Volatility Breakout (JP Growth Stocks)
slug: volatility-breakout-jp-growth
performance summary
Sharpe (median)
-0.61
Max DD
-31.6%
Win rate
—
Alpha (ann.)
—
p-value
0.20
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 720 grid runs:median -0.61best 0.79 (not representative)worst -1.84p25–p75 -0.90–-0.26
Hypothesis
Stocks with rising short-term ATR relative to long-term ATR are experiencing volatility expansion, signaling breakout opportunities. LONG high ATR-ratio stocks, SHORT low ATR-ratio.
Why it didn't work
Across 720 grid combinations, median Sharpe=-0.61, best=0.79. Primary failure mode: no_edge.
Facts (7)
Average monthly return correlation with other strategies in DOWN regime: -0.06
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): 0.01
Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
Best grid Sharpe ratio is 0.79 (p=0.1).
period 2022-02-01–2026-06-01; cost=5bps
cite ↗ /cite/volatility-breakout-jp-growth-fact-best-sharpevia r-volatility-breakout-jp-growth-0224
Median Sharpe across 720 grid runs is -0.61.
Full grid of 720 parameter combinations.
Median Sharpe in DOWN regime is -1.05 across 720 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.51 across 720 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.59 across 720 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
atr_short=5, atr_long=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-volatility-breakout-jp-growth-0000 | atr_long: 20 cost_bps: 5 n_stocks: 5 | -1.58 | -2.22 | -1.37 | -2.32 |
atr_short=5, atr_long=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-volatility-breakout-jp-growth-0001 | atr_long: 20 cost_bps: 5 n_stocks: 5 | -1.70 | -2.69 | -1.37 | -2.32 |
atr_short=5, atr_long=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-volatility-breakout-jp-growth-0002 | atr_long: 20 cost_bps: 10 n_stocks: 5 | -1.73 | -2.37 | -1.51 | -2.63 |
atr_short=5, atr_long=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-volatility-breakout-jp-growth-0003 | atr_long: 20 cost_bps: 10 n_stocks: 5 | -1.83 | -2.76 | -1.51 | -2.63 |
atr_short=5, atr_long=20, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=False r-volatility-breakout-jp-growth-0008 | atr_long: 20 cost_bps: 5 n_stocks: 20 | -0.73 | -0.69 | -0.71 | -1.14 |
atr_short=5, atr_long=20, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-volatility-breakout-jp-growth-0036 | atr_long: 20 cost_bps: 5 n_stocks: 5 | -0.93 | -1.54 | -0.62 | -7.94 |
atr_short=5, atr_long=20, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=False r-volatility-breakout-jp-growth-0038 | atr_long: 20 cost_bps: 10 n_stocks: 5 | -0.97 | -1.59 | -0.66 | -8.06 |
atr_short=5, atr_long=40, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=True r-volatility-breakout-jp-growth-0071 | atr_long: 40 cost_bps: 10 n_stocks: 20 | -0.44 | -0.08 | -0.51 | -0.71 |
atr_short=5, atr_long=60, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=False r-volatility-breakout-jp-growth-0104 | atr_long: 60 cost_bps: 5 n_stocks: 20 | -0.43 | -0.80 | -0.30 | -0.39 |
atr_short=5, atr_long=60, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-volatility-breakout-jp-growth-0137 | atr_long: 60 cost_bps: 5 n_stocks: 10 | -0.18 | +0.26 | -0.17 | -7.36 |
atr_short=5, atr_long=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-volatility-breakout-jp-growth-0144 | atr_long: 120 cost_bps: 5 n_stocks: 5 | -0.73 | -1.13 | -0.60 | -0.32 |
atr_short=5, atr_long=120, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=True r-volatility-breakout-jp-growth-0171 | atr_long: 120 cost_bps: 10 n_stocks: 5 | -0.23 | +0.55 | -0.28 | -2.21 |
