# Time-Series Momentum (JP Growth Stocks)

- **Slug**: `ts-momentum-jp-growth`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: factor, momentum, time-series
- **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/ts-momentum-jp-growth
- **JSON**: https://qbuntu.ai/v1/strategies/ts-momentum-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Moskowitz, Ooi, Pedersen (2012): each stock's own past return predicts its future return (time-series momentum). If positive → LONG, if negative → SHORT. Equal weight across active positions.

## Why it didn't work

Across 120 grid combinations, median Sharpe=-0.51, best=0.45. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.5101 |
| Max drawdown | -12.4% |
| p-value | 0.29 |
| Backtest period | 2022-03-01 to 2026-06-01 |

Sharpe distribution across 120 grid runs: median -0.51, best 0.45 (best-case — not representative), worst -1.82, p25 -0.82, p75 -0.14.

## 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-ts-momentum-jp-growth-0000` | cost_bps=5, holding_days=1, threshold_pct=0, formation_days=20 | -0.98 | -0.3 | -1.3 | -1.37 |
| `r-ts-momentum-jp-growth-0001` | cost_bps=10, holding_days=1, threshold_pct=0, formation_days=20 | -1.65 | -0.83 | -2.02 | -2.31 |
| `r-ts-momentum-jp-growth-0002` | cost_bps=5, holding_days=1, threshold_pct=0.05, formation_days=20 | -0.91 | -0.44 | -1.13 | -0.74 |
| `r-ts-momentum-jp-growth-0004` | cost_bps=5, holding_days=1, threshold_pct=0.1, formation_days=20 | -0.93 | -0.53 | -1.1 | -0.76 |
| `r-ts-momentum-jp-growth-0007` | cost_bps=10, holding_days=5, threshold_pct=0, formation_days=20 | -1.14 | -1.41 | -0.85 | -2.73 |
| `r-ts-momentum-jp-growth-0011` | cost_bps=10, holding_days=5, threshold_pct=0.1, formation_days=20 | -0.97 | -1.1 | -0.86 | -1.33 |
| `r-ts-momentum-jp-growth-0015` | cost_bps=10, holding_days=10, threshold_pct=0.05, formation_days=20 | -0.18 | 0.23 | -0.32 | 0.12 |
| `r-ts-momentum-jp-growth-0019` | cost_bps=10, holding_days=20, threshold_pct=0, formation_days=20 | -0.99 | 0.14 | -1.37 | -1.28 |
| `r-ts-momentum-jp-growth-0023` | cost_bps=10, holding_days=20, threshold_pct=0.1, formation_days=20 | -0.4 | 0.47 | -0.73 | 1.57 |
| `r-ts-momentum-jp-growth-0024` | cost_bps=5, holding_days=60, threshold_pct=0, formation_days=20 | -0.05 | 0.3 | -0.14 | 0.54 |
| `r-ts-momentum-jp-growth-0028` | cost_bps=5, holding_days=60, threshold_pct=0.1, formation_days=20 | 0.14 | -0.18 | 0.22 | 0.22 |
| `r-ts-momentum-jp-growth-0032` | cost_bps=5, holding_days=1, threshold_pct=0.05, formation_days=60 | -1.01 | -0.79 | -1 | -10.42 |
| `r-ts-momentum-jp-growth-0036` | cost_bps=5, holding_days=5, threshold_pct=0, formation_days=60 | -0.22 | -0.43 | -0.02 | -1.1 |
| `r-ts-momentum-jp-growth-0040` | cost_bps=5, holding_days=5, threshold_pct=0.1, formation_days=60 | -0.18 | -0.78 | 0.17 | -1.25 |
| `r-ts-momentum-jp-growth-0044` | cost_bps=5, holding_days=10, threshold_pct=0.05, formation_days=60 | 0.36 | -0.18 | 0.62 | -0.15 |
| `r-ts-momentum-jp-growth-0048` | cost_bps=5, holding_days=20, threshold_pct=0, formation_days=60 | 0.45 | 0.06 | 0.74 | -0.62 |
| `r-ts-momentum-jp-growth-0049` | cost_bps=10, holding_days=20, threshold_pct=0, formation_days=60 | 0.23 | -0.11 | 0.5 | -0.86 |
| `r-ts-momentum-jp-growth-0053` | cost_bps=10, holding_days=20, threshold_pct=0.1, formation_days=60 | -0.03 | -0.39 | 0.27 | -1.02 |
| `r-ts-momentum-jp-growth-0057` | cost_bps=10, holding_days=60, threshold_pct=0.05, formation_days=60 | 0.32 | 0.24 | 0.54 | -2.12 |
| `r-ts-momentum-jp-growth-0061` | cost_bps=10, holding_days=1, threshold_pct=0, formation_days=120 | -1.45 | -1.32 | -1.28 | -17.1 |
| `r-ts-momentum-jp-growth-0065` | cost_bps=10, holding_days=1, threshold_pct=0.1, formation_days=120 | -1.23 | -1 | -1.13 | -8.51 |
| `r-ts-momentum-jp-growth-0069` | cost_bps=10, holding_days=5, threshold_pct=0.05, formation_days=120 | -0.58 | -0.21 | -0.57 | -1.57 |
| `r-ts-momentum-jp-growth-0073` | cost_bps=10, holding_days=10, threshold_pct=0, formation_days=120 | -0.34 | -0.77 | -0.19 | -0.39 |
| `r-ts-momentum-jp-growth-0077` | cost_bps=10, holding_days=10, threshold_pct=0.1, formation_days=120 | -0.31 | -0.16 | -0.21 | -1.2 |
| `r-ts-momentum-jp-growth-0081` | cost_bps=10, holding_days=20, threshold_pct=0.05, formation_days=120 | -0.54 | -0.24 | -0.42 | -3.07 |
| `r-ts-momentum-jp-growth-0085` | cost_bps=10, holding_days=60, threshold_pct=0, formation_days=120 | -0.22 | -0.33 | -0.1 | -0.73 |
| `r-ts-momentum-jp-growth-0089` | cost_bps=10, holding_days=60, threshold_pct=0.1, formation_days=120 | -0.3 | -0.3 | -0.24 | -0.56 |
| `r-ts-momentum-jp-growth-0090` | cost_bps=5, holding_days=1, threshold_pct=0, formation_days=250 | -1.17 | -0.15 | -1.54 | -3.29 |
| `r-ts-momentum-jp-growth-0091` | cost_bps=10, holding_days=1, threshold_pct=0, formation_days=250 | -1.82 | -0.9 | -2.13 | -4.92 |
| `r-ts-momentum-jp-growth-0095` | cost_bps=10, holding_days=1, threshold_pct=0.1, formation_days=250 | -1.7 | -1.06 | -1.99 | -3.29 |

## 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: 0.1218 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/ts-momentum-jp-growth-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): 0.08**
  - Value: 0.0775 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/ts-momentum-jp-growth-fact-avg-corr-full

- **Best grid Sharpe ratio is 0.45 (p=0.36).**
  - Value: 0.45 sharpe_ratio
  - Context: period 2022-03-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/ts-momentum-jp-growth-fact-best-sharpe

- **Median Sharpe across 120 grid runs is -0.51.**
  - Value: -0.51 sharpe_ratio
  - Context: Full grid of 120 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/ts-momentum-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is -1.40 across 120 runs.**
  - Value: -1.4 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/ts-momentum-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is -0.43 across 120 runs.**
  - Value: -0.43 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/ts-momentum-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.20 across 120 runs.**
  - Value: -0.2 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/ts-momentum-jp-growth-fact-regime-up

---

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

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