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marginalno_edge· equity· drift· fundamental· revision

Forecast Revision (JP Growth Stocks)

slug: forecast-revision-jp-growth
performance summary
Sharpe (median)
+0.24
Max DD
-7.3%
Win rate
—
Alpha (ann.)
—
p-value
0.41
backtest period: 2024-03-01 → 2026-06-01
Sharpe across 48 grid runs:median 0.24best 0.89 (not representative)worst -1.99p25–p75 -0.41–0.59

Hypothesis

Japanese companies publish their own full-year guidance; upward revisions are informative and historically under-reacted to. Ranking on the latest guidance revision tests for a post-revision drift analogous to PEAD.

Why it didn't work

Across 48 grid combinations, median Sharpe=0.24, best=0.89. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 0.89 (p=0.2).
period 2024-03-01–2026-06-01; cost=5bps
sharpe_ratio0.89
cite ↗ /cite/forecast-revision-jp-growth-fact-best-sharpevia r-forecast-revision-jp-growth-0028
Median Sharpe across 48 grid runs is 0.24.
Full grid of 48 parameter combinations.
sharpe_ratio0.24
cite ↗ /cite/forecast-revision-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is 0.51 across 48 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio0.51
cite ↗ /cite/forecast-revision-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is -0.38 across 48 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.38
cite ↗ /cite/forecast-revision-jp-growth-fact-regime-flat
Median Sharpe in UP regime is 0.25 across 48 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.25
cite ↗ /cite/forecast-revision-jp-growth-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-forecast-revision-jp-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.19+0.24-0.36+1.62
n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-forecast-revision-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.87+3.22-0.46+0.69
n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-forecast-revision-jp-growth-0002
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.77+1.02+0.58+1.43
n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-forecast-revision-jp-growth-0003
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.29+0.52-0.36+1.62
n_stocks=5, cost_bps=5, regime_gate=True, holding_days=5
r-forecast-revision-jp-growth-0004
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.59+2.28-0.46+0.69
n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20
r-forecast-revision-jp-growth-0005
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.64+0.59+0.58+1.43
n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-forecast-revision-jp-growth-0006
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.02+0.12-0.61+1.47
n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5
r-forecast-revision-jp-growth-0007
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.79+3.14-0.54+0.52
n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20
r-forecast-revision-jp-growth-0008
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.73+0.98+0.55+1.35
n_stocks=5, cost_bps=10, regime_gate=True, holding_days=1
r-forecast-revision-jp-growth-0009
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.11+0.43-0.61+1.47
n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5
r-forecast-revision-jp-growth-0010
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.52+2.24-0.54+0.52
n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20
r-forecast-revision-jp-growth-0011
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.60+0.57+0.55+1.35
n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1
r-forecast-revision-jp-growth-0012
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.98-1.57-0.66+0.14
n_stocks=10, cost_bps=5, regime_gate=False, holding_days=5
r-forecast-revision-jp-growth-0013
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.35+1.81-0.31-2.28
n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20
r-forecast-revision-jp-growth-0014
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.20-0.67+0.73+1.89
n_stocks=10, cost_bps=5, regime_gate=True, holding_days=1
r-forecast-revision-jp-growth-0015
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.47-0.40-0.66+0.14
n_stocks=10, cost_bps=5, regime_gate=True, holding_days=5
r-forecast-revision-jp-growth-0016
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.50+1.52-0.31-2.28
n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20
r-forecast-revision-jp-growth-0017
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.64+0.14+0.73+1.89
n_stocks=10, cost_bps=10, regime_gate=False, holding_days=1
r-forecast-revision-jp-growth-0018
cost_bps: 10
n_stocks: 10
regime_gate: false
-1.28-1.79-1.05-0.22
n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5
r-forecast-revision-jp-growth-0019
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.17+1.64-0.49-2.67
n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20
r-forecast-revision-jp-growth-0020
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.15-0.71+0.67+1.79
n_stocks=10, cost_bps=10, regime_gate=True, holding_days=1
r-forecast-revision-jp-growth-0021
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.74-0.52-1.05-0.22
n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5
r-forecast-revision-jp-growth-0022
cost_bps: 10
n_stocks: 10
regime_gate: true
+0.39+1.47-0.49-2.67
n_stocks=10, cost_bps=10, regime_gate=True, holding_days=20
r-forecast-revision-jp-growth-0023
cost_bps: 10
n_stocks: 10
regime_gate: true
+0.58+0.11+0.67+1.79
n_stocks=20, cost_bps=5, regime_gate=False, holding_days=1
r-forecast-revision-jp-growth-0024
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.58-1.24+0.09-0.31
n_stocks=20, cost_bps=5, regime_gate=False, holding_days=5
r-forecast-revision-jp-growth-0025
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.62+1.07+0.31+0.15
n_stocks=20, cost_bps=5, regime_gate=False, holding_days=20
r-forecast-revision-jp-growth-0026
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.53+0.12+0.90+0.49
n_stocks=20, cost_bps=5, regime_gate=True, holding_days=5
r-forecast-revision-jp-growth-0028
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.89+1.57+0.31+0.15
n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-forecast-revision-jp-growth-0036
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.42-1.99-1.04-0.39
n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-forecast-revision-jp-growth-0042
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.99-2.41-1.80-2.32

Target universe

Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY; fundamentals from J-Quants financial statements (coverage from 2023-12)

Related strategies

same_strategy:forecast-revision-jp-all
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-03T01:02:57
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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