Cross-Sectional Momentum (JP Growth Stocks)
slug: momentum-cross-sectional-jp-growth
Cross-Sectional Momentum (JP Growth Stocks) backtest. Median Sharpe across 960 parameter sets is -0.48. p-value is 0.30. Max DD is -32.9%. Period: 2022-05-02 to 2026-09-01. Best Sharpe +0.75 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). Primary reason: no_edge. It is not regime, frequency, or cost, and the median does not clear the bar.
What was tested
Cross-sectional momentum buys recent winners and sells recent losers. The page records the median of that rule, not the parameter cell that looks best. A positive Sharpe in one corner of the grid is not the strategy.
Performance summary
Sharpe (median)
-0.48
Max DD
-32.9%
Win rate
—
Alpha (ann.)
—
p-value
0.30
backtest period: 2022-05-02 → 2026-09-01
Sharpe across 960 grid runs:median -0.48best 0.75 (not representative)worst -1.70p25–p75 -0.74–-0.16
Hypothesis
Jegadeesh & Titman (1993): stocks with high past returns continue to outperform over intermediate horizons. LONG winners, SHORT losers. Tests cross-sectional momentum in TSE Growth Market.
Why it didn't work
Across 960 grid combinations, median Sharpe=-0.48, best=0.75. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is 0.75 (p=0.14).
period 2022-05-02–2026-09-01; cost=5bps
cite ↗ /cite/momentum-cross-sectional-jp-growth-fact-best-sharpevia r-momentum-cross-sectional-jp-growth-0536
Median Sharpe across 960 grid runs is -0.48.
Full grid of 960 parameter combinations.
Median Sharpe in DOWN regime is -1.71 across 960 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.41 across 960 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.33 across 960 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
formation_days=60, holding_days=1, n_stocks=5, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0000 | cost_bps: 5 n_stocks: 5 skip_days: 0 | -1.05 | -0.21 | -1.44 | -3.71 |
formation_days=60, holding_days=1, n_stocks=5, skip_days=0, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-growth-0001 | cost_bps: 5 n_stocks: 5 skip_days: 0 | -1.19 | -0.65 | -1.44 | -3.71 |
formation_days=60, holding_days=1, n_stocks=5, skip_days=0, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-growth-0002 | cost_bps: 10 n_stocks: 5 skip_days: 0 | -1.17 | -0.30 | -1.57 | -4.04 |
formation_days=60, holding_days=1, n_stocks=5, skip_days=0, cost_bps=10, regime_gate=True r-momentum-cross-sectional-jp-growth-0003 | cost_bps: 10 n_stocks: 5 skip_days: 0 | -1.29 | -0.69 | -1.57 | -4.04 |
formation_days=60, holding_days=1, n_stocks=5, skip_days=21, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0008 | cost_bps: 5 n_stocks: 5 skip_days: 21 | -0.77 | -0.87 | -0.93 | +1.53 |
formation_days=60, holding_days=1, n_stocks=50, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0036 | cost_bps: 5 n_stocks: 50 skip_days: 0 | -1.25 | -1.44 | -1.05 | -5.13 |
formation_days=60, holding_days=1, n_stocks=50, skip_days=0, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-growth-0038 | cost_bps: 10 n_stocks: 50 skip_days: 0 | -1.70 | -1.79 | -1.53 | -6.22 |
formation_days=60, holding_days=5, n_stocks=5, skip_days=0, cost_bps=10, regime_gate=True r-momentum-cross-sectional-jp-growth-0051 | cost_bps: 10 n_stocks: 5 skip_days: 0 | -1.01 | -4.03 | -0.65 | -2.38 |
formation_days=60, holding_days=10, n_stocks=5, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0096 | cost_bps: 5 n_stocks: 5 skip_days: 0 | -0.37 | +0.25 | -0.41 | -1.79 |
formation_days=60, holding_days=10, n_stocks=50, skip_days=21, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-growth-0141 | cost_bps: 5 n_stocks: 50 skip_days: 21 | +0.01 | -0.09 | +0.11 | -0.29 |
formation_days=60, holding_days=20, n_stocks=50, skip_days=5, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-growth-0186 | cost_bps: 10 n_stocks: 50 skip_days: 5 | -0.11 | -0.00 | -0.09 | -0.78 |
