# Volatility Ratio Reversal (JP Growth Stocks)

- **Slug**: `volatility-ratio-reversal-jp-growth`
- **Verdict**: marginal (regime_dependent)
- **Asset class**: equity
- **Categories**: reversal, technical, volatility
- **Source**: qbuntu-analysis (computed asof 2026-08-02T16:26:50)
- **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-growth
- **JSON**: https://qbuntu.ai/v1/strategies/volatility-ratio-reversal-jp-growth
- **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 432 grid combinations, median Sharpe=0.26, best=1.85. Primary failure mode: regime_dependent.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | 0.2587 |
| Max drawdown | -10.9% |
| p-value | 0.45 |
| Backtest period | 2022-02-01 to 2026-06-01 |

Sharpe distribution across 432 grid runs: median 0.26, best 1.85 (best-case — not representative), worst -1.25, p25 -0.07, p75 0.57.

## 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-ratio-reversal-jp-growth-0000` | cost_bps=5, n_stocks=5, long_window=15, regime_gate=false | 0.19 | -0.4 | 0.2 | 2.38 |
| `r-volatility-ratio-reversal-jp-growth-0001` | cost_bps=5, n_stocks=5, long_window=15, regime_gate=false | -0.06 | -0.96 | 0.39 | -0.22 |
| `r-volatility-ratio-reversal-jp-growth-0002` | cost_bps=5, n_stocks=5, long_window=15, regime_gate=false | 0.52 | -0.19 | 0.8 | 0.8 |
| `r-volatility-ratio-reversal-jp-growth-0003` | cost_bps=5, n_stocks=5, long_window=15, regime_gate=true | 0.04 | -1.61 | 0.2 | 2.38 |
| `r-volatility-ratio-reversal-jp-growth-0006` | cost_bps=10, n_stocks=5, long_window=15, regime_gate=false | 0.03 | -0.56 | 0.03 | 2.25 |
| `r-volatility-ratio-reversal-jp-growth-0024` | cost_bps=5, n_stocks=20, long_window=15, regime_gate=false | 0.16 | -1.61 | 0.6 | 1.06 |
| `r-volatility-ratio-reversal-jp-growth-0036` | cost_bps=5, n_stocks=50, long_window=15, regime_gate=false | 0.07 | 0.56 | 0.06 | -1.6 |
| `r-volatility-ratio-reversal-jp-growth-0045` | cost_bps=10, n_stocks=50, long_window=15, regime_gate=true | -0.45 | -0.24 | -0.56 | -2.12 |
| `r-volatility-ratio-reversal-jp-growth-0065` | cost_bps=5, n_stocks=10, long_window=20, regime_gate=true | 0.29 | -0.34 | 0.36 | 1.75 |
| `r-volatility-ratio-reversal-jp-growth-0085` | cost_bps=5, n_stocks=50, long_window=20, regime_gate=false | -0.34 | -2.19 | 0.05 | 2.62 |
| `r-volatility-ratio-reversal-jp-growth-0096` | cost_bps=5, n_stocks=5, long_window=40, regime_gate=false | 0.77 | -0.25 | 1.05 | 2.31 |
| `r-volatility-ratio-reversal-jp-growth-0106` | cost_bps=10, n_stocks=5, long_window=40, regime_gate=true | 0.18 | -2.87 | 0.61 | 0.43 |
| `r-volatility-ratio-reversal-jp-growth-0126` | cost_bps=10, n_stocks=20, long_window=40, regime_gate=false | 0.07 | -0.82 | 0.43 | 0.14 |
| `r-volatility-ratio-reversal-jp-growth-0146` | cost_bps=5, n_stocks=5, long_window=15, regime_gate=false | -0.16 | 1.27 | -0.49 | 0.59 |
| `r-volatility-ratio-reversal-jp-growth-0166` | cost_bps=10, n_stocks=10, long_window=15, regime_gate=true | 0.05 | -0.3 | 0.07 | 0.74 |
| `r-volatility-ratio-reversal-jp-growth-0186` | cost_bps=10, n_stocks=50, long_window=15, regime_gate=false | -0.58 | -0.41 | -0.61 | -1.13 |
| `r-volatility-ratio-reversal-jp-growth-0206` | cost_bps=5, n_stocks=10, long_window=20, regime_gate=false | 0.36 | 0.92 | 0.16 | 3.3 |
