52-Week High Momentum (JP All Stocks)
slug: high52w-momentum-jp-all
performance summary
Sharpe (median)
-0.57
Max DD
-26.3%
Win rate
—
Alpha (ann.)
—
p-value
0.26
backtest period: 2022-05-02 → 2026-02-02
Sharpe across 160 grid runs:median -0.57best 0.19 (not representative)worst -1.43p25–p75 -0.74–-0.33
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 160 grid combinations, median Sharpe=-0.57, best=0.19. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is 0.19 (p=0.7).
period 2022-05-02–2026-02-02; cost=5bps
cite ↗ /cite/high52w-momentum-jp-all-fact-best-sharpevia r-high52w-momentum-jp-all-0097
Median Sharpe across 160 grid runs is -0.57.
Full grid of 160 parameter combinations.
Median Sharpe in DOWN regime is -0.26 across 160 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.56 across 160 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.56 across 160 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
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 | -0.26 | -2.76 | +0.21 | +1.99 |
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 | +0.10 | -1.23 | +0.21 | +1.99 |
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 | -0.47 | -3.04 | -0.00 | +1.61 |
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 | -0.11 | -1.44 | -0.00 | +1.61 |
lookback_days=125, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False r-high52w-momentum-jp-all-0004 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.37 | -2.28 | +0.23 | -1.15 |
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 | -0.72 | -1.48 | -0.25 | -1.70 |
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 | -0.73 | -0.62 | -0.78 | -0.69 |
lookback_days=125, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-high52w-momentum-jp-all-0038 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.95 | -0.98 | -0.90 | -0.97 |
lookback_days=125, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-high52w-momentum-jp-all-0052 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.73 | +0.43 | -1.08 | -0.29 |
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 | -0.78 | -0.45 | -0.88 | -0.87 |
lookback_days=125, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True r-high52w-momentum-jp-all-0067 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.79 | -0.18 | -0.91 | -0.89 |
lookback_days=180, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-high52w-momentum-jp-all-0081 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.27 | -1.41 | -0.11 | +0.10 |
lookback_days=180, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True r-high52w-momentum-jp-all-0087 | cost_bps: 10 n_stocks: 10 regime_gate: true | -0.86 | -0.74 | -0.87 | -1.02 |
lookback_days=180, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True r-high52w-momentum-jp-all-0097 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.19 | -0.12 | +0.47 | -1.40 |
lookback_days=180, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False r-high52w-momentum-jp-all-0102 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.66 | -1.56 | -0.12 | -1.82 |
lookback_days=180, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=False r-high52w-momentum-jp-all-0116 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.48 | -0.51 | -0.47 | -0.34 |
lookback_days=180, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=False r-high52w-momentum-jp-all-0130 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.83 | -0.67 | -1.03 | -0.21 |
lookback_days=180, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-high52w-momentum-jp-all-0144 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.77 | -0.92 | -0.75 | -0.48 |
lookback_days=180, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False r-high52w-momentum-jp-all-0150 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.84 | -0.77 | -1.08 | +0.10 |
lookback_days=250, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False r-high52w-momentum-jp-all-0164 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.64 | -2.80 | -0.04 | -0.61 |
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 | -0.36 | -1.37 | +0.27 | -0.37 |
lookback_days=250, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-high52w-momentum-jp-all-0192 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.35 | -1.08 | -0.15 | +0.97 |
lookback_days=250, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-high52w-momentum-jp-all-0198 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.45 | -0.70 | -0.40 | -0.02 |
lookback_days=250, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-high52w-momentum-jp-all-0212 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.71 | -0.26 | -0.99 | +0.26 |
lookback_days=250, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False r-high52w-momentum-jp-all-0226 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.84 | -1.43 | -0.66 | -0.63 |
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 | -1.18 | -2.10 | -1.17 | +0.45 |
lookback_days=500, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-high52w-momentum-jp-all-0241 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.98 | -1.22 | -1.17 | +0.45 |
lookback_days=500, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-high52w-momentum-jp-all-0242 | cost_bps: 10 n_stocks: 5 regime_gate: false | -1.43 | -2.46 | -1.40 | +0.26 |
lookback_days=500, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-high52w-momentum-jp-all-0256 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.74 | -1.29 | -0.45 | -0.47 |
lookback_days=500, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False r-high52w-momentum-jp-all-0262 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.83 | -1.60 | -0.37 | -1.21 |
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: 2026-07-30T01:20:51