# Volatility Ratio Reversal (JP All Stocks)

- **Slug**: `volatility-ratio-reversal-jp-all`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: reversal, technical, volatility
- **Source**: qbuntu-analysis (computed asof 2026-08-02T16:26:00)
- **Reproducibility**: analysis-engine@2f23bb7, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/volatility-ratio-reversal-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/volatility-ratio-reversal-jp-all
- **License**: CC-BY-4.0

## Hypothesis

When short-window realized volatility spikes relative to the long-window baseline (high vol ratio), prices have typically overreacted; buying the dislocated side tests whether the spike mean-reverts within the holding period.

## Why it didn't work

Across 216 grid combinations, median Sharpe=-0.20, best=0.84. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.1985 |
| Max drawdown | -15.4% |
| p-value | 0.52 |
| Backtest period | 2022-02-01 to 2026-02-02 |

Sharpe distribution across 216 grid runs: median -0.2, best 0.84 (best-case — not representative), worst -1.25, p25 -0.46, p75 0.08.

## 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-ratio-reversal-jp-all-0000` | cost_bps=5, n_stocks=5, long_window=15, regime_gate=false | 0.04 | -0.46 | 0.29 | -0.75 |
| `r-volatility-ratio-reversal-jp-all-0001` | cost_bps=5, n_stocks=5, long_window=15, regime_gate=false | -0.11 | -1.04 | 0.31 | 1.26 |
| `r-volatility-ratio-reversal-jp-all-0002` | cost_bps=5, n_stocks=5, long_window=15, regime_gate=false | -0.31 | -0.13 | -0.55 | 1.32 |
| `r-volatility-ratio-reversal-jp-all-0003` | cost_bps=5, n_stocks=5, long_window=15, regime_gate=true | 0.2 | 0.38 | 0.29 | -0.75 |
| `r-volatility-ratio-reversal-jp-all-0006` | cost_bps=10, n_stocks=5, long_window=15, regime_gate=false | -0.2 | -0.7 | 0.04 | -0.91 |
| `r-volatility-ratio-reversal-jp-all-0012` | cost_bps=5, n_stocks=10, long_window=15, regime_gate=false | 0.16 | 0.37 | -0.01 | 0.86 |
| `r-volatility-ratio-reversal-jp-all-0014` | cost_bps=5, n_stocks=10, long_window=15, regime_gate=false | -0.32 | -0.72 | -0.3 | 0.8 |
| `r-volatility-ratio-reversal-jp-all-0023` | cost_bps=10, n_stocks=10, long_window=15, regime_gate=true | -0.14 | 0.26 | -0.4 | 0.73 |
| `r-volatility-ratio-reversal-jp-all-0056` | cost_bps=10, n_stocks=5, long_window=20, regime_gate=false | -0.04 | 0.09 | -0.22 | 1.27 |
| `r-volatility-ratio-reversal-jp-all-0065` | cost_bps=5, n_stocks=10, long_window=20, regime_gate=true | 0 | 0.58 | -0.31 | 1.01 |
| `r-volatility-ratio-reversal-jp-all-0096` | cost_bps=5, n_stocks=5, long_window=40, regime_gate=false | -0.07 | -0.33 | 0.04 | -0.41 |
| `r-volatility-ratio-reversal-jp-all-0099` | cost_bps=5, n_stocks=5, long_window=40, regime_gate=true | 0.01 | 0.1 | 0.04 | -0.41 |
| `r-volatility-ratio-reversal-jp-all-0100` | cost_bps=5, n_stocks=5, long_window=40, regime_gate=true | 0.84 | 1.03 | 0.74 | 1.25 |
| `r-volatility-ratio-reversal-jp-all-0109` | cost_bps=5, n_stocks=10, long_window=40, regime_gate=false | -0.01 | -0.88 | 0.41 | 1.96 |
| `r-volatility-ratio-reversal-jp-all-0118` | cost_bps=10, n_stocks=10, long_window=40, regime_gate=true | 0.5 | 1.31 | 0.14 | 1.63 |
| `r-volatility-ratio-reversal-jp-all-0151` | cost_bps=10, n_stocks=5, long_window=15, regime_gate=false | -0.51 | -1.35 | -0.01 | 1.18 |
