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rejectedno_edge· equity· breakout· momentum· trend-following

Trend Following / Donchian Breakout (JP All Stocks)

slug: trend-following-jp-all

Trend Following / Donchian Breakout (JP All Stocks) backtest. Median Sharpe across 768 parameter sets is -0.31. p-value is 0.26. Max DD is -28.1%. Period: 2022-02-01 to 2026-09-01. Best Sharpe +0.80 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)
-0.31
Max DD
-28.1%
Win rate
—
Alpha (ann.)
—
p-value
0.26
backtest period: 2022-02-01 → 2026-09-01
Sharpe across 768 grid runs:median -0.31best 0.80 (not representative)worst -1.34p25–p75 -0.74–0.08

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 768 grid combinations, median Sharpe=-0.31, best=0.80. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 0.80 (p=0.086).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio0.80
cite ↗ /cite/trend-following-jp-all-fact-best-sharpevia r-trend-following-jp-all-0037
Median Sharpe across 768 grid runs is -0.31.
Full grid of 768 parameter combinations.
sharpe_ratio-0.31
cite ↗ /cite/trend-following-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is -0.93 across 768 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.93
cite ↗ /cite/trend-following-jp-all-fact-regime-down
Median Sharpe in FLAT regime is 0.04 across 768 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.04
cite ↗ /cite/trend-following-jp-all-fact-regime-flat
Median Sharpe in UP regime is -0.55 across 768 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.55
cite ↗ /cite/trend-following-jp-all-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
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"
-0.48-0.68+0.11-1.62
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"
-0.45-0.68+0.11-1.62
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"
-0.58-0.78+0.01-1.72
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"
-0.54-0.75+0.01-1.72
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"
-0.48-0.68+0.11-1.62
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"
-0.48-0.68+0.11-1.62
channel_days=20, holding_days=5, n_stocks=50, exit_method=hold, cost_bps=5, regime_gate=False
r-trend-following-jp-all-0036
cost_bps: 5
n_stocks: 50
exit_method: "hold"
+0.72+0.59+0.95+0.35
channel_days=20, holding_days=5, n_stocks=50, exit_method=hold, cost_bps=5, regime_gate=True
r-trend-following-jp-all-0037
cost_bps: 5
n_stocks: 50
exit_method: "hold"
+0.80+0.78+0.95+0.35
channel_days=20, holding_days=5, n_stocks=50, exit_method=trailing_mid, cost_bps=5, regime_gate=False
r-trend-following-jp-all-0044
cost_bps: 5
n_stocks: 50
exit_method: "trailing_mid"
+0.72+0.59+0.95+0.35
channel_days=20, holding_days=10, n_stocks=20, exit_method=trailing_mid, cost_bps=5, regime_gate=True
r-trend-following-jp-all-0081
cost_bps: 5
n_stocks: 20
exit_method: "trailing_mid"
-0.01-0.01+0.53-1.28
channel_days=20, holding_days=20, n_stocks=10, exit_method=trailing_mid, cost_bps=10, regime_gate=False
r-trend-following-jp-all-0118
cost_bps: 10
n_stocks: 10
exit_method: "trailing_mid"
-1.03-1.23-0.94-0.57
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"
-0.76-1.29-0.28-0.93
channel_days=20, holding_days=60, n_stocks=10, exit_method=hold, cost_bps=5, regime_gate=False
r-trend-following-jp-all-0156
cost_bps: 5
n_stocks: 10
exit_method: "hold"
-0.82-0.96-0.71-0.72
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"
