Return Autocorrelation Factor (JP All Stocks)
slug: return-autocorrelation-jp-all
performance summary
Sharpe (median)
+0.05
Max DD
-18.9%
Win rate
—
Alpha (ann.)
—
p-value
0.50
backtest period: 2022-02-01 → 2026-02-02
Sharpe across 160 grid runs:median 0.05best 0.82 (not representative)worst -2.05p25–p75 -0.30–0.26
Hypothesis
Jegadeesh (1990): serial correlation in stock returns. Testing on the full Japanese stock universe.
Why it didn't work
Across 160 grid combinations, median Sharpe=0.05, best=0.82. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is 0.82 (p=0.1).
period 2022-02-01–2026-02-02; cost=5bps
cite ↗ /cite/return-autocorrelation-jp-all-fact-best-sharpevia r-return-autocorrelation-jp-all-0193
Median Sharpe across 160 grid runs is 0.05.
Full grid of 160 parameter combinations.
Median Sharpe in DOWN regime is 0.51 across 160 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is 0.01 across 160 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.27 across 160 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-return-autocorrelation-jp-all-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.24 | -1.78 | +0.35 | -0.29 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-return-autocorrelation-jp-all-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.05 | -0.98 | +0.35 | -0.29 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-return-autocorrelation-jp-all-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.49 | -1.99 | +0.06 | -0.46 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-return-autocorrelation-jp-all-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.21 | -1.14 | +0.06 | -0.46 |
formation_days=20, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False r-return-autocorrelation-jp-all-0004 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.49 | -1.74 | +0.18 | -1.31 |
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-return-autocorrelation-jp-all-0018 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.38 | -1.01 | -0.07 | +0.34 |
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-return-autocorrelation-jp-all-0032 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.26 | -0.74 | +0.66 | +1.52 |
formation_days=20, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-return-autocorrelation-jp-all-0038 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.25 | -1.42 | +0.06 | +4.37 |
formation_days=20, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-return-autocorrelation-jp-all-0052 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.24 | -3.42 | +0.42 | +3.63 |
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-return-autocorrelation-jp-all-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.28 | -0.68 | +0.68 | +0.14 |
formation_days=20, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True r-return-autocorrelation-jp-all-0067 | cost_bps: 10 n_stocks: 5 regime_gate: true | +0.44 | -0.34 | +0.66 | -0.02 |
formation_days=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-return-autocorrelation-jp-all-0081 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.68 | -0.79 | -0.65 | -0.61 |
formation_days=40, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False r-return-autocorrelation-jp-all-0086 | cost_bps: 10 n_stocks: 10 regime_gate: false | -2.05 | -1.38 | -2.36 | -1.00 |
formation_days=40, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-return-autocorrelation-jp-all-0096 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.32 | -0.76 | -0.27 | +0.66 |
formation_days=40, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False r-return-autocorrelation-jp-all-0102 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.96 | -0.41 | -1.28 | +0.46 |
formation_days=40, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=False r-return-autocorrelation-jp-all-0116 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.30 | -0.73 | -0.40 | +3.47 |
formation_days=40, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=False r-return-autocorrelation-jp-all-0130 | cost_bps: 10 n_stocks: 5 regime_gate: false | +0.50 | -0.39 | +0.48 | +5.64 |
formation_days=40, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-return-autocorrelation-jp-all-0144 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.44 | -0.58 | +0.84 | +0.39 |
formation_days=40, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False r-return-autocorrelation-jp-all-0150 | cost_bps: 10 n_stocks: 10 regime_gate: false | +0.17 | -1.00 | +0.46 | -0.19 |
formation_days=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False r-return-autocorrelation-jp-all-0164 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.50 | +0.24 | -0.76 | -0.49 |
formation_days=60, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-return-autocorrelation-jp-all-0178 | cost_bps: 10 n_stocks: 5 regime_gate: false | +0.23 | +1.25 | -0.46 | +1.12 |
formation_days=60, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-return-autocorrelation-jp-all-0192 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.65 | +0.87 | +0.35 | +3.31 |
formation_days=60, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True r-return-autocorrelation-jp-all-0193 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.82 | +1.54 | +0.35 | +3.31 |
formation_days=60, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True r-return-autocorrelation-jp-all-0199 | cost_bps: 10 n_stocks: 10 regime_gate: true | +0.26 | +1.01 | -0.17 | +3.39 |
formation_days=60, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-return-autocorrelation-jp-all-0213 | cost_bps: 5 n_stocks: 10 regime_gate: true | +0.22 | -0.04 | +0.08 | +4.26 |
formation_days=60, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True r-return-autocorrelation-jp-all-0227 | cost_bps: 10 n_stocks: 5 regime_gate: true | +0.27 | -0.51 | +0.43 | +0.72 |
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-return-autocorrelation-jp-all-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.41 | -0.04 | -0.31 | -5.03 |
formation_days=120, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-return-autocorrelation-jp-all-0242 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.69 | -0.26 | -0.61 | -5.51 |
formation_days=120, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-return-autocorrelation-jp-all-0256 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.25 | +0.99 | -0.14 | -0.94 |
formation_days=120, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False r-return-autocorrelation-jp-all-0262 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.29 | +1.27 | -0.93 | -2.29 |
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: 2026-07-31T01:31:48