| `r-volatility-ratio-reversal-jp-all-0160` | cost_bps=5, n_stocks=10, long_window=15, regime_gate=true | -0.1 | 0.52 | -0.39 | -0.05 |
| `r-volatility-ratio-reversal-jp-all-0164` | cost_bps=10, n_stocks=10, long_window=15, regime_gate=false | -1.25 | -1.31 | -1.19 | -1.89 |
| `r-volatility-ratio-reversal-jp-all-0194` | cost_bps=5, n_stocks=5, long_window=20, regime_gate=false | -0.4 | -1.21 | -0.35 | 0.27 |
| `r-volatility-ratio-reversal-jp-all-0203` | cost_bps=10, n_stocks=5, long_window=20, regime_gate=true | -0.22 | 0.39 | -0.41 | 0.24 |
| `r-volatility-ratio-reversal-jp-all-0212` | cost_bps=10, n_stocks=10, long_window=20, regime_gate=false | -0.67 | -1.06 | -0.67 | 0.34 |
| `r-volatility-ratio-reversal-jp-all-0245` | cost_bps=5, n_stocks=5, long_window=40, regime_gate=true | -0.01 | 0.45 | -0.2 | 0.67 |
| `r-volatility-ratio-reversal-jp-all-0254` | cost_bps=5, n_stocks=10, long_window=40, regime_gate=false | -0.67 | -0.6 | -0.64 | -0.95 |
| `r-volatility-ratio-reversal-jp-all-0263` | cost_bps=10, n_stocks=10, long_window=40, regime_gate=true | -0.49 | 0.74 | -0.73 | -1.03 |
| `r-volatility-ratio-reversal-jp-all-0288` | cost_bps=5, n_stocks=5, long_window=15, regime_gate=false | -0.32 | -1.78 | 0.1 | -0.16 |
| `r-volatility-ratio-reversal-jp-all-0297` | cost_bps=10, n_stocks=5, long_window=15, regime_gate=true | -0.19 | -0.27 | -0.15 | -0.39 |
| `r-volatility-ratio-reversal-jp-all-0306` | cost_bps=10, n_stocks=10, long_window=15, regime_gate=false | -0.82 | -3.16 | -0.39 | 0.12 |
| `r-volatility-ratio-reversal-jp-all-0339` | cost_bps=5, n_stocks=5, long_window=20, regime_gate=true | -0.33 | -0.07 | -0.31 | -1.57 |
| `r-volatility-ratio-reversal-jp-all-0348` | cost_bps=5, n_stocks=10, long_window=20, regime_gate=false | -0.56 | -1.67 | -0.24 | 0.81 |
| `r-volatility-ratio-reversal-jp-all-0357` | cost_bps=10, n_stocks=10, long_window=20, regime_gate=true | -0.49 | -0.16 | -0.6 | -0.07 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.84 (p=0.096).**
  - Value: 0.84 sharpe_ratio
  - Context: period 2022-02-01–2026-02-02; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/volatility-ratio-reversal-jp-all-fact-best-sharpe

- **Median Sharpe across 216 grid runs is -0.20.**
  - Value: -0.2 sharpe_ratio
  - Context: Full grid of 216 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/volatility-ratio-reversal-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is 0.61 across 216 runs.**
  - Value: 0.61 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/volatility-ratio-reversal-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is -0.15 across 216 runs.**
  - Value: -0.15 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/volatility-ratio-reversal-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is -0.26 across 216 runs.**
  - Value: -0.26 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/volatility-ratio-reversal-jp-all-fact-regime-up

## Related strategies

- same_strategy: [volatility-ratio-reversal-jp-growth](https://qbuntu.ai/strategies/volatility-ratio-reversal-jp-growth)
- same_strategy: [volatility-ratio-reversal-us-sp500](https://qbuntu.ai/strategies/volatility-ratio-reversal-us-sp500)

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Cite as: qbuntu (2026). Volatility Ratio Reversal (JP All Stocks). https://qbuntu.ai/strategies/volatility-ratio-reversal-jp-all

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