Risk Parity / Volatility Targeting Overlay (JP All Stocks)
slug: risk-parity-jp-all
performance summary
Sharpe (median)
-0.20
Max DD
-25.8%
Win rate
—
Alpha (ann.)
—
p-value
0.63
backtest period: 2022-05-02 → 2026-02-02
Sharpe across 384 grid runs:median -0.20best 0.26 (not representative)worst -0.93p25–p75 -0.55–-0.04
Hypothesis
Sizing positions inversely proportional to their recent volatility. Testing on the full Japanese stock universe.
Why it didn't work
Across 384 grid combinations, median Sharpe=-0.20, best=0.26. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is 0.26 (p=0.61).
period 2022-05-02–2026-02-02; cost=5bps
cite ↗ /cite/risk-parity-jp-all-fact-best-sharpevia r-risk-parity-jp-all-0072
Median Sharpe across 384 grid runs is -0.20.
Full grid of 384 parameter combinations.
Median Sharpe in DOWN regime is -0.31 across 384 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.22 across 384 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.49 across 384 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
target_vol=0.1, vol_lookback=10, holding_days=5, base_signal=momentum_60, cost_bps=5 r-risk-parity-jp-all-0000 | cost_bps: 5 target_vol: 0.1 base_signal: "momentum_60" | +0.22 | +0.29 | +0.19 | +0.41 |
target_vol=0.1, vol_lookback=10, holding_days=5, base_signal=momentum_60, cost_bps=10 r-risk-parity-jp-all-0001 | cost_bps: 10 target_vol: 0.1 base_signal: "momentum_60" | +0.04 | +0.09 | +0.02 | +0.21 |
target_vol=0.1, vol_lookback=10, holding_days=5, base_signal=momentum_120, cost_bps=5 r-risk-parity-jp-all-0002 | cost_bps: 5 target_vol: 0.1 base_signal: "momentum_120" | -0.24 | -0.30 | -0.10 | -1.58 |
target_vol=0.1, vol_lookback=10, holding_days=5, base_signal=mean_reversion, cost_bps=5 r-risk-parity-jp-all-0004 | cost_bps: 5 target_vol: 0.1 base_signal: "mean_reversion" | -0.49 | -1.04 | -0.29 | -0.70 |
target_vol=0.1, vol_lookback=10, holding_days=60, base_signal=momentum_60, cost_bps=5 r-risk-parity-jp-all-0018 | cost_bps: 5 target_vol: 0.1 base_signal: "momentum_60" | -0.03 | +1.13 | -0.12 | -1.25 |
target_vol=0.1, vol_lookback=10, holding_days=60, base_signal=momentum_120, cost_bps=5 r-risk-parity-jp-all-0020 | cost_bps: 5 target_vol: 0.1 base_signal: "momentum_120" | -0.71 | -0.32 | -1.15 | +0.47 |
target_vol=0.1, vol_lookback=20, holding_days=20, base_signal=momentum_60, cost_bps=5 r-risk-parity-jp-all-0036 | cost_bps: 5 target_vol: 0.1 base_signal: "momentum_60" | +0.03 | +2.22 | -0.53 | -0.68 |
target_vol=0.1, vol_lookback=40, holding_days=5, base_signal=mean_reversion, cost_bps=5 r-risk-parity-jp-all-0052 | cost_bps: 5 target_vol: 0.1 base_signal: "mean_reversion" | -0.40 | -1.31 | -0.01 | -1.15 |
target_vol=0.1, vol_lookback=40, holding_days=60, base_signal=momentum_120, cost_bps=5 r-risk-parity-jp-all-0068 | cost_bps: 5 target_vol: 0.1 base_signal: "momentum_120" | -0.80 | -0.63 | -1.12 | +0.40 |
target_vol=0.1, vol_lookback=60, holding_days=5, base_signal=momentum_60, cost_bps=5 r-risk-parity-jp-all-0072 | cost_bps: 5 target_vol: 0.1 base_signal: "momentum_60" | +0.26 | +0.26 | +0.30 | -0.35 |
target_vol=0.1, vol_lookback=60, holding_days=20, base_signal=momentum_60, cost_bps=10 r-risk-parity-jp-all-0085 | cost_bps: 10 target_vol: 0.1 base_signal: "momentum_60" | 0.00 | +1.83 | -0.52 | -0.34 |
target_vol=0.15, vol_lookback=10, holding_days=5, base_signal=mean_reversion, cost_bps=10 r-risk-parity-jp-all-0101 | cost_bps: 10 target_vol: 0.15 base_signal: "mean_reversion" | -0.68 | -1.23 | -0.49 | -0.81 |
target_vol=0.15, vol_lookback=10, holding_days=60, base_signal=momentum_120, cost_bps=10 r-risk-parity-jp-all-0117 | cost_bps: 10 target_vol: 0.15 base_signal: "momentum_120" | -0.75 | -0.36 | -1.20 | +0.45 |
