PEG Ratio Value (JP All Stocks)
slug: peg-ratio-value-jp-all
performance summary
Sharpe (median)
+2.23
Max DD
0.0%
Win rate
—
Alpha (ann.)
—
p-value
0.38
backtest period: 2025-09-01 → 2025-11-04
Sharpe across 24 grid runs:median 2.23best 4.17 (not representative)worst 0.38p25–p75 2.11–2.55
Hypothesis
A low P/E relative to earnings growth (low PEG, the ratio popularized by Peter Lynch) marks growth priced below its rate; ranking on PEG with a minimum-growth screen tests this growth-adjusted value premium on Japanese fundamentals.
Why it didn't work
Across 24 grid combinations, median Sharpe=2.23, best=4.17. Primary failure mode: signal_frequency.
Facts (5)
Best grid Sharpe ratio is 4.17 (p=0.17).
period 2025-09-01–2025-11-04; cost=5bps
cite ↗ /cite/peg-ratio-value-jp-all-fact-best-sharpevia r-peg-ratio-value-jp-all-0002
Median Sharpe across 24 grid runs is 2.23.
Full grid of 24 parameter combinations.
Median Sharpe in DOWN regime is nan across 24 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is nan across 24 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 8.72 across 24 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (24)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
min_growth_pct=0, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1 r-peg-ratio-value-jp-all-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | +2.86 | +14.24 | — | — |
min_growth_pct=0, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5 r-peg-ratio-value-jp-all-0001 | cost_bps: 5 n_stocks: 5 regime_gate: false | +2.19 | +67.12 | — | — |
min_growth_pct=0, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20 r-peg-ratio-value-jp-all-0002 | cost_bps: 5 n_stocks: 5 regime_gate: false | +4.17 | +3.07 | — | — |
min_growth_pct=0, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1 r-peg-ratio-value-jp-all-0003 | cost_bps: 5 n_stocks: 5 regime_gate: true | +1.11 | +4.46 | — | — |
min_growth_pct=0, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=5 r-peg-ratio-value-jp-all-0004 | cost_bps: 5 n_stocks: 5 regime_gate: true | +2.27 | +33.86 | — | — |
min_growth_pct=0, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20 r-peg-ratio-value-jp-all-0005 | cost_bps: 5 n_stocks: 5 regime_gate: true | +2.26 | +1.42 | — | — |
min_growth_pct=0, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1 r-peg-ratio-value-jp-all-0006 | cost_bps: 10 n_stocks: 5 regime_gate: false | +2.44 | +12.99 | — | — |
min_growth_pct=0, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5 r-peg-ratio-value-jp-all-0007 | cost_bps: 10 n_stocks: 5 regime_gate: false | +2.03 | +64.43 | — | — |
min_growth_pct=0, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20 r-peg-ratio-value-jp-all-0008 | cost_bps: 10 n_stocks: 5 regime_gate: false | +3.89 | +2.88 | — | — |
min_growth_pct=0, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=1 r-peg-ratio-value-jp-all-0009 | cost_bps: 10 n_stocks: 5 regime_gate: true | +0.38 | +3.65 | — | — |
min_growth_pct=0, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5 r-peg-ratio-value-jp-all-0010 | cost_bps: 10 n_stocks: 5 regime_gate: true | +2.14 | +33.23 | — | — |
min_growth_pct=0, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20 r-peg-ratio-value-jp-all-0011 | cost_bps: 10 n_stocks: 5 regime_gate: true | +2.13 | +1.34 | — | — |
min_growth_pct=5, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1 r-peg-ratio-value-jp-all-0048 | cost_bps: 5 n_stocks: 5 regime_gate: false | +2.86 | +14.24 | — | — |
min_growth_pct=5, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5 r-peg-ratio-value-jp-all-0049 | cost_bps: 5 n_stocks: 5 regime_gate: false | +2.19 | +67.12 | — | — |
min_growth_pct=5, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20 r-peg-ratio-value-jp-all-0050 | cost_bps: 5 n_stocks: 5 regime_gate: false | +4.17 | +3.07 | — | — |
min_growth_pct=5, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1 r-peg-ratio-value-jp-all-0051 | cost_bps: 5 n_stocks: 5 regime_gate: true | +1.11 | +4.46 | — | — |
min_growth_pct=5, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=5 r-peg-ratio-value-jp-all-0052 | cost_bps: 5 n_stocks: 5 regime_gate: true | +2.27 | +33.86 | — | — |
min_growth_pct=5, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20 r-peg-ratio-value-jp-all-0053 | cost_bps: 5 n_stocks: 5 regime_gate: true | +2.26 | +1.42 | — | — |
min_growth_pct=5, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1 r-peg-ratio-value-jp-all-0054 | cost_bps: 10 n_stocks: 5 regime_gate: false | +2.44 | +12.99 | — | — |
min_growth_pct=5, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5 r-peg-ratio-value-jp-all-0055 | cost_bps: 10 n_stocks: 5 regime_gate: false | +2.03 | +64.43 | — | — |
min_growth_pct=5, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20 r-peg-ratio-value-jp-all-0056 | cost_bps: 10 n_stocks: 5 regime_gate: false | +3.89 | +2.88 | — | — |
min_growth_pct=5, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=1 r-peg-ratio-value-jp-all-0057 | cost_bps: 10 n_stocks: 5 regime_gate: true | +0.38 | +3.65 | — | — |
min_growth_pct=5, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5 r-peg-ratio-value-jp-all-0058 | cost_bps: 10 n_stocks: 5 regime_gate: true | +2.14 | +33.23 | — | — |
min_growth_pct=5, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20 r-peg-ratio-value-jp-all-0059 | cost_bps: 10 n_stocks: 5 regime_gate: true | +2.13 | +1.34 | — | — |
Target universe
Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks; fundamentals from J-Quants financial statements (coverage from 2023-12)
Related strategies
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-05T03:18:59