rejectedregime_dependent· equity· divergence · technical · volume

VPT Divergence (JP All Stocks)

slug: vpt-divergence-jp-all

performance summary

Sharpe (median)

-0.06

Max DD

-13.2%

Win rate

—

Alpha (ann.)

—

p-value

0.48

backtest period: 2022-03-01 → 2026-02-02

Sharpe across 72 grid runs:median -0.06best 1.07 (not representative)worst -2.04p25–p75 -0.35–0.38

Hypothesis

Volume-Price-Trend (VPT) accumulates volume signed by returns; a divergence between the VPT path and the price path is read as hidden accumulation/distribution. Ranking on VPT-price divergence tests whether price subsequently closes the gap.

Why it didn't work

Across 72 grid combinations, median Sharpe=-0.06, best=1.07. Primary failure mode: regime_dependent.

Facts (5)

Best grid Sharpe ratio is 1.07 (p=0.039).

period 2022-03-01–2026-02-02; cost=5bps

sharpe_ratio1.07

cite ↗ /cite/vpt-divergence-jp-all-fact-best-sharpevia r-vpt-divergence-jp-all-0100

Median Sharpe across 72 grid runs is -0.06.

Full grid of 72 parameter combinations.

sharpe_ratio-0.06

cite ↗ /cite/vpt-divergence-jp-all-fact-median-sharpe

Median Sharpe in DOWN regime is -3.57 across 72 runs.

Regime=DOWN, N225 SMA20/SMA60 classification.

sharpe_ratio-3.57

cite ↗ /cite/vpt-divergence-jp-all-fact-regime-down

Median Sharpe in FLAT regime is -0.42 across 72 runs.

Regime=FLAT, N225 SMA20/SMA60 classification.

sharpe_ratio-0.42

cite ↗ /cite/vpt-divergence-jp-all-fact-regime-flat

Median Sharpe in UP regime is 1.53 across 72 runs.

Regime=UP, N225 SMA20/SMA60 classification.

sharpe_ratio1.53

cite ↗ /cite/vpt-divergence-jp-all-fact-regime-up

Runs (30)

