# Volatility Breakout (JP All Stocks)

- **Slug**: `volatility-breakout-jp-all`
- **Verdict**: marginal (regime_dependent)
- **Asset class**: equity
- **Categories**: breakout, momentum, volatility
- **Source**: qbuntu-analysis (computed asof 2026-07-28T01:10:01)
- **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/volatility-breakout-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/volatility-breakout-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Stocks with rising short-term ATR relative to long-term ATR are experiencing volatility expansion. Testing on the full Japanese stock universe.

## Why it didn't work

Across 480 grid combinations, median Sharpe=0.16, best=1.35. Primary failure mode: regime_dependent.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | 0.157 |
| Max drawdown | -14.5% |
| p-value | 0.58 |
| Backtest period | 2022-02-01 to 2026-02-02 |

Sharpe distribution across 480 grid runs: median 0.16, best 1.35 (best-case — not representative), worst -1.02, p25 -0.08, p75 0.44.

## 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-volatility-breakout-jp-all-0000` | atr_long=20, cost_bps=5, n_stocks=5, atr_short=5 | -0.35 | 0.55 | -0.63 | -0.56 |
| `r-volatility-breakout-jp-all-0001` | atr_long=20, cost_bps=5, n_stocks=5, atr_short=5 | -0.36 | 0.67 | -0.63 | -0.56 |
| `r-volatility-breakout-jp-all-0002` | atr_long=20, cost_bps=10, n_stocks=5, atr_short=5 | -0.58 | 0.35 | -0.86 | -0.92 |
| `r-volatility-breakout-jp-all-0003` | atr_long=20, cost_bps=10, n_stocks=5, atr_short=5 | -0.56 | 0.56 | -0.86 | -0.92 |
| `r-volatility-breakout-jp-all-0004` | atr_long=20, cost_bps=5, n_stocks=10, atr_short=5 | -0.16 | -0.14 | -0.2 | 0.42 |
| `r-volatility-breakout-jp-all-0036` | atr_long=20, cost_bps=5, n_stocks=5, atr_short=5 | 0.01 | 1.13 | -0.18 | -0.36 |
| `r-volatility-breakout-jp-all-0039` | atr_long=20, cost_bps=10, n_stocks=5, atr_short=5 | 0.05 | 1.67 | -0.25 | -0.46 |
| `r-volatility-breakout-jp-all-0073` | atr_long=40, cost_bps=5, n_stocks=5, atr_short=5 | 0.54 | 1.21 | 0.22 | 2.73 |
| `r-volatility-breakout-jp-all-0103` | atr_long=60, cost_bps=10, n_stocks=10, atr_short=5 | -0.25 | 0.7 | -0.57 | 0.37 |
| `r-volatility-breakout-jp-all-0137` | atr_long=60, cost_bps=5, n_stocks=10, atr_short=5 | 0.26 | 0.54 | 0.16 | 0.45 |
| `r-volatility-breakout-jp-all-0144` | atr_long=120, cost_bps=5, n_stocks=5, atr_short=5 | 0.34 | 0.64 | 0.09 | 2.24 |
| `r-volatility-breakout-jp-all-0172` | atr_long=120, cost_bps=5, n_stocks=10, atr_short=5 | 0.21 | -0.75 | 0.74 | -1.06 |
| `r-volatility-breakout-jp-all-0206` | atr_long=20, cost_bps=10, n_stocks=5, atr_short=10 | 0.53 | 1.47 | 0.01 | 1.83 |
| `r-volatility-breakout-jp-all-0240` | atr_long=40, cost_bps=5, n_stocks=5, atr_short=10 | 0.17 | 1.22 | -0.31 | 1.05 |
| `r-volatility-breakout-jp-all-0270` | atr_long=40, cost_bps=10, n_stocks=10, atr_short=10 | 0.25 | 1.43 | -0.28 | 2.77 |
| `r-volatility-breakout-jp-all-0304` | atr_long=60, cost_bps=5, n_stocks=10, atr_short=10 | 0.47 | 1.53 | 0.16 | -0.55 |
| `r-volatility-breakout-jp-all-0338` | atr_long=120, cost_bps=10, n_stocks=5, atr_short=10 | 0.66 | 2.12 | 0.12 | 0.05 |