| `r-volatility-ratio-reversal-jp-growth-0226` | cost_bps=10, n_stocks=20, long_window=20, regime_gate=true | 0.24 | -0.36 | 0.4 | 2.34 |
| `r-volatility-ratio-reversal-jp-growth-0246` | cost_bps=10, n_stocks=5, long_window=40, regime_gate=false | 0.88 | 0.74 | 0.81 | 1.59 |
| `r-volatility-ratio-reversal-jp-growth-0266` | cost_bps=5, n_stocks=20, long_window=40, regime_gate=false | 0.81 | 0.5 | 0.86 | 1.83 |
| `r-volatility-ratio-reversal-jp-growth-0286` | cost_bps=10, n_stocks=50, long_window=40, regime_gate=true | -0.27 | -0.13 | -0.49 | 1.12 |
| `r-volatility-ratio-reversal-jp-growth-0288` | cost_bps=5, n_stocks=5, long_window=15, regime_gate=false | -0.12 | 1 | -0.45 | -0.54 |
| `r-volatility-ratio-reversal-jp-growth-0307` | cost_bps=10, n_stocks=10, long_window=15, regime_gate=false | -0.18 | 0.13 | -0.31 | -0.71 |
| `r-volatility-ratio-reversal-jp-growth-0327` | cost_bps=5, n_stocks=50, long_window=15, regime_gate=true | -0.19 | -0.24 | -0.22 | 0.28 |
| `r-volatility-ratio-reversal-jp-growth-0347` | cost_bps=10, n_stocks=5, long_window=20, regime_gate=true | 0.61 | 1.6 | -0.01 | 7.09 |
| `r-volatility-ratio-reversal-jp-growth-0367` | cost_bps=10, n_stocks=20, long_window=20, regime_gate=false | -0.5 | -0.35 | -0.42 | -32.62 |
| `r-volatility-ratio-reversal-jp-growth-0379` | cost_bps=10, n_stocks=50, long_window=20, regime_gate=false | -1.25 | -1.46 | -1.2 | -0.6 |
| `r-volatility-ratio-reversal-jp-growth-0388` | cost_bps=5, n_stocks=5, long_window=40, regime_gate=true | 0.87 | 1.03 | 0.87 | 0.34 |
| `r-volatility-ratio-reversal-jp-growth-0396` | cost_bps=5, n_stocks=10, long_window=40, regime_gate=false | 1.85 | 1.15 | 2.14 | 1.47 |
| `r-volatility-ratio-reversal-jp-growth-0409` | cost_bps=5, n_stocks=20, long_window=40, regime_gate=false | -0.31 | -0.59 | -0.19 | -18.15 |

## Facts (5)

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

- **Best grid Sharpe ratio is 1.85 (p=0.00028).**
  - Value: 1.85 sharpe_ratio
  - Context: period 2022-02-01–2026-06-01; cost=5bps
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volatility-ratio-reversal-jp-growth-fact-best-sharpe

- **Median Sharpe across 432 grid runs is 0.26.**
  - Value: 0.26 sharpe_ratio
  - Context: Full grid of 432 parameter combinations.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volatility-ratio-reversal-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is 1.18 across 432 runs.**
  - Value: 1.18 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volatility-ratio-reversal-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is 0.29 across 432 runs.**
  - Value: 0.29 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volatility-ratio-reversal-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.06 across 432 runs.**
  - Value: -0.06 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volatility-ratio-reversal-jp-growth-fact-regime-up

## Related strategies

- same_strategy: [volatility-ratio-reversal-jp-all](https://qbuntu.ai/strategies/volatility-ratio-reversal-jp-all)
- 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 Growth Stocks). https://qbuntu.ai/strategies/volatility-ratio-reversal-jp-growth

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