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rejectedno_edge· equity· divergence· technical· volume

VPT Divergence (JP Growth Stocks)

slug: vpt-divergence-jp-growth
performance summary
Sharpe (median)
-0.94
Max DD
-27.2%
Win rate
—
Alpha (ann.)
—
p-value
0.05
backtest period: 2022-03-01 → 2026-06-01
Sharpe across 144 grid runs:median -0.94best 0.31 (not representative)worst -2.82p25–p75 -1.43–-0.37

Hypothesis

Volume-Price-Trend (VPT) accumulates volume signed by returns; a divergence between the VPT path and the price path is read as hidden accumulation/distribution. Ranking on VPT-price divergence tests whether price subsequently closes the gap.

Why it didn't work

Across 144 grid combinations, median Sharpe=-0.94, best=0.31. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 0.31 (p=0.52).
period 2022-03-01–2026-06-01; cost=5bps
sharpe_ratio0.31
cite ↗ /cite/vpt-divergence-jp-growth-fact-best-sharpevia r-vpt-divergence-jp-growth-0086
Median Sharpe across 144 grid runs is -0.94.
Full grid of 144 parameter combinations.
sharpe_ratio-0.94
cite ↗ /cite/vpt-divergence-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is -1.63 across 144 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-1.63
cite ↗ /cite/vpt-divergence-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is -1.18 across 144 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-1.18
cite ↗ /cite/vpt-divergence-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -0.62 across 144 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.62
cite ↗ /cite/vpt-divergence-jp-growth-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
vpt_lookback=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-vpt-divergence-jp-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.24-0.20-1.57-2.35
vpt_lookback=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-vpt-divergence-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.95-1.16-0.78-1.62
vpt_lookback=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-vpt-divergence-jp-growth-0002
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.39-0.35-0.33-1.84
vpt_lookback=20, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-vpt-divergence-jp-growth-0003
cost_bps: 5
n_stocks: 5
regime_gate: true
-1.33-0.29-1.57-2.35
vpt_lookback=20, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-vpt-divergence-jp-growth-0006
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.37-0.32-1.71-2.49
vpt_lookback=20, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5
r-vpt-divergence-jp-growth-0010
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.90-0.62-0.87-1.68
vpt_lookback=20, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=5
r-vpt-divergence-jp-growth-0016
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.76+0.56-1.07-2.05
vpt_lookback=20, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5
r-vpt-divergence-jp-growth-0022
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.90+0.46-1.22-2.32
vpt_lookback=20, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=5
r-vpt-divergence-jp-growth-0028
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.54-0.12-0.57-2.81
vpt_lookback=20, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=5
r-vpt-divergence-jp-growth-0034
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.73-0.22-0.79-3.10
vpt_lookback=20, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-vpt-divergence-jp-growth-0036
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.69-1.03-1.95-3.04
vpt_lookback=20, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=20
r-vpt-divergence-jp-growth-0041
cost_bps: 5
n_stocks: 50
regime_gate: true
-0.26+0.45-0.56-1.13
vpt_lookback=20, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=20
r-vpt-divergence-jp-growth-0047
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.39+0.39-0.74-1.27
vpt_lookback=40, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20
r-vpt-divergence-jp-growth-0053
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.02-2.49+0.65-2.08
vpt_lookback=40, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20
r-vpt-divergence-jp-growth-0059
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.02-2.52+0.60-2.20
vpt_lookback=40, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20
r-vpt-divergence-jp-growth-0065
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.31-1.03+0.84-6.13
vpt_lookback=40, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=20
r-vpt-divergence-jp-growth-0071
cost_bps: 10
n_stocks: 10
regime_gate: true
+0.25-1.08+0.77-6.33
vpt_lookback=40, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=20
r-vpt-divergence-jp-growth-0077
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.15-0.45+0.48-1.26
vpt_lookback=40, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=20
r-vpt-divergence-jp-growth-0083
cost_bps: 10
n_stocks: 20
regime_gate: true
+0.05-0.49+0.36-1.44
vpt_lookback=40, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=20
r-vpt-divergence-jp-growth-0086
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.31+1.54+0.01-0.36
vpt_lookback=40, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-vpt-divergence-jp-growth-0090
cost_bps: 10
n_stocks: 50
regime_gate: false
-2.82-1.92-3.08-3.12
vpt_lookback=40, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=5
r-vpt-divergence-jp-growth-0091
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.77-0.02-1.17-0.55
vpt_lookback=60, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-vpt-divergence-jp-growth-0096
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.92-2.99-1.61-1.20
vpt_lookback=60, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-vpt-divergence-jp-growth-0098
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.37-2.56-1.19-0.76
vpt_lookback=60, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20
r-vpt-divergence-jp-growth-0104
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.42-2.64-1.24-0.82
vpt_lookback=60, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20
r-vpt-divergence-jp-growth-0110
cost_bps: 5
n_stocks: 10
regime_gate: false
-1.07-2.54-0.84-1.50
vpt_lookback=60, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20
r-vpt-divergence-jp-growth-0116
cost_bps: 10
n_stocks: 10
regime_gate: false
-1.14-2.66-0.90-1.65
vpt_lookback=60, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=20
r-vpt-divergence-jp-growth-0122
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.95-0.65-0.91-29.89
vpt_lookback=60, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=20
r-vpt-divergence-jp-growth-0128
cost_bps: 10
n_stocks: 20
regime_gate: false
-1.04-0.76-0.99-31.23
vpt_lookback=60, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=20
r-vpt-divergence-jp-growth-0134
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.29+1.41-0.67-1.91

Target universe

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

Related strategies

same_strategy:vpt-divergence-jp-allsame_strategy:vpt-divergence-us-sp500
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-02T16:26:50
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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