Cross-Sectional Dispersion Trading (JP Growth Stocks)
slug: dispersion-jp-growth
Cross-Sectional Dispersion Trading (JP Growth Stocks) backtest. Median Sharpe across 384 parameter sets is -0.25. p-value is 0.49. Max DD is -34.7%. Period: 2022-03-01 to 2026-09-01. Best Sharpe +0.49 is not the representative figure.
Verdict: rejected. The median reaches neither promising (Sharpe > 0.5 and p-value < 0.05) nor marginal (Sharpe > 0.05 and best p-value < 0.10). Results split across up, flat, and down markets, so the median is not stable.
Performance summary
Sharpe (median)
-0.25
Max DD
-34.7%
Win rate
—
Alpha (ann.)
—
p-value
0.49
backtest period: 2022-03-01 → 2026-09-01
Sharpe across 384 grid runs:median -0.25best 0.49 (not representative)worst -1.31p25–p75 -0.53–0.02
Hypothesis
Stivers (2010), Jiang (2010): cross-sectional return dispersion as a market timing signal. High dispersion favors momentum; low dispersion favors mean reversion. Switches between base signals based on dispersion regime.
Why it didn't work
Across 384 grid combinations, median Sharpe=-0.25, best=0.49. Primary failure mode: regime_dependent.
Facts (5)
Best grid Sharpe ratio is 0.49 (p=0.29).
period 2022-03-01–2026-09-01; cost=5bps
cite ↗ /cite/dispersion-jp-growth-fact-best-sharpevia r-dispersion-jp-growth-0262
Median Sharpe across 384 grid runs is -0.25.
Full grid of 384 parameter combinations.
Median Sharpe in DOWN regime is -1.32 across 384 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.08 across 384 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.39 across 384 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
dispersion_window=10, holding_days=5, base_signal=momentum_20, n_stocks=5, cost_bps=5 r-dispersion-jp-growth-0000 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_20" | -1.24 | -1.43 | -1.07 | -2.70 |
dispersion_window=10, holding_days=5, base_signal=momentum_20, n_stocks=5, cost_bps=10 r-dispersion-jp-growth-0001 | cost_bps: 10 n_stocks: 5 base_signal: "momentum_20" | -1.31 | -1.52 | -1.13 | -2.75 |
dispersion_window=10, holding_days=5, base_signal=momentum_20, n_stocks=10, cost_bps=5 r-dispersion-jp-growth-0002 | cost_bps: 5 n_stocks: 10 base_signal: "momentum_20" | -1.12 | -1.76 | -0.86 | -1.72 |
dispersion_window=10, holding_days=5, base_signal=momentum_20, n_stocks=50, cost_bps=5 r-dispersion-jp-growth-0006 | cost_bps: 5 n_stocks: 50 base_signal: "momentum_20" | -0.51 | -1.16 | -0.14 | -1.51 |
dispersion_window=10, holding_days=5, base_signal=momentum_60, n_stocks=5, cost_bps=5 r-dispersion-jp-growth-0008 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_60" | -0.86 | -1.66 | -0.60 | -2.33 |
dispersion_window=10, holding_days=5, base_signal=mean_reversion, n_stocks=5, cost_bps=5 r-dispersion-jp-growth-0016 | cost_bps: 5 n_stocks: 5 base_signal: "mean_reversion" | -0.37 | -1.47 | +0.07 | +1.45 |
dispersion_window=10, holding_days=5, base_signal=mean_reversion, n_stocks=50, cost_bps=5 r-dispersion-jp-growth-0022 | cost_bps: 5 n_stocks: 50 base_signal: "mean_reversion" | -0.09 | -0.60 | -0.01 | +1.17 |
dispersion_window=10, holding_days=10, base_signal=momentum_60, n_stocks=50, cost_bps=10 r-dispersion-jp-growth-0039 | cost_bps: 10 n_stocks: 50 base_signal: "momentum_60" | -0.08 | +0.13 | -0.08 | -1.06 |
dispersion_window=10, holding_days=20, base_signal=momentum_60, n_stocks=5, cost_bps=5 r-dispersion-jp-growth-0056 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_60" | -0.70 | +0.22 | -0.99 | -1.53 |
dispersion_window=10, holding_days=60, base_signal=momentum_20, n_stocks=5, cost_bps=5 r-dispersion-jp-growth-0072 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_20" | -0.24 | -0.05 | -0.19 | -1.73 |
dispersion_window=10, holding_days=60, base_signal=momentum_20, n_stocks=10, cost_bps=5 r-dispersion-jp-growth-0074 | cost_bps: 5 n_stocks: 10 base_signal: "momentum_20" | -0.04 | -0.28 | +0.02 | -0.32 |