target_vol=0.15, vol_lookback=20, holding_days=20, base_signal=momentum_60, cost_bps=10 r-risk-parity-jp-all-0133 | cost_bps: 10 target_vol: 0.15 base_signal: "momentum_60" | -0.07 | +2.11 | -0.63 | -0.90 |
target_vol=0.15, vol_lookback=20, holding_days=60, base_signal=momentum_120, cost_bps=10 r-risk-parity-jp-all-0141 | cost_bps: 10 target_vol: 0.15 base_signal: "momentum_120" | -0.93 | -0.58 | -1.32 | +0.28 |
target_vol=0.15, vol_lookback=40, holding_days=10, base_signal=momentum_60, cost_bps=5 r-risk-parity-jp-all-0150 | cost_bps: 5 target_vol: 0.15 base_signal: "momentum_60" | -0.05 | +0.81 | -0.29 | -0.17 |
target_vol=0.15, vol_lookback=40, holding_days=60, base_signal=mean_reversion, cost_bps=5 r-risk-parity-jp-all-0166 | cost_bps: 5 target_vol: 0.15 base_signal: "mean_reversion" | -0.14 | -0.83 | +0.06 | -1.32 |
target_vol=0.15, vol_lookback=60, holding_days=20, base_signal=momentum_120, cost_bps=5 r-risk-parity-jp-all-0182 | cost_bps: 5 target_vol: 0.15 base_signal: "momentum_120" | -0.52 | -0.02 | -0.98 | +5.04 |
target_vol=0.2, vol_lookback=10, holding_days=10, base_signal=momentum_60, cost_bps=5 r-risk-parity-jp-all-0198 | cost_bps: 5 target_vol: 0.2 base_signal: "momentum_60" | -0.04 | +1.31 | -0.43 | +0.45 |
target_vol=0.2, vol_lookback=10, holding_days=60, base_signal=mean_reversion, cost_bps=5 r-risk-parity-jp-all-0214 | cost_bps: 5 target_vol: 0.2 base_signal: "mean_reversion" | -0.25 | -0.53 | -0.08 | -3.62 |
target_vol=0.2, vol_lookback=20, holding_days=20, base_signal=momentum_120, cost_bps=5 r-risk-parity-jp-all-0230 | cost_bps: 5 target_vol: 0.2 base_signal: "momentum_120" | -0.72 | -0.32 | -1.20 | +8.17 |
target_vol=0.2, vol_lookback=40, holding_days=10, base_signal=momentum_60, cost_bps=5 r-risk-parity-jp-all-0246 | cost_bps: 5 target_vol: 0.2 base_signal: "momentum_60" | -0.05 | +0.81 | -0.29 | -0.17 |
target_vol=0.2, vol_lookback=40, holding_days=60, base_signal=mean_reversion, cost_bps=5 r-risk-parity-jp-all-0262 | cost_bps: 5 target_vol: 0.2 base_signal: "mean_reversion" | -0.14 | -0.83 | +0.06 | -1.32 |
target_vol=0.2, vol_lookback=60, holding_days=20, base_signal=momentum_120, cost_bps=5 r-risk-parity-jp-all-0278 | cost_bps: 5 target_vol: 0.2 base_signal: "momentum_120" | -0.52 | -0.02 | -0.98 | +5.04 |
target_vol=0.3, vol_lookback=10, holding_days=5, base_signal=momentum_60, cost_bps=5 r-risk-parity-jp-all-0288 | cost_bps: 5 target_vol: 0.3 base_signal: "momentum_60" | +0.22 | +0.29 | +0.19 | +0.41 |
target_vol=0.3, vol_lookback=10, holding_days=10, base_signal=momentum_60, cost_bps=10 r-risk-parity-jp-all-0295 | cost_bps: 10 target_vol: 0.3 base_signal: "momentum_60" | -0.14 | +1.20 | -0.53 | +0.32 |
target_vol=0.3, vol_lookback=10, holding_days=60, base_signal=mean_reversion, cost_bps=10 r-risk-parity-jp-all-0311 | cost_bps: 10 target_vol: 0.3 base_signal: "mean_reversion" | -0.29 | -0.56 | -0.12 | -3.74 |
target_vol=0.3, vol_lookback=20, holding_days=20, base_signal=momentum_120, cost_bps=10 r-risk-parity-jp-all-0327 | cost_bps: 10 target_vol: 0.3 base_signal: "momentum_120" | -0.83 | -0.47 | -1.30 | +7.87 |
target_vol=0.3, vol_lookback=40, holding_days=10, base_signal=momentum_60, cost_bps=10 r-risk-parity-jp-all-0343 | cost_bps: 10 target_vol: 0.3 base_signal: "momentum_60" | -0.15 | +0.70 | -0.39 | -0.28 |
target_vol=0.3, vol_lookback=40, holding_days=60, base_signal=mean_reversion, cost_bps=10 r-risk-parity-jp-all-0359 | cost_bps: 10 target_vol: 0.3 base_signal: "mean_reversion" | -0.18 | -0.87 | +0.02 | -1.41 |
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: 2026-07-29T01:08:35