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marginalno_edge· equity· mean-reversion· regime· reversal

Short-Term Reversal Regime-Gated (JP Growth Stocks)

slug: short-term-reversal-regime-gated-jp-growth

Short-Term Reversal Regime-Gated (JP Growth Stocks) backtest. Median Sharpe across 81 parameter sets is +0.46. p-value is 0.64. Max DD is -5.0%. Period: 2023-07-03 to 2024-06-24. Best Sharpe +2.65 is not the representative figure.

Verdict: marginal. Some parameter set has a p-value under 0.10, but the median itself misses promising (Sharpe > 0.5 and p-value < 0.05). Primary reason: no_edge. It is not regime, frequency, or cost, and the median does not clear the bar.

Performance summary

Sharpe (median)
+0.46
Max DD
-5.0%
Win rate
—
Alpha (ann.)
—
p-value
0.64
backtest period: 2023-07-03 → 2024-06-24
Sharpe across 81 grid runs:median 0.46best 2.65 (not representative)worst -1.04p25–p75 0.09–1.00

Hypothesis

Short-term reversal confined to FLAT regime removes UP-regime drag (UP=-0.11) and achieves positive median Sharpe. Phase 1 showed overall median 0.30 (marginal) with FLAT=1.77 but UP=-0.11.

Why it didn't work

Across 81 grid combinations, median Sharpe=0.46, best=2.65. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 2.65 (p=0.072).
period 2023-07-03–2024-06-24; cost=5.0bps
sharpe_ratio2.65
cite ↗ /cite/short-term-reversal-regime-gated-jp-growth-fact-best-sharpevia r-short-term-reversal-regime-gated-jp-growth-0028
Median Sharpe across 81 grid runs is 0.46.
Full grid of 81 parameter combinations.
sharpe_ratio0.46
cite ↗ /cite/short-term-reversal-regime-gated-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is -0.34 across 81 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.34
cite ↗ /cite/short-term-reversal-regime-gated-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is 0.83 across 81 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.83
cite ↗ /cite/short-term-reversal-regime-gated-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -0.19 across 81 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.19
cite ↗ /cite/short-term-reversal-regime-gated-jp-growth-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
regime_gate=ALL, lookback=3, n_positions=10
r-short-term-reversal-regime-gated-jp-growth-0000
lookback: 3
n_positions: 10
regime_gate: "ALL"
+0.51-0.35+1.00+0.31
regime_gate=ALL, lookback=3, n_positions=10
r-short-term-reversal-regime-gated-jp-growth-0001
lookback: 3
n_positions: 10
regime_gate: "ALL"
+1.28+0.67+2.65+0.49
regime_gate=ALL, lookback=3, n_positions=15
r-short-term-reversal-regime-gated-jp-growth-0004
lookback: 3
n_positions: 15
regime_gate: "ALL"
+0.38+0.53+1.08-0.90
regime_gate=ALL, lookback=3, n_positions=20
r-short-term-reversal-regime-gated-jp-growth-0006
lookback: 3
n_positions: 20
regime_gate: "ALL"
+0.17-1.34+0.92+1.23
regime_gate=ALL, lookback=3, n_positions=20
r-short-term-reversal-regime-gated-jp-growth-0008
lookback: 3
n_positions: 20
regime_gate: "ALL"
-0.05-0.14-0.46—
regime_gate=ALL, lookback=5, n_positions=10
r-short-term-reversal-regime-gated-jp-growth-0011
lookback: 5
n_positions: 10
regime_gate: "ALL"
-0.04-0.67+1.53—
regime_gate=ALL, lookback=5, n_positions=15
r-short-term-reversal-regime-gated-jp-growth-0014
lookback: 5
n_positions: 15
regime_gate: "ALL"
-0.15-0.31+0.25—
regime_gate=ALL, lookback=5, n_positions=20
r-short-term-reversal-regime-gated-jp-growth-0017
lookback: 5
n_positions: 20
regime_gate: "ALL"
-0.45-0.60+0.09—
regime_gate=ALL, lookback=10, n_positions=10
r-short-term-reversal-regime-gated-jp-growth-0018
lookback: 10
n_positions: 10
regime_gate: "ALL"
-0.49-1.12-0.23+0.05
regime_gate=ALL, lookback=10, n_positions=15
r-short-term-reversal-regime-gated-jp-growth-0021
