Sector Rotation / Sector Momentum (JP All Stocks)
slug: sector-rotation-jp-all
performance summary
Sharpe (median)
+0.08
Max DD
-16.7%
Win rate
—
Alpha (ann.)
—
p-value
0.57
backtest period: 2022-03-01 → 2026-05-01
Sharpe across 384 grid runs:median 0.08best 0.94 (not representative)worst -0.94p25–p75 -0.20–0.30
Hypothesis
Cross-sectional sector momentum: group stocks by TSE ticker-code sector. Testing on the full Japanese stock universe.
Why it didn't work
Across 384 grid combinations, median Sharpe=0.08, best=0.94. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is 0.94 (p=0.06).
period 2022-03-01–2026-05-01; cost=5bps
cite ↗ /cite/sector-rotation-jp-all-fact-best-sharpevia r-sector-rotation-jp-all-0296
Median Sharpe across 384 grid runs is 0.08.
Full grid of 384 parameter combinations.
Median Sharpe in DOWN regime is 0.07 across 384 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is 0.01 across 384 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.17 across 384 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
formation_days=20, holding_days=5, n_sectors=2, weighting=equal_sector, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0000 | cost_bps: 5 n_sectors: 2 weighting: "equal_sector" | -0.37 | -0.38 | -0.34 | -0.50 |
formation_days=20, holding_days=5, n_sectors=2, weighting=equal_sector, cost_bps=5, regime_gate=True r-sector-rotation-jp-all-0001 | cost_bps: 5 n_sectors: 2 weighting: "equal_sector" | -0.21 | +0.27 | -0.34 | -0.50 |
formation_days=20, holding_days=5, n_sectors=2, weighting=equal_sector, cost_bps=10, regime_gate=False r-sector-rotation-jp-all-0002 | cost_bps: 10 n_sectors: 2 weighting: "equal_sector" | -0.51 | -0.53 | -0.48 | -0.65 |
formation_days=20, holding_days=5, n_sectors=2, weighting=equal_sector, cost_bps=10, regime_gate=True r-sector-rotation-jp-all-0003 | cost_bps: 10 n_sectors: 2 weighting: "equal_sector" | -0.33 | +0.20 | -0.48 | -0.65 |
formation_days=20, holding_days=5, n_sectors=2, weighting=equal_stock, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0004 | cost_bps: 5 n_sectors: 2 weighting: "equal_stock" | -0.24 | -0.31 | -0.19 | -0.36 |
formation_days=20, holding_days=5, n_sectors=2, weighting=cap_weight, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0008 | cost_bps: 5 n_sectors: 2 weighting: "cap_weight" | -0.19 | -0.64 | -0.06 | +0.14 |
formation_days=20, holding_days=5, n_sectors=3, weighting=equal_sector, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0012 | cost_bps: 5 n_sectors: 3 weighting: "equal_sector" | -0.43 | -0.28 | -0.45 | -0.60 |
formation_days=20, holding_days=10, n_sectors=2, weighting=equal_sector, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0048 | cost_bps: 5 n_sectors: 2 weighting: "equal_sector" | -0.13 | -0.37 | +0.03 | -0.55 |
formation_days=20, holding_days=10, n_sectors=3, weighting=equal_stock, cost_bps=10, regime_gate=False r-sector-rotation-jp-all-0066 | cost_bps: 10 n_sectors: 3 weighting: "equal_stock" | -0.18 | +0.21 | -0.17 | -1.21 |
formation_days=20, holding_days=10, n_sectors=3, weighting=cap_weight, cost_bps=10, regime_gate=False r-sector-rotation-jp-all-0070 | cost_bps: 10 n_sectors: 3 weighting: "cap_weight" | -0.94 | -0.87 | -0.86 | -2.02 |
formation_days=20, holding_days=20, n_sectors=3, weighting=equal_sector, cost_bps=5, regime_gate=True r-sector-rotation-jp-all-0109 | cost_bps: 5 n_sectors: 3 weighting: "equal_sector" | -0.44 | +0.38 | -0.69 | -1.93 |
formation_days=20, holding_days=60, n_sectors=2, weighting=equal_sector, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0144 | cost_bps: 5 n_sectors: 2 weighting: "equal_sector" | +0.13 | -0.29 | +0.23 | +5.15 |
formation_days=20, holding_days=60, n_sectors=2, weighting=cap_weight, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0152 | cost_bps: 5 n_sectors: 2 weighting: "cap_weight" | +0.08 | -0.51 | +0.30 | +4.66 |
