qbuntuqbuntu
rejectedsignal_frequency· equity· factor· fundamental· quality

Financial Quality Factor (JP Growth Stocks)

slug: financial-quality-jp-growth

Financial Quality Factor (JP Growth Stocks) backtest. Median Sharpe across 108 parameter sets is -0.72. p-value is 0.47. Max DD is -3.3%. Period: 2025-01-06 to 2025-06-02. Best Sharpe +3.10 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). There are too few signals for the median to say much.

Performance summary

Sharpe (median)
-0.72
Max DD
-3.3%
Win rate
—
Alpha (ann.)
—
p-value
0.47
backtest period: 2025-01-06 → 2025-06-02
Sharpe across 108 grid runs:median -0.72best 3.10 (not representative)worst -4.44p25–p75 -1.41–0.28

Hypothesis

A cross-sectional quality factor (operating margin improvement + EPS growth) achieves positive Sharpe on JP Growth stocks. Phase 1 tested zero fundamental strategies — all were price/volume based. FinancialStore has 4,709 records (505 tickers, 2023-12~2025-12).

Why it didn't work

Across 108 grid combinations, median Sharpe=-0.72, best=3.10. Primary failure mode: signal_frequency.

Facts (5)

Best grid Sharpe ratio is 3.10 (p=0.08).
period 2025-01-06–2025-06-02; cost=5.0bps
sharpe_ratio3.10
cite ↗ /cite/financial-quality-jp-growth-fact-best-sharpevia r-financial-quality-jp-growth-0070
Median Sharpe across 108 grid runs is -0.72.
Full grid of 108 parameter combinations.
sharpe_ratio-0.72
cite ↗ /cite/financial-quality-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is -1.40 across 108 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-1.40
cite ↗ /cite/financial-quality-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is -1.00 across 108 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-1
cite ↗ /cite/financial-quality-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -0.33 across 108 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.33
cite ↗ /cite/financial-quality-jp-growth-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
factor=operating_margin_change, n_long=10, n_short=0, holding_days=1
r-financial-quality-jp-growth-0001
factor: "operating_margin_change"
n_long: 10
n_short: 0
-0.36—+0.12-17.58
factor=operating_margin_change, n_long=10, n_short=0, holding_days=1
r-financial-quality-jp-growth-0002
factor: "operating_margin_change"
n_long: 10
n_short: 0
-0.42-0.16-0.66—
factor=operating_margin_change, n_long=10, n_short=0, holding_days=20
r-financial-quality-jp-growth-0004
factor: "operating_margin_change"
n_long: 10
n_short: 0
+0.51—+2.79-16.63
factor=operating_margin_change, n_long=10, n_short=10, holding_days=20
r-financial-quality-jp-growth-0010
factor: "operating_margin_change"
n_long: 10
n_short: 10
+0.08—+1.13-1.50
factor=operating_margin_change, n_long=10, n_short=15, holding_days=1
r-financial-quality-jp-growth-0013
factor: "operating_margin_change"
n_long: 10
n_short: 15
+0.67—-0.18+11.25
factor=operating_margin_change, n_long=10, n_short=15, holding_days=20
r-financial-quality-jp-growth-0017
factor: "operating_margin_change"
n_long: 10
n_short: 15
-0.64+0.18-1.14—
factor=operating_margin_change, n_long=15, n_short=0, holding_days=20
r-financial-quality-jp-growth-0023
factor: "operating_margin_change"
n_long: 15
n_short: 0
-0.14+0.22-1.14—
factor=operating_margin_change, n_long=15, n_short=10, holding_days=20
r-financial-quality-jp-growth-0029
factor: "operating_margin_change"
n_long: 15
n_short: 10
-0.58+0.03-1.01—
factor=operating_margin_change, n_long=15, n_short=15, holding_days=20
r-financial-quality-jp-growth-0035
factor: "operating_margin_change"
