Sector Rotation / Sector Momentum (JP Growth Stocks)
slug: sector-rotation-jp-growth
performance summary
Sharpe (median)
-0.38
Max DD
-19.2%
Win rate
—
Alpha (ann.)
—
p-value
0.36
backtest period: 2022-03-01 → 2026-06-01
Sharpe across 576 grid runs:median -0.38best 0.97 (not representative)worst -1.68p25–p75 -0.66–-0.10
Hypothesis
Cross-sectional sector momentum: group stocks by TSE ticker-code sector, compute sector-level momentum, LONG top sectors, SHORT bottom sectors. Tests equal-sector, equal-stock, and cap-weighted approaches.
Why it didn't work
Across 576 grid combinations, median Sharpe=-0.38, best=0.97. Primary failure mode: no_edge.
Facts (7)
Average monthly return correlation with other strategies in DOWN regime: -0.04
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): 0.09
Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
Best grid Sharpe ratio is 0.97 (p=0.053).
period 2022-03-01–2026-06-01; cost=5bps
cite ↗ /cite/sector-rotation-jp-growth-fact-best-sharpevia r-sector-rotation-jp-growth-0249
Median Sharpe across 576 grid runs is -0.38.
Full grid of 576 parameter combinations.
Median Sharpe in DOWN regime is -2.32 across 576 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.31 across 576 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.23 across 576 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
formation_days=20, holding_days=5, n_sectors=2, weighting=equal_sector, cost_bps=5, regime_gate=False r-sector-rotation-jp-growth-0000 | cost_bps: 5 n_sectors: 2 weighting: "equal_sector" | -0.80 | -0.12 | -1.09 | -1.34 |
formation_days=20, holding_days=5, n_sectors=2, weighting=equal_sector, cost_bps=5, regime_gate=True r-sector-rotation-jp-growth-0001 | cost_bps: 5 n_sectors: 2 weighting: "equal_sector" | -0.78 | +0.33 | -1.09 | -1.34 |
formation_days=20, holding_days=5, n_sectors=2, weighting=equal_sector, cost_bps=10, regime_gate=False r-sector-rotation-jp-growth-0002 | cost_bps: 10 n_sectors: 2 weighting: "equal_sector" | -0.96 | -0.24 | -1.25 | -1.54 |
formation_days=20, holding_days=5, n_sectors=2, weighting=equal_sector, cost_bps=10, regime_gate=True r-sector-rotation-jp-growth-0003 | cost_bps: 10 n_sectors: 2 weighting: "equal_sector" | -0.93 | +0.24 | -1.25 | -1.54 |
formation_days=20, holding_days=5, n_sectors=2, weighting=equal_stock, cost_bps=5, regime_gate=False r-sector-rotation-jp-growth-0004 | cost_bps: 5 n_sectors: 2 weighting: "equal_stock" | -1.10 | -0.58 | -1.18 | -1.85 |
formation_days=20, holding_days=5, n_sectors=2, weighting=cap_weight, cost_bps=5, regime_gate=False r-sector-rotation-jp-growth-0008 | cost_bps: 5 n_sectors: 2 weighting: "cap_weight" | -1.11 | -0.63 | -1.35 | -0.21 |
formation_days=20, holding_days=5, n_sectors=4, weighting=equal_sector, cost_bps=5, regime_gate=False r-sector-rotation-jp-growth-0024 | cost_bps: 5 n_sectors: 4 weighting: "equal_sector" | -0.59 | +0.01 | -0.95 | +3.22 |
formation_days=20, holding_days=5, n_sectors=4, weighting=cap_weight, cost_bps=10, regime_gate=False r-sector-rotation-jp-growth-0034 | cost_bps: 10 n_sectors: 4 weighting: "cap_weight" | -1.68 | -1.17 | -1.77 | -2.18 |
formation_days=20, holding_days=5, n_sectors=4, weighting=cap_weight, cost_bps=10, regime_gate=True r-sector-rotation-jp-growth-0035 | cost_bps: 10 n_sectors: 4 weighting: "cap_weight" | -1.16 | -0.03 | -1.77 | -2.18 |
formation_days=20, holding_days=10, n_sectors=4, weighting=equal_sector, cost_bps=10, regime_gate=True r-sector-rotation-jp-growth-0075 | cost_bps: 10 n_sectors: 4 weighting: "equal_sector" | -0.14 | +0.55 | -0.62 | +0.55 |
formation_days=20, holding_days=20, n_sectors=3, weighting=equal_stock, cost_bps=10, regime_gate=True r-sector-rotation-jp-growth-0115 | cost_bps: 10 n_sectors: 3 weighting: "equal_stock" | -0.42 | -0.12 | -0.67 | +0.68 |
formation_days=20, holding_days=60, n_sectors=2, weighting=equal_sector, cost_bps=5, regime_gate=False r-sector-rotation-jp-growth-0144 | cost_bps: 5 n_sectors: 2 weighting: "equal_sector" | -0.18 | +0.15 | -0.31 | +0.01 |