| `r-volatility-breakout-jp-all-0372` | atr_long=120, cost_bps=5, n_stocks=5, atr_short=10 | 0.3 | 1.75 | -0.58 | 12.05 |
| `r-volatility-breakout-jp-all-0402` | atr_long=20, cost_bps=10, n_stocks=10, atr_short=14 | -0.25 | 0.69 | -0.72 | 1.07 |
| `r-volatility-breakout-jp-all-0436` | atr_long=40, cost_bps=5, n_stocks=10, atr_short=14 | -0.69 | -0.37 | -0.79 | -0.49 |
| `r-volatility-breakout-jp-all-0438` | atr_long=40, cost_bps=10, n_stocks=10, atr_short=14 | -1.02 | -0.68 | -1.13 | -0.71 |
| `r-volatility-breakout-jp-all-0471` | atr_long=40, cost_bps=10, n_stocks=5, atr_short=14 | 0.01 | 1.36 | -0.75 | 7.65 |
| `r-volatility-breakout-jp-all-0505` | atr_long=60, cost_bps=5, n_stocks=5, atr_short=14 | 0.1 | 1.32 | -0.41 | 0.89 |
| `r-volatility-breakout-jp-all-0535` | atr_long=120, cost_bps=10, n_stocks=10, atr_short=14 | -0.45 | 0.24 | -0.56 | -1.28 |
| `r-volatility-breakout-jp-all-0569` | atr_long=120, cost_bps=5, n_stocks=10, atr_short=14 | -0.17 | 1.32 | -0.75 | 0.95 |
| `r-volatility-breakout-jp-all-0576` | atr_long=40, cost_bps=5, n_stocks=5, atr_short=20 | 0.4 | 1 | 0.21 | -0.16 |
| `r-volatility-breakout-jp-all-0604` | atr_long=40, cost_bps=5, n_stocks=10, atr_short=20 | 0.94 | 2.31 | 0.35 | 1.9 |
| `r-volatility-breakout-jp-all-0638` | atr_long=60, cost_bps=10, n_stocks=5, atr_short=20 | 0.35 | 1.44 | -0.01 | -0.47 |
| `r-volatility-breakout-jp-all-0672` | atr_long=120, cost_bps=5, n_stocks=5, atr_short=20 | 0.85 | 1.41 | 0.79 | -1.11 |
| `r-volatility-breakout-jp-all-0689` | atr_long=120, cost_bps=5, n_stocks=10, atr_short=20 | 1.35 | 2.26 | 0.91 | 2.38 |

## 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: 0.04**
  - Value: 0.0421 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volatility-breakout-jp-all-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): 0.02**
  - Value: 0.0205 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volatility-breakout-jp-all-fact-avg-corr-full

- **Best grid Sharpe ratio is 1.35 (p=0.01).**
  - Value: 1.35 sharpe_ratio
  - Context: period 2022-02-01–2026-02-02; cost=5bps
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volatility-breakout-jp-all-fact-best-sharpe

- **Median Sharpe across 480 grid runs is 0.16.**
  - Value: 0.16 sharpe_ratio
  - Context: Full grid of 480 parameter combinations.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volatility-breakout-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is 0.77 across 480 runs.**
  - Value: 0.77 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volatility-breakout-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is -0.20 across 480 runs.**
  - Value: -0.2 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volatility-breakout-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is 1.25 across 480 runs.**
  - Value: 1.25 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volatility-breakout-jp-all-fact-regime-up

## Related strategies

- same_strategy: [volatility-breakout-jp-growth](https://qbuntu.ai/strategies/volatility-breakout-jp-growth)

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Cite as: qbuntu (2026). Volatility Breakout (JP All Stocks). https://qbuntu.ai/strategies/volatility-breakout-jp-all

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