# Volatility Breakout (JP Growth Stocks)

- **Slug**: `volatility-breakout-jp-growth`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: breakout, momentum, volatility
- **Source**: qbuntu-analysis (computed asof 2026-07-29T01:08:47)
- **Reproducibility**: analysis-engine@18193e9, 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-growth
- **JSON**: https://qbuntu.ai/v1/strategies/volatility-breakout-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Stocks with rising short-term ATR relative to long-term ATR are experiencing volatility expansion, signaling breakout opportunities. LONG high ATR-ratio stocks, SHORT low ATR-ratio.

## Why it didn't work

Across 720 grid combinations, median Sharpe=-0.61, best=0.79. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.6124 |
| Max drawdown | -31.6% |
| p-value | 0.2 |
| Backtest period | 2022-02-01 to 2026-06-01 |

Sharpe distribution across 720 grid runs: median -0.61, best 0.79 (best-case — not representative), worst -1.84, p25 -0.9, p75 -0.26.

## 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-volatility-breakout-jp-growth-0000` | atr_long=20, cost_bps=5, n_stocks=5, atr_short=5 | -1.58 | -2.22 | -1.37 | -2.32 |
| `r-volatility-breakout-jp-growth-0001` | atr_long=20, cost_bps=5, n_stocks=5, atr_short=5 | -1.7 | -2.69 | -1.37 | -2.32 |
| `r-volatility-breakout-jp-growth-0002` | atr_long=20, cost_bps=10, n_stocks=5, atr_short=5 | -1.73 | -2.37 | -1.51 | -2.63 |
| `r-volatility-breakout-jp-growth-0003` | atr_long=20, cost_bps=10, n_stocks=5, atr_short=5 | -1.83 | -2.76 | -1.51 | -2.63 |
| `r-volatility-breakout-jp-growth-0008` | atr_long=20, cost_bps=5, n_stocks=20, atr_short=5 | -0.73 | -0.69 | -0.71 | -1.14 |
| `r-volatility-breakout-jp-growth-0036` | atr_long=20, cost_bps=5, n_stocks=5, atr_short=5 | -0.93 | -1.54 | -0.62 | -7.94 |
| `r-volatility-breakout-jp-growth-0038` | atr_long=20, cost_bps=10, n_stocks=5, atr_short=5 | -0.97 | -1.59 | -0.66 | -8.06 |
| `r-volatility-breakout-jp-growth-0071` | atr_long=40, cost_bps=10, n_stocks=20, atr_short=5 | -0.44 | -0.08 | -0.51 | -0.71 |
| `r-volatility-breakout-jp-growth-0104` | atr_long=60, cost_bps=5, n_stocks=20, atr_short=5 | -0.43 | -0.8 | -0.3 | -0.39 |
| `r-volatility-breakout-jp-growth-0137` | atr_long=60, cost_bps=5, n_stocks=10, atr_short=5 | -0.18 | 0.26 | -0.17 | -7.36 |
| `r-volatility-breakout-jp-growth-0144` | atr_long=120, cost_bps=5, n_stocks=5, atr_short=5 | -0.73 | -1.13 | -0.6 | -0.32 |
| `r-volatility-breakout-jp-growth-0171` | atr_long=120, cost_bps=10, n_stocks=5, atr_short=5 | -0.23 | 0.55 | -0.28 | -2.21 |
| `r-volatility-breakout-jp-growth-0204` | atr_long=20, cost_bps=5, n_stocks=5, atr_short=10 | -1.26 | -1.01 | -1.5 | 0.06 |
| `r-volatility-breakout-jp-growth-0224` | atr_long=20, cost_bps=5, n_stocks=20, atr_short=10 | 0.79 | 1.04 | 0.62 | 2.01 |
| `r-volatility-breakout-jp-growth-0238` | atr_long=20, cost_bps=10, n_stocks=20, atr_short=10 | -0.35 | -0.15 | -0.49 | 1.23 |
| `r-volatility-breakout-jp-growth-0271` | atr_long=40, cost_bps=10, n_stocks=10, atr_short=10 | -0.24 | -0.44 | -0.32 | 0.62 |
