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rejectedno_edge· equity· factor· reversal· skewness

Skewness Reversal (JP Growth Stocks)

slug: skewness-reversal-jp-growth
performance summary
Sharpe (median)
-0.36
Max DD
-13.5%
Win rate
—
Alpha (ann.)
—
p-value
0.43
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 144 grid runs:median -0.36best 0.46 (not representative)worst -1.58p25–p75 -0.74–-0.04

Hypothesis

Investors overpay for lottery-like positive skewness and shun negative skewness (Harvey & Siddique 2000 line): stocks with extreme recent return skewness should subsequently revert. Ranking on realized skewness tests the effect long/short.

Why it didn't work

Across 144 grid combinations, median Sharpe=-0.36, best=0.46. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 0.46 (p=0.33).
period 2022-02-01–2026-06-01; cost=5bps
sharpe_ratio0.46
cite ↗ /cite/skewness-reversal-jp-growth-fact-best-sharpevia r-skewness-reversal-jp-growth-0121
Median Sharpe across 144 grid runs is -0.36.
Full grid of 144 parameter combinations.
sharpe_ratio-0.36
cite ↗ /cite/skewness-reversal-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is 1.10 across 144 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio1.10
cite ↗ /cite/skewness-reversal-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is -0.46 across 144 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.46
cite ↗ /cite/skewness-reversal-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -0.30 across 144 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.30
cite ↗ /cite/skewness-reversal-jp-growth-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
lookback_days=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-skewness-reversal-jp-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.25+0.79-0.68+3.48
lookback_days=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-skewness-reversal-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.06+1.34-0.67+1.22
lookback_days=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-skewness-reversal-jp-growth-0002
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.74+1.06-1.16-5.89
lookback_days=20, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-skewness-reversal-jp-growth-0003
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.44-0.10-0.68+3.48
lookback_days=20, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-skewness-reversal-jp-growth-0006
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.44+0.55-0.85+3.09
lookback_days=20, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5
r-skewness-reversal-jp-growth-0010
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.49+0.24-0.79+1.12
lookback_days=20, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=5
r-skewness-reversal-jp-growth-0016
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.03+0.15-0.08+2.06
lookback_days=20, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5
r-skewness-reversal-jp-growth-0022
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.13-0.01-0.23+1.76
lookback_days=20, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=5
r-skewness-reversal-jp-growth-0028
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.11+0.79+0.08-0.82
lookback_days=20, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=5
r-skewness-reversal-jp-growth-0034
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.09+0.62-0.14-0.96
lookback_days=20, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-skewness-reversal-jp-growth-0036
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.51-1.13-0.20-1.03
lookback_days=20, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=20
r-skewness-reversal-jp-growth-0041
cost_bps: 5
n_stocks: 50
regime_gate: true
-0.61-0.75-0.46-2.40
lookback_days=20, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=20
r-skewness-reversal-jp-growth-0047
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.75-0.82-0.62-2.66
lookback_days=40, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20
r-skewness-reversal-jp-growth-0053
cost_bps: 5
n_stocks: 5
regime_gate: true
-1.15-0.08-1.35-2.13
lookback_days=40, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20
r-skewness-reversal-jp-growth-0059
cost_bps: 10
n_stocks: 5
regime_gate: true
-1.19-0.16-1.39-2.28
lookback_days=40, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20
r-skewness-reversal-jp-growth-0065
cost_bps: 5
n_stocks: 10
regime_gate: true
-1.47-1.74-1.52-2.57
lookback_days=40, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20
r-skewness-reversal-jp-growth-0068
cost_bps: 10
n_stocks: 10
regime_gate: false
-1.58-1.35-1.59-2.71
lookback_days=40, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=1
r-skewness-reversal-jp-growth-0072
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.12-1.76+0.09+1.83
lookback_days=40, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=1
r-skewness-reversal-jp-growth-0078
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.52-2.26-0.32+1.58
lookback_days=40, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-skewness-reversal-jp-growth-0084
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.48-0.93-0.53+2.21
lookback_days=40, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-skewness-reversal-jp-growth-0090
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.06-1.53-1.10+1.57
lookback_days=60, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-skewness-reversal-jp-growth-0096
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.37+0.98+0.13+1.20
lookback_days=60, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-skewness-reversal-jp-growth-0097
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.23+1.32-0.16+0.43
lookback_days=60, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5
r-skewness-reversal-jp-growth-0103
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.10+1.19-0.29+0.22
lookback_days=60, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=5
r-skewness-reversal-jp-growth-0109
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.15-0.04+0.13+5.00
lookback_days=60, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5
r-skewness-reversal-jp-growth-0115
cost_bps: 10
n_stocks: 10
regime_gate: false
0.00-0.20-0.00+4.28
lookback_days=60, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=5
r-skewness-reversal-jp-growth-0121
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.46-0.02+0.61+2.39
lookback_days=60, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=20
r-skewness-reversal-jp-growth-0122
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.74+0.13-1.07-0.70
lookback_days=60, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=20
r-skewness-reversal-jp-growth-0128
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.85+0.03-1.17-1.67
lookback_days=60, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=20
r-skewness-reversal-jp-growth-0134
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.58-0.39-0.95+3.92

Target universe

Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY

Related strategies

same_strategy:skewness-reversal-jp-allsame_strategy:skewness-reversal-us-sp500
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-02T16:26:49
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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