run	params	sharpe	UP	FLAT	DOWN
vpt_lookback=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1 r-vpt-divergence-jp-all-0000	cost_bps: 5 n_stocks: 5 regime_gate: false	-0.50	+2.05	-1.75	+2.97
vpt_lookback=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5 r-vpt-divergence-jp-all-0001	cost_bps: 5 n_stocks: 5 regime_gate: false	+0.58	+1.73	+0.11	-4.37
vpt_lookback=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20 r-vpt-divergence-jp-all-0002	cost_bps: 5 n_stocks: 5 regime_gate: false	+0.03	+1.23	-0.43	-5.66
vpt_lookback=20, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1 r-vpt-divergence-jp-all-0003	cost_bps: 5 n_stocks: 5 regime_gate: true	-0.71	+2.12	-1.75	+2.97
vpt_lookback=20, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20 r-vpt-divergence-jp-all-0005	cost_bps: 5 n_stocks: 5 regime_gate: true	-0.16	+0.65	-0.43	-5.66
vpt_lookback=20, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1 r-vpt-divergence-jp-all-0006	cost_bps: 10 n_stocks: 5 regime_gate: false	-0.74	+1.84	-2.03	+2.48
vpt_lookback=20, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20 r-vpt-divergence-jp-all-0008	cost_bps: 10 n_stocks: 5 regime_gate: false	-0.04	+1.18	-0.51	-5.92
vpt_lookback=20, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5 r-vpt-divergence-jp-all-0010	cost_bps: 10 n_stocks: 5 regime_gate: true	+0.48	+1.80	-0.04	-4.70
vpt_lookback=20, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1 r-vpt-divergence-jp-all-0012	cost_bps: 5 n_stocks: 10 regime_gate: false	-1.63	+0.95	-2.68	+1.49
vpt_lookback=20, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=5 r-vpt-divergence-jp-all-0013	cost_bps: 5 n_stocks: 10 regime_gate: false	-0.08	+1.31	-0.77	-3.90
vpt_lookback=20, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=1 r-vpt-divergence-jp-all-0015	cost_bps: 5 n_stocks: 10 regime_gate: true	-1.50	+1.19	-2.68	+1.49
vpt_lookback=20, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20 r-vpt-divergence-jp-all-0017	cost_bps: 5 n_stocks: 10 regime_gate: true	-0.29	+0.59	-0.66	-1.14
vpt_lookback=20, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=1 r-vpt-divergence-jp-all-0018	cost_bps: 10 n_stocks: 10 regime_gate: false	-2.04	+0.47	-3.12	+0.78
vpt_lookback=20, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20 r-vpt-divergence-jp-all-0020	cost_bps: 10 n_stocks: 10 regime_gate: false	-0.28	+0.85	-0.78	-1.28
vpt_lookback=20, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5 r-vpt-divergence-jp-all-0022	cost_bps: 10 n_stocks: 10 regime_gate: true	-0.18	+1.81	-1.00	-4.38
vpt_lookback=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1 r-vpt-divergence-jp-all-0048	cost_bps: 5 n_stocks: 5 regime_gate: false	-0.35	+2.06	-0.99	-4.32
vpt_lookback=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20 r-vpt-divergence-jp-all-0050	cost_bps: 5 n_stocks: 5 regime_gate: false	+0.20	+1.63	-0.10	-3.17
vpt_lookback=40, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=5 r-vpt-divergence-jp-all-0052	cost_bps: 5 n_stocks: 5 regime_gate: true	+0.42	+2.15	-0.10	-2.73
vpt_lookback=40, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1 r-vpt-divergence-jp-all-0054	cost_bps: 10 n_stocks: 5 regime_gate: false	-0.58	+1.84	-1.22	-4.96
vpt_lookback=40, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20 r-vpt-divergence-jp-all-0056	cost_bps: 10 n_stocks: 5 regime_gate: false	+0.12	+1.57	-0.19	-3.25
vpt_lookback=40, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5 r-vpt-divergence-jp-all-0058	cost_bps: 10 n_stocks: 5 regime_gate: true	+0.33	+2.11	-0.22	-2.88
vpt_lookback=40, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1 r-vpt-divergence-jp-all-0060	cost_bps: 5 n_stocks: 10 regime_gate: false	-0.80	+1.41	-1.82	-0.83
vpt_lookback=40, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20 r-vpt-divergence-jp-all-0062	cost_bps: 5 n_stocks: 10 regime_gate: false	-0.21	+0.73	-0.50	-2.22
vpt_lookback=40, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=5 r-vpt-divergence-jp-all-0064	cost_bps: 5 n_stocks: 10 regime_gate: true	+0.33	+2.26	-0.22	-1.79
vpt_lookback=40, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=1 r-vpt-divergence-jp-all-0066	cost_bps: 10 n_stocks: 10 regime_gate: false	-1.17	+1.11	-2.26	-1.45
vpt_lookback=40, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20 r-vpt-divergence-jp-all-0068	cost_bps: 10 n_stocks: 10 regime_gate: false	-0.33	+0.64	-0.63	-2.37
vpt_lookback=40, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5 r-vpt-divergence-jp-all-0070	cost_bps: 10 n_stocks: 10 regime_gate: true	+0.18	+2.18	-0.42	-1.98
vpt_lookback=60, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1 r-vpt-divergence-jp-all-0096	cost_bps: 5 n_stocks: 5 regime_gate: false	+0.84	+1.57	+0.73	-1.24
vpt_lookback=60, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5 r-vpt-divergence-jp-all-0097	cost_bps: 5 n_stocks: 5 regime_gate: false	+0.95	+2.10	+0.74	-4.88
vpt_lookback=60, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=5 r-vpt-divergence-jp-all-0100	cost_bps: 5 n_stocks: 5 regime_gate: true	+1.07	+2.57	+0.74	-4.88

Target universe

Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks

Related strategies

same_strategy:vpt-divergence-jp-growth same_strategy:vpt-divergence-us-sp500

source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars

computed asof: 2026-08-02T16:26:06

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