# VPT Divergence (JP Growth Stocks)

- **Slug**: `vpt-divergence-jp-growth`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: divergence, technical, volume
- **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/vpt-divergence-jp-growth
- **JSON**: https://qbuntu.ai/v1/strategies/vpt-divergence-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Volume-Price-Trend (VPT) accumulates volume signed by returns; a divergence between the VPT path and the price path is read as hidden accumulation/distribution. Ranking on VPT-price divergence tests whether price subsequently closes the gap.

## Why it didn't work

Across 144 grid combinations, median Sharpe=-0.94, best=0.31. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.944 |
| Max drawdown | -27.2% |
| p-value | 0.053 |
| Backtest period | 2022-03-01 to 2026-06-01 |

Sharpe distribution across 144 grid runs: median -0.94, best 0.31 (best-case — not representative), worst -2.82, p25 -1.43, p75 -0.37.

## 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-vpt-divergence-jp-growth-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -1.24 | -0.2 | -1.57 | -2.35 |
| `r-vpt-divergence-jp-growth-0001` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | -0.95 | -1.16 | -0.78 | -1.62 |
| `r-vpt-divergence-jp-growth-0002` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | -0.39 | -0.35 | -0.33 | -1.84 |
| `r-vpt-divergence-jp-growth-0003` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -1.33 | -0.29 | -1.57 | -2.35 |
| `r-vpt-divergence-jp-growth-0006` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -1.37 | -0.32 | -1.71 | -2.49 |
| `r-vpt-divergence-jp-growth-0010` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | -0.9 | -0.62 | -0.87 | -1.68 |
| `r-vpt-divergence-jp-growth-0016` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=5 | -0.76 | 0.56 | -1.07 | -2.05 |
| `r-vpt-divergence-jp-growth-0022` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | -0.9 | 0.46 | -1.22 | -2.32 |
| `r-vpt-divergence-jp-growth-0028` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=5 | -0.54 | -0.12 | -0.57 | -2.81 |
| `r-vpt-divergence-jp-growth-0034` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=5 | -0.73 | -0.22 | -0.79 | -3.1 |
| `r-vpt-divergence-jp-growth-0036` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | -1.69 | -1.03 | -1.95 | -3.04 |
| `r-vpt-divergence-jp-growth-0041` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=20 | -0.26 | 0.45 | -0.56 | -1.13 |
| `r-vpt-divergence-jp-growth-0047` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=20 | -0.39 | 0.39 | -0.74 | -1.27 |
| `r-vpt-divergence-jp-growth-0053` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=20 | 0.02 | -2.49 | 0.65 | -2.08 |
| `r-vpt-divergence-jp-growth-0059` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=20 | -0.02 | -2.52 | 0.6 | -2.2 |
| `r-vpt-divergence-jp-growth-0065` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | 0.31 | -1.03 | 0.84 | -6.13 |
| `r-vpt-divergence-jp-growth-0071` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=20 | 0.25 | -1.08 | 0.77 | -6.33 |
| `r-vpt-divergence-jp-growth-0077` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=20 | 0.15 | -0.45 | 0.48 | -1.26 |
| `r-vpt-divergence-jp-growth-0083` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=20 | 0.05 | -0.49 | 0.36 | -1.44 |
| `r-vpt-divergence-jp-growth-0086` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=20 | 0.31 | 1.54 | 0.01 | -0.36 |
| `r-vpt-divergence-jp-growth-0090` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | -2.82 | -1.92 | -3.08 | -3.12 |
| `r-vpt-divergence-jp-growth-0091` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=5 | -0.77 | -0.02 | -1.17 | -0.55 |
| `r-vpt-divergence-jp-growth-0096` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -1.92 | -2.99 | -1.61 | -1.2 |
| `r-vpt-divergence-jp-growth-0098` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | -1.37 | -2.56 | -1.19 | -0.76 |
| `r-vpt-divergence-jp-growth-0104` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=20 | -1.42 | -2.64 | -1.24 | -0.82 |
| `r-vpt-divergence-jp-growth-0110` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | -1.07 | -2.54 | -0.84 | -1.5 |
| `r-vpt-divergence-jp-growth-0116` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=20 | -1.14 | -2.66 | -0.9 | -1.65 |
| `r-vpt-divergence-jp-growth-0122` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=20 | -0.95 | -0.65 | -0.91 | -29.89 |
| `r-vpt-divergence-jp-growth-0128` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=20 | -1.04 | -0.76 | -0.99 | -31.23 |
| `r-vpt-divergence-jp-growth-0134` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=20 | -0.29 | 1.41 | -0.67 | -1.91 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.31 (p=0.52).**
  - Value: 0.31 sharpe_ratio
  - Context: period 2022-03-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vpt-divergence-jp-growth-fact-best-sharpe

- **Median Sharpe across 144 grid runs is -0.94.**
  - Value: -0.94 sharpe_ratio
  - Context: Full grid of 144 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vpt-divergence-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is -1.63 across 144 runs.**
  - Value: -1.63 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vpt-divergence-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is -1.18 across 144 runs.**
  - Value: -1.18 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vpt-divergence-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.62 across 144 runs.**
  - Value: -0.62 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vpt-divergence-jp-growth-fact-regime-up

## Related strategies

- same_strategy: [vpt-divergence-jp-all](https://qbuntu.ai/strategies/vpt-divergence-jp-all)
- same_strategy: [vpt-divergence-us-sp500](https://qbuntu.ai/strategies/vpt-divergence-us-sp500)

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Cite as: qbuntu (2026). VPT Divergence (JP Growth Stocks). https://qbuntu.ai/strategies/vpt-divergence-jp-growth

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