_days=60 | -0.49 | 0.31 | -0.79 | 0.33 |
| `r-ts-momentum-jp-all-0061` | cost_bps=10, holding_days=1, threshold_pct=0, formation_days=120 | -1.45 | -2.04 | -1.39 | -0.66 |
| `r-ts-momentum-jp-all-0062` | cost_bps=5, holding_days=1, threshold_pct=0.05, formation_days=120 | -1.01 | -1.39 | -1 | -0.47 |
| `r-ts-momentum-jp-all-0066` | cost_bps=5, holding_days=5, threshold_pct=0, formation_days=120 | -0.56 | -1.02 | -0.28 | -1.77 |
| `r-ts-momentum-jp-all-0070` | cost_bps=5, holding_days=5, threshold_pct=0.1, formation_days=120 | -0.24 | -0.65 | 0.04 | -1.21 |
| `r-ts-momentum-jp-all-0074` | cost_bps=5, holding_days=10, threshold_pct=0.05, formation_days=120 | -0.16 | -0.3 | -0.3 | 2.47 |
| `r-ts-momentum-jp-all-0078` | cost_bps=5, holding_days=20, threshold_pct=0, formation_days=120 | -0.75 | 0.02 | -1.38 | 6.76 |
| `r-ts-momentum-jp-all-0082` | cost_bps=5, holding_days=20, threshold_pct=0.1, formation_days=120 | -0.51 | -0.31 | -1.1 | 5.17 |
| `r-ts-momentum-jp-all-0086` | cost_bps=5, holding_days=60, threshold_pct=0.05, formation_days=120 | -0.79 | -0.7 | -1.1 | 0.41 |
| `r-ts-momentum-jp-all-0090` | cost_bps=5, holding_days=1, threshold_pct=0, formation_days=250 | -0.64 | -0.73 | -0.7 | 0.2 |
| `r-ts-momentum-jp-all-0091` | cost_bps=10, holding_days=1, threshold_pct=0, formation_days=250 | -0.98 | -1.15 | -1.01 | -0.11 |
| `r-ts-momentum-jp-all-0095` | cost_bps=10, holding_days=1, threshold_pct=0.1, formation_days=250 | -1.19 | -2.21 | -0.92 | -0.06 |

## Facts (5)

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

- **Best grid Sharpe ratio is 1.09 (p=0.032).**
  - Value: 1.09 sharpe_ratio
  - Context: period 2022-03-01–2026-02-02; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/ts-momentum-jp-all-fact-best-sharpe

- **Median Sharpe across 120 grid runs is -0.19.**
  - Value: -0.19 sharpe_ratio
  - Context: Full grid of 120 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/ts-momentum-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is 0.18 across 120 runs.**
  - Value: 0.18 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/ts-momentum-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is -0.28 across 120 runs.**
  - Value: -0.28 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/ts-momentum-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is 0.16 across 120 runs.**
  - Value: 0.16 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/ts-momentum-jp-all-fact-regime-up

## Related strategies

- same_strategy: [ts-momentum-jp-growth](https://qbuntu.ai/strategies/ts-momentum-jp-growth)

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Cite as: qbuntu (2026). Time-Series Momentum (JP All Stocks). https://qbuntu.ai/strategies/ts-momentum-jp-all

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