Trend Following / Donchian Breakout (JP All Stocks)
slug: trend-following-jp-all
performance summary
Sharpe (median)
+0.13
Max DD
-22.1%
Win rate
—
Alpha (ann.)
—
p-value
0.64
backtest period: 2022-02-01 → 2026-02-02
Sharpe across 384 grid runs:median 0.13best 0.82 (not representative)worst -0.50p25–p75 -0.04–0.28
Hypothesis
Donchian channel breakout: stocks breaking above N-day highs continue trending. Testing on the full Japanese stock universe.
Why it didn't work
Across 384 grid combinations, median Sharpe=0.13, best=0.82. Primary failure mode: regime_dependent.
Facts (7)
Average monthly return correlation with other strategies in DOWN regime: -0.17
Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
Average monthly return correlation with other strategies (full period): 0.02
Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
Best grid Sharpe ratio is 0.82 (p=0.1).
period 2022-02-01–2026-02-02; cost=5bps
cite ↗ /cite/trend-following-jp-all-fact-best-sharpevia r-trend-following-jp-all-0397
Median Sharpe across 384 grid runs is 0.13.
Full grid of 384 parameter combinations.
Median Sharpe in DOWN regime is 1.20 across 384 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.05 across 384 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.63 across 384 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
channel_days=20, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-jp-all-0000 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | +0.18 | +0.96 | -0.05 | +1.75 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=True r-trend-following-jp-all-0001 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | +0.08 | +0.29 | -0.05 | +1.75 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=10, regime_gate=False r-trend-following-jp-all-0002 | cost_bps: 10 n_stocks: 5 exit_method: "hold" | +0.03 | +0.76 | -0.19 | +1.50 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=10, regime_gate=True r-trend-following-jp-all-0003 | cost_bps: 10 n_stocks: 5 exit_method: "hold" | -0.06 | +0.20 | -0.19 | +1.50 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=channel_exit, cost_bps=5, regime_gate=False r-trend-following-jp-all-0004 | cost_bps: 5 n_stocks: 5 exit_method: "channel_exit" | +0.18 | +0.96 | -0.05 | +1.75 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=trailing_mid, cost_bps=5, regime_gate=False r-trend-following-jp-all-0008 | cost_bps: 5 n_stocks: 5 exit_method: "trailing_mid" | +0.18 | +0.96 | -0.05 | +1.75 |
channel_days=20, holding_days=5, n_stocks=10, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-jp-all-0012 | cost_bps: 5 n_stocks: 10 exit_method: "hold" | +0.52 | +1.01 | +0.35 | +0.10 |
channel_days=20, holding_days=10, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-jp-all-0048 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | +0.35 | +1.88 | +0.04 | +1.21 |
channel_days=20, holding_days=10, n_stocks=10, exit_method=channel_exit, cost_bps=10, regime_gate=False r-trend-following-jp-all-0066 | cost_bps: 10 n_stocks: 10 exit_method: "channel_exit" | +0.43 | +1.07 | +0.33 | -0.13 |
channel_days=20, holding_days=20, n_stocks=10, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-jp-all-0108 | cost_bps: 5 n_stocks: 10 exit_method: "hold" | +0.01 | +1.80 | -0.62 | +0.56 |
channel_days=20, holding_days=60, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-jp-all-0144 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | +0.30 | +1.49 | -0.22 | +5.07 |
channel_days=20, holding_days=60, n_stocks=5, exit_method=channel_exit, cost_bps=10, regime_gate=True r-trend-following-jp-all-0151 | cost_bps: 10 n_stocks: 5 exit_method: "channel_exit" | +0.19 | +1.12 | -0.25 | +5.03 |
channel_days=40, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=True r-trend-following-jp-all-0193 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | +0.21 | +0.24 | +0.19 | +0.40 |
