Risk Parity / Volatility Targeting Overlay (JP Growth Stocks)
slug: risk-parity-jp-growth
Risk Parity / Volatility Targeting Overlay (JP Growth Stocks) backtest. Median Sharpe across 384 parameter sets is -0.44. p-value is 0.28. Max DD is -39.5%. Period: 2022-05-02 to 2026-09-01. Best Sharpe +0.42 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)
-0.44
Max DD
-39.5%
Win rate
—
Alpha (ann.)
—
p-value
0.28
backtest period: 2022-05-02 → 2026-09-01
Sharpe across 384 grid runs:median -0.44best 0.42 (not representative)worst -1.02p25–p75 -0.72–-0.18
Hypothesis
Sizing positions inversely proportional to their recent volatility improves Sharpe ratio (risk parity principle). Tests vol-targeting as a position sizing overlay on momentum and mean-reversion base signals.
Why it didn't work
Across 384 grid combinations, median Sharpe=-0.44, best=0.42. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is 0.42 (p=0.37).
period 2022-05-02–2026-09-01; cost=5bps
cite ↗ /cite/risk-parity-jp-growth-fact-best-sharpevia r-risk-parity-jp-growth-0294
Median Sharpe across 384 grid runs is -0.44.
Full grid of 384 parameter combinations.
Median Sharpe in DOWN regime is -1.53 across 384 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.27 across 384 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.19 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-growth-0000 | cost_bps: 5 target_vol: 0.1 base_signal: "momentum_60" | -0.36 | +0.06 | -0.49 | -0.49 |
target_vol=0.1, vol_lookback=10, holding_days=5, base_signal=momentum_60, cost_bps=10 r-risk-parity-jp-growth-0001 | cost_bps: 10 target_vol: 0.1 base_signal: "momentum_60" | -0.46 | -0.04 | -0.59 | -0.57 |
target_vol=0.1, vol_lookback=10, holding_days=5, base_signal=momentum_120, cost_bps=5 r-risk-parity-jp-growth-0002 | cost_bps: 5 target_vol: 0.1 base_signal: "momentum_120" | -0.77 | +0.39 | -1.22 | -0.57 |
target_vol=0.1, vol_lookback=10, holding_days=5, base_signal=mean_reversion, cost_bps=5 r-risk-parity-jp-growth-0004 | cost_bps: 5 target_vol: 0.1 base_signal: "mean_reversion" | -0.62 | -1.36 | -0.22 | -2.60 |
target_vol=0.1, vol_lookback=10, holding_days=60, base_signal=momentum_60, cost_bps=5 r-risk-parity-jp-growth-0018 | cost_bps: 5 target_vol: 0.1 base_signal: "momentum_60" | +0.14 | +0.32 | +0.15 | -0.85 |
target_vol=0.1, vol_lookback=10, holding_days=60, base_signal=momentum_120, cost_bps=10 r-risk-parity-jp-growth-0021 | cost_bps: 10 target_vol: 0.1 base_signal: "momentum_120" | -0.32 | -0.17 | -0.14 | -2.51 |
target_vol=0.1, vol_lookback=20, holding_days=20, base_signal=momentum_120, cost_bps=5 r-risk-parity-jp-growth-0038 | cost_bps: 5 target_vol: 0.1 base_signal: "momentum_120" | -0.62 | -0.06 | -0.70 | -2.02 |
target_vol=0.1, vol_lookback=40, holding_days=10, base_signal=momentum_60, cost_bps=10 r-risk-parity-jp-growth-0055 | cost_bps: 10 target_vol: 0.1 base_signal: "momentum_60" | -0.06 | +0.02 | +0.03 | -1.33 |
target_vol=0.1, vol_lookback=60, holding_days=5, base_signal=momentum_60, cost_bps=5 r-risk-parity-jp-growth-0072 | cost_bps: 5 target_vol: 0.1 base_signal: "momentum_60" | -0.62 | -0.59 | -0.66 | -0.29 |
target_vol=0.1, vol_lookback=60, holding_days=5, base_signal=momentum_60, cost_bps=10 r-risk-parity-jp-growth-0073 | cost_bps: 10 target_vol: 0.1 base_signal: "momentum_60" | -0.72 | -0.68 | -0.77 | -0.35 |
target_vol=0.1, vol_lookback=60, holding_days=10, base_signal=mean_reversion, cost_bps=10 r-risk-parity-jp-growth-0083 | cost_bps: 10 target_vol: 0.1 base_signal: "mean_reversion" | -1.02 | -2.28 | -0.56 | -3.06 |
target_vol=0.1, vol_lookback=60, holding_days=60, base_signal=momentum_60, cost_bps=10 r-risk-parity-jp-growth-0091 | cost_bps: 10 target_vol: 0.1 base_signal: "momentum_60" | +0.10 | +0.05 | +0.15 | -0.61 |
