Volatility Ratio Reversal (JP Growth Stocks)
slug: volatility-ratio-reversal-jp-growth
performance summary
Sharpe (median)
+0.26
Max DD
-10.9%
Win rate
—
Alpha (ann.)
—
p-value
0.45
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 432 grid runs:median 0.26best 1.85 (not representative)worst -1.25p25–p75 -0.07–0.57
Hypothesis
When short-window realized volatility spikes relative to the long-window baseline (high vol ratio), prices have typically overreacted; buying the dislocated side tests whether the spike mean-reverts within the holding period.
Why it didn't work
Across 432 grid combinations, median Sharpe=0.26, best=1.85. Primary failure mode: regime_dependent.
Facts (5)
Best grid Sharpe ratio is 1.85 (p=0.00028).
period 2022-02-01–2026-06-01; cost=5bps
cite ↗ /cite/volatility-ratio-reversal-jp-growth-fact-best-sharpevia r-volatility-ratio-reversal-jp-growth-0396
Median Sharpe across 432 grid runs is 0.26.
Full grid of 432 parameter combinations.
Median Sharpe in DOWN regime is 1.18 across 432 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is 0.29 across 432 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.06 across 432 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-jp-growth-0000 | cost_bps: 5 n_stocks: 5 long_window: 15 | +0.19 | -0.40 | +0.20 | +2.38 |
short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5 r-volatility-ratio-reversal-jp-growth-0001 | cost_bps: 5 n_stocks: 5 long_window: 15 | -0.06 | -0.96 | +0.39 | -0.22 |
short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20 r-volatility-ratio-reversal-jp-growth-0002 | cost_bps: 5 n_stocks: 5 long_window: 15 | +0.52 | -0.19 | +0.80 | +0.80 |
short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1 r-volatility-ratio-reversal-jp-growth-0003 | cost_bps: 5 n_stocks: 5 long_window: 15 | +0.04 | -1.61 | +0.20 | +2.38 |
short_window=3, long_window=15, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-jp-growth-0006 | cost_bps: 10 n_stocks: 5 long_window: 15 | +0.03 | -0.56 | +0.03 | +2.25 |
short_window=3, long_window=15, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-jp-growth-0024 | cost_bps: 5 n_stocks: 20 long_window: 15 | +0.16 | -1.61 | +0.60 | +1.06 |
short_window=3, long_window=15, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-jp-growth-0036 | cost_bps: 5 n_stocks: 50 long_window: 15 | +0.07 | +0.56 | +0.06 | -1.60 |
short_window=3, long_window=15, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=1 r-volatility-ratio-reversal-jp-growth-0045 | cost_bps: 10 n_stocks: 50 long_window: 15 | -0.45 | -0.24 | -0.56 | -2.12 |
short_window=3, long_window=20, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20 r-volatility-ratio-reversal-jp-growth-0065 | cost_bps: 5 n_stocks: 10 long_window: 20 | +0.29 | -0.34 | +0.36 | +1.75 |
short_window=3, long_window=20, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=5 r-volatility-ratio-reversal-jp-growth-0085 | cost_bps: 5 n_stocks: 50 long_window: 20 | -0.34 | -2.19 | +0.05 | +2.62 |
short_window=3, long_window=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-jp-growth-0096 | cost_bps: 5 n_stocks: 5 long_window: 40 | +0.77 | -0.25 | +1.05 | +2.31 |
short_window=3, long_window=40, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5 r-volatility-ratio-reversal-jp-growth-0106 | cost_bps: 10 n_stocks: 5 long_window: 40 | +0.18 | -2.87 | +0.61 | +0.43 |
short_window=3, long_window=40, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-jp-growth-0126 | cost_bps: 10 n_stocks: 20 long_window: 40 | +0.07 | -0.82 | +0.43 | +0.14 |
short_window=5, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20 r-volatility-ratio-reversal-jp-growth-0146 | cost_bps: 5 n_stocks: 5 long_window: 15 | -0.16 | +1.27 | -0.49 | +0.59 |
short_window=5, long_window=15, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5 r-volatility-ratio-reversal-jp-growth-0166 | cost_bps: 10 n_stocks: 10 long_window: 15 | +0.05 | -0.30 | +0.07 | +0.74 |
short_window=5, long_window=15, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-jp-growth-0186 | cost_bps: 10 n_stocks: 50 long_window: 15 | -0.58 | -0.41 | -0.61 | -1.13 |
short_window=5, long_window=20, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20 r-volatility-ratio-reversal-jp-growth-0206 | cost_bps: 5 n_stocks: 10 long_window: 20 | +0.36 | +0.92 | +0.16 | +3.30 |
short_window=5, long_window=20, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=5 r-volatility-ratio-reversal-jp-growth-0226 | cost_bps: 10 n_stocks: 20 long_window: 20 | +0.24 | -0.36 | +0.40 | +2.34 |
short_window=5, long_window=40, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-jp-growth-0246 | cost_bps: 10 n_stocks: 5 long_window: 40 | +0.88 | +0.74 | +0.81 | +1.59 |
short_window=5, long_window=40, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=20 r-volatility-ratio-reversal-jp-growth-0266 | cost_bps: 5 n_stocks: 20 long_window: 40 | +0.81 | +0.50 | +0.86 | +1.83 |
short_window=5, long_window=40, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=5 r-volatility-ratio-reversal-jp-growth-0286 | cost_bps: 10 n_stocks: 50 long_window: 40 | -0.27 | -0.13 | -0.49 | +1.12 |
short_window=10, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-jp-growth-0288 | cost_bps: 5 n_stocks: 5 long_window: 15 | -0.12 | +1.00 | -0.45 | -0.54 |
short_window=10, long_window=15, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5 r-volatility-ratio-reversal-jp-growth-0307 | cost_bps: 10 n_stocks: 10 long_window: 15 | -0.18 | +0.13 | -0.31 | -0.71 |
short_window=10, long_window=15, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=1 r-volatility-ratio-reversal-jp-growth-0327 | cost_bps: 5 n_stocks: 50 long_window: 15 | -0.19 | -0.24 | -0.22 | +0.28 |
short_window=10, long_window=20, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20 r-volatility-ratio-reversal-jp-growth-0347 | cost_bps: 10 n_stocks: 5 long_window: 20 | +0.61 | +1.60 | -0.01 | +7.09 |
short_window=10, long_window=20, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=5 r-volatility-ratio-reversal-jp-growth-0367 | cost_bps: 10 n_stocks: 20 long_window: 20 | -0.50 | -0.35 | -0.42 | -32.62 |
short_window=10, long_window=20, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=5 r-volatility-ratio-reversal-jp-growth-0379 | cost_bps: 10 n_stocks: 50 long_window: 20 | -1.25 | -1.46 | -1.20 | -0.60 |
short_window=10, long_window=40, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=5 r-volatility-ratio-reversal-jp-growth-0388 | cost_bps: 5 n_stocks: 5 long_window: 40 | +0.87 | +1.03 | +0.87 | +0.34 |
short_window=10, long_window=40, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-jp-growth-0396 | cost_bps: 5 n_stocks: 10 long_window: 40 | +1.85 | +1.15 | +2.14 | +1.47 |
short_window=10, long_window=40, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=5 r-volatility-ratio-reversal-jp-growth-0409 | cost_bps: 5 n_stocks: 20 long_window: 40 | -0.31 | -0.59 | -0.19 | -18.15 |
Target universe
Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY
Related strategies
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-02T16:26:50