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rejectedno_edge· equity· anomaly· autocorrelation· factor· momentum

Return Autocorrelation Factor (JP Growth Stocks)

slug: return-autocorrelation-jp-growth
performance summary
Sharpe (median)
-0.40
Max DD
-22.8%
Win rate
—
Alpha (ann.)
—
p-value
0.35
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 320 grid runs:median -0.40best 0.95 (not representative)worst -2.14p25–p75 -0.76–-0.14

Hypothesis

Jegadeesh (1990): serial correlation in stock returns. Stocks with positive lag-1 autocorrelation exhibit trend continuation, negative autocorrelation exhibits mean reversion. LONG highest autocorrelation, SHORT lowest.

Why it didn't work

Across 320 grid combinations, median Sharpe=-0.40, best=0.95. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 0.95 (p=0.057).
period 2022-02-01–2026-06-01; cost=5bps
sharpe_ratio0.95
cite ↗ /cite/return-autocorrelation-jp-growth-fact-best-sharpevia r-return-autocorrelation-jp-growth-0284
Median Sharpe across 320 grid runs is -0.40.
Full grid of 320 parameter combinations.
sharpe_ratio-0.40
cite ↗ /cite/return-autocorrelation-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is -1.58 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-1.58
cite ↗ /cite/return-autocorrelation-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is -0.24 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.24
cite ↗ /cite/return-autocorrelation-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -0.47 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.47
cite ↗ /cite/return-autocorrelation-jp-growth-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-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.04-1.52-0.86-1.49
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-return-autocorrelation-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-1.07-1.50-0.86-1.49
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-return-autocorrelation-jp-growth-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.21-1.75-1.03-1.58
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-return-autocorrelation-jp-growth-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-1.22-1.60-1.03-1.58
formation_days=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-return-autocorrelation-jp-growth-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.45-1.57-1.31-6.69
formation_days=20, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-return-autocorrelation-jp-growth-0014
cost_bps: 10
n_stocks: 50
regime_gate: false
-2.14-2.12-2.04-9.40
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-return-autocorrelation-jp-growth-0019
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.59-3.04-0.19-1.28
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-return-autocorrelation-jp-growth-0033
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.35-0.41-0.22-1.42
formation_days=20, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True
r-return-autocorrelation-jp-growth-0047
cost_bps: 10
n_stocks: 50
regime_gate: true
+0.02+0.40-0.14-0.62
formation_days=20, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=True
r-return-autocorrelation-jp-growth-0061
cost_bps: 5
n_stocks: 50
regime_gate: true
-0.11-0.23-0.04-0.45
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-return-autocorrelation-jp-growth-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.19-0.38+0.04-2.19
formation_days=20, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False
r-return-autocorrelation-jp-growth-0076
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.09-0.20+0.03-2.06
formation_days=40, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False
r-return-autocorrelation-jp-growth-0090
cost_bps: 10
n_stocks: 20
regime_gate: false
-1.41-0.97-1.30-9.12
formation_days=40, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False
r-return-autocorrelation-jp-growth-0104
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.37-0.98+0.21-4.81
formation_days=40, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False
r-return-autocorrelation-jp-growth-0118
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.86-1.12-0.73-1.46
formation_days=40, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False
r-return-autocorrelation-jp-growth-0132
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.94-0.49-1.11-1.92
formation_days=40, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False
r-return-autocorrelation-jp-growth-0146
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.05+0.60+0.06-2.70
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-return-autocorrelation-jp-growth-0160
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.09+0.79-0.22-1.48
formation_days=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-return-autocorrelation-jp-growth-0174
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.48-0.55-1.82-0.78
formation_days=60, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False
r-return-autocorrelation-jp-growth-0188
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.01+0.46-0.21+0.13
formation_days=60, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False
r-return-autocorrelation-jp-growth-0202
cost_bps: 10
n_stocks: 20
regime_gate: false
+0.30+0.58+0.17+1.22
formation_days=60, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-return-autocorrelation-jp-growth-0216
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.37-0.24-0.36-19.01
formation_days=60, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False
r-return-autocorrelation-jp-growth-0230
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.10-0.08+0.26-1.42
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-return-autocorrelation-jp-growth-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.17+0.85-0.34-1.10
formation_days=120, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-return-autocorrelation-jp-growth-0245
cost_bps: 5
n_stocks: 10
regime_gate: true
-1.15-0.40-1.15-11.56
formation_days=120, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-return-autocorrelation-jp-growth-0259
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.04-1.73+0.42+0.62
formation_days=120, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-return-autocorrelation-jp-growth-0273
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.38-1.92-0.09+0.39
formation_days=120, holding_days=10, n_stocks=50, cost_bps=5, regime_gate=False
r-return-autocorrelation-jp-growth-0284
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.95+1.86+0.61+0.79
formation_days=120, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-return-autocorrelation-jp-growth-0288
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.91-1.58-0.74-0.10
formation_days=120, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-return-autocorrelation-jp-growth-0302
cost_bps: 10
n_stocks: 50
regime_gate: false
+0.21+0.30+0.25-0.44

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: 2026-07-31T01:32:04
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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