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rejectedno_edge· equity· anomaly· autocorrelation· factor· momentum

Return Autocorrelation Factor (JP All Stocks)

slug: return-autocorrelation-jp-all

Return Autocorrelation Factor (JP All Stocks) backtest. Median Sharpe across 160 parameter sets is -0.01. p-value is 0.43. Max DD is -21.7%. Period: 2022-02-01 to 2026-09-01. Best Sharpe +0.62 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.

Performance summary

Sharpe (median)
-0.01
Max DD
-21.7%
Win rate
—
Alpha (ann.)
—
p-value
0.43
backtest period: 2022-02-01 → 2026-09-01
Sharpe across 160 grid runs:median -0.01best 0.62 (not representative)worst -1.81p25–p75 -0.33–0.30

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=-0.01, best=0.62. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 0.62 (p=0.031).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio0.62
cite ↗ /cite/return-autocorrelation-jp-all-fact-best-sharpevia r-return-autocorrelation-jp-all-0144
Median Sharpe across 160 grid runs is -0.01.
Full grid of 160 parameter combinations.
sharpe_ratio-0.01
cite ↗ /cite/return-autocorrelation-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is 0.51 across 160 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio0.51
cite ↗ /cite/return-autocorrelation-jp-all-fact-regime-down
Median Sharpe in FLAT regime is -0.07 across 160 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.07
cite ↗ /cite/return-autocorrelation-jp-all-fact-regime-flat
Median Sharpe in UP regime is -0.02 across 160 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.02
cite ↗ /cite/return-autocorrelation-jp-all-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
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
-0.15-1.14+0.33-0.29
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
0.00-0.99+0.33-0.29
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
-0.40-1.35+0.04-0.46
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
-0.26-1.15+0.04-0.46
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
-0.27-0.71+0.11-1.31
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
-0.33-0.90-0.01+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
+0.38-0.12+0.59+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
-0.30-0.78-0.26+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
-0.28-1.74+0.06+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
+0.44-0.31+0.85+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
+0.55-0.14+0.82-0.02
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
-0.69-0.37-0.79-0.61
formation_days=40, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True
r-return-autocorrelation-jp-all-0087
cost_bps: 10
n_stocks: 10
regime_gate: true
-1.81-0.87-2.29-1.00
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
-0.34-0.55-0.38+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
-1.12-0.54-1.46+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
-0.28-0.03-0.58+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
+0.45+0.54+0.18+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
+0.62+0.17+0.91+0.39
formation_days=40, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True
r-return-autocorrelation-jp-all-0145
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.61-0.02+0.91+0.39
formation_days=40, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True
r-return-autocorrelation-jp-all-0151
cost_bps: 10
n_stocks: 10
regime_gate: true
+0.29-0.01+0.44-0.19
formation_days=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-return-autocorrelation-jp-all-0165
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.53+0.04-0.77-0.49
formation_days=60, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-return-autocorrelation-jp-all-0179
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.20+1.18-0.56+1.12
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
+0.56+1.18+0.10+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
-0.07+0.32-0.43+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
-0.07-0.14-0.25+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
+0.43-0.01+0.55+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
-0.49+0.00-0.51-5.03
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
-0.76-0.21-0.80-5.51
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+1.06-0.22-0.94
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
-0.18+1.34-0.83-2.29

Target universe

Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks

Related strategies

same_strategy:return-autocorrelation-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T21:54:29
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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