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rejectedno_edge· equity· factor· momentum· time-series

Time-Series Momentum (JP All Stocks)

slug: ts-momentum-jp-all

Time-Series Momentum (JP All Stocks) backtest. Median Sharpe across 120 parameter sets is -0.31. p-value is 0.47. Max DD is -25.3%. Period: 2022-03-01 to 2026-09-01. Best Sharpe +0.46 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.

What was tested

Time-series momentum follows the sign of each asset's own past return. It is not a cross-sectional ranking. If the median Sharpe is negative, a stretch that worked in one regime is not the result.

Performance summary

Sharpe (median)
-0.31
Max DD
-25.3%
Win rate
—
Alpha (ann.)
—
p-value
0.47
backtest period: 2022-03-01 → 2026-09-01
Sharpe across 120 grid runs:median -0.31best 0.46 (not representative)worst -1.34p25–p75 -0.60–-0.06

Hypothesis

Moskowitz, Ooi, Pedersen (2012): each stock's own past return predicts its future return. Testing time-series momentum on the full Japanese stock universe.

Why it didn't work

Across 120 grid combinations, median Sharpe=-0.31, best=0.46. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 0.46 (p=0.32).
period 2022-03-01–2026-09-01; cost=5bps
sharpe_ratio0.46
cite ↗ /cite/ts-momentum-jp-all-fact-best-sharpevia r-ts-momentum-jp-all-0022
Median Sharpe across 120 grid runs is -0.31.
Full grid of 120 parameter combinations.
sharpe_ratio-0.31
cite ↗ /cite/ts-momentum-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is 0.18 across 120 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio0.18
cite ↗ /cite/ts-momentum-jp-all-fact-regime-down
Median Sharpe in FLAT regime is -0.29 across 120 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.29
cite ↗ /cite/ts-momentum-jp-all-fact-regime-flat
Median Sharpe in UP regime is -0.41 across 120 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.41
cite ↗ /cite/ts-momentum-jp-all-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
formation_days=20, holding_days=1, threshold_pct=0, cost_bps=5
r-ts-momentum-jp-all-0000
cost_bps: 5
holding_days: 1
threshold_pct: 0
+0.17+1.01-0.14+0.41
formation_days=20, holding_days=1, threshold_pct=0, cost_bps=10
r-ts-momentum-jp-all-0001
cost_bps: 10
holding_days: 1
threshold_pct: 0
-0.14+0.71-0.46+0.12
formation_days=20, holding_days=1, threshold_pct=0.05, cost_bps=5
r-ts-momentum-jp-all-0002
cost_bps: 5
holding_days: 1
threshold_pct: 0.05
+0.18+0.74+0.04-0.01
formation_days=20, holding_days=1, threshold_pct=0.1, cost_bps=5
r-ts-momentum-jp-all-0004
cost_bps: 5
holding_days: 1
threshold_pct: 0.1
-0.05+0.53-0.14-1.35
formation_days=20, holding_days=5, threshold_pct=0, cost_bps=10
r-ts-momentum-jp-all-0007
cost_bps: 10
holding_days: 5
threshold_pct: 0
+0.26+1.01-0.14+1.03
formation_days=20, holding_days=5, threshold_pct=0.1, cost_bps=10
r-ts-momentum-jp-all-0011
cost_bps: 10
holding_days: 5
threshold_pct: 0.1
-0.14+1.16-0.48-1.10
formation_days=20, holding_days=10, threshold_pct=0.05, cost_bps=10
r-ts-momentum-jp-all-0015
cost_bps: 10
holding_days: 10
threshold_pct: 0.05
+0.33+1.06+0.01+0.31
formation_days=20, holding_days=20, threshold_pct=0, cost_bps=10
r-ts-momentum-jp-all-0019
cost_bps: 10
holding_days: 20
threshold_pct: 0
-0.27+2.21-0.97-0.21
formation_days=20, holding_days=20, threshold_pct=0.1, cost_bps=5
r-ts-momentum-jp-all-0022
cost_bps: 5
holding_days: 20
threshold_pct: 0.1
+0.46+1.93-0.26+0.53
formation_days=20, holding_days=60, threshold_pct=0, cost_bps=5
r-ts-momentum-jp-all-0024