| `r-volatility-breakout-jp-growth-0304` | atr_long=60, cost_bps=5, n_stocks=10, atr_short=10 | -0.32 | -0.59 | -0.24 | -0.58 |
| `r-volatility-breakout-jp-growth-0337` | atr_long=120, cost_bps=5, n_stocks=5, atr_short=10 | -0.68 | -0.95 | -0.59 | -0.08 |
| `r-volatility-breakout-jp-growth-0370` | atr_long=120, cost_bps=10, n_stocks=20, atr_short=10 | 0.41 | 0.6 | 0.24 | 1.68 |
| `r-volatility-breakout-jp-growth-0403` | atr_long=20, cost_bps=10, n_stocks=10, atr_short=14 | -0.55 | -1.1 | -0.12 | -2.84 |
| `r-volatility-breakout-jp-growth-0436` | atr_long=40, cost_bps=5, n_stocks=10, atr_short=14 | -1.43 | -1.48 | -1.43 | -1.08 |
| `r-volatility-breakout-jp-growth-0469` | atr_long=40, cost_bps=5, n_stocks=5, atr_short=14 | -0.87 | -1.74 | -0.34 | -4.18 |
| `r-volatility-breakout-jp-growth-0502` | atr_long=60, cost_bps=10, n_stocks=20, atr_short=14 | -0.8 | -2.77 | -0.18 | -1.68 |
| `r-volatility-breakout-jp-growth-0535` | atr_long=120, cost_bps=10, n_stocks=10, atr_short=14 | -0.95 | -1.1 | -0.9 | -0.7 |
| `r-volatility-breakout-jp-growth-0538` | atr_long=120, cost_bps=10, n_stocks=20, atr_short=14 | -1.84 | -1.84 | -1.84 | -1.26 |
| `r-volatility-breakout-jp-growth-0569` | atr_long=120, cost_bps=5, n_stocks=10, atr_short=14 | -0.8 | -0.75 | -0.75 | -1.42 |
| `r-volatility-breakout-jp-growth-0576` | atr_long=40, cost_bps=5, n_stocks=5, atr_short=20 | -0.83 | -0.09 | -1.13 | -1.8 |
| `r-volatility-breakout-jp-growth-0603` | atr_long=40, cost_bps=10, n_stocks=5, atr_short=20 | -0.69 | -1.32 | -0.49 | -1.55 |
| `r-volatility-breakout-jp-growth-0636` | atr_long=60, cost_bps=5, n_stocks=5, atr_short=20 | -0.54 | -0.43 | -0.58 | -0.71 |
| `r-volatility-breakout-jp-growth-0669` | atr_long=60, cost_bps=5, n_stocks=20, atr_short=20 | -0.38 | 0.89 | -1.28 | 5.41 |

## 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: -0.06**
  - Value: -0.0648 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/volatility-breakout-jp-growth-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): 0.01**
  - Value: 0.0124 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/volatility-breakout-jp-growth-fact-avg-corr-full

- **Best grid Sharpe ratio is 0.79 (p=0.1).**
  - Value: 0.79 sharpe_ratio
  - Context: period 2022-02-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/volatility-breakout-jp-growth-fact-best-sharpe

- **Median Sharpe across 720 grid runs is -0.61.**
  - Value: -0.61 sharpe_ratio
  - Context: Full grid of 720 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/volatility-breakout-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is -1.05 across 720 runs.**
  - Value: -1.05 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/volatility-breakout-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is -0.51 across 720 runs.**
  - Value: -0.51 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/volatility-breakout-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.59 across 720 runs.**
  - Value: -0.59 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/volatility-breakout-jp-growth-fact-regime-up

---

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

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