formation_days=60, holding_days=5, n_sectors=2, weighting=equal_sector, cost_bps=10, regime_gate=False r-sector-rotation-jp-all-0194 | cost_bps: 10 n_sectors: 2 weighting: "equal_sector" | +0.22 | -0.23 | +0.66 | -0.89 |
formation_days=60, holding_days=5, n_sectors=3, weighting=cap_weight, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0212 | cost_bps: 5 n_sectors: 3 weighting: "cap_weight" | +0.78 | +2.13 | +0.35 | +0.00 |
formation_days=60, holding_days=10, n_sectors=3, weighting=equal_sector, cost_bps=10, regime_gate=False r-sector-rotation-jp-all-0254 | cost_bps: 10 n_sectors: 3 weighting: "equal_sector" | +0.33 | +0.96 | +0.02 | +45.52 |
formation_days=60, holding_days=20, n_sectors=2, weighting=cap_weight, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0296 | cost_bps: 5 n_sectors: 2 weighting: "cap_weight" | +0.94 | +1.89 | +0.61 | -0.22 |
formation_days=60, holding_days=20, n_sectors=2, weighting=cap_weight, cost_bps=5, regime_gate=True r-sector-rotation-jp-all-0297 | cost_bps: 5 n_sectors: 2 weighting: "cap_weight" | +0.76 | +1.26 | +0.61 | -0.22 |
formation_days=60, holding_days=60, n_sectors=2, weighting=equal_sector, cost_bps=10, regime_gate=True r-sector-rotation-jp-all-0339 | cost_bps: 10 n_sectors: 2 weighting: "equal_sector" | +0.36 | +0.57 | +0.23 | +0.61 |
formation_days=60, holding_days=60, n_sectors=3, weighting=cap_weight, cost_bps=5, regime_gate=True r-sector-rotation-jp-all-0357 | cost_bps: 5 n_sectors: 3 weighting: "cap_weight" | -0.05 | +0.39 | -0.21 | -0.51 |
formation_days=120, holding_days=5, n_sectors=3, weighting=equal_sector, cost_bps=10, regime_gate=True r-sector-rotation-jp-all-0399 | cost_bps: 10 n_sectors: 3 weighting: "equal_sector" | +0.07 | +0.54 | -0.20 | +0.32 |
formation_days=120, holding_days=10, n_sectors=2, weighting=cap_weight, cost_bps=5, regime_gate=True r-sector-rotation-jp-all-0441 | cost_bps: 5 n_sectors: 2 weighting: "cap_weight" | -0.20 | -0.47 | -0.17 | +6.14 |
formation_days=120, holding_days=20, n_sectors=2, weighting=equal_sector, cost_bps=10, regime_gate=True r-sector-rotation-jp-all-0483 | cost_bps: 10 n_sectors: 2 weighting: "equal_sector" | +0.55 | +0.43 | +0.47 | +2.72 |
formation_days=120, holding_days=20, n_sectors=3, weighting=cap_weight, cost_bps=5, regime_gate=True r-sector-rotation-jp-all-0501 | cost_bps: 5 n_sectors: 3 weighting: "cap_weight" | -0.30 | +0.03 | -0.34 | -2.02 |
formation_days=120, holding_days=60, n_sectors=3, weighting=equal_sector, cost_bps=10, regime_gate=True r-sector-rotation-jp-all-0543 | cost_bps: 10 n_sectors: 3 weighting: "equal_sector" | +0.14 | -0.07 | +0.26 | +0.14 |
formation_days=250, holding_days=5, n_sectors=2, weighting=equal_sector, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0576 | cost_bps: 5 n_sectors: 2 weighting: "equal_sector" | -0.46 | -1.08 | -0.01 | -1.27 |
formation_days=250, holding_days=5, n_sectors=2, weighting=cap_weight, cost_bps=10, regime_gate=False r-sector-rotation-jp-all-0586 | cost_bps: 10 n_sectors: 2 weighting: "cap_weight" | -0.46 | -2.12 | +0.44 | -1.01 |
formation_days=250, holding_days=10, n_sectors=2, weighting=equal_stock, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0628 | cost_bps: 5 n_sectors: 2 weighting: "equal_stock" | -0.48 | -1.68 | +0.07 | -0.13 |
formation_days=250, holding_days=10, n_sectors=3, weighting=cap_weight, cost_bps=10, regime_gate=False r-sector-rotation-jp-all-0646 | cost_bps: 10 n_sectors: 3 weighting: "cap_weight" | -0.56 | -1.17 | -0.53 | +1.16 |
formation_days=250, holding_days=20, n_sectors=3, weighting=equal_stock, cost_bps=5, regime_gate=False r-sector-rotation-jp-all-0688 | cost_bps: 5 n_sectors: 3 weighting: "equal_stock" | -0.07 | -0.28 | -0.10 | +0.51 |
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: 2026-07-29T01:08:34