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rejectedno_edge· equity· cross-sectional· factor· reversal

Short-Term Reversal (JP All Stocks)

slug: short-term-reversal-jp-all
performance summary
Sharpe (median)
-0.66
Max DD
-35.0%
Win rate
—
Alpha (ann.)
—
p-value
0.16
backtest period: 2022-01-24 → 2026-02-16
Sharpe across 160 grid runs:median -0.66best 0.83 (not representative)worst -3.21p25–p75 -1.46–-0.11

Hypothesis

Jegadeesh (1990): stocks that dropped most over past N days tend to bounce back. Testing raw past-return reversal on the full Japanese stock universe.

Why it didn't work

Across 160 grid combinations, median Sharpe=-0.66, best=0.83. Primary failure mode: no_edge.

Facts (7)

Average monthly return correlation with other strategies in DOWN regime: 0.04
Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
correlation0.04
cite ↗ /cite/short-term-reversal-jp-all-fact-avg-corr-down
Average monthly return correlation with other strategies (full period): -0.03
Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
correlation-0.03
cite ↗ /cite/short-term-reversal-jp-all-fact-avg-corr-full
Best grid Sharpe ratio is 0.83 (p=0.096).
period 2022-01-24–2026-02-16; cost=5bps
sharpe_ratio0.83
cite ↗ /cite/short-term-reversal-jp-all-fact-best-sharpevia r-short-term-reversal-jp-all-0117
Median Sharpe across 160 grid runs is -0.66.
Full grid of 160 parameter combinations.
sharpe_ratio-0.66
cite ↗ /cite/short-term-reversal-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is 0.86 across 160 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio0.86
cite ↗ /cite/short-term-reversal-jp-all-fact-regime-down
Median Sharpe in FLAT regime is -0.71 across 160 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.71
cite ↗ /cite/short-term-reversal-jp-all-fact-regime-flat
Median Sharpe in UP regime is -1.19 across 160 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-1.19
cite ↗ /cite/short-term-reversal-jp-all-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
reversal_days=1, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-all-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.27+0.31+0.07+1.89
reversal_days=1, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-short-term-reversal-jp-all-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.10-1.49+0.07+1.89
reversal_days=1, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-short-term-reversal-jp-all-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.19-0.20-0.36+1.36
reversal_days=1, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-short-term-reversal-jp-all-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.51-1.83-0.36+1.36
reversal_days=1, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-all-0004
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.07-0.09-0.26+1.46
reversal_days=1, holding_days=3, n_stocks=5, cost_bps=10, regime_gate=False
r-short-term-reversal-jp-all-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.08+0.25-0.43+1.53
reversal_days=1, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-all-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.42+0.37+0.28+1.53
reversal_days=1, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False
r-short-term-reversal-jp-all-0038
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.21-0.30+0.29+1.48
reversal_days=1, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-all-0048
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.53+1.28+0.22+1.14
reversal_days=1, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True
r-short-term-reversal-jp-all-0053
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.52+1.05+0.26+1.02
reversal_days=2, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-short-term-reversal-jp-all-0067
cost_bps: 10
n_stocks: 5
regime_gate: true
-1.08-1.23-1.25+0.51
reversal_days=2, holding_days=3, n_stocks=5, cost_bps=5, regime_gate=True
r-short-term-reversal-jp-all-0081
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.08-0.96+0.12+0.83
reversal_days=2, holding_days=3, n_stocks=10, cost_bps=10, regime_gate=True
r-short-term-reversal-jp-all-0087
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.97-1.67-0.77+0.08
reversal_days=2, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True
r-short-term-reversal-jp-all-0101
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.81-1.94-0.34-0.56
reversal_days=2, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=True
r-short-term-reversal-jp-all-0115
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.51+1.50+0.41-3.97
reversal_days=2, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True
r-short-term-reversal-jp-all-0117
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.83+1.78+0.57+0.14
reversal_days=3, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-short-term-reversal-jp-all-0130
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.97-0.86-1.23+0.83
reversal_days=3, holding_days=3, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-all-0144
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.12+0.10-0.49+1.43
reversal_days=3, holding_days=3, n_stocks=10, cost_bps=10, regime_gate=False
r-short-term-reversal-jp-all-0150
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.83-0.79-1.01+0.31
reversal_days=3, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-all-0164
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.66-0.84-0.64-0.09
reversal_days=3, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False
r-short-term-reversal-jp-all-0178
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.10+0.47-0.19-2.76
reversal_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-all-0192
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.47-1.62-1.84+2.26
reversal_days=5, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False
r-short-term-reversal-jp-all-0198
cost_bps: 10
n_stocks: 10
regime_gate: false
-2.39-2.96-2.31-1.34
reversal_days=5, holding_days=3, n_stocks=10, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-all-0212
cost_bps: 5
n_stocks: 10
regime_gate: false
-1.16-1.78-1.01-0.18
reversal_days=5, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-short-term-reversal-jp-all-0226
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.48-2.05-1.64+1.65
reversal_days=5, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-all-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.44-0.56-0.28-2.50
reversal_days=5, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False
r-short-term-reversal-jp-all-0246
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.71-0.57-0.70-0.94
reversal_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-all-0256
cost_bps: 5
n_stocks: 5
regime_gate: false
-2.27-2.67-2.88+4.59
reversal_days=10, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-short-term-reversal-jp-all-0261
cost_bps: 5
n_stocks: 10
regime_gate: true
-2.24-2.72-2.62+2.18
reversal_days=10, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False
r-short-term-reversal-jp-all-0262
cost_bps: 10
n_stocks: 10
regime_gate: false
-3.21-4.39-3.40+1.36

Target universe

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

Related strategies

same_strategy:short-term-reversal-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-28T01:10:15
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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