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rejectedno_edge· equity· cross-sectional· momentum· sector-rotation

Sector Rotation / Sector Momentum (JP All Stocks)

slug: sector-rotation-jp-all

Sector Rotation / Sector Momentum (JP All Stocks) backtest. Median Sharpe across 384 parameter sets is -0.09. p-value is 0.68. Max DD is -23.7%. Period: 2022-03-01 to 2026-09-01. Best Sharpe +0.50 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)
-0.09
Max DD
-23.7%
Win rate
—
Alpha (ann.)
—
p-value
0.68
backtest period: 2022-03-01 → 2026-09-01
Sharpe across 384 grid runs:median -0.09best 0.50 (not representative)worst -0.80p25–p75 -0.29–0.08

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=-0.09, best=0.50. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 0.50 (p=0.34).
period 2022-03-01–2026-09-01; cost=5bps
sharpe_ratio0.50
cite ↗ /cite/sector-rotation-jp-all-fact-best-sharpevia r-sector-rotation-jp-all-0685
Median Sharpe across 384 grid runs is -0.09.
Full grid of 384 parameter combinations.
sharpe_ratio-0.09
cite ↗ /cite/sector-rotation-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is 0.07 across 384 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio0.07
cite ↗ /cite/sector-rotation-jp-all-fact-regime-down
Median Sharpe in FLAT regime is -0.14 across 384 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.14
cite ↗ /cite/sector-rotation-jp-all-fact-regime-flat
Median Sharpe in UP regime is 0.08 across 384 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.08
cite ↗ /cite/sector-rotation-jp-all-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
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"
-0.30-0.07-0.34-0.50
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"
-0.27+0.01-0.34-0.50
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"
-0.45-0.25-0.49-0.65
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"
-0.40-0.06-0.49-0.65
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"
-0.17+0.12-0.23-0.36
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"
-0.34-0.90-0.16+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"
-0.22+0.18-0.32-0.60
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"
-0.03+0.57-0.20-0.55
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"
+0.12+1.73-0.21-1.21
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"
-0.80-0.07-0.95-2.02
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"
-0.17+1.08-0.76-1.93
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"
-0.06-0.60+0.29+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"
-0.12-0.86+0.42+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"
-0.21-0.58+0.07-0.89
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"
+0.30+1.26-0.04+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"
-0.14+0.56-0.46+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"
+0.36+1.00+0.04-0.22
formation_days=60, holding_days=60, n_sectors=2, weighting=equal_sector, cost_bps=10, regime_gate=False
r-sector-rotation-jp-all-0338
cost_bps: 10
n_sectors: 2
weighting: "equal_sector"
+0.09+0.16+0.00+0.61
formation_days=60, holding_days=60, n_sectors=3, weighting=cap_weight, cost_bps=5, regime_gate=False
r-sector-rotation-jp-all-0356
cost_bps: 5
n_sectors: 3
weighting: "cap_weight"
-0.09+0.23-0.32-0.51
formation_days=120, holding_days=5, n_sectors=3, weighting=equal_sector, cost_bps=10, regime_gate=False
r-sector-rotation-jp-all-0398
cost_bps: 10
n_sectors: 3
weighting: "equal_sector"
-0.23-0.41-0.15+0.32
formation_days=120, holding_days=10, n_sectors=2, weighting=cap_weight, cost_bps=5, regime_gate=False
r-sector-rotation-jp-all-0440
cost_bps: 5
n_sectors: 2
weighting: "cap_weight"
-0.48-0.82-0.44+6.14
formation_days=120, holding_days=20, n_sectors=2, weighting=equal_sector, cost_bps=10, regime_gate=False
r-sector-rotation-jp-all-0482
cost_bps: 10
n_sectors: 2
weighting: "equal_sector"
-0.46-1.06-0.26+2.72
formation_days=120, holding_days=20, n_sectors=3, weighting=cap_weight, cost_bps=5, regime_gate=False
r-sector-rotation-jp-all-0500
cost_bps: 5
n_sectors: 3
weighting: "cap_weight"
-0.51+0.29-0.79-2.02
formation_days=120, holding_days=60, n_sectors=3, weighting=equal_sector, cost_bps=10, regime_gate=False
r-sector-rotation-jp-all-0542
cost_bps: 10
n_sectors: 3
weighting: "equal_sector"
-0.18-0.62+0.04+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"
-0.44-1.22+0.11-1.27
formation_days=250, holding_days=5, n_sectors=2, weighting=cap_weight, cost_bps=5, regime_gate=True
r-sector-rotation-jp-all-0585
cost_bps: 5
n_sectors: 2
weighting: "cap_weight"
0.00-1.14+0.63-0.91
formation_days=250, holding_days=10, n_sectors=2, weighting=equal_sector, cost_bps=10, regime_gate=True
r-sector-rotation-jp-all-0627
cost_bps: 10
n_sectors: 2
weighting: "equal_sector"
-0.13-0.17-0.18+0.93
formation_days=250, holding_days=10, n_sectors=3, weighting=cap_weight, cost_bps=5, regime_gate=True
r-sector-rotation-jp-all-0645
cost_bps: 5
n_sectors: 3
weighting: "cap_weight"
-0.22-0.48-0.24+1.27
formation_days=250, holding_days=20, n_sectors=3, weighting=equal_sector, cost_bps=5, regime_gate=True
r-sector-rotation-jp-all-0685
cost_bps: 5
n_sectors: 3
weighting: "equal_sector"
+0.50+0.92+0.07+1.61
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"
+0.08+0.28-0.16+0.51

Target universe

Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks

Related strategies

same_strategy:sector-rotation-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:17
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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