lookback: 10
n_positions: 15
regime_gate: "ALL"
-0.13-0.09-0.04-0.50
regime_gate=ALL, lookback=10, n_positions=20
r-short-term-reversal-regime-gated-jp-growth-0024
lookback: 10
n_positions: 20
regime_gate: "ALL"
-0.50-0.32-0.27-1.55
regime_gate=FLAT-only, lookback=3, n_positions=10
r-short-term-reversal-regime-gated-jp-growth-0027
lookback: 3
n_positions: 10
regime_gate: "FLAT-only"
+1.00—+1.00—
regime_gate=FLAT-only, lookback=3, n_positions=10
r-short-term-reversal-regime-gated-jp-growth-0028
lookback: 3
n_positions: 10
regime_gate: "FLAT-only"
+2.65—+2.65—
regime_gate=FLAT-only, lookback=3, n_positions=10
r-short-term-reversal-regime-gated-jp-growth-0029
lookback: 3
n_positions: 10
regime_gate: "FLAT-only"
+1.53—+1.53—
regime_gate=FLAT-only, lookback=3, n_positions=15
r-short-term-reversal-regime-gated-jp-growth-0032
lookback: 3
n_positions: 15
regime_gate: "FLAT-only"
+0.98—+0.98—
regime_gate=FLAT-only, lookback=3, n_positions=20
r-short-term-reversal-regime-gated-jp-growth-0035
lookback: 3
n_positions: 20
regime_gate: "FLAT-only"
-0.46—-0.46—
regime_gate=FLAT-only, lookback=5, n_positions=10
r-short-term-reversal-regime-gated-jp-growth-0038
lookback: 5
n_positions: 10
regime_gate: "FLAT-only"
+1.53—+1.53—
regime_gate=FLAT-only, lookback=5, n_positions=15
r-short-term-reversal-regime-gated-jp-growth-0041
lookback: 5
n_positions: 15
regime_gate: "FLAT-only"
+0.25—+0.25—
regime_gate=FLAT-only, lookback=5, n_positions=20
r-short-term-reversal-regime-gated-jp-growth-0044
lookback: 5
n_positions: 20
regime_gate: "FLAT-only"
+0.09—+0.09—
regime_gate=FLAT-only, lookback=10, n_positions=10
r-short-term-reversal-regime-gated-jp-growth-0047
lookback: 10
n_positions: 10
regime_gate: "FLAT-only"
+2.23—+2.23—
regime_gate=FLAT-only, lookback=10, n_positions=15
r-short-term-reversal-regime-gated-jp-growth-0050
lookback: 10
n_positions: 15
regime_gate: "FLAT-only"
+2.21—+2.21—
regime_gate=FLAT-only, lookback=10, n_positions=20
r-short-term-reversal-regime-gated-jp-growth-0052
lookback: 10
n_positions: 20
regime_gate: "FLAT-only"
-1.04—-1.04—
regime_gate=FLAT+DOWN, lookback=3, n_positions=10
r-short-term-reversal-regime-gated-jp-growth-0054
lookback: 3
n_positions: 10
regime_gate: "FLAT+DOWN"
+0.90—+1.00+0.31
regime_gate=FLAT+DOWN, lookback=3, n_positions=15
r-short-term-reversal-regime-gated-jp-growth-0057
lookback: 3
n_positions: 15
regime_gate: "FLAT+DOWN"
+0.44—+0.74-1.23
regime_gate=FLAT+DOWN, lookback=3, n_positions=20
r-short-term-reversal-regime-gated-jp-growth-0060
lookback: 3
n_positions: 20
regime_gate: "FLAT+DOWN"
+0.96—+0.92+1.23
regime_gate=FLAT+DOWN, lookback=5, n_positions=10
r-short-term-reversal-regime-gated-jp-growth-0063
lookback: 5
n_positions: 10
regime_gate: "FLAT+DOWN"
-0.59—-0.13-2.71
regime_gate=FLAT+DOWN, lookback=5, n_positions=15
r-short-term-reversal-regime-gated-jp-growth-0066
lookback: 5
n_positions: 15
regime_gate: "FLAT+DOWN"
+0.14—+0.37-0.95
regime_gate=FLAT+DOWN, lookback=5, n_positions=20
r-short-term-reversal-regime-gated-jp-growth-0069
lookback: 5
n_positions: 20
regime_gate: "FLAT+DOWN"
+0.56—+0.91-1.72
regime_gate=FLAT+DOWN, lookback=10, n_positions=10
r-short-term-reversal-regime-gated-jp-growth-0072
lookback: 10
n_positions: 10
regime_gate: "FLAT+DOWN"
-0.17—-0.23+0.05
regime_gate=FLAT+DOWN, lookback=10, n_positions=15
r-short-term-reversal-regime-gated-jp-growth-0075
lookback: 10
n_positions: 15
regime_gate: "FLAT+DOWN"
-0.15—-0.04-0.50

Target universe

Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY

Related strategies

same_strategy:short-term-reversal-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:16
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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