Trend Following / Donchian Breakout (JP Growth Stocks)
slug: trend-following-jp-growth
performance summary
Sharpe (median)
-0.18
Max DD
-31.0%
Win rate
—
Alpha (ann.)
—
p-value
0.62
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 768 grid runs:median -0.18best 0.49 (not representative)worst -1.03p25–p75 -0.34–-0.04
Hypothesis
Donchian channel breakout: stocks breaking above N-day highs continue trending. LONG breakout stocks with configurable exit methods (hold, channel exit, trailing midline).
Why it didn't work
Across 768 grid combinations, median Sharpe=-0.18, best=0.49. Primary failure mode: regime_dependent.
Facts (7)
Average monthly return correlation with other strategies in DOWN regime: -0.12
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): 0.12
Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
Best grid Sharpe ratio is 0.49 (p=0.31).
period 2022-02-01–2026-06-01; cost=5bps
cite ↗ /cite/trend-following-jp-growth-fact-best-sharpevia r-trend-following-jp-growth-0060
Median Sharpe across 768 grid runs is -0.18.
Full grid of 768 parameter combinations.
Median Sharpe in DOWN regime is -0.73 across 768 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.37 across 768 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.35 across 768 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-growth-0000 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | -0.31 | -0.12 | -0.28 | -1.83 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=True r-trend-following-jp-growth-0001 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | -0.35 | -0.29 | -0.28 | -1.83 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=10, regime_gate=False r-trend-following-jp-growth-0002 | cost_bps: 10 n_stocks: 5 exit_method: "hold" | -0.39 | -0.21 | -0.36 | -1.95 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=10, regime_gate=True r-trend-following-jp-growth-0003 | cost_bps: 10 n_stocks: 5 exit_method: "hold" | -0.42 | -0.33 | -0.36 | -1.95 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=channel_exit, cost_bps=5, regime_gate=False r-trend-following-jp-growth-0004 | cost_bps: 5 n_stocks: 5 exit_method: "channel_exit" | -0.31 | -0.12 | -0.28 | -1.83 |
channel_days=20, holding_days=5, n_stocks=5, exit_method=trailing_mid, cost_bps=5, regime_gate=False r-trend-following-jp-growth-0008 | cost_bps: 5 n_stocks: 5 exit_method: "trailing_mid" | -0.31 | -0.12 | -0.28 | -1.83 |
channel_days=20, holding_days=5, n_stocks=50, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-jp-growth-0036 | cost_bps: 5 n_stocks: 50 exit_method: "hold" | -0.47 | -0.12 | -0.48 | -1.67 |
channel_days=20, holding_days=5, n_stocks=50, exit_method=channel_exit, cost_bps=10, regime_gate=True r-trend-following-jp-growth-0043 | cost_bps: 10 n_stocks: 50 exit_method: "channel_exit" | -0.59 | +0.25 | -0.80 | -1.89 |
channel_days=20, holding_days=10, n_stocks=10, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-jp-growth-0060 | cost_bps: 5 n_stocks: 10 exit_method: "hold" | +0.49 | +1.63 | +0.01 | -0.60 |
channel_days=20, holding_days=10, n_stocks=20, exit_method=trailing_mid, cost_bps=5, regime_gate=True r-trend-following-jp-growth-0081 | cost_bps: 5 n_stocks: 20 exit_method: "trailing_mid" | -0.04 | +0.97 | -0.45 | +0.37 |
channel_days=20, holding_days=20, n_stocks=10, exit_method=trailing_mid, cost_bps=10, regime_gate=False r-trend-following-jp-growth-0118 | cost_bps: 10 n_stocks: 10 exit_method: "trailing_mid" | +0.07 | +0.60 | -0.02 | -2.44 |
channel_days=20, holding_days=60, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-jp-growth-0144 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | -0.15 | -0.52 | -0.09 | +0.08 |
channel_days=20, holding_days=60, n_stocks=10, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-jp-growth-0156 | cost_bps: 5 n_stocks: 10 exit_method: "hold" | -0.27 | -1.40 | -0.18 | +0.25 |