target_vol=0.15, vol_lookback=10, holding_days=20, base_signal=momentum_60, cost_bps=5 r-risk-parity-jp-growth-0108 | cost_bps: 5 target_vol: 0.15 base_signal: "momentum_60" | +0.11 | +0.83 | -0.03 | -0.46 |
target_vol=0.15, vol_lookback=20, holding_days=5, base_signal=mean_reversion, cost_bps=10 r-risk-parity-jp-growth-0125 | cost_bps: 10 target_vol: 0.15 base_signal: "mean_reversion" | -0.71 | -1.41 | -0.36 | -2.49 |
target_vol=0.15, vol_lookback=20, holding_days=60, base_signal=mean_reversion, cost_bps=5 r-risk-parity-jp-growth-0142 | cost_bps: 5 target_vol: 0.15 base_signal: "mean_reversion" | -0.16 | -0.36 | +0.06 | -1.71 |
target_vol=0.15, vol_lookback=40, holding_days=20, base_signal=momentum_120, cost_bps=10 r-risk-parity-jp-growth-0159 | cost_bps: 10 target_vol: 0.15 base_signal: "momentum_120" | -0.81 | -0.25 | -0.86 | -2.38 |
target_vol=0.15, vol_lookback=60, holding_days=10, base_signal=momentum_120, cost_bps=5 r-risk-parity-jp-growth-0176 | cost_bps: 5 target_vol: 0.15 base_signal: "momentum_120" | -0.53 | -0.08 | -0.48 | -4.07 |
target_vol=0.2, vol_lookback=10, holding_days=5, base_signal=momentum_60, cost_bps=10 r-risk-parity-jp-growth-0193 | cost_bps: 10 target_vol: 0.2 base_signal: "momentum_60" | -0.45 | -0.03 | -0.59 | -0.57 |
target_vol=0.2, vol_lookback=10, holding_days=60, base_signal=momentum_60, cost_bps=5 r-risk-parity-jp-growth-0210 | cost_bps: 5 target_vol: 0.2 base_signal: "momentum_60" | +0.14 | +0.32 | +0.15 | -0.85 |
target_vol=0.2, vol_lookback=20, holding_days=10, base_signal=mean_reversion, cost_bps=10 r-risk-parity-jp-growth-0227 | cost_bps: 10 target_vol: 0.2 base_signal: "mean_reversion" | -0.81 | -2.06 | -0.32 | -3.63 |
target_vol=0.2, vol_lookback=40, holding_days=5, base_signal=mean_reversion, cost_bps=5 r-risk-parity-jp-growth-0244 | cost_bps: 5 target_vol: 0.2 base_signal: "mean_reversion" | -0.63 | -1.49 | -0.29 | -1.20 |
target_vol=0.2, vol_lookback=40, holding_days=60, base_signal=momentum_120, cost_bps=10 r-risk-parity-jp-growth-0261 | cost_bps: 10 target_vol: 0.2 base_signal: "momentum_120" | -0.41 | -0.50 | -0.21 | -2.93 |
target_vol=0.2, vol_lookback=60, holding_days=20, base_signal=momentum_120, cost_bps=5 r-risk-parity-jp-growth-0278 | cost_bps: 5 target_vol: 0.2 base_signal: "momentum_120" | -0.73 | -0.03 | -0.84 | -2.58 |
target_vol=0.3, vol_lookback=10, holding_days=5, base_signal=momentum_60, cost_bps=5 r-risk-parity-jp-growth-0288 | cost_bps: 5 target_vol: 0.3 base_signal: "momentum_60" | -0.35 | +0.07 | -0.48 | -0.49 |
target_vol=0.3, vol_lookback=10, holding_days=10, base_signal=momentum_60, cost_bps=5 r-risk-parity-jp-growth-0294 | cost_bps: 5 target_vol: 0.3 base_signal: "momentum_60" | +0.42 | +0.78 | +0.44 | -1.30 |
target_vol=0.3, vol_lookback=10, holding_days=10, base_signal=momentum_120, cost_bps=10 r-risk-parity-jp-growth-0297 | cost_bps: 10 target_vol: 0.3 base_signal: "momentum_120" | -0.10 | -0.06 | +0.00 | -4.28 |
target_vol=0.3, vol_lookback=20, holding_days=5, base_signal=momentum_120, cost_bps=5 r-risk-parity-jp-growth-0314 | cost_bps: 5 target_vol: 0.3 base_signal: "momentum_120" | -0.67 | +0.26 | -1.05 | +0.05 |
target_vol=0.3, vol_lookback=20, holding_days=60, base_signal=momentum_60, cost_bps=10 r-risk-parity-jp-growth-0331 | cost_bps: 10 target_vol: 0.3 base_signal: "momentum_60" | +0.04 | -0.05 | +0.10 | -0.51 |
target_vol=0.3, vol_lookback=40, holding_days=20, base_signal=momentum_60, cost_bps=5 r-risk-parity-jp-growth-0348 | cost_bps: 5 target_vol: 0.3 base_signal: "momentum_60" | -0.47 | -0.21 | -0.55 | -0.47 |
target_vol=0.3, vol_lookback=60, holding_days=5, base_signal=mean_reversion, cost_bps=10 r-risk-parity-jp-growth-0365 | cost_bps: 10 target_vol: 0.3 base_signal: "mean_reversion" | -0.87 | -1.62 | -0.60 | -1.10 |
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: 2026-09-24T02:22:17