formation_days=60, holding_days=60, n_stocks=5, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0192 | cost_bps: 5 n_stocks: 5 skip_days: 0 | +0.01 | -0.15 | +0.10 | -1.35 |
formation_days=60, holding_days=60, n_stocks=50, skip_days=5, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0232 | cost_bps: 5 n_stocks: 50 skip_days: 5 | +0.04 | +0.06 | +0.21 | -2.91 |
formation_days=120, holding_days=1, n_stocks=50, skip_days=0, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-growth-0277 | cost_bps: 5 n_stocks: 50 skip_days: 0 | -0.61 | -0.52 | -0.58 | -7.42 |
formation_days=120, holding_days=5, n_stocks=20, skip_days=21, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-growth-0322 | cost_bps: 10 n_stocks: 20 skip_days: 21 | -0.13 | +0.31 | -0.26 | -0.78 |
formation_days=120, holding_days=10, n_stocks=20, skip_days=5, cost_bps=10, regime_gate=True r-momentum-cross-sectional-jp-growth-0367 | cost_bps: 10 n_stocks: 20 skip_days: 5 | -0.18 | -0.24 | -0.07 | -2.53 |
formation_days=120, holding_days=20, n_stocks=20, skip_days=5, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0412 | cost_bps: 5 n_stocks: 20 skip_days: 5 | -0.70 | -0.33 | -0.75 | -2.18 |
formation_days=120, holding_days=60, n_stocks=20, skip_days=0, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-growth-0457 | cost_bps: 5 n_stocks: 20 skip_days: 0 | -0.57 | -0.99 | -0.32 | -2.96 |
formation_days=180, holding_days=1, n_stocks=10, skip_days=21, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-growth-0502 | cost_bps: 10 n_stocks: 10 skip_days: 21 | -0.23 | -0.12 | -0.12 | -2.45 |
formation_days=180, holding_days=5, n_stocks=5, skip_days=21, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0536 | cost_bps: 5 n_stocks: 5 skip_days: 21 | +0.75 | +2.44 | +0.43 | +0.07 |
formation_days=180, holding_days=5, n_stocks=10, skip_days=21, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0548 | cost_bps: 5 n_stocks: 10 skip_days: 21 | +0.38 | +1.37 | +0.34 | -1.52 |
formation_days=180, holding_days=10, n_stocks=10, skip_days=5, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-growth-0593 | cost_bps: 5 n_stocks: 10 skip_days: 5 | -0.42 | -0.75 | -0.15 | -2.07 |
formation_days=180, holding_days=20, n_stocks=10, skip_days=0, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-growth-0638 | cost_bps: 10 n_stocks: 10 skip_days: 0 | -0.89 | -1.02 | -0.63 | -3.30 |
formation_days=180, holding_days=60, n_stocks=5, skip_days=21, cost_bps=10, regime_gate=True r-momentum-cross-sectional-jp-growth-0683 | cost_bps: 10 n_stocks: 5 skip_days: 21 | -0.69 | -0.88 | -0.41 | -1.92 |
formation_days=250, holding_days=1, n_stocks=5, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0720 | cost_bps: 5 n_stocks: 5 skip_days: 0 | -0.11 | +1.38 | -0.77 | -1.55 |
formation_days=250, holding_days=1, n_stocks=5, skip_days=21, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-growth-0729 | cost_bps: 5 n_stocks: 5 skip_days: 21 | -0.01 | +0.94 | -0.57 | +2.22 |
formation_days=250, holding_days=5, n_stocks=5, skip_days=5, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-growth-0774 | cost_bps: 10 n_stocks: 5 skip_days: 5 | +0.65 | +2.27 | +0.11 | -1.01 |
formation_days=250, holding_days=10, n_stocks=5, skip_days=0, cost_bps=10, regime_gate=True r-momentum-cross-sectional-jp-growth-0819 | cost_bps: 10 n_stocks: 5 skip_days: 0 | -0.44 | +1.28 | -0.88 | -1.01 |
formation_days=250, holding_days=20, n_stocks=5, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0864 | cost_bps: 5 n_stocks: 5 skip_days: 0 | -1.17 | +0.38 | -1.87 | -2.00 |
formation_days=250, holding_days=20, n_stocks=50, skip_days=21, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-growth-0909 | cost_bps: 5 n_stocks: 50 skip_days: 21 | -0.63 | -0.49 | -0.43 | -2.51 |
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: 2026-09-24T21:54:26