channel_days=40, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=True r-trend-following-jp-growth-0193 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | -0.61 | -1.48 | -0.30 | -0.99 |
channel_days=40, holding_days=5, n_stocks=50, exit_method=hold, cost_bps=10, regime_gate=False r-trend-following-jp-growth-0230 | cost_bps: 10 n_stocks: 50 exit_method: "hold" | -1.03 | -0.85 | -1.00 | -1.69 |
channel_days=40, holding_days=5, n_stocks=50, exit_method=hold, cost_bps=10, regime_gate=True r-trend-following-jp-growth-0231 | cost_bps: 10 n_stocks: 50 exit_method: "hold" | -0.74 | +0.21 | -1.00 | -1.69 |
channel_days=40, holding_days=10, n_stocks=20, exit_method=channel_exit, cost_bps=5, regime_gate=False r-trend-following-jp-growth-0268 | cost_bps: 5 n_stocks: 20 exit_method: "channel_exit" | +0.21 | +1.14 | -0.14 | +0.41 |
channel_days=40, holding_days=20, n_stocks=10, exit_method=channel_exit, cost_bps=5, regime_gate=True r-trend-following-jp-growth-0305 | cost_bps: 5 n_stocks: 10 exit_method: "channel_exit" | +0.08 | +0.83 | -0.15 | -0.96 |
channel_days=40, holding_days=60, n_stocks=5, exit_method=channel_exit, cost_bps=10, regime_gate=False r-trend-following-jp-growth-0342 | cost_bps: 10 n_stocks: 5 exit_method: "channel_exit" | +0.01 | -0.62 | +0.15 | +0.02 |
channel_days=40, holding_days=60, n_stocks=50, exit_method=channel_exit, cost_bps=10, regime_gate=True r-trend-following-jp-growth-0379 | cost_bps: 10 n_stocks: 50 exit_method: "channel_exit" | -0.32 | -0.37 | -0.27 | -2.64 |
channel_days=60, holding_days=5, n_stocks=20, exit_method=trailing_mid, cost_bps=5, regime_gate=False r-trend-following-jp-growth-0416 | cost_bps: 5 n_stocks: 20 exit_method: "trailing_mid" | -0.49 | -0.42 | -0.38 | -1.97 |
channel_days=60, holding_days=10, n_stocks=10, exit_method=trailing_mid, cost_bps=5, regime_gate=True r-trend-following-jp-growth-0453 | cost_bps: 5 n_stocks: 10 exit_method: "trailing_mid" | +0.03 | +1.25 | -0.73 | +1.02 |
channel_days=60, holding_days=20, n_stocks=5, exit_method=trailing_mid, cost_bps=10, regime_gate=False r-trend-following-jp-growth-0490 | cost_bps: 10 n_stocks: 5 exit_method: "trailing_mid" | -0.26 | +1.01 | -0.74 | -1.44 |
channel_days=60, holding_days=20, n_stocks=50, exit_method=trailing_mid, cost_bps=10, regime_gate=True r-trend-following-jp-growth-0527 | cost_bps: 10 n_stocks: 50 exit_method: "trailing_mid" | -0.29 | +0.36 | -0.52 | -1.90 |
channel_days=60, holding_days=60, n_stocks=50, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-jp-growth-0564 | cost_bps: 5 n_stocks: 50 exit_method: "hold" | +0.15 | +0.41 | +0.12 | -0.50 |
channel_days=120, holding_days=5, n_stocks=5, exit_method=hold, cost_bps=5, regime_gate=False r-trend-following-jp-growth-0576 | cost_bps: 5 n_stocks: 5 exit_method: "hold" | -0.14 | +0.85 | -0.81 | -0.20 |
channel_days=120, holding_days=5, n_stocks=20, exit_method=hold, cost_bps=10, regime_gate=False r-trend-following-jp-growth-0602 | cost_bps: 10 n_stocks: 20 exit_method: "hold" | -0.68 | +0.14 | -0.85 | -2.07 |
channel_days=120, holding_days=10, n_stocks=10, exit_method=hold, cost_bps=10, regime_gate=True r-trend-following-jp-growth-0639 | cost_bps: 10 n_stocks: 10 exit_method: "hold" | -0.15 | +0.87 | -0.79 | +0.32 |
channel_days=120, holding_days=20, n_stocks=5, exit_method=channel_exit, cost_bps=5, regime_gate=False r-trend-following-jp-growth-0676 | cost_bps: 5 n_stocks: 5 exit_method: "channel_exit" | -0.22 | +0.46 | -0.60 | +0.53 |
channel_days=120, holding_days=20, n_stocks=50, exit_method=channel_exit, cost_bps=5, regime_gate=True r-trend-following-jp-growth-0713 | cost_bps: 5 n_stocks: 50 exit_method: "channel_exit" | +0.04 | +0.36 | -0.01 | -1.78 |
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: 2026-07-28T01:10:02