Sector Rotation / Sector Momentum (JP Growth Stocks)
slug: sector-rotation-jp-growth
Sector Rotation / Sector Momentum (JP Growth Stocks) backtest. Median Sharpe across 576 parameter sets is -0.54. p-value is 0.21. Max DD is -21.9%. Period: 2022-03-01 to 2026-09-01. Best Sharpe +1.03 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)
-0.54
Max DD
-21.9%
Win rate
—
Alpha (ann.)
—
p-value
0.21
backtest period: 2022-03-01 → 2026-09-01
Sharpe across 576 grid runs:median -0.54best 1.03 (not representative)worst -1.69p25–p75 -0.80–-0.29
Hypothesis
Cross-sectional sector momentum: group stocks by TSE ticker-code sector, compute sector-level momentum, LONG top sectors, SHORT bottom sectors. Tests equal-sector, equal-stock, and cap-weighted approaches.
Why it didn't work
Across 576 grid combinations, median Sharpe=-0.54, best=1.03. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is 1.03 (p=0.033).
period 2022-03-01–2026-09-01; cost=5bps
cite ↗ /cite/sector-rotation-jp-growth-fact-best-sharpevia r-sector-rotation-jp-growth-0248
Median Sharpe across 576 grid runs is -0.54.
Full grid of 576 parameter combinations.
Median Sharpe in DOWN regime is -2.32 across 576 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.50 across 576 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.42 across 576 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-growth-0000 | cost_bps: 5 n_sectors: 2 weighting: "equal_sector" | -0.80 | -0.12 | -1.06 | -1.34 |
formation_days=20, holding_days=5, n_sectors=2, weighting=equal_sector, cost_bps=5, regime_gate=True r-sector-rotation-jp-growth-0001 | cost_bps: 5 n_sectors: 2 weighting: "equal_sector" | -0.77 | +0.33 | -1.06 | -1.34 |
formation_days=20, holding_days=5, n_sectors=2, weighting=equal_sector, cost_bps=10, regime_gate=False r-sector-rotation-jp-growth-0002 | cost_bps: 10 n_sectors: 2 weighting: "equal_sector" | -0.95 | -0.24 | -1.23 | -1.54 |
formation_days=20, holding_days=5, n_sectors=2, weighting=equal_sector, cost_bps=10, regime_gate=True r-sector-rotation-jp-growth-0003 | cost_bps: 10 n_sectors: 2 weighting: "equal_sector" | -0.92 | +0.24 | -1.23 | -1.54 |
formation_days=20, holding_days=5, n_sectors=2, weighting=equal_stock, cost_bps=5, regime_gate=False r-sector-rotation-jp-growth-0004 | cost_bps: 5 n_sectors: 2 weighting: "equal_stock" | -1.10 | -0.58 | -1.17 | -1.85 |
formation_days=20, holding_days=5, n_sectors=2, weighting=cap_weight, cost_bps=5, regime_gate=False r-sector-rotation-jp-growth-0008 | cost_bps: 5 n_sectors: 2 weighting: "cap_weight" | -1.11 | -0.63 | -1.32 | -0.21 |
formation_days=20, holding_days=5, n_sectors=4, weighting=equal_sector, cost_bps=5, regime_gate=False r-sector-rotation-jp-growth-0024 | cost_bps: 5 n_sectors: 4 weighting: "equal_sector" | -0.64 | +0.01 | -1.00 | +3.22 |
formation_days=20, holding_days=5, n_sectors=4, weighting=cap_weight, cost_bps=10, regime_gate=False r-sector-rotation-jp-growth-0034 | cost_bps: 10 n_sectors: 4 weighting: "cap_weight" | -1.69 | -1.17 | -1.77 | -2.18 |
formation_days=20, holding_days=5, n_sectors=4, weighting=cap_weight, cost_bps=10, regime_gate=True r-sector-rotation-jp-growth-0035 | cost_bps: 10 n_sectors: 4 weighting: "cap_weight" | -1.19 | -0.03 | -1.77 | -2.18 |
formation_days=20, holding_days=10, n_sectors=4, weighting=equal_sector, cost_bps=10, regime_gate=True r-sector-rotation-jp-growth-0075 | cost_bps: 10 n_sectors: 4 weighting: "equal_sector" | -0.44 | -0.05 | -0.83 | +0.55 |
formation_days=20, holding_days=20, n_sectors=3, weighting=equal_stock, cost_bps=10, regime_gate=True r-sector-rotation-jp-growth-0115 | cost_bps: 10 n_sectors: 3 weighting: "equal_stock" | -0.69 | -0.36 | -0.95 | +0.68 |
formation_days=20, holding_days=60, n_sectors=2, weighting=equal_sector, cost_bps=5, regime_gate=False r-sector-rotation-jp-growth-0144 | cost_bps: 5 n_sectors: 2 weighting: "equal_sector" | -0.28 | +0.05 | -0.42 | +0.01 |
