Cross-Sectional Momentum (JP Growth Stocks)
slug: momentum-cross-sectional-jp-growth
performance summary
Sharpe (median)
-0.46
Max DD
-29.5%
Win rate
—
Alpha (ann.)
—
p-value
0.33
backtest period: 2022-05-02 → 2026-06-01
Sharpe across 960 grid runs:median -0.46best 0.91 (not representative)worst -1.77p25–p75 -0.76–-0.14
Hypothesis
Jegadeesh & Titman (1993): stocks with high past returns continue to outperform over intermediate horizons. LONG winners, SHORT losers. Tests cross-sectional momentum in TSE Growth Market.
Why it didn't work
Across 960 grid combinations, median Sharpe=-0.46, best=0.91. Primary failure mode: no_edge.
Facts (7)
Average monthly return correlation with other strategies in DOWN regime: 0.11
Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
Average monthly return correlation with other strategies (full period): 0.02
Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
Best grid Sharpe ratio is 0.91 (p=0.1).
period 2022-05-02–2026-06-01; cost=5bps
cite ↗ /cite/momentum-cross-sectional-jp-growth-fact-best-sharpevia r-momentum-cross-sectional-jp-growth-0789
Median Sharpe across 960 grid runs is -0.46.
Full grid of 960 parameter combinations.
Median Sharpe in DOWN regime is -1.71 across 960 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.42 across 960 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.27 across 960 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
formation_days=60, holding_days=1, n_stocks=5, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0000 | cost_bps: 5 n_stocks: 5 skip_days: 0 | -1.12 | -0.21 | -1.66 | -3.71 |
formation_days=60, holding_days=1, n_stocks=5, skip_days=0, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-growth-0001 | cost_bps: 5 n_stocks: 5 skip_days: 0 | -1.27 | -0.65 | -1.66 | -3.71 |
formation_days=60, holding_days=1, n_stocks=5, skip_days=0, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-growth-0002 | cost_bps: 10 n_stocks: 5 skip_days: 0 | -1.24 | -0.30 | -1.80 | -4.04 |
formation_days=60, holding_days=1, n_stocks=5, skip_days=0, cost_bps=10, regime_gate=True r-momentum-cross-sectional-jp-growth-0003 | cost_bps: 10 n_stocks: 5 skip_days: 0 | -1.37 | -0.69 | -1.80 | -4.04 |
formation_days=60, holding_days=1, n_stocks=5, skip_days=21, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0008 | cost_bps: 5 n_stocks: 5 skip_days: 21 | -0.64 | -0.87 | -0.78 | +1.53 |
formation_days=60, holding_days=1, n_stocks=50, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0036 | cost_bps: 5 n_stocks: 50 skip_days: 0 | -1.25 | -1.44 | -1.03 | -5.13 |
formation_days=60, holding_days=5, n_stocks=5, skip_days=0, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-growth-0050 | cost_bps: 10 n_stocks: 5 skip_days: 0 | -1.06 | -1.75 | -0.79 | -2.38 |
formation_days=60, holding_days=5, n_stocks=50, skip_days=21, cost_bps=10, regime_gate=True r-momentum-cross-sectional-jp-growth-0095 | cost_bps: 10 n_stocks: 50 skip_days: 21 | -0.51 | +0.21 | -1.04 | +0.18 |
formation_days=60, holding_days=10, n_stocks=50, skip_days=21, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0140 | cost_bps: 5 n_stocks: 50 skip_days: 21 | +0.16 | +0.27 | +0.12 | -0.29 |
formation_days=60, holding_days=20, n_stocks=50, skip_days=5, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-growth-0185 | cost_bps: 5 n_stocks: 50 skip_days: 5 | +0.20 | +0.24 | +0.29 | -0.67 |
formation_days=60, holding_days=60, n_stocks=5, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0192 | cost_bps: 5 n_stocks: 5 skip_days: 0 | -0.04 | -0.27 | +0.05 | -1.35 |
formation_days=60, holding_days=60, n_stocks=50, skip_days=0, cost_bps=10, regime_gate=True r-momentum-cross-sectional-jp-growth-0231 | cost_bps: 10 n_stocks: 50 skip_days: 0 | +0.06 | -0.41 | +0.37 | -2.13 |
