Volatility Ratio Reversal (JP All Stocks)
slug: volatility-ratio-reversal-jp-all
performance summary
Sharpe (median)
-0.20
Max DD
-15.4%
Win rate
—
Alpha (ann.)
—
p-value
0.52
backtest period: 2022-02-01 → 2026-02-02
Sharpe across 216 grid runs:median -0.20best 0.84 (not representative)worst -1.25p25–p75 -0.46–0.08
Hypothesis
When short-window realized volatility spikes relative to the long-window baseline (high vol ratio), prices have typically overreacted; buying the dislocated side tests whether the spike mean-reverts within the holding period.
Why it didn't work
Across 216 grid combinations, median Sharpe=-0.20, best=0.84. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is 0.84 (p=0.096).
period 2022-02-01–2026-02-02; cost=5bps
cite ↗ /cite/volatility-ratio-reversal-jp-all-fact-best-sharpevia r-volatility-ratio-reversal-jp-all-0100
Median Sharpe across 216 grid runs is -0.20.
Full grid of 216 parameter combinations.
Median Sharpe in DOWN regime is 0.61 across 216 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.15 across 216 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.26 across 216 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-jp-all-0000 | cost_bps: 5 n_stocks: 5 long_window: 15 | +0.04 | -0.46 | +0.29 | -0.75 |
short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5 r-volatility-ratio-reversal-jp-all-0001 | cost_bps: 5 n_stocks: 5 long_window: 15 | -0.11 | -1.04 | +0.31 | +1.26 |
short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20 r-volatility-ratio-reversal-jp-all-0002 | cost_bps: 5 n_stocks: 5 long_window: 15 | -0.31 | -0.13 | -0.55 | +1.32 |
short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1 r-volatility-ratio-reversal-jp-all-0003 | cost_bps: 5 n_stocks: 5 long_window: 15 | +0.20 | +0.38 | +0.29 | -0.75 |
short_window=3, long_window=15, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-jp-all-0006 | cost_bps: 10 n_stocks: 5 long_window: 15 | -0.20 | -0.70 | +0.04 | -0.91 |
short_window=3, long_window=15, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-jp-all-0012 | cost_bps: 5 n_stocks: 10 long_window: 15 | +0.16 | +0.37 | -0.01 | +0.86 |
short_window=3, long_window=15, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20 r-volatility-ratio-reversal-jp-all-0014 | cost_bps: 5 n_stocks: 10 long_window: 15 | -0.32 | -0.72 | -0.30 | +0.80 |
short_window=3, long_window=15, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=20 r-volatility-ratio-reversal-jp-all-0023 | cost_bps: 10 n_stocks: 10 long_window: 15 | -0.14 | +0.26 | -0.40 | +0.73 |
short_window=3, long_window=20, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20 r-volatility-ratio-reversal-jp-all-0056 | cost_bps: 10 n_stocks: 5 long_window: 20 | -0.04 | +0.09 | -0.22 | +1.27 |
short_window=3, long_window=20, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20 r-volatility-ratio-reversal-jp-all-0065 | cost_bps: 5 n_stocks: 10 long_window: 20 | 0.00 | +0.58 | -0.31 | +1.01 |
short_window=3, long_window=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-jp-all-0096 | cost_bps: 5 n_stocks: 5 long_window: 40 | -0.07 | -0.33 | +0.04 | -0.41 |
short_window=3, long_window=40, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1 r-volatility-ratio-reversal-jp-all-0099 | cost_bps: 5 n_stocks: 5 long_window: 40 | +0.01 | +0.10 | +0.04 | -0.41 |
short_window=3, long_window=40, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=5 r-volatility-ratio-reversal-jp-all-0100 | cost_bps: 5 n_stocks: 5 long_window: 40 | +0.84 | +1.03 | +0.74 | +1.25 |
short_window=3, long_window=40, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=5 r-volatility-ratio-reversal-jp-all-0109 | cost_bps: 5 n_stocks: 10 long_window: 40 | -0.01 | -0.88 | +0.41 | +1.96 |
short_window=3, long_window=40, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5 r-volatility-ratio-reversal-jp-all-0118 | cost_bps: 10 n_stocks: 10 long_window: 40 | +0.50 | +1.31 | +0.14 | +1.63 |
short_window=5, long_window=15, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5 r-volatility-ratio-reversal-jp-all-0151 | cost_bps: 10 n_stocks: 5 long_window: 15 | -0.51 | -1.35 | -0.01 | +1.18 |
short_window=5, long_window=15, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=5 r-volatility-ratio-reversal-jp-all-0160 | cost_bps: 5 n_stocks: 10 long_window: 15 | -0.10 | +0.52 | -0.39 | -0.05 |
short_window=5, long_window=15, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20 r-volatility-ratio-reversal-jp-all-0164 | cost_bps: 10 n_stocks: 10 long_window: 15 | -1.25 | -1.31 | -1.19 | -1.89 |
short_window=5, long_window=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20 r-volatility-ratio-reversal-jp-all-0194 | cost_bps: 5 n_stocks: 5 long_window: 20 | -0.40 | -1.21 | -0.35 | +0.27 |
short_window=5, long_window=20, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20 r-volatility-ratio-reversal-jp-all-0203 | cost_bps: 10 n_stocks: 5 long_window: 20 | -0.22 | +0.39 | -0.41 | +0.24 |
short_window=5, long_window=20, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20 r-volatility-ratio-reversal-jp-all-0212 | cost_bps: 10 n_stocks: 10 long_window: 20 | -0.67 | -1.06 | -0.67 | +0.34 |
short_window=5, long_window=40, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20 r-volatility-ratio-reversal-jp-all-0245 | cost_bps: 5 n_stocks: 5 long_window: 40 | -0.01 | +0.45 | -0.20 | +0.67 |
short_window=5, long_window=40, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20 r-volatility-ratio-reversal-jp-all-0254 | cost_bps: 5 n_stocks: 10 long_window: 40 | -0.67 | -0.60 | -0.64 | -0.95 |
short_window=5, long_window=40, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=20 r-volatility-ratio-reversal-jp-all-0263 | cost_bps: 10 n_stocks: 10 long_window: 40 | -0.49 | +0.74 | -0.73 | -1.03 |
short_window=10, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-jp-all-0288 | cost_bps: 5 n_stocks: 5 long_window: 15 | -0.32 | -1.78 | +0.10 | -0.16 |
short_window=10, long_window=15, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=1 r-volatility-ratio-reversal-jp-all-0297 | cost_bps: 10 n_stocks: 5 long_window: 15 | -0.19 | -0.27 | -0.15 | -0.39 |
short_window=10, long_window=15, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-jp-all-0306 | cost_bps: 10 n_stocks: 10 long_window: 15 | -0.82 | -3.16 | -0.39 | +0.12 |
short_window=10, long_window=20, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1 r-volatility-ratio-reversal-jp-all-0339 | cost_bps: 5 n_stocks: 5 long_window: 20 | -0.33 | -0.07 | -0.31 | -1.57 |
short_window=10, long_window=20, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-jp-all-0348 | cost_bps: 5 n_stocks: 10 long_window: 20 | -0.56 | -1.67 | -0.24 | +0.81 |
short_window=10, long_window=20, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=1 r-volatility-ratio-reversal-jp-all-0357 | cost_bps: 10 n_stocks: 10 long_window: 20 | -0.49 | -0.16 | -0.60 | -0.07 |
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: 2026-08-02T16:26:00