atr_short=10, atr_long=20, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-volatility-breakout-jp-growth-0204 | atr_long: 20 cost_bps: 5 n_stocks: 5 | -1.26 | -1.01 | -1.50 | +0.06 |
atr_short=10, atr_long=20, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=False r-volatility-breakout-jp-growth-0224 | atr_long: 20 cost_bps: 5 n_stocks: 20 | +0.79 | +1.04 | +0.62 | +2.01 |
atr_short=10, atr_long=20, holding_days=20, n_stocks=20, cost_bps=10, regime_gate=False r-volatility-breakout-jp-growth-0238 | atr_long: 20 cost_bps: 10 n_stocks: 20 | -0.35 | -0.15 | -0.49 | +1.23 |
atr_short=10, atr_long=40, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True r-volatility-breakout-jp-growth-0271 | atr_long: 40 cost_bps: 10 n_stocks: 10 | -0.24 | -0.44 | -0.32 | +0.62 |
atr_short=10, atr_long=60, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False r-volatility-breakout-jp-growth-0304 | atr_long: 60 cost_bps: 5 n_stocks: 10 | -0.32 | -0.59 | -0.24 | -0.58 |
atr_short=10, atr_long=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-volatility-breakout-jp-growth-0337 | atr_long: 120 cost_bps: 5 n_stocks: 5 | -0.68 | -0.95 | -0.59 | -0.08 |
atr_short=10, atr_long=120, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-volatility-breakout-jp-growth-0370 | atr_long: 120 cost_bps: 10 n_stocks: 20 | +0.41 | +0.60 | +0.24 | +1.68 |
atr_short=14, atr_long=20, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True r-volatility-breakout-jp-growth-0403 | atr_long: 20 cost_bps: 10 n_stocks: 10 | -0.55 | -1.10 | -0.12 | -2.84 |
atr_short=14, atr_long=40, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False r-volatility-breakout-jp-growth-0436 | atr_long: 40 cost_bps: 5 n_stocks: 10 | -1.43 | -1.48 | -1.43 | -1.08 |
atr_short=14, atr_long=40, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True r-volatility-breakout-jp-growth-0469 | atr_long: 40 cost_bps: 5 n_stocks: 5 | -0.87 | -1.74 | -0.34 | -4.18 |
atr_short=14, atr_long=60, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=False r-volatility-breakout-jp-growth-0502 | atr_long: 60 cost_bps: 10 n_stocks: 20 | -0.80 | -2.77 | -0.18 | -1.68 |
atr_short=14, atr_long=120, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True r-volatility-breakout-jp-growth-0535 | atr_long: 120 cost_bps: 10 n_stocks: 10 | -0.95 | -1.10 | -0.90 | -0.70 |
atr_short=14, atr_long=120, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False r-volatility-breakout-jp-growth-0538 | atr_long: 120 cost_bps: 10 n_stocks: 20 | -1.84 | -1.84 | -1.84 | -1.26 |
atr_short=14, atr_long=120, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-volatility-breakout-jp-growth-0569 | atr_long: 120 cost_bps: 5 n_stocks: 10 | -0.80 | -0.75 | -0.75 | -1.42 |
atr_short=20, atr_long=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-volatility-breakout-jp-growth-0576 | atr_long: 40 cost_bps: 5 n_stocks: 5 | -0.83 | -0.09 | -1.13 | -1.80 |
atr_short=20, atr_long=40, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=True r-volatility-breakout-jp-growth-0603 | atr_long: 40 cost_bps: 10 n_stocks: 5 | -0.69 | -1.32 | -0.49 | -1.55 |
atr_short=20, atr_long=60, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-volatility-breakout-jp-growth-0636 | atr_long: 60 cost_bps: 5 n_stocks: 5 | -0.54 | -0.43 | -0.58 | -0.71 |
atr_short=20, atr_long=60, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True r-volatility-breakout-jp-growth-0669 | atr_long: 60 cost_bps: 5 n_stocks: 20 | -0.38 | +0.89 | -1.28 | +5.41 |
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: 2026-07-29T01:08:47