n_long: 15
n_short: 15
-0.58+0.44-1.25—
factor=operating_margin_change, n_long=20, n_short=0, holding_days=1
r-financial-quality-jp-growth-0037
factor: "operating_margin_change"
n_long: 20
n_short: 0
-2.13—-0.76-696.20
factor=operating_margin_change, n_long=20, n_short=10, holding_days=1
r-financial-quality-jp-growth-0043
factor: "operating_margin_change"
n_long: 20
n_short: 10
-1.01—-1.89+0.45
factor=operating_margin_change, n_long=20, n_short=15, holding_days=1
r-financial-quality-jp-growth-0049
factor: "operating_margin_change"
n_long: 20
n_short: 15
-0.91—-1.84+3.81
factor=eps_growth_yoy, n_long=10, n_short=0, holding_days=1
r-financial-quality-jp-growth-0055
factor: "eps_growth_yoy"
n_long: 10
n_short: 0
-2.43—-1.53-3.77
factor=eps_growth_yoy, n_long=10, n_short=10, holding_days=1
r-financial-quality-jp-growth-0061
factor: "eps_growth_yoy"
n_long: 10
n_short: 10
-1.36—+0.31-2.72
factor=eps_growth_yoy, n_long=10, n_short=15, holding_days=1
r-financial-quality-jp-growth-0067
factor: "eps_growth_yoy"
n_long: 10
n_short: 15
-1.60—-2.61-1.58
factor=eps_growth_yoy, n_long=10, n_short=15, holding_days=20
r-financial-quality-jp-growth-0070
factor: "eps_growth_yoy"
n_long: 10
n_short: 15
+3.10—+2.93+2.86
factor=eps_growth_yoy, n_long=15, n_short=0, holding_days=1
r-financial-quality-jp-growth-0074
factor: "eps_growth_yoy"
n_long: 15
n_short: 0
-2.63-2.03-4.41—
factor=eps_growth_yoy, n_long=15, n_short=10, holding_days=1
r-financial-quality-jp-growth-0080
factor: "eps_growth_yoy"
n_long: 15
n_short: 10
-1.11-5.14+2.03—
factor=eps_growth_yoy, n_long=15, n_short=15, holding_days=1
r-financial-quality-jp-growth-0086
factor: "eps_growth_yoy"
n_long: 15
n_short: 15
-1.84-7.47+1.05—
factor=eps_growth_yoy, n_long=20, n_short=0, holding_days=1
r-financial-quality-jp-growth-0091
factor: "eps_growth_yoy"
n_long: 20
n_short: 0
-4.44—-3.93-4.10
factor=eps_growth_yoy, n_long=20, n_short=0, holding_days=20
r-financial-quality-jp-growth-0094
factor: "eps_growth_yoy"
n_long: 20
n_short: 0
-0.07—+0.83-2.09
factor=eps_growth_yoy, n_long=20, n_short=10, holding_days=20
r-financial-quality-jp-growth-0100
factor: "eps_growth_yoy"
n_long: 20
n_short: 10
+0.80—+1.11+0.14
factor=eps_growth_yoy, n_long=20, n_short=15, holding_days=20
r-financial-quality-jp-growth-0106
factor: "eps_growth_yoy"
n_long: 20
n_short: 15
+1.87—+1.23+3.30
factor=composite, n_long=10, n_short=0, holding_days=1
r-financial-quality-jp-growth-0109
factor: "composite"
n_long: 10
n_short: 0
-3.17—-2.45-3.77
factor=composite, n_long=10, n_short=0, holding_days=20
r-financial-quality-jp-growth-0113
factor: "composite"
n_long: 10
n_short: 0
-0.77-0.28-2.85—
factor=composite, n_long=10, n_short=10, holding_days=20
r-financial-quality-jp-growth-0119
factor: "composite"
n_long: 10
n_short: 10
-0.96+0.18-1.64—
factor=composite, n_long=10, n_short=15, holding_days=20
r-financial-quality-jp-growth-0125
factor: "composite"
n_long: 10
n_short: 15
-1.35-0.75-2.02—
factor=composite, n_long=15, n_short=0, holding_days=20
r-financial-quality-jp-growth-0131
factor: "composite"
n_long: 15
n_short: 0
-0.42-0.01-2.34—
factor=composite, n_long=15, n_short=10, holding_days=20
r-financial-quality-jp-growth-0137
factor: "composite"
n_long: 15
n_short: 10
-0.62+1.46-1.26—
factor=composite, n_long=15, n_short=15, holding_days=20
r-financial-quality-jp-growth-0143
factor: "composite"
n_long: 15
n_short: 15
-0.88-0.07-1.42—

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: 2026-09-24T21:54:27
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

Related strategies