formation_days=20, holding_days=60, n_sectors=3, weighting=equal_sector, cost_bps=5, regime_gate=False r-sector-rotation-jp-growth-0156 | cost_bps: 5 n_sectors: 3 weighting: "equal_sector" | -0.20 | +0.18 | -0.36 | +0.04 |
formation_days=60, holding_days=5, n_sectors=2, weighting=equal_stock, cost_bps=5, regime_gate=False r-sector-rotation-jp-growth-0196 | cost_bps: 5 n_sectors: 2 weighting: "equal_stock" | -0.97 | -1.19 | -0.65 | -6.12 |
formation_days=60, holding_days=5, n_sectors=4, weighting=cap_weight, cost_bps=5, regime_gate=False r-sector-rotation-jp-growth-0224 | cost_bps: 5 n_sectors: 4 weighting: "cap_weight" | -0.38 | -0.38 | -0.38 | -0.49 |
formation_days=60, holding_days=10, n_sectors=2, weighting=cap_weight, cost_bps=5, regime_gate=False r-sector-rotation-jp-growth-0248 | cost_bps: 5 n_sectors: 2 weighting: "cap_weight" | +1.03 | +1.05 | +1.19 | +0.03 |
formation_days=60, holding_days=10, n_sectors=4, weighting=equal_sector, cost_bps=5, regime_gate=True r-sector-rotation-jp-growth-0265 | cost_bps: 5 n_sectors: 4 weighting: "equal_sector" | -0.18 | -0.01 | -0.19 | -2.52 |
formation_days=60, holding_days=20, n_sectors=3, weighting=equal_stock, cost_bps=5, regime_gate=True r-sector-rotation-jp-growth-0305 | cost_bps: 5 n_sectors: 3 weighting: "equal_stock" | -0.27 | -0.21 | -0.21 | -2.34 |
formation_days=60, holding_days=60, n_sectors=2, weighting=cap_weight, cost_bps=5, regime_gate=True r-sector-rotation-jp-growth-0345 | cost_bps: 5 n_sectors: 2 weighting: "cap_weight" | +0.25 | -0.74 | +0.73 | +0.86 |
formation_days=120, holding_days=5, n_sectors=2, weighting=equal_sector, cost_bps=5, regime_gate=True r-sector-rotation-jp-growth-0385 | cost_bps: 5 n_sectors: 2 weighting: "equal_sector" | -0.63 | -0.18 | -0.54 | -2.95 |
formation_days=120, holding_days=5, n_sectors=4, weighting=equal_stock, cost_bps=5, regime_gate=True r-sector-rotation-jp-growth-0413 | cost_bps: 5 n_sectors: 4 weighting: "equal_stock" | -0.49 | +0.34 | -1.14 | -0.20 |
formation_days=120, holding_days=10, n_sectors=3, weighting=cap_weight, cost_bps=5, regime_gate=True r-sector-rotation-jp-growth-0453 | cost_bps: 5 n_sectors: 3 weighting: "cap_weight" | -0.24 | -0.10 | -0.21 | -3.07 |
formation_days=120, holding_days=20, n_sectors=3, weighting=equal_sector, cost_bps=5, regime_gate=True r-sector-rotation-jp-growth-0493 | cost_bps: 5 n_sectors: 3 weighting: "equal_sector" | -0.98 | -0.72 | -1.02 | -1.56 |
formation_days=120, holding_days=60, n_sectors=2, weighting=equal_stock, cost_bps=5, regime_gate=True r-sector-rotation-jp-growth-0533 | cost_bps: 5 n_sectors: 2 weighting: "equal_stock" | -0.03 | -0.78 | +0.36 | -1.35 |
formation_days=120, holding_days=60, n_sectors=4, weighting=cap_weight, cost_bps=5, regime_gate=True r-sector-rotation-jp-growth-0561 | cost_bps: 5 n_sectors: 4 weighting: "cap_weight" | -0.78 | -1.63 | -0.47 | -2.59 |
formation_days=250, holding_days=5, n_sectors=2, weighting=equal_sector, cost_bps=5, regime_gate=False r-sector-rotation-jp-growth-0576 | cost_bps: 5 n_sectors: 2 weighting: "equal_sector" | +0.42 | +1.07 | +0.63 | -2.20 |
formation_days=250, holding_days=5, n_sectors=4, weighting=equal_sector, cost_bps=10, regime_gate=False r-sector-rotation-jp-growth-0602 | cost_bps: 10 n_sectors: 4 weighting: "equal_sector" | -0.90 | -0.97 | -0.63 | -1.97 |
formation_days=250, holding_days=10, n_sectors=3, weighting=equal_stock, cost_bps=10, regime_gate=False r-sector-rotation-jp-growth-0642 | cost_bps: 10 n_sectors: 3 weighting: "equal_stock" | -0.86 | -0.87 | -0.71 | -2.62 |
formation_days=250, holding_days=20, n_sectors=2, weighting=cap_weight, cost_bps=10, regime_gate=False r-sector-rotation-jp-growth-0682 | cost_bps: 10 n_sectors: 2 weighting: "cap_weight" | -0.68 | -0.56 | -0.42 | -7.63 |
formation_days=250, holding_days=60, n_sectors=2, weighting=equal_sector, cost_bps=10, regime_gate=False r-sector-rotation-jp-growth-0722 | cost_bps: 10 n_sectors: 2 weighting: "equal_sector" | -0.22 | -0.36 | +0.32 | -6.98 |
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: 2026-09-24T21:54:27