Multi-Factor Composite (JP All Stocks)
slug: multi-factor-jp-all
performance summary
Sharpe (median)
-0.25
Max DD
-28.0%
Win rate
—
Alpha (ann.)
—
p-value
0.52
backtest period: 2022-02-01 → 2026-02-02
Sharpe across 120 grid runs:median -0.25best 0.41 (not representative)worst -1.29p25–p75 -0.56–-0.03
Hypothesis
Combines signals from marginal/promising single factors into a z-scored composite. Testing on the full Japanese stock universe.
Why it didn't work
Across 120 grid combinations, median Sharpe=-0.25, best=0.41. Primary failure mode: regime_dependent.
Facts (5)
Best grid Sharpe ratio is 0.41 (p=0.41).
period 2022-02-01–2026-02-02; cost=5bps
cite ↗ /cite/multi-factor-jp-all-fact-best-sharpevia r-multi-factor-jp-all-0129
Median Sharpe across 120 grid runs is -0.25.
Full grid of 120 parameter combinations.
Median Sharpe in DOWN regime is -3.71 across 120 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is 0.07 across 120 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.85 across 120 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
n_factors=2, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-jp-all-0000 | cost_bps: 5 n_stocks: 5 n_factors: 2 | -0.85 | -1.71 | -0.49 | -4.14 |
n_factors=2, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-multi-factor-jp-all-0001 | cost_bps: 5 n_stocks: 5 n_factors: 2 | -0.78 | -1.76 | -0.49 | -4.14 |
n_factors=2, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-multi-factor-jp-all-0002 | cost_bps: 10 n_stocks: 5 n_factors: 2 | -1.07 | -1.91 | -0.70 | -4.57 |
n_factors=2, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-multi-factor-jp-all-0003 | cost_bps: 10 n_stocks: 5 n_factors: 2 | -0.99 | -1.92 | -0.70 | -4.57 |
n_factors=2, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False r-multi-factor-jp-all-0004 | cost_bps: 5 n_stocks: 10 n_factors: 2 | -0.87 | -2.47 | -0.13 | -6.65 |
n_factors=2, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True r-multi-factor-jp-all-0017 | cost_bps: 5 n_stocks: 5 n_factors: 2 | -0.02 | +0.26 | +0.17 | -6.81 |
n_factors=2, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False r-multi-factor-jp-all-0022 | cost_bps: 10 n_stocks: 10 n_factors: 2 | -0.86 | -2.05 | -0.20 | -6.67 |
n_factors=2, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=True r-multi-factor-jp-all-0035 | cost_bps: 10 n_stocks: 5 n_factors: 2 | -0.21 | +0.44 | +0.00 | -5.38 |
n_factors=2, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-jp-all-0048 | cost_bps: 5 n_stocks: 5 n_factors: 2 | -0.24 | -2.13 | +0.39 | -4.71 |
n_factors=2, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-multi-factor-jp-all-0053 | cost_bps: 5 n_stocks: 10 n_factors: 2 | -0.14 | -0.19 | +0.09 | -3.65 |
n_factors=2, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-jp-all-0064 | cost_bps: 5 n_stocks: 5 n_factors: 2 | -0.19 | -0.70 | +0.08 | -1.85 |
n_factors=2, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True r-multi-factor-jp-all-0067 | cost_bps: 10 n_stocks: 5 n_factors: 2 | -0.03 | +0.05 | +0.06 | -1.89 |
n_factors=3, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-jp-all-0080 | cost_bps: 5 n_stocks: 5 n_factors: 3 | -0.53 | -1.85 | -0.11 | +0.52 |
n_factors=3, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True r-multi-factor-jp-all-0085 | cost_bps: 5 n_stocks: 10 n_factors: 3 | -0.42 | -1.48 | -0.08 | -3.04 |
n_factors=3, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-multi-factor-jp-all-0098 | cost_bps: 10 n_stocks: 5 n_factors: 3 | -0.50 | -1.58 | +0.08 | -0.88 |
n_factors=3, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True r-multi-factor-jp-all-0103 | cost_bps: 10 n_stocks: 10 n_factors: 3 | +0.05 | +0.37 | +0.17 | -6.80 |
n_factors=3, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=False r-multi-factor-jp-all-0116 | cost_bps: 5 n_stocks: 10 n_factors: 3 | -0.15 | -0.88 | +0.37 | -4.42 |
n_factors=3, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True r-multi-factor-jp-all-0129 | cost_bps: 5 n_stocks: 5 n_factors: 3 | +0.41 | +0.76 | +0.57 | -5.59 |
n_factors=3, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=False r-multi-factor-jp-all-0130 | cost_bps: 10 n_stocks: 5 n_factors: 3 | +0.02 | -0.79 | +0.51 | -5.72 |
n_factors=3, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True r-multi-factor-jp-all-0135 | cost_bps: 10 n_stocks: 10 n_factors: 3 | +0.01 | +0.25 | +0.17 | -2.59 |
n_factors=3, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=False r-multi-factor-jp-all-0148 | cost_bps: 5 n_stocks: 10 n_factors: 3 | -0.16 | -0.06 | -0.02 | -5.83 |
n_factors=4, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-jp-all-0160 | cost_bps: 5 n_stocks: 5 n_factors: 4 | -0.72 | -2.44 | -0.14 | -0.52 |
n_factors=4, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-multi-factor-jp-all-0162 | cost_bps: 10 n_stocks: 5 n_factors: 4 | -0.94 | -2.62 | -0.39 | -0.74 |
n_factors=4, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False r-multi-factor-jp-all-0166 | cost_bps: 10 n_stocks: 10 n_factors: 4 | -1.29 | -2.87 | -0.80 | -3.08 |
n_factors=4, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-jp-all-0176 | cost_bps: 5 n_stocks: 5 n_factors: 4 | -0.50 | -1.86 | +0.24 | -1.28 |
n_factors=4, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True r-multi-factor-jp-all-0181 | cost_bps: 5 n_stocks: 10 n_factors: 4 | -0.13 | +0.48 | -0.08 | -5.26 |
n_factors=4, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False r-multi-factor-jp-all-0194 | cost_bps: 10 n_stocks: 5 n_factors: 4 | -0.78 | -1.79 | -0.23 | -4.59 |
n_factors=4, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True r-multi-factor-jp-all-0199 | cost_bps: 10 n_stocks: 10 n_factors: 4 | -0.26 | +0.47 | -0.21 | -2.93 |
n_factors=4, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-multi-factor-jp-all-0212 | cost_bps: 5 n_stocks: 10 n_factors: 4 | -0.12 | -1.43 | +0.41 | -2.16 |
n_factors=4, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True r-multi-factor-jp-all-0225 | cost_bps: 5 n_stocks: 5 n_factors: 4 | -0.24 | -0.54 | -0.06 | -1.13 |
Target universe
Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks
Related strategies
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-29T01:08:35