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rejectedregime_dependent· equity· earnings· event-driven· momentum

Post-Earnings Announcement Drift (JP Growth Stocks)

slug: pead-jp-growth

Post-Earnings Announcement Drift (JP Growth Stocks) backtest. Median Sharpe across 2,400 parameter sets is -0.09. p-value is 0.62. Max DD is -41.1%. Period: 2023-12-08 to 2026-06-09. Best Sharpe +1.07 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.

What was tested

Post-earnings announcement drift asks whether prices keep moving in the earnings direction after the announcement. The headline is the median across holding periods and parameters. A high median Sharpe is not promising unless the median p-value is under 0.05. The best cell is a parameter choice made after seeing the grid.

Performance summary

Sharpe (median)
-0.09
Max DD
-41.1%
Win rate
—
Alpha (ann.)
—
p-value
0.62
backtest period: 2023-12-08 → 2026-06-09
Sharpe across 2400 grid runs:median -0.09best 1.07 (not representative)worst -1.46p25–p75 -0.44–0.18

Hypothesis

Ball & Brown (1968): stocks with positive earnings surprises drift upward over subsequent weeks/months, negative surprises drift downward. Tests PEAD with varying holding periods (5-60 days) in TSE Growth Market. Note: lookback_days is defined in grid but unused in evaluation (surprise is always 1-day abnormal return); grid inflates 3x as a result.

Why it didn't work

Across 2400 grid combinations, median Sharpe=-0.09, best=1.07. Primary failure mode: regime_dependent.

Facts (5)

