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rejectedno_edge· equity· factor· reversal· skewness

Skewness Reversal (JP All Stocks)

slug: skewness-reversal-jp-all

Skewness Reversal (JP All Stocks) backtest. Median Sharpe across 144 parameter sets is -0.45. p-value is 0.31. Max DD is -16.8%. Period: 2022-02-01 to 2026-09-01. Best Sharpe +0.73 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)
-0.45
Max DD
-16.8%
Win rate
—
Alpha (ann.)
—
p-value
0.31
backtest period: 2022-02-01 → 2026-09-01
Sharpe across 144 grid runs:median -0.45best 0.73 (not representative)worst -1.49p25–p75 -0.72–-0.20

Hypothesis

Investors overpay for lottery-like positive skewness and shun negative skewness (Harvey & Siddique 2000 line): stocks with extreme recent return skewness should subsequently revert. Ranking on realized skewness tests the effect long/short.

Why it didn't work

Across 144 grid combinations, median Sharpe=-0.45, best=0.73. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 0.73 (p=0.12).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio0.73
cite ↗ /cite/skewness-reversal-jp-all-fact-best-sharpevia r-skewness-reversal-jp-all-0005
Median Sharpe across 144 grid runs is -0.45.
Full grid of 144 parameter combinations.
sharpe_ratio-0.45
cite ↗ /cite/skewness-reversal-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is 0.64 across 144 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio0.64
cite ↗ /cite/skewness-reversal-jp-all-fact-regime-down
Median Sharpe in FLAT regime is -1.26 across 144 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-1.26
cite ↗ /cite/skewness-reversal-jp-all-fact-regime-flat
Median Sharpe in UP regime is 0.11 across 144 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.11
cite ↗ /cite/skewness-reversal-jp-all-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
lookback_days=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-skewness-reversal-jp-all-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.56-0.04-1.59+0.75
lookback_days=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-skewness-reversal-jp-all-0001
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.14-0.03-0.72+1.98
lookback_days=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-skewness-reversal-jp-all-0002
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.10-0.30+0.14+1.22
lookback_days=20, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-skewness-reversal-jp-all-0003
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.68-0.16-1.59+0.75
lookback_days=20, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20
r-skewness-reversal-jp-all-0005
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.73+1.33+0.14+1.22
lookback_days=20, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-skewness-reversal-jp-all-0006
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.78-0.24-1.82+0.46
lookback_days=20, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20
r-skewness-reversal-jp-all-0011
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.62+1.26+0.01+1.00
lookback_days=20, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20
r-skewness-reversal-jp-all-0017
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.03+1.17-0.82-0.57
lookback_days=20, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=20
r-skewness-reversal-jp-all-0023
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.16+1.07-1.00-0.71
lookback_days=20, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=20
r-skewness-reversal-jp-all-0029
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.52+1.02-1.89-1.10
lookback_days=20, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=20
r-skewness-reversal-jp-all-0035
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.68+0.92-2.11-1.38
lookback_days=20, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-skewness-reversal-jp-all-0036
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.62-0.16-1.16-0.38
lookback_days=20, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-skewness-reversal-jp-all-0042
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.32-0.81-1.85-1.12
lookback_days=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-skewness-reversal-jp-all-0048
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.48+0.21-1.53+1.11
lookback_days=40, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-skewness-reversal-jp-all-0054
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.74-0.06-1.78+0.78
lookback_days=40, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1
r-skewness-reversal-jp-all-0060
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.24+0.64-1.65+0.27
lookback_days=40, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=1
r-skewness-reversal-jp-all-0066
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.68+0.26-2.21-0.28
lookback_days=40, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=1
r-skewness-reversal-jp-all-0072
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.22+0.36-1.23+2.20
lookback_days=40, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=1
r-skewness-reversal-jp-all-0078
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.84-0.19-1.85+0.74
lookback_days=40, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-skewness-reversal-jp-all-0084
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.32-0.33-0.94+1.75
lookback_days=40, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-skewness-reversal-jp-all-0090
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.05-1.06-1.65+0.86
lookback_days=40, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=20
r-skewness-reversal-jp-all-0092
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.49-0.67-2.16-1.63
lookback_days=60, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-skewness-reversal-jp-all-0096
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.27+0.36-1.05+1.06
lookback_days=60, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-skewness-reversal-jp-all-0098
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.19+0.49-0.94-0.07
lookback_days=60, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20
r-skewness-reversal-jp-all-0104
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.30+0.39-1.05-0.24
lookback_days=60, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20
r-skewness-reversal-jp-all-0110
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.17+0.52-0.56-0.59
lookback_days=60, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20
r-skewness-reversal-jp-all-0116
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.29+0.38-0.66-0.71
lookback_days=60, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=20
r-skewness-reversal-jp-all-0122
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.55-0.51-0.43-0.95
lookback_days=60, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=20
r-skewness-reversal-jp-all-0128
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.73-0.69-0.61-1.11
lookback_days=60, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=20
r-skewness-reversal-jp-all-0134
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.71+0.22-1.56-0.98

Target universe

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

Related strategies

same_strategy:skewness-reversal-jp-growthsame_strategy:skewness-reversal-us-sp500
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-26T06:01:55
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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