-0.45-1.13+0.42-1.66
channel_days=40, holding_days=5, n_stocks=50, exit_method=hold, cost_bps=10, regime_gate=False
r-trend-following-jp-all-0230
cost_bps: 10
n_stocks: 50
exit_method: "hold"
+0.27-0.14+0.77-0.12
channel_days=40, holding_days=10, n_stocks=20, exit_method=hold, cost_bps=10, regime_gate=True
r-trend-following-jp-all-0267
cost_bps: 10
n_stocks: 20
exit_method: "hold"
-0.19-0.14-0.05-0.77
channel_days=40, holding_days=20, n_stocks=10, exit_method=channel_exit, cost_bps=5, regime_gate=False
r-trend-following-jp-all-0304
cost_bps: 5
n_stocks: 10
exit_method: "channel_exit"
-0.99-1.24-0.81-0.77
channel_days=40, holding_days=60, n_stocks=5, exit_method=channel_exit, cost_bps=5, regime_gate=True
r-trend-following-jp-all-0341
cost_bps: 5
n_stocks: 5
exit_method: "channel_exit"
-0.30-0.55-0.05-0.51
channel_days=40, holding_days=60, n_stocks=50, exit_method=channel_exit, cost_bps=10, regime_gate=False
r-trend-following-jp-all-0378
cost_bps: 10
n_stocks: 50
exit_method: "channel_exit"
+0.42+0.45+0.56-0.51
channel_days=60, holding_days=5, n_stocks=20, exit_method=channel_exit, cost_bps=10, regime_gate=True
r-trend-following-jp-all-0415
cost_bps: 10
n_stocks: 20
exit_method: "channel_exit"
-0.08-0.99+0.67-0.46
channel_days=60, holding_days=10, n_stocks=10, exit_method=trailing_mid, cost_bps=5, regime_gate=False
r-trend-following-jp-all-0452
cost_bps: 5
n_stocks: 10
exit_method: "trailing_mid"
-0.74-1.10-0.42-1.29
channel_days=60, holding_days=20, n_stocks=5, exit_method=trailing_mid, cost_bps=5, regime_gate=True
r-trend-following-jp-all-0489
cost_bps: 5
n_stocks: 5
exit_method: "trailing_mid"
-0.92-1.42-0.76-0.57
channel_days=60, holding_days=20, n_stocks=50, exit_method=trailing_mid, cost_bps=10, regime_gate=False
r-trend-following-jp-all-0526
cost_bps: 10
n_stocks: 50
exit_method: "trailing_mid"
-0.25-0.22-0.14-0.72
channel_days=60, holding_days=60, n_stocks=20, exit_method=trailing_mid, cost_bps=10, regime_gate=True
r-trend-following-jp-all-0563
cost_bps: 10
n_stocks: 20
exit_method: "trailing_mid"
+0.10+0.35+0.14-0.93
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"
-0.80-0.49-0.75-1.81
channel_days=120, holding_days=5, n_stocks=20, exit_method=hold, cost_bps=5, regime_gate=True
r-trend-following-jp-all-0601
cost_bps: 5
n_stocks: 20
exit_method: "hold"
+0.09-0.67+0.70+0.38
channel_days=120, holding_days=10, n_stocks=10, exit_method=hold, cost_bps=10, regime_gate=False
r-trend-following-jp-all-0638
cost_bps: 10
n_stocks: 10
exit_method: "hold"
-0.82-1.09-0.42-1.82
channel_days=120, holding_days=20, n_stocks=5, exit_method=hold, cost_bps=10, regime_gate=True
r-trend-following-jp-all-0675
cost_bps: 10
n_stocks: 5
exit_method: "hold"
-1.34-2.07-0.66-2.02
channel_days=120, holding_days=20, n_stocks=5, exit_method=channel_exit, cost_bps=5, regime_gate=False
r-trend-following-jp-all-0676
cost_bps: 5
n_stocks: 5
exit_method: "channel_exit"
-1.23-1.82-0.61-1.93
channel_days=120, holding_days=20, n_stocks=50, exit_method=channel_exit, cost_bps=5, regime_gate=True
r-trend-following-jp-all-0713
cost_bps: 5
n_stocks: 50
exit_method: "channel_exit"
+0.30+0.39+0.52-1.14

Target universe

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

Related strategies

same_strategy:trend-following-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-26T05:52:48
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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