Forecast Revision (JP All Stocks)
slug: forecast-revision-jp-all
performance summary
Sharpe (median)
-0.49
Max DD
-11.3%
Win rate
—
Alpha (ann.)
—
p-value
0.49
backtest period: 2024-11-01 → 2026-02-02
Sharpe across 12 grid runs:median -0.49best 0.38 (not representative)worst -1.64p25–p75 -1.08–0.29
Hypothesis
Japanese companies publish their own full-year guidance; upward revisions are informative and historically under-reacted to. Ranking on the latest guidance revision tests for a post-revision drift analogous to PEAD.
Why it didn't work
Across 12 grid combinations, median Sharpe=-0.49, best=0.38. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is 0.38 (p=0.67).
period 2024-11-01–2026-02-02; cost=5bps
cite ↗ /cite/forecast-revision-jp-all-fact-best-sharpevia r-forecast-revision-jp-all-0005
Median Sharpe across 12 grid runs is -0.49.
Full grid of 12 parameter combinations.
Median Sharpe in DOWN regime is 2.77 across 12 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.25 across 12 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -1.55 across 12 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (12)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1 r-forecast-revision-jp-all-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -1.43 | -3.12 | -0.69 | +3.15 |
n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5 r-forecast-revision-jp-all-0001 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.89 | -1.83 | -0.14 | +2.11 |
n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20 r-forecast-revision-jp-all-0002 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.36 | -0.93 | +0.22 | +123.66 |
n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1 r-forecast-revision-jp-all-0003 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.99 | -2.53 | -0.69 | +3.15 |
n_stocks=5, cost_bps=5, regime_gate=True, holding_days=5 r-forecast-revision-jp-all-0004 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.09 | -0.18 | -0.14 | +2.11 |
n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20 r-forecast-revision-jp-all-0005 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.38 | -1.23 | +0.22 | +123.66 |
n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1 r-forecast-revision-jp-all-0006 | cost_bps: 10 n_stocks: 5 regime_gate: false | -1.64 | -3.27 | -1.09 | +2.39 |
n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5 r-forecast-revision-jp-all-0007 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.97 | -1.87 | -0.35 | +1.87 |
n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20 r-forecast-revision-jp-all-0008 | cost_bps: 10 n_stocks: 5 regime_gate: false | +0.28 | -1.01 | +0.14 | +121.37 |
n_stocks=5, cost_bps=10, regime_gate=True, holding_days=1 r-forecast-revision-jp-all-0009 | cost_bps: 10 n_stocks: 5 regime_gate: true | -1.34 | -2.72 | -1.09 | +2.39 |
n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5 r-forecast-revision-jp-all-0010 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.09 | -0.27 | -0.35 | +1.87 |
n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20 r-forecast-revision-jp-all-0011 | cost_bps: 10 n_stocks: 5 regime_gate: true | +0.32 | -1.28 | +0.14 | +121.37 |
Target universe
Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks; fundamentals from J-Quants financial statements (coverage from 2023-12)
Related strategies
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-05T03:19:07