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marginalno_edge· equity· cross-sectional· factor· reversal

Short-Term Reversal (JP Growth Stocks)

slug: short-term-reversal-jp-growth
performance summary
Sharpe (median)
+0.30
Max DD
-22.4%
Win rate
—
Alpha (ann.)
—
p-value
0.36
backtest period: 2022-01-24 → 2026-06-08
Sharpe across 320 grid runs:median 0.30best 1.98 (not representative)worst -1.53p25–p75 -0.07–0.64

Hypothesis

Jegadeesh (1990): stocks that dropped most over past N days tend to bounce back (and vice versa). LONG worst performers, SHORT best. Tests raw past-return reversal in TSE Growth Market.

Why it didn't work

Across 320 grid combinations, median Sharpe=0.30, best=1.98. Primary failure mode: no_edge.

Facts (7)

Average monthly return correlation with other strategies in DOWN regime: -0.22
Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
correlation-0.22
cite ↗ /cite/short-term-reversal-jp-growth-fact-avg-corr-down
Average monthly return correlation with other strategies (full period): -0.08
Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
correlation-0.08
cite ↗ /cite/short-term-reversal-jp-growth-fact-avg-corr-full
Best grid Sharpe ratio is 1.98 (p=4.6e-05).
period 2022-01-24–2026-06-08; cost=5bps
sharpe_ratio1.98
cite ↗ /cite/short-term-reversal-jp-growth-fact-best-sharpevia r-short-term-reversal-jp-growth-0208
Median Sharpe across 320 grid runs is 0.30.
Full grid of 320 parameter combinations.
sharpe_ratio0.30
cite ↗ /cite/short-term-reversal-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is 1.76 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio1.76
cite ↗ /cite/short-term-reversal-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is 0.95 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.95
cite ↗ /cite/short-term-reversal-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -1.50 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-1.50
cite ↗ /cite/short-term-reversal-jp-growth-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-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
+1.10+0.12+1.75+0.84
reversal_days=1, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-short-term-reversal-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.76-1.85+1.75+0.84
reversal_days=1, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-short-term-reversal-jp-growth-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.90-0.05+1.53+0.59
reversal_days=1, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-short-term-reversal-jp-growth-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.57-2.00+1.53+0.59
reversal_days=1, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-growth-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.59-0.28+1.11+0.28
reversal_days=1, holding_days=3, n_stocks=5, cost_bps=10, regime_gate=False
r-short-term-reversal-jp-growth-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.87+0.48+0.95+2.28
reversal_days=1, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-growth-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.67+0.11+0.77+2.33
reversal_days=1, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False
r-short-term-reversal-jp-growth-0046
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.30-1.68+0.28+2.05
reversal_days=1, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-growth-0048
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.69-2.51-0.09+0.98
reversal_days=1, holding_days=10, n_stocks=50, cost_bps=5, regime_gate=True
r-short-term-reversal-jp-growth-0061
cost_bps: 5
n_stocks: 50
regime_gate: true
+0.39-0.12+0.74+0.11
reversal_days=2, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=True
r-short-term-reversal-jp-growth-0075
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.51-2.71+0.71-0.96
reversal_days=2, holding_days=3, n_stocks=20, cost_bps=5, regime_gate=True
r-short-term-reversal-jp-growth-0089
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.90-1.54+1.99+1.92
reversal_days=2, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True
r-short-term-reversal-jp-growth-0103
cost_bps: 10
n_stocks: 10
regime_gate: true
+0.30-3.16+1.21+1.62
reversal_days=2, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True
r-short-term-reversal-jp-growth-0117
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.67-1.67+1.27+8.49
reversal_days=3, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-short-term-reversal-jp-growth-0131
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.25-2.98+1.29+0.16
reversal_days=3, holding_days=3, n_stocks=5, cost_bps=5, regime_gate=True
r-short-term-reversal-jp-growth-0145
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.82-3.23+1.90+1.19
reversal_days=3, holding_days=3, n_stocks=50, cost_bps=10, regime_gate=True
r-short-term-reversal-jp-growth-0159
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.49-1.65+0.09+0.67
reversal_days=3, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=True
r-short-term-reversal-jp-growth-0173
cost_bps: 5
n_stocks: 50
regime_gate: true
+0.09-1.83+0.96+1.63
reversal_days=3, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True
r-short-term-reversal-jp-growth-0187
cost_bps: 10
n_stocks: 20
regime_gate: true
+0.91-0.40+1.15+3.38
reversal_days=5, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True
r-short-term-reversal-jp-growth-0201
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.03-2.59+1.13+0.97
reversal_days=5, holding_days=3, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-growth-0208
cost_bps: 5
n_stocks: 5
regime_gate: false
+1.98+1.46+2.16+3.65
reversal_days=5, holding_days=3, n_stocks=20, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-growth-0216
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.77-0.23+1.48+1.05
reversal_days=5, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False
r-short-term-reversal-jp-growth-0230
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.36-0.27+0.52+2.13
reversal_days=5, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-growth-0244
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.22-2.07+0.20+2.56
reversal_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-growth-0256
cost_bps: 5
n_stocks: 5
regime_gate: false
+1.14-0.10+1.38+5.60
reversal_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-short-term-reversal-jp-growth-0259
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.62-2.38+1.15+5.34
reversal_days=10, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=True
r-short-term-reversal-jp-growth-0271
cost_bps: 10
n_stocks: 50
regime_gate: true
-1.53-2.49-1.34+3.36
reversal_days=10, holding_days=3, n_stocks=5, cost_bps=10, regime_gate=False
r-short-term-reversal-jp-growth-0274
cost_bps: 10
n_stocks: 5
regime_gate: false
+1.30+0.11+1.70+3.61
reversal_days=10, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-jp-growth-0288
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.87-0.15+1.07+3.84
reversal_days=10, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False
r-short-term-reversal-jp-growth-0302
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.83-2.16-0.48+2.98

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: 2026-07-27T03:36:14
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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