Best grid Sharpe ratio is 1.07 (p=0.092).
period 2023-12-08–2026-06-09; cost=5bps; side=BOTH
sharpe_ratio1.07
cite ↗ /cite/pead-jp-growth-fact-best-sharpevia r-pead-jp-growth-1272
Median Sharpe across 2400 grid runs is -0.09.
Full grid of 2400 parameter combinations.
sharpe_ratio-0.09
cite ↗ /cite/pead-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is 1.14 across 2400 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio1.14
cite ↗ /cite/pead-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is -0.83 across 2400 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.83
cite ↗ /cite/pead-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -0.28 across 2400 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.28
cite ↗ /cite/pead-jp-growth-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
holding_period=5, surprise_threshold=0.01, n_positions=3, cost_bps=5, side=BOTH
r-pead-jp-growth-0000
side: "BOTH"
cost_bps: 5
n_positions: 3
+0.06-0.29+0.55+0.93
holding_period=5, surprise_threshold=0.01, n_positions=3, cost_bps=5, side=LONG_ONLY
r-pead-jp-growth-0001
side: "LONG_ONLY"
cost_bps: 5
n_positions: 3
-1.03-1.10-2.19+1.54
holding_period=5, surprise_threshold=0.01, n_positions=3, cost_bps=10, side=BOTH
r-pead-jp-growth-0002
side: "BOTH"
cost_bps: 10
n_positions: 3
-0.06-0.39+0.41+0.75
holding_period=5, surprise_threshold=0.01, n_positions=3, cost_bps=20, side=BOTH
r-pead-jp-growth-0006
side: "BOTH"
cost_bps: 20
n_positions: 3
-0.29-0.59+0.12+0.39
holding_period=5, surprise_threshold=0.01, n_positions=20, cost_bps=5, side=BOTH
r-pead-jp-growth-0024
side: "BOTH"
cost_bps: 5
n_positions: 20
+0.19+0.08+0.17+1.26
holding_period=5, surprise_threshold=0.02, n_positions=10, cost_bps=5, side=BOTH
r-pead-jp-growth-0112
side: "BOTH"
cost_bps: 5
n_positions: 10
+0.25+0.11+0.06+2.40
holding_period=5, surprise_threshold=0.03, n_positions=20, cost_bps=15, side=BOTH
r-pead-jp-growth-0220
side: "BOTH"
cost_bps: 15
n_positions: 20
+0.02-0.20+0.03+1.90
holding_period=5, surprise_threshold=0.05, n_positions=20, cost_bps=20, side=LONG_ONLY
r-pead-jp-growth-0319
side: "LONG_ONLY"
cost_bps: 20
n_positions: 20
-1.46-1.54-2.48+1.12
holding_period=5, surprise_threshold=0.05, n_positions=5, cost_bps=5, side=LONG_ONLY
r-pead-jp-growth-0329
side: "LONG_ONLY"
cost_bps: 5
n_positions: 5
-1.07-1.31-1.72+1.53
holding_period=5, surprise_threshold=0.07, n_positions=3, cost_bps=5, side=BOTH
r-pead-jp-growth-0384
side: "BOTH"
cost_bps: 5
n_positions: 3
+0.17-0.12+0.41+2.04
holding_period=5, surprise_threshold=0.07, n_positions=10, cost_bps=20, side=BOTH
r-pead-jp-growth-0438
side: "BOTH"
cost_bps: 20
n_positions: 10
-0.07-0.18-0.41+2.13
holding_period=10, surprise_threshold=0.01, n_positions=3, cost_bps=10, side=BOTH
r-pead-jp-growth-0546
side: "BOTH"
cost_bps: 10
n_positions: 3
-0.49-0.57-0.64+0.32
holding_period=10, surprise_threshold=0.02, n_positions=5, cost_bps=20, side=BOTH
r-pead-jp-growth-0654
side: "BOTH"
cost_bps: 20
n_positions: 5
-0.68-0.94-0.64+0.72
holding_period=10, surprise_threshold=0.03, n_positions=20, cost_bps=10, side=BOTH
r-pead-jp-growth-0762
side: "BOTH"
cost_bps: 10
n_positions: 20
-0.23-0.50-0.19+1.40
holding_period=10, surprise_threshold=0.07, n_positions=3, cost_bps=20, side=BOTH
r-pead-jp-growth-0870
side: "BOTH"
cost_bps: 20
n_positions: 3
-0.32-0.58+0.04+0.45
holding_period=20, surprise_threshold=0.01, n_positions=10, cost_bps=10, side=BOTH
r-pead-jp-growth-0978
side: "BOTH"
cost_bps: 10
n_positions: 10
+0.18-0.29+0.47+2.15
holding_period=20, surprise_threshold=0.02, n_positions=20, cost_bps=20, side=BOTH
r-pead-jp-growth-1086
side: "BOTH"
cost_bps: 20
n_positions: 20
+0.27-0.13+0.55+2.74
holding_period=20, surprise_threshold=0.03, n_positions=5, cost_bps=10, side=BOTH
r-pead-jp-growth-1194
side: "BOTH"
cost_bps: 10
n_positions: 5
+0.21-0.18+0.04+2.67
holding_period=20, surprise_threshold=0.05, n_positions=20, cost_bps=5, side=BOTH
r-pead-jp-growth-1272
side: "BOTH"
cost_bps: 5
n_positions: 20
+1.07+0.40+1.65+3.70
holding_period=20, surprise_threshold=0.05, n_positions=10, cost_bps=20, side=LONG_ONLY
r-pead-jp-growth-1303
side: "LONG_ONLY"
cost_bps: 20
n_positions: 10
-0.24+0.08-1.25+0.84
holding_period=20, surprise_threshold=0.07, n_positions=3, cost_bps=10, side=LONG_ONLY
r-pead-jp-growth-1411
side: "LONG_ONLY"
cost_bps: 10
n_positions: 3
-0.41-0.14-1.48+1.15
holding_period=40, surprise_threshold=0.01, n_positions=5, cost_bps=20, side=LONG_ONLY
r-pead-jp-growth-1519
side: "LONG_ONLY"
cost_bps: 20
n_positions: 5
+0.13+0.04-0.89+1.08
holding_period=40, surprise_threshold=0.02, n_positions=20, cost_bps=10, side=LONG_ONLY
r-pead-jp-growth-1627
side: "LONG_ONLY"
cost_bps: 10
n_positions: 20
-0.01+0.70-1.34+0.62
holding_period=40, surprise_threshold=0.05, n_positions=3, cost_bps=20, side=LONG_ONLY
r-pead-jp-growth-1735
side: "LONG_ONLY"
cost_bps: 20
n_positions: 3
+0.13+0.38-1.20+1.00
holding_period=40, surprise_threshold=0.07, n_positions=10, cost_bps=10, side=LONG_ONLY
r-pead-jp-growth-1843
side: "LONG_ONLY"
cost_bps: 10
n_positions: 10
-0.01+0.39-1.28+0.79
holding_period=60, surprise_threshold=0.01, n_positions=3, cost_bps=5, side=BOTH
r-pead-jp-growth-1920
side: "BOTH"
cost_bps: 5
n_positions: 3
+0.13+0.16-0.47+2.00
holding_period=60, surprise_threshold=0.01, n_positions=3, cost_bps=5, side=BOTH
r-pead-jp-growth-1952
side: "BOTH"
cost_bps: 5
n_positions: 3
+0.13+0.16-0.47+2.00
holding_period=60, surprise_threshold=0.02, n_positions=5, cost_bps=15, side=BOTH
r-pead-jp-growth-2060
side: "BOTH"
cost_bps: 15
n_positions: 5
+0.37-0.30+0.15+2.21
holding_period=60, surprise_threshold=0.03, n_positions=20, cost_bps=5, side=BOTH
r-pead-jp-growth-2168
side: "BOTH"
cost_bps: 5
n_positions: 20
-0.14-0.86+1.14+0.90
holding_period=60, surprise_threshold=0.05, n_positions=3, cost_bps=15, side=BOTH
r-pead-jp-growth-2276
side: "BOTH"
cost_bps: 15
n_positions: 3
+0.26+0.21-0.07+1.90

Target universe

Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY

Related strategies

same_data_source:earnings-reversal-short-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T21:54:26
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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