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rejectedno_edge· equity· drift· fundamental· revision

Forecast Revision (JP All Stocks)

slug: forecast-revision-jp-all
performance summary
Sharpe (median)
-0.49
Max DD
-11.3%
Win rate
Alpha (ann.)
p-value
0.49
backtest period: 2024-11-012026-02-02
Sharpe across 12 grid runs:median -0.49best 0.38 (not representative)worst -1.64p25–p75 -1.080.29

Hypothesis

Japanese companies publish their own full-year guidance; upward revisions are informative and historically under-reacted to. Ranking on the latest guidance revision tests for a post-revision drift analogous to PEAD.

Why it didn't work

Across 12 grid combinations, median Sharpe=-0.49, best=0.38. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 0.38 (p=0.67).
period 2024-11-01–2026-02-02; cost=5bps
sharpe_ratio0.38
Median Sharpe across 12 grid runs is -0.49.
Full grid of 12 parameter combinations.
sharpe_ratio-0.49
Median Sharpe in DOWN regime is 2.77 across 12 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio2.77
Median Sharpe in FLAT regime is -0.25 across 12 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.25
Median Sharpe in UP regime is -1.55 across 12 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-1.55

Runs (12)

runparamssharpeUPFLATDOWN
n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-forecast-revision-jp-all-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.43-3.12-0.69+3.15
n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-forecast-revision-jp-all-0001
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.89-1.83-0.14+2.11
n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-forecast-revision-jp-all-0002
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.36-0.93+0.22+123.66
n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-forecast-revision-jp-all-0003
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.99-2.53-0.69+3.15
n_stocks=5, cost_bps=5, regime_gate=True, holding_days=5
r-forecast-revision-jp-all-0004
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.09-0.18-0.14+2.11
n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20
r-forecast-revision-jp-all-0005
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.38-1.23+0.22+123.66
n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-forecast-revision-jp-all-0006
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.64-3.27-1.09+2.39
n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5
r-forecast-revision-jp-all-0007
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.97-1.87-0.35+1.87
n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20
r-forecast-revision-jp-all-0008
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.28-1.01+0.14+121.37
n_stocks=5, cost_bps=10, regime_gate=True, holding_days=1
r-forecast-revision-jp-all-0009
cost_bps: 10
n_stocks: 5
regime_gate: true
-1.34-2.72-1.09+2.39
n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5
r-forecast-revision-jp-all-0010
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.09-0.27-0.35+1.87
n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20
r-forecast-revision-jp-all-0011
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.32-1.28+0.14+121.37

Target universe

Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks; fundamentals from J-Quants financial statements (coverage from 2023-12)

Related strategies

source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-05T03:19:07

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