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rejectedregime_dependent· equity· factor· fundamental· growth

Sales Growth Rank (JP Growth Stocks)

slug: sales-growth-rank-jp-growth
performance summary
Sharpe (median)
-0.17
Max DD
-7.0%
Win rate
—
Alpha (ann.)
—
p-value
0.47
backtest period: 2025-01-06 → 2026-06-01
Sharpe across 48 grid runs:median -0.17best 2.49 (not representative)worst -1.18p25–p75 -0.59–0.65

Hypothesis

Top-line growth is the simplest growth signal retail screens sort on; ranking on year-over-year sales growth tests whether revenue growth alone predicts returns, or is already priced in (the classic growth-factor disappointment).

Why it didn't work

Across 48 grid combinations, median Sharpe=-0.17, best=2.49. Primary failure mode: regime_dependent.

Facts (5)

Best grid Sharpe ratio is 2.49 (p=0.0084).
period 2025-01-06–2026-06-01; cost=5bps
sharpe_ratio2.49
cite ↗ /cite/sales-growth-rank-jp-growth-fact-best-sharpevia r-sales-growth-rank-jp-growth-0025
Median Sharpe across 48 grid runs is -0.17.
Full grid of 48 parameter combinations.
sharpe_ratio-0.17
cite ↗ /cite/sales-growth-rank-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is 7.47 across 48 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio7.47
cite ↗ /cite/sales-growth-rank-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is -0.70 across 48 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.70
cite ↗ /cite/sales-growth-rank-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -0.48 across 48 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.48
cite ↗ /cite/sales-growth-rank-jp-growth-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-sales-growth-rank-jp-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.61+0.81+0.13+3.47
n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-sales-growth-rank-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.09-0.30-0.79+3.08
n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-sales-growth-rank-jp-growth-0002
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.09-1.41-2.00+21.12
n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-sales-growth-rank-jp-growth-0003
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.14-0.58+0.13+3.47
n_stocks=5, cost_bps=5, regime_gate=True, holding_days=5
r-sales-growth-rank-jp-growth-0004
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.21+0.78-0.79+3.08
n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20
r-sales-growth-rank-jp-growth-0005
cost_bps: 5
n_stocks: 5
regime_gate: true
-1.14-1.39-2.00+21.12
n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-sales-growth-rank-jp-growth-0006
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.40+0.60-0.04+3.04
n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5
r-sales-growth-rank-jp-growth-0007
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.20-0.42-0.90+2.99
n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20
r-sales-growth-rank-jp-growth-0008
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.16-1.49-2.06+20.68
n_stocks=5, cost_bps=10, regime_gate=True, holding_days=1
r-sales-growth-rank-jp-growth-0009
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.26-0.63-0.04+3.04
n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5
r-sales-growth-rank-jp-growth-0010
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.12+0.67-0.90+2.99
n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20
r-sales-growth-rank-jp-growth-0011
cost_bps: 10
n_stocks: 5
regime_gate: true
-1.18-1.42-2.06+20.68
n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1
r-sales-growth-rank-jp-growth-0012
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.10-0.01-0.70+6.36
n_stocks=10, cost_bps=5, regime_gate=False, holding_days=5
r-sales-growth-rank-jp-growth-0013
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.94+1.43-0.54+18.61
n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20
r-sales-growth-rank-jp-growth-0014
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.59-0.57-1.59+44.40
n_stocks=10, cost_bps=5, regime_gate=True, holding_days=1
r-sales-growth-rank-jp-growth-0015
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.52-0.99-0.70+6.36
n_stocks=10, cost_bps=5, regime_gate=True, holding_days=5
r-sales-growth-rank-jp-growth-0016
cost_bps: 5
n_stocks: 10
regime_gate: true
+1.11+1.80-0.54+18.61
n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20
r-sales-growth-rank-jp-growth-0017
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.79-0.96-1.59+44.40
n_stocks=10, cost_bps=10, regime_gate=False, holding_days=1
r-sales-growth-rank-jp-growth-0018
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.27-0.67-1.01+5.81
n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5
r-sales-growth-rank-jp-growth-0019
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.78+1.25-0.71+18.05
n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20
r-sales-growth-rank-jp-growth-0020
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.68-0.70-1.66+43.32
n_stocks=10, cost_bps=10, regime_gate=True, holding_days=1
r-sales-growth-rank-jp-growth-0021
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.68-1.07-1.01+5.81
n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5
r-sales-growth-rank-jp-growth-0022
cost_bps: 10
n_stocks: 10
regime_gate: true
+0.99+1.72-0.71+18.05
n_stocks=10, cost_bps=10, regime_gate=True, holding_days=20
r-sales-growth-rank-jp-growth-0023
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.84-0.99-1.66+43.32
n_stocks=20, cost_bps=5, regime_gate=False, holding_days=1
r-sales-growth-rank-jp-growth-0024
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.53-0.65+0.16+8.43
n_stocks=20, cost_bps=5, regime_gate=False, holding_days=5
r-sales-growth-rank-jp-growth-0025
cost_bps: 5
n_stocks: 20
regime_gate: false
+2.49+2.10+1.97+7.15
n_stocks=20, cost_bps=5, regime_gate=False, holding_days=20
r-sales-growth-rank-jp-growth-0026
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.29+0.39-0.51+7.27
n_stocks=20, cost_bps=5, regime_gate=True, holding_days=1
r-sales-growth-rank-jp-growth-0027
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.24-0.91+0.16+8.43
n_stocks=20, cost_bps=5, regime_gate=True, holding_days=5
r-sales-growth-rank-jp-growth-0028
cost_bps: 5
n_stocks: 20
regime_gate: true
+2.19+1.65+1.97+7.15
n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-sales-growth-rank-jp-growth-0036
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.09-0.04-2.02+13.63

Target universe

Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY; fundamentals from J-Quants financial statements (coverage from 2023-12)

Related strategies

same_strategy:sales-growth-rank-jp-all
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-03T01:03:06
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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