dispersion_window=10, holding_days=60, base_signal=mean_reversion, n_stocks=10, cost_bps=10 r-dispersion-jp-growth-0091 | cost_bps: 10 n_stocks: 10 base_signal: "mean_reversion" | +0.01 | -0.47 | +0.20 | -0.90 |
dispersion_window=20, holding_days=5, base_signal=momentum_60, n_stocks=20, cost_bps=5 r-dispersion-jp-growth-0108 | cost_bps: 5 n_stocks: 20 base_signal: "momentum_60" | -0.53 | -0.45 | -0.50 | -1.16 |
dispersion_window=20, holding_days=10, base_signal=momentum_20, n_stocks=20, cost_bps=10 r-dispersion-jp-growth-0125 | cost_bps: 10 n_stocks: 20 base_signal: "momentum_20" | -0.06 | -0.36 | +0.15 | -2.64 |
dispersion_window=20, holding_days=10, base_signal=mean_reversion, n_stocks=50, cost_bps=5 r-dispersion-jp-growth-0142 | cost_bps: 5 n_stocks: 50 base_signal: "mean_reversion" | -0.43 | -0.99 | -0.36 | +0.77 |
dispersion_window=20, holding_days=20, base_signal=momentum_60, n_stocks=50, cost_bps=10 r-dispersion-jp-growth-0159 | cost_bps: 10 n_stocks: 50 base_signal: "momentum_60" | -0.50 | -0.51 | -0.37 | -1.67 |
dispersion_window=20, holding_days=60, base_signal=momentum_60, n_stocks=5, cost_bps=5 r-dispersion-jp-growth-0176 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_60" | +0.01 | -0.15 | +0.10 | -1.35 |
dispersion_window=40, holding_days=5, base_signal=momentum_20, n_stocks=5, cost_bps=10 r-dispersion-jp-growth-0193 | cost_bps: 10 n_stocks: 5 base_signal: "momentum_20" | -1.31 | -1.52 | -1.13 | -2.75 |
dispersion_window=40, holding_days=5, base_signal=mean_reversion, n_stocks=10, cost_bps=5 r-dispersion-jp-growth-0210 | cost_bps: 5 n_stocks: 10 base_signal: "mean_reversion" | -0.27 | -0.60 | -0.19 | +1.14 |
dispersion_window=40, holding_days=10, base_signal=momentum_60, n_stocks=10, cost_bps=10 r-dispersion-jp-growth-0227 | cost_bps: 10 n_stocks: 10 base_signal: "momentum_60" | 0.00 | -0.27 | +0.18 | -1.28 |
dispersion_window=40, holding_days=20, base_signal=momentum_20, n_stocks=20, cost_bps=5 r-dispersion-jp-growth-0244 | cost_bps: 5 n_stocks: 20 base_signal: "momentum_20" | -0.50 | +0.24 | -0.62 | -2.41 |
dispersion_window=40, holding_days=20, base_signal=mean_reversion, n_stocks=20, cost_bps=10 r-dispersion-jp-growth-0261 | cost_bps: 10 n_stocks: 20 base_signal: "mean_reversion" | +0.10 | -1.14 | +0.33 | +2.84 |
dispersion_window=40, holding_days=20, base_signal=mean_reversion, n_stocks=50, cost_bps=5 r-dispersion-jp-growth-0262 | cost_bps: 5 n_stocks: 50 base_signal: "mean_reversion" | +0.49 | +0.76 | +0.39 | +2.73 |
dispersion_window=40, holding_days=60, base_signal=momentum_60, n_stocks=50, cost_bps=10 r-dispersion-jp-growth-0279 | cost_bps: 10 n_stocks: 50 base_signal: "momentum_60" | +0.10 | -0.10 | +0.31 | -2.13 |
dispersion_window=60, holding_days=5, base_signal=momentum_20, n_stocks=5, cost_bps=5 r-dispersion-jp-growth-0288 | cost_bps: 5 n_stocks: 5 base_signal: "momentum_20" | -1.24 | -1.43 | -1.07 | -2.70 |
dispersion_window=60, holding_days=5, base_signal=momentum_60, n_stocks=5, cost_bps=10 r-dispersion-jp-growth-0297 | cost_bps: 10 n_stocks: 5 base_signal: "momentum_60" | -0.92 | -1.75 | -0.65 | -2.38 |
dispersion_window=60, holding_days=10, base_signal=momentum_20, n_stocks=10, cost_bps=5 r-dispersion-jp-growth-0314 | cost_bps: 5 n_stocks: 10 base_signal: "momentum_20" | -0.25 | -0.34 | -0.16 | -1.64 |
dispersion_window=60, holding_days=10, base_signal=mean_reversion, n_stocks=10, cost_bps=10 r-dispersion-jp-growth-0331 | cost_bps: 10 n_stocks: 10 base_signal: "mean_reversion" | -0.55 | -1.63 | -0.15 | -2.21 |
dispersion_window=60, holding_days=20, base_signal=momentum_60, n_stocks=20, cost_bps=5 r-dispersion-jp-growth-0348 | cost_bps: 5 n_stocks: 20 base_signal: "momentum_60" | -0.30 | +0.49 | -0.40 | -2.85 |
dispersion_window=60, holding_days=60, base_signal=momentum_20, n_stocks=20, cost_bps=10 r-dispersion-jp-growth-0365 | cost_bps: 10 n_stocks: 20 base_signal: "momentum_20" | -0.16 | -0.52 | -0.04 | -2.34 |
Target universe
Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:19