cost_bps: 5
holding_days: 60
threshold_pct: 0
-0.06+0.34-0.26+0.22
formation_days=20, holding_days=60, threshold_pct=0, cost_bps=10
r-ts-momentum-jp-all-0025
cost_bps: 10
holding_days: 60
threshold_pct: 0
-0.09+0.32-0.29+0.20
formation_days=20, holding_days=60, threshold_pct=0.1, cost_bps=10
r-ts-momentum-jp-all-0029
cost_bps: 10
holding_days: 60
threshold_pct: 0.1
+0.14+0.47-0.04+1.06
formation_days=60, holding_days=1, threshold_pct=0.05, cost_bps=10
r-ts-momentum-jp-all-0033
cost_bps: 10
holding_days: 1
threshold_pct: 0.05
-0.68+1.39-1.39-1.33
formation_days=60, holding_days=5, threshold_pct=0, cost_bps=10
r-ts-momentum-jp-all-0037
cost_bps: 10
holding_days: 5
threshold_pct: 0
-0.17-0.14-0.22+0.68
formation_days=60, holding_days=5, threshold_pct=0.1, cost_bps=10
r-ts-momentum-jp-all-0041
cost_bps: 10
holding_days: 5
threshold_pct: 0.1
+0.08+0.21+0.09-1.47
formation_days=60, holding_days=10, threshold_pct=0.05, cost_bps=10
r-ts-momentum-jp-all-0045
cost_bps: 10
holding_days: 10
threshold_pct: 0.05
-0.39-0.50-0.47+2.46
formation_days=60, holding_days=20, threshold_pct=0, cost_bps=10
r-ts-momentum-jp-all-0049
cost_bps: 10
holding_days: 20
threshold_pct: 0
-0.18-0.34-0.23+6.57
formation_days=60, holding_days=20, threshold_pct=0.1, cost_bps=10
r-ts-momentum-jp-all-0053
cost_bps: 10
holding_days: 20
threshold_pct: 0.1
+0.05+0.41-0.22+9.08
formation_days=60, holding_days=60, threshold_pct=0.05, cost_bps=10
r-ts-momentum-jp-all-0057
cost_bps: 10
holding_days: 60
threshold_pct: 0.05
-0.43-0.11-0.68+0.33
formation_days=120, holding_days=1, threshold_pct=0, cost_bps=10
r-ts-momentum-jp-all-0061
cost_bps: 10
holding_days: 1
threshold_pct: 0
-1.34-1.67-1.27-0.66
formation_days=120, holding_days=1, threshold_pct=0.05, cost_bps=5
r-ts-momentum-jp-all-0062
cost_bps: 5
holding_days: 1
threshold_pct: 0.05
-0.94-1.29-0.88-0.47
formation_days=120, holding_days=5, threshold_pct=0, cost_bps=5
r-ts-momentum-jp-all-0066
cost_bps: 5
holding_days: 5
threshold_pct: 0
-0.52-0.83-0.27-1.77
formation_days=120, holding_days=5, threshold_pct=0.1, cost_bps=5
r-ts-momentum-jp-all-0070
cost_bps: 5
holding_days: 5
threshold_pct: 0.1
-0.26-0.44-0.05-1.21
formation_days=120, holding_days=10, threshold_pct=0.05, cost_bps=5
r-ts-momentum-jp-all-0074
cost_bps: 5
holding_days: 10
threshold_pct: 0.05
-0.35-0.70-0.42+2.47
formation_days=120, holding_days=20, threshold_pct=0, cost_bps=5
r-ts-momentum-jp-all-0078
cost_bps: 5
holding_days: 20
threshold_pct: 0
-0.84-0.63-1.22+6.76
formation_days=120, holding_days=20, threshold_pct=0.1, cost_bps=5
r-ts-momentum-jp-all-0082
cost_bps: 5
holding_days: 20
threshold_pct: 0.1
-0.72-0.94-1.01+5.17
formation_days=120, holding_days=60, threshold_pct=0.05, cost_bps=5
r-ts-momentum-jp-all-0086
cost_bps: 5
holding_days: 60
threshold_pct: 0.05
-0.69-0.80-0.83+0.41
formation_days=250, holding_days=1, threshold_pct=0, cost_bps=5
r-ts-momentum-jp-all-0090
cost_bps: 5
holding_days: 1
threshold_pct: 0
-0.59-1.23-0.43+0.20
formation_days=250, holding_days=1, threshold_pct=0, cost_bps=10
r-ts-momentum-jp-all-0091
cost_bps: 10
holding_days: 1
threshold_pct: 0
-0.93-1.63-0.74-0.11
formation_days=250, holding_days=1, threshold_pct=0.1, cost_bps=10
r-ts-momentum-jp-all-0095
cost_bps: 10
holding_days: 1
threshold_pct: 0.1
-1.08-2.38-0.64-0.06

Target universe

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

Related strategies

same_strategy:ts-momentum-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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