Time-Series Momentum (JP Growth Stocks)
slug: ts-momentum-jp-growth
Time-Series Momentum (JP Growth Stocks) backtest. Median Sharpe across 120 parameter sets is -0.56. p-value is 0.23. Max DD is -14.7%. Period: 2022-03-01 to 2026-09-01. Best Sharpe +0.24 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)
-0.56
Max DD
-14.7%
Win rate
—
Alpha (ann.)
—
p-value
0.23
backtest period: 2022-03-01 → 2026-09-01
Sharpe across 120 grid runs:median -0.56best 0.24 (not representative)worst -1.70p25–p75 -0.94–-0.17
Hypothesis
Moskowitz, Ooi, Pedersen (2012): each stock's own past return predicts its future return (time-series momentum). If positive → LONG, if negative → SHORT. Equal weight across active positions.
Why it didn't work
Across 120 grid combinations, median Sharpe=-0.56, best=0.24. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is 0.24 (p=0.61).
period 2022-03-01–2026-09-01; cost=5bps
cite ↗ /cite/ts-momentum-jp-growth-fact-best-sharpevia r-ts-momentum-jp-growth-0048
Median Sharpe across 120 grid runs is -0.56.
Full grid of 120 parameter combinations.
Median Sharpe in DOWN regime is -1.40 across 120 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.45 across 120 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.45 across 120 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
formation_days=20, holding_days=1, threshold_pct=0, cost_bps=5 r-ts-momentum-jp-growth-0000 | cost_bps: 5 holding_days: 1 threshold_pct: 0 | -1.06 | -0.30 | -1.37 | -1.37 |
formation_days=20, holding_days=1, threshold_pct=0, cost_bps=10 r-ts-momentum-jp-growth-0001 | cost_bps: 10 holding_days: 1 threshold_pct: 0 | -1.70 | -0.83 | -2.04 | -2.31 |
formation_days=20, holding_days=1, threshold_pct=0.05, cost_bps=5 r-ts-momentum-jp-growth-0002 | cost_bps: 5 holding_days: 1 threshold_pct: 0.05 | -0.98 | -0.44 | -1.21 | -0.74 |
formation_days=20, holding_days=1, threshold_pct=0.1, cost_bps=5 r-ts-momentum-jp-growth-0004 | cost_bps: 5 holding_days: 1 threshold_pct: 0.1 | -0.94 | -0.53 | -1.09 | -0.76 |
formation_days=20, holding_days=5, threshold_pct=0, cost_bps=10 r-ts-momentum-jp-growth-0007 | cost_bps: 10 holding_days: 5 threshold_pct: 0 | -1.12 | -1.41 | -0.85 | -2.73 |
formation_days=20, holding_days=5, threshold_pct=0.1, cost_bps=10 r-ts-momentum-jp-growth-0011 | cost_bps: 10 holding_days: 5 threshold_pct: 0.1 | -0.89 | -1.10 | -0.75 | -1.33 |
formation_days=20, holding_days=10, threshold_pct=0.05, cost_bps=10 r-ts-momentum-jp-growth-0015 | cost_bps: 10 holding_days: 10 threshold_pct: 0.05 | -0.22 | -0.07 | -0.29 | +0.12 |
formation_days=20, holding_days=20, threshold_pct=0, cost_bps=10 r-ts-momentum-jp-growth-0019 | cost_bps: 10 holding_days: 20 threshold_pct: 0 | -1.09 | -0.21 | -1.41 | -1.28 |
formation_days=20, holding_days=20, threshold_pct=0.1, cost_bps=10 r-ts-momentum-jp-growth-0023 | cost_bps: 10 holding_days: 20 threshold_pct: 0.1 | -0.47 | +0.11 | -0.72 | +1.57 |
formation_days=20, holding_days=60, threshold_pct=0, cost_bps=5 r-ts-momentum-jp-growth-0024 | cost_bps: 5 holding_days: 60 threshold_pct: 0 | -0.10 | -0.05 | -0.14 | +0.54 |
formation_days=20, holding_days=60, threshold_pct=0.1, cost_bps=5 r-ts-momentum-jp-growth-0028 | cost_bps: 5 holding_days: 60 threshold_pct: 0.1 | +0.08 | -0.44 | +0.24 | +0.22 |
formation_days=60, holding_days=1, threshold_pct=0.05, cost_bps=5 r-ts-momentum-jp-growth-0032 | cost_bps: 5 holding_days: 1 threshold_pct: 0.05 | -1.05 | -0.79 | -1.05 | -10.42 |