formation_days=20, holding_days=60, n_sectors=3, weighting=equal_sector, cost_bps=5, regime_gate=False r-sector-rotation-jp-growth-0156 | cost_bps: 5 n_sectors: 3 weighting: "equal_sector" | -0.09 | +0.31 | -0.24 | +0.04 |
formation_days=60, holding_days=5, n_sectors=2, weighting=equal_stock, cost_bps=5, regime_gate=False r-sector-rotation-jp-growth-0196 | cost_bps: 5 n_sectors: 2 weighting: "equal_stock" | -1.00 | -1.38 | -0.58 | -6.12 |
formation_days=60, holding_days=5, n_sectors=4, weighting=cap_weight, cost_bps=5, regime_gate=False r-sector-rotation-jp-growth-0224 | cost_bps: 5 n_sectors: 4 weighting: "cap_weight" | -0.25 | -0.38 | -0.19 | -0.49 |
formation_days=60, holding_days=10, n_sectors=2, weighting=cap_weight, cost_bps=5, regime_gate=True r-sector-rotation-jp-growth-0249 | cost_bps: 5 n_sectors: 2 weighting: "cap_weight" | +0.97 | +0.52 | +1.27 | +0.03 |
formation_days=60, holding_days=10, n_sectors=4, weighting=equal_sector, cost_bps=5, regime_gate=True r-sector-rotation-jp-growth-0265 | cost_bps: 5 n_sectors: 4 weighting: "equal_sector" | +0.05 | +0.35 | +0.00 | -2.52 |
formation_days=60, holding_days=20, n_sectors=3, weighting=equal_stock, cost_bps=5, regime_gate=True r-sector-rotation-jp-growth-0305 | cost_bps: 5 n_sectors: 3 weighting: "equal_stock" | -0.09 | +0.03 | -0.06 | -2.34 |
formation_days=60, holding_days=60, n_sectors=2, weighting=cap_weight, cost_bps=5, regime_gate=True r-sector-rotation-jp-growth-0345 | cost_bps: 5 n_sectors: 2 weighting: "cap_weight" | +0.34 | -0.60 | +0.76 | +0.86 |
formation_days=120, holding_days=5, n_sectors=2, weighting=equal_sector, cost_bps=5, regime_gate=True r-sector-rotation-jp-growth-0385 | cost_bps: 5 n_sectors: 2 weighting: "equal_sector" | -0.65 | -0.18 | -0.55 | -2.95 |
formation_days=120, holding_days=5, n_sectors=4, weighting=equal_stock, cost_bps=5, regime_gate=True r-sector-rotation-jp-growth-0413 | cost_bps: 5 n_sectors: 4 weighting: "equal_stock" | -0.48 | +0.13 | -1.04 | -0.20 |
formation_days=120, holding_days=10, n_sectors=3, weighting=cap_weight, cost_bps=5, regime_gate=True r-sector-rotation-jp-growth-0453 | cost_bps: 5 n_sectors: 3 weighting: "cap_weight" | +0.03 | +0.45 | -0.05 | -3.07 |
formation_days=120, holding_days=20, n_sectors=3, weighting=equal_sector, cost_bps=5, regime_gate=True r-sector-rotation-jp-growth-0493 | cost_bps: 5 n_sectors: 3 weighting: "equal_sector" | -0.75 | -0.48 | -0.78 | -1.56 |
formation_days=120, holding_days=60, n_sectors=2, weighting=equal_stock, cost_bps=5, regime_gate=True r-sector-rotation-jp-growth-0533 | cost_bps: 5 n_sectors: 2 weighting: "equal_stock" | +0.05 | -0.73 | +0.37 | -1.35 |
formation_days=120, holding_days=60, n_sectors=4, weighting=cap_weight, cost_bps=5, regime_gate=True r-sector-rotation-jp-growth-0561 | cost_bps: 5 n_sectors: 4 weighting: "cap_weight" | -0.71 | -1.62 | -0.41 | -2.59 |
formation_days=250, holding_days=5, n_sectors=2, weighting=equal_sector, cost_bps=5, regime_gate=False r-sector-rotation-jp-growth-0576 | cost_bps: 5 n_sectors: 2 weighting: "equal_sector" | +0.63 | +1.07 | +1.00 | -2.20 |
formation_days=250, holding_days=5, n_sectors=4, weighting=equal_sector, cost_bps=10, regime_gate=False r-sector-rotation-jp-growth-0602 | cost_bps: 10 n_sectors: 4 weighting: "equal_sector" | -0.80 | -0.97 | -0.42 | -1.97 |
formation_days=250, holding_days=10, n_sectors=3, weighting=equal_stock, cost_bps=10, regime_gate=False r-sector-rotation-jp-growth-0642 | cost_bps: 10 n_sectors: 3 weighting: "equal_stock" | -0.60 | -1.05 | -0.23 | -2.62 |
formation_days=250, holding_days=20, n_sectors=2, weighting=cap_weight, cost_bps=10, regime_gate=False r-sector-rotation-jp-growth-0682 | cost_bps: 10 n_sectors: 2 weighting: "cap_weight" | -0.24 | -0.04 | +0.11 | -7.63 |
formation_days=250, holding_days=60, n_sectors=2, weighting=equal_sector, cost_bps=10, regime_gate=False r-sector-rotation-jp-growth-0722 | cost_bps: 10 n_sectors: 2 weighting: "equal_sector" | -0.09 | +0.01 | +0.37 | -6.98 |
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: 2026-07-29T01:08:55