{"schema_version":"v1","slug":"earnings-yield-momentum-jp-growth","name":"Earnings Yield x Momentum (JP Growth Stocks)","name_i18n":{},"verdict":"rejected","asset_class":"equity","categories":["fundamental","momentum","value"],"hypothesis":"Value and momentum are individually noisy but historically complementary; requiring both a high earnings yield and positive price momentum tests whether the intersection avoids value traps better than either signal alone.","rejection_reason":{"primary":"regime_dependent","secondary":[],"narrative":"Across 144 grid combinations, median Sharpe=-0.15, best=0.99. Primary failure mode: regime_dependent."},"target_universe":{"description":"Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY; fundamentals from J-Quants financial statements (coverage from 2023-12)","symbols":[]},"performance_summary":{"sharpe_median":-0.1501,"max_drawdown_pct":-8.5,"win_rate":null,"alpha_annualized_pct":null,"p_value":0.64,"backtest_period":{"start":"2024-01-04","end":"2026-06-01"}},"grid_summary":{"sharpe":{"p25":-0.37,"p75":0.15,"best":0.99,"worst":-1.16,"median":-0.15},"n_combinations":144},"methodology":{"notes":"{\"walk_forward_definition\": {\"type\": \"single_pass\", \"description\": \"Full period backtest without walk-forward split\", \"verdict_basis\": \"full_period\"}}","signal":null,"benchmark":null,"rebalance":null,"slippage_model":"open-on-open + variable bps fixed","position_sizing":"equal_weight","regime_definition":"N225 SMA20/SMA60 three-class","transaction_cost_bps":5},"provenance":{"data_source":"kabu STATION REST API + J-Quants daily bars","source_project":"qbuntu-analysis","computed_asof":"2026-08-03T01:03:13","git_sha_z":"2f23bb7","git_sha_genkidama":"711b855","python_version":"3.10.11","numpy_version":"2.2.6","pandas_version":"2.3.3","tier":"shallow"},"runs":[{"run_id":"r-earnings-yield-momentum-jp-growth-0000","name":"momentum_days=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1","params":{"cost_bps":5,"n_stocks":5,"regime_gate":false,"holding_days":1,"momentum_days":20},"performance":{"sharpe":-0.24,"max_drawdown_pct":-14.5,"alpha_annualized_pct":-1.7,"p_value":0.7,"regime_breakdown":{"UP":-0.065944,"DOWN":0.392397,"FLAT":-0.451291}},"executed_at":"2026-08-03T01:02:12","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0001","name":"momentum_days=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5","params":{"cost_bps":5,"n_stocks":5,"regime_gate":false,"holding_days":5,"momentum_days":20},"performance":{"sharpe":-0.18,"max_drawdown_pct":-13.4,"alpha_annualized_pct":-1.9,"p_value":0.77,"regime_breakdown":{"UP":-0.656921,"DOWN":1.632473,"FLAT":-0.201696}},"executed_at":"2026-08-03T01:02:12","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0002","name":"momentum_days=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20","params":{"cost_bps":5,"n_stocks":5,"regime_gate":false,"holding_days":20,"momentum_days":20},"performance":{"sharpe":0.18,"max_drawdown_pct":-21.6,"alpha_annualized_pct":3.4,"p_value":0.78,"regime_breakdown":{"UP":0.276826,"DOWN":-0.100603,"FLAT":0.147454}},"executed_at":"2026-08-03T01:02:12","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0003","name":"momentum_days=20, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1","params":{"cost_bps":5,"n_stocks":5,"regime_gate":true,"holding_days":1,"momentum_days":20},"performance":{"sharpe":-0.58,"max_drawdown_pct":-17.5,"alpha_annualized_pct":-4.1,"p_value":0.36,"regime_breakdown":{"UP":-1.19012,"DOWN":0.392397,"FLAT":-0.451291}},"executed_at":"2026-08-03T01:02:12","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0006","name":"momentum_days=20, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1","params":{"cost_bps":10,"n_stocks":5,"regime_gate":false,"holding_days":1,"momentum_days":20},"performance":{"sharpe":-0.42,"max_drawdown_pct":-15.6,"alpha_annualized_pct":-3,"p_value":0.51,"regime_breakdown":{"UP":-0.285796,"DOWN":0.233873,"FLAT":-0.598783}},"executed_at":"2026-08-03T01:02:12","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0010","name":"momentum_days=20, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5","params":{"cost_bps":10,"n_stocks":5,"regime_gate":true,"holding_days":5,"momentum_days":20},"performance":{"sharpe":-0.4,"max_drawdown_pct":-14.1,"alpha_annualized_pct":-3.9,"p_value":0.52,"regime_breakdown":{"UP":-1.301276,"DOWN":1.487255,"FLAT":-0.304196}},"executed_at":"2026-08-03T01:02:12","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0016","name":"momentum_days=20, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=5","params":{"cost_bps":5,"n_stocks":10,"regime_gate":true,"holding_days":5,"momentum_days":20},"performance":{"sharpe":-0.07,"max_drawdown_pct":-8.5,"alpha_annualized_pct":-0.5,"p_value":0.91,"regime_breakdown":{"UP":-0.088603,"DOWN":-1.371538,"FLAT":0.071145}},"executed_at":"2026-08-03T01:02:12","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0022","name":"momentum_days=20, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5","params":{"cost_bps":10,"n_stocks":10,"regime_gate":true,"holding_days":5,"momentum_days":20},"performance":{"sharpe":-0.22,"max_drawdown_pct":-9.7,"alpha_annualized_pct":-1.5,"p_value":0.73,"regime_breakdown":{"UP":-0.17731,"DOWN":-1.707917,"FLAT":-0.095791}},"executed_at":"2026-08-03T01:02:12","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0028","name":"momentum_days=20, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=5","params":{"cost_bps":5,"n_stocks":20,"regime_gate":true,"holding_days":5,"momentum_days":20},"performance":{"sharpe":0.59,"max_drawdown_pct":-5.3,"alpha_annualized_pct":3.5,"p_value":0.36,"regime_breakdown":{"UP":0.012874,"DOWN":0.453268,"FLAT":0.907739}},"executed_at":"2026-08-03T01:02:13","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0034","name":"momentum_days=20, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=5","params":{"cost_bps":10,"n_stocks":20,"regime_gate":true,"holding_days":5,"momentum_days":20},"performance":{"sharpe":0.42,"max_drawdown_pct":-5.9,"alpha_annualized_pct":2.5,"p_value":0.51,"regime_breakdown":{"UP":-0.112045,"DOWN":0.151257,"FLAT":0.729598}},"executed_at":"2026-08-03T01:02:13","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0036","name":"momentum_days=20, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1","params":{"cost_bps":5,"n_stocks":50,"regime_gate":false,"holding_days":1,"momentum_days":20},"performance":{"sharpe":0.11,"max_drawdown_pct":-3.3,"alpha_annualized_pct":0.2,"p_value":0.87,"regime_breakdown":{"UP":-0.724109,"DOWN":0.800507,"FLAT":0.711621}},"executed_at":"2026-08-03T01:02:13","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0041","name":"momentum_days=20, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=20","params":{"cost_bps":5,"n_stocks":50,"regime_gate":true,"holding_days":20,"momentum_days":20},"performance":{"sharpe":-0.12,"max_drawdown_pct":-8,"alpha_annualized_pct":-0.8,"p_value":0.86,"regime_breakdown":{"UP":-0.514204,"DOWN":0.27941,"FLAT":0.268458}},"executed_at":"2026-08-03T01:02:13","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0047","name":"momentum_days=20, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=20","params":{"cost_bps":10,"n_stocks":50,"regime_gate":true,"holding_days":20,"momentum_days":20},"performance":{"sharpe":-0.27,"max_drawdown_pct":-8.9,"alpha_annualized_pct":-1.8,"p_value":0.69,"regime_breakdown":{"UP":-0.57849,"DOWN":-0.060228,"FLAT":0.041655}},"executed_at":"2026-08-03T01:02:13","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0053","name":"momentum_days=60, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20","params":{"cost_bps":5,"n_stocks":5,"regime_gate":true,"holding_days":20,"momentum_days":60},"performance":{"sharpe":-0.51,"max_drawdown_pct":-23.9,"alpha_annualized_pct":-8.7,"p_value":0.43,"regime_breakdown":{"UP":0.432889,"DOWN":-13.449803,"FLAT":-0.387415}},"executed_at":"2026-08-03T01:02:13","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0059","name":"momentum_days=60, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20","params":{"cost_bps":10,"n_stocks":5,"regime_gate":true,"holding_days":20,"momentum_days":60},"performance":{"sharpe":-0.57,"max_drawdown_pct":-25.6,"alpha_annualized_pct":-9.7,"p_value":0.38,"regime_breakdown":{"UP":0.393173,"DOWN":-13.672126,"FLAT":-0.459641}},"executed_at":"2026-08-03T01:02:14","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0065","name":"momentum_days=60, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20","params":{"cost_bps":5,"n_stocks":10,"regime_gate":true,"holding_days":20,"momentum_days":60},"performance":{"sharpe":-0.13,"max_drawdown_pct":-21.2,"alpha_annualized_pct":-2,"p_value":0.84,"regime_breakdown":{"UP":-0.232713,"DOWN":-6.464002,"FLAT":0.420433}},"executed_at":"2026-08-03T01:02:14","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0071","name":"momentum_days=60, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=20","params":{"cost_bps":10,"n_stocks":10,"regime_gate":true,"holding_days":20,"momentum_days":60},"performance":{"sharpe":-0.2,"max_drawdown_pct":-22.2,"alpha_annualized_pct":-3.1,"p_value":0.76,"regime_breakdown":{"UP":-0.274997,"DOWN":-6.653356,"FLAT":0.345697}},"executed_at":"2026-08-03T01:02:14","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0077","name":"momentum_days=60, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=20","params":{"cost_bps":5,"n_stocks":20,"regime_gate":true,"holding_days":20,"momentum_days":60},"performance":{"sharpe":0.02,"max_drawdown_pct":-14.9,"alpha_annualized_pct":0.3,"p_value":0.97,"regime_breakdown":{"UP":0.306462,"DOWN":-3.20447,"FLAT":0.076989}},"executed_at":"2026-08-03T01:02:14","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0083","name":"momentum_days=60, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=20","params":{"cost_bps":10,"n_stocks":20,"regime_gate":true,"holding_days":20,"momentum_days":60},"performance":{"sharpe":-0.07,"max_drawdown_pct":-16,"alpha_annualized_pct":-0.8,"p_value":0.92,"regime_breakdown":{"UP":0.264533,"DOWN":-3.44846,"FLAT":-0.056594}},"executed_at":"2026-08-03T01:02:14","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0089","name":"momentum_days=60, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=20","params":{"cost_bps":5,"n_stocks":50,"regime_gate":true,"holding_days":20,"momentum_days":60},"performance":{"sharpe":0.06,"max_drawdown_pct":-7.8,"alpha_annualized_pct":0.4,"p_value":0.93,"regime_breakdown":{"UP":-0.162089,"DOWN":3.200574,"FLAT":0.148397}},"executed_at":"2026-08-03T01:02:14","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0091","name":"momentum_days=60, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=5","params":{"cost_bps":10,"n_stocks":50,"regime_gate":false,"holding_days":5,"momentum_days":60},"performance":{"sharpe":-1.16,"max_drawdown_pct":-6.3,"alpha_annualized_pct":-3,"p_value":0.09,"regime_breakdown":{"UP":-6.183941,"DOWN":-2.314447,"FLAT":0.422988}},"executed_at":"2026-08-03T01:02:15","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0096","name":"momentum_days=120, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1","params":{"cost_bps":5,"n_stocks":5,"regime_gate":false,"holding_days":1,"momentum_days":120},"performance":{"sharpe":0.2,"max_drawdown_pct":-5.7,"alpha_annualized_pct":1.2,"p_value":0.75,"regime_breakdown":{"UP":-0.283572,"DOWN":-2.10388,"FLAT":1.033681}},"executed_at":"2026-08-03T01:02:15","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0097","name":"momentum_days=120, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5","params":{"cost_bps":5,"n_stocks":5,"regime_gate":false,"holding_days":5,"momentum_days":120},"performance":{"sharpe":0.64,"max_drawdown_pct":-10.5,"alpha_annualized_pct":7.6,"p_value":0.31,"regime_breakdown":{"UP":-0.363887,"DOWN":-0.058088,"FLAT":1.702602}},"executed_at":"2026-08-03T01:02:15","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0100","name":"momentum_days=120, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=5","params":{"cost_bps":5,"n_stocks":5,"regime_gate":true,"holding_days":5,"momentum_days":120},"performance":{"sharpe":0.99,"max_drawdown_pct":-7.1,"alpha_annualized_pct":10.2,"p_value":0.13,"regime_breakdown":{"UP":0.212319,"DOWN":-0.058088,"FLAT":1.702602}},"executed_at":"2026-08-03T01:02:15","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0104","name":"momentum_days=120, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20","params":{"cost_bps":10,"n_stocks":5,"regime_gate":false,"holding_days":20,"momentum_days":120},"performance":{"sharpe":0.27,"max_drawdown_pct":-22.7,"alpha_annualized_pct":5.4,"p_value":0.67,"regime_breakdown":{"UP":-0.059726,"DOWN":-1.060162,"FLAT":0.719215}},