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rejectedno_edge· equity· fundamental· growth· value

PEG Ratio Value (JP Growth Stocks)

slug: peg-ratio-value-jp-growth
performance summary
Sharpe (median)
-0.57
Max DD
-4.6%
Win rate
—
Alpha (ann.)
—
p-value
0.32
backtest period: 2025-01-06 → 2026-06-01
Sharpe across 132 grid runs:median -0.57best 4.46 (not representative)worst -2.56p25–p75 -1.11–0.45

Hypothesis

A low P/E relative to earnings growth (low PEG, the ratio popularized by Peter Lynch) marks growth priced below its rate; ranking on PEG with a minimum-growth screen tests this growth-adjusted value premium on Japanese fundamentals.

Why it didn't work

Across 132 grid combinations, median Sharpe=-0.57, best=4.46. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 4.46 (p=0.043).
period 2025-01-06–2026-06-01; cost=5bps
sharpe_ratio4.46
cite ↗ /cite/peg-ratio-value-jp-growth-fact-best-sharpevia r-peg-ratio-value-jp-growth-0040
Median Sharpe across 132 grid runs is -0.57.
Full grid of 132 parameter combinations.
sharpe_ratio-0.57
cite ↗ /cite/peg-ratio-value-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is -0.07 across 132 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.07
cite ↗ /cite/peg-ratio-value-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is -0.07 across 132 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.07
cite ↗ /cite/peg-ratio-value-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -0.49 across 132 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.49
cite ↗ /cite/peg-ratio-value-jp-growth-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
min_growth_pct=0, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.18-1.98-2.45+12.77
min_growth_pct=0, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-peg-ratio-value-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.71+0.62-0.16+13.55
min_growth_pct=0, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-peg-ratio-value-jp-growth-0002
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.57+0.72+0.02+2.69
min_growth_pct=0, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-peg-ratio-value-jp-growth-0003
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.96-1.25-2.45+12.77
min_growth_pct=0, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-growth-0006
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.68-2.51-3.09+11.35
min_growth_pct=0, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=1
r-peg-ratio-value-jp-growth-0009
cost_bps: 10
n_stocks: 5
regime_gate: true
-1.22-1.38-3.09+11.35
min_growth_pct=0, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20
r-peg-ratio-value-jp-growth-0014
cost_bps: 5
n_stocks: 10
regime_gate: false
-1.33-1.00-1.32-2.15
min_growth_pct=0, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5
r-peg-ratio-value-jp-growth-0019
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.27-0.34-0.32+0.51
min_growth_pct=0, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-growth-0024
cost_bps: 5
n_stocks: 20
regime_gate: false
-1.69-3.87+1.30-1.72
min_growth_pct=0, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=20
r-peg-ratio-value-jp-growth-0029
cost_bps: 5
n_stocks: 20
regime_gate: true
-1.26-0.77-1.28-3.77
min_growth_pct=0, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-growth-0030
cost_bps: 10
n_stocks: 20
regime_gate: false
-2.56-4.83-0.02-2.44
min_growth_pct=0, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=20
r-peg-ratio-value-jp-growth-0035
cost_bps: 10
n_stocks: 20
regime_gate: true
-1.35-0.81-1.44-3.91
min_growth_pct=0, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-growth-0036
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.17-0.79+0.59—
min_growth_pct=0, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=5
r-peg-ratio-value-jp-growth-0040
cost_bps: 5
n_stocks: 50
regime_gate: true
+4.46+4.88+3.64—
min_growth_pct=0, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-growth-0042
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.84-1.25-0.19—
min_growth_pct=0, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=20
r-peg-ratio-value-jp-growth-0047
cost_bps: 10
n_stocks: 50
regime_gate: true
+0.43+1.24-0.93—
min_growth_pct=5, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=5
r-peg-ratio-value-jp-growth-0052
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.39+1.08-1.14+2.08
min_growth_pct=5, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=1
r-peg-ratio-value-jp-growth-0057
cost_bps: 10
n_stocks: 5
regime_gate: true
-1.17-1.38-2.56+3.59
min_growth_pct=5, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20
r-peg-ratio-value-jp-growth-0062
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.82-0.24-0.25-3.67
min_growth_pct=5, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5
r-peg-ratio-value-jp-growth-0067
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.11-0.46+0.89+0.23
min_growth_pct=5, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-growth-0072
cost_bps: 5
n_stocks: 20
regime_gate: false
-1.39-2.84+0.90-1.43
min_growth_pct=5, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=20
r-peg-ratio-value-jp-growth-0077
cost_bps: 5
n_stocks: 20
regime_gate: true
-1.24-0.77-1.19-3.85
min_growth_pct=5, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=5
r-peg-ratio-value-jp-growth-0082
cost_bps: 10
n_stocks: 20
regime_gate: true
+1.67+1.55+3.57-0.01
min_growth_pct=5, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=1
r-peg-ratio-value-jp-growth-0087
cost_bps: 5
n_stocks: 50
regime_gate: true
-1.30-5.06+0.46—
min_growth_pct=5, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=20
r-peg-ratio-value-jp-growth-0092
cost_bps: 10
n_stocks: 50
regime_gate: false
-2.48-23.35-1.17—
min_growth_pct=10, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-growth-0096
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.03-0.11-0.63+2.44
min_growth_pct=10, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-peg-ratio-value-jp-growth-0098
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.02-0.45+0.85-0.45
min_growth_pct=10, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5
r-peg-ratio-value-jp-growth-0103
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.34-0.05+0.20+1.98
min_growth_pct=10, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1
r-peg-ratio-value-jp-growth-0108
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.22-0.64+0.71-1.01
min_growth_pct=10, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20
r-peg-ratio-value-jp-growth-0113
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.71-0.67+0.28-2.82

Target universe

Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY; fundamentals from J-Quants financial statements (coverage from 2023-12)

Related strategies

same_strategy:peg-ratio-value-jp-all
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-02T16:26:17
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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