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rejectedregime_dependent· equity· cross-sectional· factor· reversal

Short-Term Reversal (US S&P 500)

slug: short-term-reversal-us-sp500
performance summary
Sharpe (median)
+0.01
Max DD
-24.7%
Win rate
—
Alpha (ann.)
—
p-value
0.38
backtest period: 2022-01-18 → 2026-06-08
Sharpe across 320 grid runs:median 0.01best 1.59 (not representative)worst -1.24p25–p75 -0.44–0.38

Hypothesis

Jegadeesh (1990): stocks that dropped most over past N days tend to bounce back (and vice versa). LONG worst performers, SHORT best. Applied to S&P 500 constituents.

Why it didn't work

Across 320 grid combinations, median Sharpe=0.01, best=1.59. Primary failure mode: regime_dependent.

Facts (7)

Average monthly return correlation with other strategies in DOWN regime: -0.22
Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
correlation-0.22
cite ↗ /cite/short-term-reversal-us-sp500-fact-avg-corr-down
Average monthly return correlation with other strategies (full period): -0.03
Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
correlation-0.03
cite ↗ /cite/short-term-reversal-us-sp500-fact-avg-corr-full
Best grid Sharpe ratio is 1.59 (p=0.00096).
period 2022-01-18–2026-06-08; cost=5bps
sharpe_ratio1.59
cite ↗ /cite/short-term-reversal-us-sp500-fact-best-sharpevia r-short-term-reversal-us-sp500-0101
Median Sharpe across 320 grid runs is 0.01.
Full grid of 320 parameter combinations.
sharpe_ratio0.01
cite ↗ /cite/short-term-reversal-us-sp500-fact-median-sharpe
Median Sharpe in DOWN regime is 0.81 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio0.81
cite ↗ /cite/short-term-reversal-us-sp500-fact-regime-down
Median Sharpe in FLAT regime is -0.23 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.23
cite ↗ /cite/short-term-reversal-us-sp500-fact-regime-flat
Median Sharpe in UP regime is -0.13 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.13
cite ↗ /cite/short-term-reversal-us-sp500-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
reversal_days=1, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-us-sp500-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.13-0.82+0.22+0.77
reversal_days=1, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-short-term-reversal-us-sp500-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.48+0.56+0.22+0.77
reversal_days=1, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-short-term-reversal-us-sp500-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.51-1.23-0.16+0.48
reversal_days=1, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-short-term-reversal-us-sp500-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.18+0.32-0.16+0.48
reversal_days=1, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-short-term-reversal-us-sp500-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.11-0.54-0.28+0.76
reversal_days=1, holding_days=3, n_stocks=5, cost_bps=10, regime_gate=False
r-short-term-reversal-us-sp500-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.05-0.87+0.25+1.03
reversal_days=1, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-us-sp500-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.06-0.56+0.14+1.23
reversal_days=1, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False
r-short-term-reversal-us-sp500-0046
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.17-0.62-0.72+1.51
reversal_days=1, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-us-sp500-0048
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.59-0.43-1.18-0.58
reversal_days=1, holding_days=10, n_stocks=50, cost_bps=5, regime_gate=True
r-short-term-reversal-us-sp500-0061
cost_bps: 5
n_stocks: 50
regime_gate: true
+0.03+0.58+0.23-0.96
reversal_days=2, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=True
r-short-term-reversal-us-sp500-0075
cost_bps: 10
n_stocks: 20
regime_gate: true
+0.33+0.43-0.30+1.03
reversal_days=2, holding_days=3, n_stocks=20, cost_bps=5, regime_gate=True
r-short-term-reversal-us-sp500-0089
cost_bps: 5
n_stocks: 20
regime_gate: true
+1.06+1.58+0.63+0.92
reversal_days=2, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True
r-short-term-reversal-us-sp500-0101
cost_bps: 5
n_stocks: 10
regime_gate: true
+1.59+1.86+1.07+2.04
reversal_days=2, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False
r-short-term-reversal-us-sp500-0104
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.62+0.22+0.53+1.66
reversal_days=2, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False
r-short-term-reversal-us-sp500-0118
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.48-0.60-0.09-0.63
reversal_days=3, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False
r-short-term-reversal-us-sp500-0132
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.11-1.50-0.16+2.31
reversal_days=3, holding_days=3, n_stocks=5, cost_bps=10, regime_gate=False
r-short-term-reversal-us-sp500-0146
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.18-0.99-0.24+1.84
reversal_days=3, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-us-sp500-0160
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.12-0.53-0.45+2.62
reversal_days=3, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False
r-short-term-reversal-us-sp500-0174
cost_bps: 10
n_stocks: 50
regime_gate: false
+0.08-0.68-0.10+1.75
reversal_days=3, holding_days=10, n_stocks=50, cost_bps=5, regime_gate=False
r-short-term-reversal-us-sp500-0188
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.12-0.21+0.65-0.54
reversal_days=5, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False
r-short-term-reversal-us-sp500-0202
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.82-2.18-0.59+0.80
reversal_days=5, holding_days=3, n_stocks=20, cost_bps=5, regime_gate=False
r-short-term-reversal-us-sp500-0216
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.71-1.57-0.12+0.05
reversal_days=5, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False
r-short-term-reversal-us-sp500-0230
cost_bps: 10
n_stocks: 10
regime_gate: false
-1.24-2.27-0.66+0.48
reversal_days=5, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True
r-short-term-reversal-us-sp500-0231
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.03+0.32-0.66+0.48
reversal_days=5, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True
r-short-term-reversal-us-sp500-0245
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.78+1.19+0.09+1.06
reversal_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-us-sp500-0256
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.74-2.88+0.05+1.68
reversal_days=10, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False
r-short-term-reversal-us-sp500-0260
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.54-2.37-0.22+2.01
reversal_days=10, holding_days=3, n_stocks=5, cost_bps=10, regime_gate=False
r-short-term-reversal-us-sp500-0274
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.75-1.87-0.21+0.97
reversal_days=10, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False
r-short-term-reversal-us-sp500-0288
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.01-2.01-0.43+0.80
reversal_days=10, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False
r-short-term-reversal-us-sp500-0302
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.06-2.67-0.32+0.72

Target universe

S&P 500 constituents, ~503 stocks

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same_strategy:short-term-reversal-jp-allsame_strategy:short-term-reversal-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-28T01:10:01
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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