Downside Beta (JP All Stocks)
slug: downside-beta-jp-all
performance summary
Sharpe (median)
+0.39
Max DD
-11.7%
Win rate
—
Alpha (ann.)
—
p-value
0.41
backtest period: 2023-07-03 → 2026-02-02
Sharpe across 160 grid runs:median 0.39best 1.44 (not representative)worst -1.12p25–p75 0.06–0.59
Hypothesis
Ang, Chen, Xing (2006): downside beta commands a higher risk premium. Testing on the full Japanese stock universe.
Why it didn't work
Across 160 grid combinations, median Sharpe=0.39, best=1.44. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is 1.44 (p=0.024).
period 2023-07-03–2026-02-02; cost=5bps
cite ↗ /cite/downside-beta-jp-all-fact-best-sharpevia r-downside-beta-jp-all-0161
Median Sharpe across 160 grid runs is 0.39.
Full grid of 160 parameter combinations.
Median Sharpe in DOWN regime is 0.37 across 160 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is 0.24 across 160 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.43 across 160 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
formation_days=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.65 | +0.27 | +0.94 | +0.42 |
formation_days=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-downside-beta-jp-all-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.86 | +0.77 | +0.94 | +0.42 |
formation_days=40, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-downside-beta-jp-all-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | +0.45 | +0.12 | +0.73 | -0.06 |
formation_days=40, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-downside-beta-jp-all-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | +0.65 | +0.59 | +0.73 | -0.06 |
formation_days=40, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0004 | cost_bps: 5 n_stocks: 10 regime_gate: false | +0.61 | +0.06 | +0.88 | +0.83 |
formation_days=40, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-downside-beta-jp-all-0018 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.11 | -1.09 | +0.58 | +2.27 |
formation_days=40, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0032 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.76 | -0.60 | -0.83 | -0.74 |
formation_days=40, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-downside-beta-jp-all-0038 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.78 | +0.25 | -1.30 | -0.43 |
formation_days=40, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=False r-downside-beta-jp-all-0050 | cost_bps: 10 n_stocks: 5 regime_gate: false | -1.12 | -0.77 | -1.27 | -2.03 |
formation_days=40, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-downside-beta-jp-all-0053 | cost_bps: 5 n_stocks: 10 regime_gate: true | -0.60 | -0.00 | -1.15 | +0.19 |
formation_days=40, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.01 | -0.58 | +0.25 | +0.59 |
formation_days=40, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0068 | cost_bps: 5 n_stocks: 10 regime_gate: false | +0.17 | -0.29 | +0.24 | +1.02 |
formation_days=60, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-downside-beta-jp-all-0082 | cost_bps: 10 n_stocks: 5 regime_gate: false | +0.59 | +0.77 | +0.63 | -0.44 |
formation_days=60, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0096 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.57 | +0.01 | +0.95 | -0.07 |
formation_days=60, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False r-downside-beta-jp-all-0102 | cost_bps: 10 n_stocks: 10 regime_gate: false | +0.01 | -0.51 | +0.20 | +0.77 |
formation_days=60, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0116 | cost_bps: 5 n_stocks: 10 regime_gate: false | +0.29 | +0.22 | +0.38 | +0.01 |
formation_days=60, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=False r-downside-beta-jp-all-0130 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.60 | -0.34 | -0.77 | -0.49 |
formation_days=60, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0144 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.03 | -0.81 | +0.38 | +1.44 |
formation_days=60, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False r-downside-beta-jp-all-0150 | cost_bps: 10 n_stocks: 10 regime_gate: false | +0.23 | -0.52 | +0.47 | +1.17 |
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-downside-beta-jp-all-0161 | cost_bps: 5 n_stocks: 5 regime_gate: true | +1.44 | +1.91 | +1.36 | +0.71 |
formation_days=120, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True r-downside-beta-jp-all-0165 | cost_bps: 5 n_stocks: 10 regime_gate: true | +0.85 | +0.99 | +0.99 | -1.70 |
formation_days=120, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True r-downside-beta-jp-all-0179 | cost_bps: 10 n_stocks: 5 regime_gate: true | +1.05 | +2.04 | +0.46 | +1.30 |
formation_days=120, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True r-downside-beta-jp-all-0193 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.79 | +1.77 | +0.28 | +0.45 |
formation_days=120, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True r-downside-beta-jp-all-0199 | cost_bps: 10 n_stocks: 10 regime_gate: true | +0.75 | +1.87 | +0.17 | +0.30 |
formation_days=120, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-downside-beta-jp-all-0213 | cost_bps: 5 n_stocks: 10 regime_gate: true | +0.59 | +1.51 | +0.03 | +0.87 |
formation_days=120, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True r-downside-beta-jp-all-0227 | cost_bps: 10 n_stocks: 5 regime_gate: true | +0.48 | +1.57 | +0.17 | +0.85 |
formation_days=250, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.32 | +0.43 | +0.49 | -2.29 |
formation_days=250, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-downside-beta-jp-all-0242 | cost_bps: 10 n_stocks: 5 regime_gate: false | +0.06 | +0.09 | +0.27 | -2.72 |
formation_days=250, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-downside-beta-jp-all-0256 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.39 | +1.32 | -0.29 | +0.41 |
formation_days=250, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False r-downside-beta-jp-all-0262 | cost_bps: 10 n_stocks: 10 regime_gate: false | +0.18 | +0.17 | +0.11 | +0.62 |
Target universe
Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks
Related strategies
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-31T01:31:48