Sales Growth Rank (JP All Stocks)
slug: sales-growth-rank-jp-all
performance summary
Sharpe (median)
-1.73
Max DD
-6.7%
Win rate
—
Alpha (ann.)
—
p-value
0.21
backtest period: 2025-06-02 → 2026-02-02
Sharpe across 24 grid runs:median -1.73best 0.69 (not representative)worst -3.87p25–p75 -2.59–-1.05
Hypothesis
Top-line growth is the simplest growth signal retail screens sort on; ranking on year-over-year sales growth tests whether revenue growth alone predicts returns, or is already priced in (the classic growth-factor disappointment).
Why it didn't work
Across 24 grid combinations, median Sharpe=-1.73, best=0.69. Primary failure mode: signal_frequency.
Facts (5)
Best grid Sharpe ratio is 0.69 (p=0.56).
period 2025-06-02–2026-02-02; cost=5bps
cite ↗ /cite/sales-growth-rank-jp-all-fact-best-sharpevia r-sales-growth-rank-jp-all-0004
Median Sharpe across 24 grid runs is -1.73.
Full grid of 24 parameter combinations.
Median Sharpe in DOWN regime is nan across 24 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -2.50 across 24 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -1.13 across 24 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (24)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1 r-sales-growth-rank-jp-all-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -1.23 | -1.03 | -1.58 | — |
n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5 r-sales-growth-rank-jp-all-0001 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.94 | -1.05 | -1.09 | — |
n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20 r-sales-growth-rank-jp-all-0002 | cost_bps: 5 n_stocks: 5 regime_gate: false | -2.21 | -2.84 | -1.30 | — |
n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1 r-sales-growth-rank-jp-all-0003 | cost_bps: 5 n_stocks: 5 regime_gate: true | -1.21 | -0.72 | -1.58 | — |
n_stocks=5, cost_bps=5, regime_gate=True, holding_days=5 r-sales-growth-rank-jp-all-0004 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.69 | +3.63 | -1.09 | — |
n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20 r-sales-growth-rank-jp-all-0005 | cost_bps: 5 n_stocks: 5 regime_gate: true | -2.05 | -2.52 | -1.30 | — |
n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1 r-sales-growth-rank-jp-all-0006 | cost_bps: 10 n_stocks: 5 regime_gate: false | -1.40 | -1.16 | -1.83 | — |
n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5 r-sales-growth-rank-jp-all-0007 | cost_bps: 10 n_stocks: 5 regime_gate: false | -1.01 | -1.10 | -1.32 | — |
n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20 r-sales-growth-rank-jp-all-0008 | cost_bps: 10 n_stocks: 5 regime_gate: false | -2.29 | -2.91 | -1.60 | — |
n_stocks=5, cost_bps=10, regime_gate=True, holding_days=1 r-sales-growth-rank-jp-all-0009 | cost_bps: 10 n_stocks: 5 regime_gate: true | -1.41 | -0.88 | -1.83 | — |
n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5 r-sales-growth-rank-jp-all-0010 | cost_bps: 10 n_stocks: 5 regime_gate: true | +0.49 | +3.42 | -1.32 | — |
n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20 r-sales-growth-rank-jp-all-0011 | cost_bps: 10 n_stocks: 5 regime_gate: true | -2.13 | -2.57 | -1.60 | — |
n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1 r-sales-growth-rank-jp-all-0012 | cost_bps: 5 n_stocks: 10 regime_gate: false | -2.27 | -1.03 | -3.59 | — |
n_stocks=10, cost_bps=5, regime_gate=False, holding_days=5 r-sales-growth-rank-jp-all-0013 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.90 | +3.21 | -3.17 | — |
n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20 r-sales-growth-rank-jp-all-0014 | cost_bps: 5 n_stocks: 10 regime_gate: false | -3.73 | -3.30 | -5.80 | — |
n_stocks=10, cost_bps=5, regime_gate=True, holding_days=1 r-sales-growth-rank-jp-all-0015 | cost_bps: 5 n_stocks: 10 regime_gate: true | -2.74 | -2.21 | -3.59 | — |
n_stocks=10, cost_bps=5, regime_gate=True, holding_days=5 r-sales-growth-rank-jp-all-0016 | cost_bps: 5 n_stocks: 10 regime_gate: true | -0.97 | +6.12 | -3.17 | — |
n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20 r-sales-growth-rank-jp-all-0017 | cost_bps: 5 n_stocks: 10 regime_gate: true | -3.79 | -3.44 | -5.80 | — |
n_stocks=10, cost_bps=10, regime_gate=False, holding_days=1 r-sales-growth-rank-jp-all-0018 | cost_bps: 10 n_stocks: 10 regime_gate: false | -2.53 | -2.03 | -3.81 | — |
n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5 r-sales-growth-rank-jp-all-0019 | cost_bps: 10 n_stocks: 10 regime_gate: false | -1.06 | +2.83 | -3.33 | — |
n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20 r-sales-growth-rank-jp-all-0020 | cost_bps: 10 n_stocks: 10 regime_gate: false | -3.85 | -3.38 | -6.04 | — |
n_stocks=10, cost_bps=10, regime_gate=True, holding_days=1 r-sales-growth-rank-jp-all-0021 | cost_bps: 10 n_stocks: 10 regime_gate: true | -2.91 | -2.51 | -3.81 | — |
n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5 r-sales-growth-rank-jp-all-0022 | cost_bps: 10 n_stocks: 10 regime_gate: true | -1.08 | +5.74 | -3.33 | — |
n_stocks=10, cost_bps=10, regime_gate=True, holding_days=20 r-sales-growth-rank-jp-all-0023 | cost_bps: 10 n_stocks: 10 regime_gate: true | -3.87 | -3.48 | -6.04 | — |
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: 2026-08-05T03:19:13