channel_days=40, holding_days=5, n_stocks=10, exit_method=channel_exit, cost_bps=10, regime_gate=True r-trend-following-jp-all-0211 | cost_bps: 10 n_stocks: 10 exit_method: "channel_exit" | +0.33 | +0.54 | +0.17 | +0.89 |
channel_days=40, holding_days=10, n_stocks=10, exit_method=hold, cost_bps=5, regime_gate=True r-trend-following-jp-all-0253 | cost_bps: 5 n_stocks: 10 exit_method: "hold" | +0.45 | +0.65 | +0.29 | +1.28 |
channel_days=40, holding_days=20, n_stocks=5, exit_method=channel_exit, cost_bps=10, regime_gate=True r-trend-following-jp-all-0295 | cost_bps: 10 n_stocks: 5 exit_method: "channel_exit" | -0.07 | +1.35 | -0.54 | +1.89 |
channel_days=40, holding_days=60, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=True r-trend-following-jp-all-0337 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | +0.15 | +0.83 | -0.07 | +1.15 |
channel_days=40, holding_days=60, n_stocks=10, exit_method=channel_exit, cost_bps=10, regime_gate=True r-trend-following-jp-all-0355 | cost_bps: 10 n_stocks: 10 exit_method: "channel_exit" | +0.12 | +0.60 | -0.05 | +0.72 |
channel_days=60, holding_days=5, n_stocks=10, exit_method=hold, cost_bps=5, regime_gate=True r-trend-following-jp-all-0397 | cost_bps: 5 n_stocks: 10 exit_method: "hold" | +0.82 | +0.94 | +0.78 | +0.48 |
channel_days=60, holding_days=5, n_stocks=10, exit_method=hold, cost_bps=10, regime_gate=False r-trend-following-jp-all-0398 | cost_bps: 10 n_stocks: 10 exit_method: "hold" | +0.35 | -0.26 | +0.62 | +0.34 |
channel_days=60, holding_days=10, n_stocks=5, exit_method=trailing_mid, cost_bps=5, regime_gate=False r-trend-following-jp-all-0440 | cost_bps: 5 n_stocks: 5 exit_method: "trailing_mid" | +0.30 | +0.37 | +0.16 | +1.44 |
channel_days=60, holding_days=20, n_stocks=5, exit_method=hold, cost_bps=10, regime_gate=False r-trend-following-jp-all-0482 | cost_bps: 10 n_stocks: 5 exit_method: "hold" | +0.08 | +1.39 | -0.46 | +4.56 |
channel_days=60, holding_days=20, n_stocks=10, exit_method=trailing_mid, cost_bps=5, regime_gate=False r-trend-following-jp-all-0500 | cost_bps: 5 n_stocks: 10 exit_method: "trailing_mid" | +0.39 | +1.46 | -0.13 | +2.70 |
channel_days=60, holding_days=60, n_stocks=10, exit_method=hold, cost_bps=10, regime_gate=False r-trend-following-jp-all-0542 | cost_bps: 10 n_stocks: 10 exit_method: "hold" | +0.08 | +0.65 | -0.05 | -0.03 |
channel_days=120, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-jp-all-0576 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | -0.19 | -0.97 | +0.02 | -0.15 |
channel_days=120, holding_days=5, n_stocks=5, exit_method=trailing_mid, cost_bps=5, regime_gate=True r-trend-following-jp-all-0585 | cost_bps: 5 n_stocks: 5 exit_method: "trailing_mid" | -0.06 | -0.33 | +0.02 | -0.15 |
channel_days=120, holding_days=5, n_stocks=10, exit_method=hold, cost_bps=10, regime_gate=False r-trend-following-jp-all-0590 | cost_bps: 10 n_stocks: 10 exit_method: "hold" | -0.50 | -1.95 | +0.11 | -1.05 |
channel_days=120, holding_days=10, n_stocks=5, exit_method=channel_exit, cost_bps=5, regime_gate=False r-trend-following-jp-all-0628 | cost_bps: 5 n_stocks: 5 exit_method: "channel_exit" | -0.04 | -0.48 | -0.07 | +1.49 |
channel_days=120, holding_days=10, n_stocks=10, exit_method=trailing_mid, cost_bps=10, regime_gate=False r-trend-following-jp-all-0646 | cost_bps: 10 n_stocks: 10 exit_method: "trailing_mid" | -0.34 | -1.18 | -0.16 | +1.49 |
channel_days=120, holding_days=20, n_stocks=10, exit_method=channel_exit, cost_bps=5, regime_gate=False r-trend-following-jp-all-0688 | cost_bps: 5 n_stocks: 10 exit_method: "channel_exit" | -0.09 | -0.02 | -0.33 | +3.04 |
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: 2026-07-28T01:10:02