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rejectedregime_dependent· equity· anchoring· factor· momentum

52-Week High Momentum (JP All Stocks)

slug: high52w-momentum-jp-all

52-Week High Momentum (JP All Stocks) backtest. Median Sharpe across 320 parameter sets is -0.23. p-value is 0.39. Max DD is -25.6%. Period: 2022-05-02 to 2026-09-01. Best Sharpe +0.98 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)
-0.23
Max DD
-25.6%
Win rate
—
Alpha (ann.)
—
p-value
0.39
backtest period: 2022-05-02 → 2026-09-01
Sharpe across 320 grid runs:median -0.23best 0.98 (not representative)worst -1.32p25–p75 -0.51–0.20

Hypothesis

George & Hwang (2004): proximity to 52-week high as momentum signal. Testing on the full Japanese stock universe.

Why it didn't work

Across 320 grid combinations, median Sharpe=-0.23, best=0.98. Primary failure mode: regime_dependent.

Facts (5)

Best grid Sharpe ratio is 0.98 (p=0.067).
period 2022-05-02–2026-09-01; cost=5bps
sharpe_ratio0.98
cite ↗ /cite/high52w-momentum-jp-all-fact-best-sharpevia r-high52w-momentum-jp-all-0293
Median Sharpe across 320 grid runs is -0.23.
Full grid of 320 parameter combinations.
sharpe_ratio-0.23
cite ↗ /cite/high52w-momentum-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is -1.61 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-1.61
cite ↗ /cite/high52w-momentum-jp-all-fact-regime-down
Median Sharpe in FLAT regime is 0.05 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.05
cite ↗ /cite/high52w-momentum-jp-all-fact-regime-flat
Median Sharpe in UP regime is 0.03 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.03
cite ↗ /cite/high52w-momentum-jp-all-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
lookback_days=125, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-high52w-momentum-jp-all-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.63-0.64-0.08-1.59
lookback_days=125, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-high52w-momentum-jp-all-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.69-1.05-0.08-1.59
lookback_days=125, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-high52w-momentum-jp-all-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.77-0.77-0.25-1.69
lookback_days=125, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-high52w-momentum-jp-all-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.82-1.19-0.25-1.69
lookback_days=125, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-high52w-momentum-jp-all-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.29-0.86+0.30-1.31
lookback_days=125, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-high52w-momentum-jp-all-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.00-0.64-0.77-2.73
lookback_days=125, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-high52w-momentum-jp-all-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.68-0.48-0.36-1.97
lookback_days=125, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False
r-high52w-momentum-jp-all-0046
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.35+0.19-0.10-2.02
lookback_days=125, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False
r-high52w-momentum-jp-all-0060
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.09+1.21+0.04-3.10
lookback_days=125, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-high52w-momentum-jp-all-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.47+1.42+0.26-2.34
lookback_days=125, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True
r-high52w-momentum-jp-all-0075
cost_bps: 10
n_stocks: 20
regime_gate: true
+0.19+0.99+0.23-3.32
lookback_days=180, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True
r-high52w-momentum-jp-all-0089
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.32-0.14+0.05-1.62
lookback_days=180, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True
r-high52w-momentum-jp-all-0103
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.48+0.41-0.34-2.35
lookback_days=180, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True
r-high52w-momentum-jp-all-0117
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.53+0.93-0.53-2.26
lookback_days=180, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True
r-high52w-momentum-jp-all-0131
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.41+0.03-0.92+0.05
lookback_days=180, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True
r-high52w-momentum-jp-all-0145
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.04+0.43-0.04-1.21
lookback_days=180, holding_days=60, n_stocks=50, cost_bps=10, regime_gate=True
r-high52w-momentum-jp-all-0159
cost_bps: 10
n_stocks: 50
regime_gate: true
+0.43+1.35+0.30-2.01
lookback_days=250, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=True
r-high52w-momentum-jp-all-0173
cost_bps: 5
n_stocks: 50
regime_gate: true
-0.05-0.19+0.18-0.42
lookback_days=250, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-high52w-momentum-jp-all-0178
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.32-1.14-1.76-1.12
lookback_days=250, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False
r-high52w-momentum-jp-all-0188
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.21-0.80+0.28+0.10
lookback_days=250, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False
r-high52w-momentum-jp-all-0202
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.47+0.01-0.46-1.60
lookback_days=250, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-high52w-momentum-jp-all-0216
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.36+1.18+0.28-2.92
lookback_days=250, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False
r-high52w-momentum-jp-all-0230
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.32+2.05+0.12-3.26
lookback_days=500, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-high52w-momentum-jp-all-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.47-1.69-0.03+1.58
lookback_days=500, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-high52w-momentum-jp-all-0245
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.12-0.33-0.34+1.33
lookback_days=500, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-high52w-momentum-jp-all-0259
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.10+0.19-0.09-0.47
lookback_days=500, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-high52w-momentum-jp-all-0273
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.44+0.03-0.66-0.37
lookback_days=500, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True
r-high52w-momentum-jp-all-0287
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.34-0.03-0.64-0.04
lookback_days=500, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True
r-high52w-momentum-jp-all-0293
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.98+0.93+0.76+3.89
lookback_days=500, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-high52w-momentum-jp-all-0302
cost_bps: 10
n_stocks: 50
regime_gate: false
+0.39+0.51+0.27+0.07

Target universe

Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks

Related strategies

same_strategy:high52w-momentum-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-26T05:58:37
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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