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marginalregime_dependent· equity· fundamental· momentum· value

Earnings Yield x Momentum (JP All Stocks)

slug: earnings-yield-momentum-jp-all

Earnings Yield x Momentum (JP All Stocks) backtest. Median Sharpe across 144 parameter sets is +0.25. p-value is 0.52. Max DD is -7.3%. Period: 2024-01-04 to 2026-09-01. Best Sharpe +1.71 is not the representative figure.

Verdict: marginal. Some parameter set has a p-value under 0.10, but the median itself misses promising (Sharpe > 0.5 and p-value < 0.05). Results split across up, flat, and down markets, so the median is not stable.

Performance summary

Sharpe (median)
+0.25
Max DD
-7.3%
Win rate
—
Alpha (ann.)
—
p-value
0.52
backtest period: 2024-01-04 → 2026-09-01
Sharpe across 144 grid runs:median 0.25best 1.71 (not representative)worst -0.84p25–p75 -0.07–0.63

Hypothesis

Value and momentum are individually noisy but historically complementary; requiring both a high earnings yield and positive price momentum tests whether the intersection avoids value traps better than either signal alone.

Why it didn't work

Across 144 grid combinations, median Sharpe=0.25, best=1.71. Primary failure mode: regime_dependent.

Facts (5)

Best grid Sharpe ratio is 1.71 (p=0.014).
period 2024-01-04–2026-09-01; cost=5bps
sharpe_ratio1.71
cite ↗ /cite/earnings-yield-momentum-jp-all-fact-best-sharpevia r-earnings-yield-momentum-jp-all-0100
Median Sharpe across 144 grid runs is 0.25.
Full grid of 144 parameter combinations.
sharpe_ratio0.25
cite ↗ /cite/earnings-yield-momentum-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is -1.23 across 144 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-1.23
cite ↗ /cite/earnings-yield-momentum-jp-all-fact-regime-down
Median Sharpe in FLAT regime is 0.91 across 144 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.91
cite ↗ /cite/earnings-yield-momentum-jp-all-fact-regime-flat
Median Sharpe in UP regime is -0.08 across 144 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.08
cite ↗ /cite/earnings-yield-momentum-jp-all-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
momentum_days=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-earnings-yield-momentum-jp-all-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.49-0.63-0.20-1.10
momentum_days=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-earnings-yield-momentum-jp-all-0001
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.10-0.07+0.70-2.59
momentum_days=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-earnings-yield-momentum-jp-all-0002
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.25-0.02+0.63-0.74
momentum_days=20, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-earnings-yield-momentum-jp-all-0003
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.34-0.20-0.20-1.10
momentum_days=20, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-earnings-yield-momentum-jp-all-0006
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.63-0.79-0.32-1.24
momentum_days=20, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5
r-earnings-yield-momentum-jp-all-0010
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.25+0.42+0.60-2.79
momentum_days=20, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=5
r-earnings-yield-momentum-jp-all-0016
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.63+0.83+1.09-2.93
momentum_days=20, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5
r-earnings-yield-momentum-jp-all-0022
cost_bps: 10
n_stocks: 10
regime_gate: true
+0.50+0.76+0.93-3.24
momentum_days=20, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=5
r-earnings-yield-momentum-jp-all-0028
cost_bps: 5
n_stocks: 20
regime_gate: true
+1.07+0.89+1.63-0.58
momentum_days=20, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=5
r-earnings-yield-momentum-jp-all-0034
cost_bps: 10
n_stocks: 20
regime_gate: true
+0.92+0.79+1.46-0.79
momentum_days=20, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-earnings-yield-momentum-jp-all-0036
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.20-0.92+0.78-0.92
momentum_days=20, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=20
r-earnings-yield-momentum-jp-all-0041
cost_bps: 5
n_stocks: 50
regime_gate: true
+0.20-0.45+0.55+1.50
momentum_days=20, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=20
r-earnings-yield-momentum-jp-all-0047
cost_bps: 10
n_stocks: 50
regime_gate: true
+0.07-0.52+0.36+1.30
momentum_days=60, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20
r-earnings-yield-momentum-jp-all-0053
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.30+0.76+0.80-2.24
momentum_days=60, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20
r-earnings-yield-momentum-jp-all-0059
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.23+0.72+0.69-2.33
momentum_days=60, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20
r-earnings-yield-momentum-jp-all-0065
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.45+0.15+1.04-3.01
momentum_days=60, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=20
r-earnings-yield-momentum-jp-all-0071
cost_bps: 10
n_stocks: 10
regime_gate: true
+0.37+0.10+0.96-3.19
momentum_days=60, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=20
r-earnings-yield-momentum-jp-all-0077
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.56+0.16+1.29-1.29
momentum_days=60, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=1
r-earnings-yield-momentum-jp-all-0078
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.84-4.10+0.68-1.29
momentum_days=60, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-earnings-yield-momentum-jp-all-0084
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.23-3.26+0.92+0.05
momentum_days=60, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-earnings-yield-momentum-jp-all-0090
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.82-4.15+0.35-0.44
momentum_days=120, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-earnings-yield-momentum-jp-all-0096
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.03-2.58+2.28-0.56
momentum_days=120, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-earnings-yield-momentum-jp-all-0097
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.75-1.52+2.81+0.17
momentum_days=120, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=5
r-earnings-yield-momentum-jp-all-0100
cost_bps: 5
n_stocks: 5
regime_gate: true
+1.71+0.82+2.81+0.17
momentum_days=120, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20
r-earnings-yield-momentum-jp-all-0104
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.98+0.74+2.06-4.24
momentum_days=120, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20
r-earnings-yield-momentum-jp-all-0110
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.28+0.17+0.45-3.01
momentum_days=120, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20
r-earnings-yield-momentum-jp-all-0116
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.21+0.10+0.39-3.51
momentum_days=120, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=20
r-earnings-yield-momentum-jp-all-0122
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.83+0.75+1.22-7.21
momentum_days=120, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=20
r-earnings-yield-momentum-jp-all-0128
cost_bps: 10
n_stocks: 20
regime_gate: false
+0.72+0.63+1.11-7.88
momentum_days=120, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=20
r-earnings-yield-momentum-jp-all-0134
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.68+1.33+0.61-11.94

Target universe

Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks; fundamentals from J-Quants financial statements (coverage from 2023-12)

Related strategies

same_strategy:earnings-yield-momentum-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-26T05:46:58
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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