formation_days=120, holding_days=1, n_stocks=50, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0276 | cost_bps: 5 n_stocks: 50 skip_days: 0 | -0.88 | -0.89 | -0.71 | -7.42 |
formation_days=120, holding_days=5, n_stocks=20, skip_days=21, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-growth-0321 | cost_bps: 5 n_stocks: 20 skip_days: 21 | -0.06 | +0.22 | -0.15 | -0.52 |
formation_days=120, holding_days=10, n_stocks=20, skip_days=5, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-growth-0366 | cost_bps: 10 n_stocks: 20 skip_days: 5 | -0.27 | -0.45 | -0.08 | -2.53 |
formation_days=120, holding_days=20, n_stocks=20, skip_days=0, cost_bps=10, regime_gate=True r-momentum-cross-sectional-jp-growth-0411 | cost_bps: 10 n_stocks: 20 skip_days: 0 | -0.48 | -0.30 | -0.43 | -1.92 |
formation_days=120, holding_days=60, n_stocks=20, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0456 | cost_bps: 5 n_stocks: 20 skip_days: 0 | -0.44 | -0.26 | -0.35 | -2.96 |
formation_days=180, holding_days=1, n_stocks=10, skip_days=21, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-growth-0501 | cost_bps: 5 n_stocks: 10 skip_days: 21 | -0.27 | -0.46 | -0.03 | -2.16 |
formation_days=180, holding_days=5, n_stocks=10, skip_days=5, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-growth-0546 | cost_bps: 10 n_stocks: 10 skip_days: 5 | -0.57 | -0.17 | -0.56 | -1.78 |
formation_days=180, holding_days=10, n_stocks=10, skip_days=0, cost_bps=10, regime_gate=True r-momentum-cross-sectional-jp-growth-0591 | cost_bps: 10 n_stocks: 10 skip_days: 0 | -0.44 | -0.03 | -0.36 | -1.78 |
formation_days=180, holding_days=20, n_stocks=5, skip_days=0, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-growth-0626 | cost_bps: 10 n_stocks: 5 skip_days: 0 | -1.77 | -1.23 | -1.66 | -8.09 |
formation_days=180, holding_days=20, n_stocks=10, skip_days=0, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-growth-0637 | cost_bps: 5 n_stocks: 10 skip_days: 0 | -0.71 | -1.22 | -0.27 | -3.24 |
formation_days=180, holding_days=60, n_stocks=5, skip_days=21, cost_bps=10, regime_gate=False r-momentum-cross-sectional-jp-growth-0682 | cost_bps: 10 n_stocks: 5 skip_days: 21 | -0.67 | -1.16 | -0.36 | -1.92 |
formation_days=250, holding_days=1, n_stocks=5, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0720 | cost_bps: 5 n_stocks: 5 skip_days: 0 | -0.15 | +1.38 | -1.06 | -1.55 |
formation_days=250, holding_days=1, n_stocks=5, skip_days=21, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0728 | cost_bps: 5 n_stocks: 5 skip_days: 21 | +0.09 | +1.02 | -1.05 | +2.22 |
formation_days=250, holding_days=5, n_stocks=5, skip_days=5, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-growth-0773 | cost_bps: 5 n_stocks: 5 skip_days: 5 | +0.75 | +2.24 | +0.06 | -0.89 |
formation_days=250, holding_days=5, n_stocks=10, skip_days=21, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-growth-0789 | cost_bps: 5 n_stocks: 10 skip_days: 21 | +0.91 | +3.05 | -0.03 | -0.96 |
formation_days=250, holding_days=10, n_stocks=5, skip_days=0, cost_bps=10, regime_gate=True r-momentum-cross-sectional-jp-growth-0819 | cost_bps: 10 n_stocks: 5 skip_days: 0 | -0.68 | +1.50 | -1.50 | -1.01 |
formation_days=250, holding_days=20, n_stocks=5, skip_days=0, cost_bps=5, regime_gate=False r-momentum-cross-sectional-jp-growth-0864 | cost_bps: 5 n_stocks: 5 skip_days: 0 | -1.05 | +0.32 | -1.70 | -2.00 |
formation_days=250, holding_days=20, n_stocks=50, skip_days=21, cost_bps=5, regime_gate=True r-momentum-cross-sectional-jp-growth-0909 | cost_bps: 5 n_stocks: 50 skip_days: 21 | -0.39 | -0.35 | -0.04 | -2.51 |
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: 2026-07-27T03:36:58