formation_days=60, holding_days=5, threshold_pct=0, cost_bps=5 r-ts-momentum-jp-growth-0036 | cost_bps: 5 holding_days: 5 threshold_pct: 0 | -0.27 | -0.43 | -0.11 | -1.10 |
formation_days=60, holding_days=5, threshold_pct=0.1, cost_bps=5 r-ts-momentum-jp-growth-0040 | cost_bps: 5 holding_days: 5 threshold_pct: 0.1 | -0.19 | -0.78 | +0.13 | -1.25 |
formation_days=60, holding_days=10, threshold_pct=0.05, cost_bps=5 r-ts-momentum-jp-growth-0044 | cost_bps: 5 holding_days: 10 threshold_pct: 0.05 | +0.17 | -0.48 | +0.47 | -0.15 |
formation_days=60, holding_days=20, threshold_pct=0, cost_bps=5 r-ts-momentum-jp-growth-0048 | cost_bps: 5 holding_days: 20 threshold_pct: 0 | +0.24 | -0.19 | +0.53 | -0.62 |
formation_days=60, holding_days=20, threshold_pct=0, cost_bps=10 r-ts-momentum-jp-growth-0049 | cost_bps: 10 holding_days: 20 threshold_pct: 0 | +0.02 | -0.36 | +0.29 | -0.86 |
formation_days=60, holding_days=20, threshold_pct=0.1, cost_bps=10 r-ts-momentum-jp-growth-0053 | cost_bps: 10 holding_days: 20 threshold_pct: 0.1 | -0.23 | -0.55 | +0.00 | -1.02 |
formation_days=60, holding_days=60, threshold_pct=0.05, cost_bps=10 r-ts-momentum-jp-growth-0057 | cost_bps: 10 holding_days: 60 threshold_pct: 0.05 | +0.10 | -0.31 | +0.43 | -2.12 |
formation_days=120, holding_days=1, threshold_pct=0, cost_bps=10 r-ts-momentum-jp-growth-0061 | cost_bps: 10 holding_days: 1 threshold_pct: 0 | -1.27 | -1.32 | -1.05 | -17.10 |
formation_days=120, holding_days=1, threshold_pct=0.1, cost_bps=10 r-ts-momentum-jp-growth-0065 | cost_bps: 10 holding_days: 1 threshold_pct: 0.1 | -1.11 | -1.00 | -0.96 | -8.51 |
formation_days=120, holding_days=5, threshold_pct=0.05, cost_bps=10 r-ts-momentum-jp-growth-0069 | cost_bps: 10 holding_days: 5 threshold_pct: 0.05 | -0.51 | -0.21 | -0.49 | -1.57 |
formation_days=120, holding_days=10, threshold_pct=0, cost_bps=10 r-ts-momentum-jp-growth-0073 | cost_bps: 10 holding_days: 10 threshold_pct: 0 | -0.49 | -1.08 | -0.30 | -0.39 |
formation_days=120, holding_days=10, threshold_pct=0.1, cost_bps=10 r-ts-momentum-jp-growth-0077 | cost_bps: 10 holding_days: 10 threshold_pct: 0.1 | -0.50 | -0.60 | -0.36 | -1.20 |
formation_days=120, holding_days=20, threshold_pct=0.05, cost_bps=10 r-ts-momentum-jp-growth-0081 | cost_bps: 10 holding_days: 20 threshold_pct: 0.05 | -0.77 | -0.45 | -0.70 | -3.07 |
formation_days=120, holding_days=60, threshold_pct=0, cost_bps=10 r-ts-momentum-jp-growth-0085 | cost_bps: 10 holding_days: 60 threshold_pct: 0 | -0.38 | -0.80 | -0.13 | -0.73 |
formation_days=120, holding_days=60, threshold_pct=0.1, cost_bps=10 r-ts-momentum-jp-growth-0089 | cost_bps: 10 holding_days: 60 threshold_pct: 0.1 | -0.44 | -0.82 | -0.25 | -0.56 |
formation_days=250, holding_days=1, threshold_pct=0, cost_bps=5 r-ts-momentum-jp-growth-0090 | cost_bps: 5 holding_days: 1 threshold_pct: 0 | -0.98 | -0.15 | -1.22 | -3.29 |
formation_days=250, holding_days=1, threshold_pct=0.1, cost_bps=5 r-ts-momentum-jp-growth-0094 | cost_bps: 5 holding_days: 1 threshold_pct: 0.1 | -0.96 | -0.41 | -1.18 | -1.39 |
formation_days=250, holding_days=5, threshold_pct=0.05, cost_bps=5 r-ts-momentum-jp-growth-0098 | cost_bps: 5 holding_days: 5 threshold_pct: 0.05 | -0.27 | +0.40 | -0.36 | -1.34 |
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: 2026-09-24T02:22:16