"executed_at":"2026-08-03T01:02:15","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0110","name":"momentum_days=120, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20","params":{"cost_bps":5,"n_stocks":10,"regime_gate":false,"holding_days":20,"momentum_days":120},"performance":{"sharpe":-0.34,"max_drawdown_pct":-21.9,"alpha_annualized_pct":-5.7,"p_value":0.6,"regime_breakdown":{"UP":0.077657,"DOWN":-1.911694,"FLAT":-0.509539}},"executed_at":"2026-08-03T01:02:15","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0116","name":"momentum_days=120, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20","params":{"cost_bps":10,"n_stocks":10,"regime_gate":false,"holding_days":20,"momentum_days":120},"performance":{"sharpe":-0.42,"max_drawdown_pct":-23,"alpha_annualized_pct":-6.9,"p_value":0.52,"regime_breakdown":{"UP":-0.001606,"DOWN":-2.178216,"FLAT":-0.575687}},"executed_at":"2026-08-03T01:02:15","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0122","name":"momentum_days=120, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=20","params":{"cost_bps":5,"n_stocks":20,"regime_gate":false,"holding_days":20,"momentum_days":120},"performance":{"sharpe":0.22,"max_drawdown_pct":-10.8,"alpha_annualized_pct":2.3,"p_value":0.73,"regime_breakdown":{"UP":0.906771,"DOWN":-10.913423,"FLAT":0.149077}},"executed_at":"2026-08-03T01:02:15","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0128","name":"momentum_days=120, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=20","params":{"cost_bps":10,"n_stocks":20,"regime_gate":false,"holding_days":20,"momentum_days":120},"performance":{"sharpe":0.1,"max_drawdown_pct":-11.9,"alpha_annualized_pct":1.1,"p_value":0.87,"regime_breakdown":{"UP":0.774477,"DOWN":-11.778973,"FLAT":0.043503}},"executed_at":"2026-08-03T01:02:16","notes":null},{"run_id":"r-earnings-yield-momentum-jp-growth-0134","name":"momentum_days=120, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=20","params":{"cost_bps":5,"n_stocks":50,"regime_gate":false,"holding_days":20,"momentum_days":120},"performance":{"sharpe":0.04,"max_drawdown_pct":-10.7,"alpha_annualized_pct":0.3,"p_value":0.95,"regime_breakdown":{"UP":1.063334,"DOWN":-6.814291,"FLAT":-0.022748}},"executed_at":"2026-08-03T01:02:16","notes":null}],"facts":[{"fact_id":"earnings-yield-momentum-jp-growth-fact-best-sharpe","strategy_slug":"earnings-yield-momentum-jp-growth","claim":"Best grid Sharpe ratio is 0.99 (p=0.13).","value":0.99,"value_text":null,"unit":"sharpe_ratio","context":"period 2024-01-04–2026-06-01; cost=5bps","supports_verdict":"rejected","source_run_id":"r-earnings-yield-momentum-jp-growth-0100","search_tsv":"'-01':11,15 '-04':12 '-06':14 '0.13':8 '0.99':6 '2024':10 '2026':13 '5bps':17 'best':1 'cost':16 'grid':2 'p':7 'period':9 'ratio':4 'sharp':3","cite_url":"https://qbuntu.ai/cite/earnings-yield-momentum-jp-growth-fact-best-sharpe"},{"fact_id":"earnings-yield-momentum-jp-growth-fact-median-sharpe","strategy_slug":"earnings-yield-momentum-jp-growth","claim":"Median Sharpe across 144 grid runs is -0.15.","value":-0.15,"value_text":null,"unit":"sharpe_ratio","context":"Full grid of 144 parameter combinations.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.15':8 '144':4,12 'across':3 'combin':14 'full':9 'grid':5,10 'median':1 'paramet':13 'run':6 'sharp':2","cite_url":"https://qbuntu.ai/cite/earnings-yield-momentum-jp-growth-fact-median-sharpe"},{"fact_id":"earnings-yield-momentum-jp-growth-fact-regime-down","strategy_slug":"earnings-yield-momentum-jp-growth","claim":"Median Sharpe in DOWN regime is -1.32 across 144 runs.","value":-1.32,"value_text":null,"unit":"sharpe_ratio","context":"Regime=DOWN, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-1.32':7 '144':9 'across':8 'classif':15 'median':1 'n225':13 'regim':5,11 'run':10 'sharp':2 'sma20/sma60':14","cite_url":"https://qbuntu.ai/cite/earnings-yield-momentum-jp-growth-fact-regime-down"},{"fact_id":"earnings-yield-momentum-jp-growth-fact-regime-flat","strategy_slug":"earnings-yield-momentum-jp-growth","claim":"Median Sharpe in FLAT regime is 0.34 across 144 runs.","value":0.34,"value_text":null,"unit":"sharpe_ratio","context":"Regime=FLAT, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'0.34':7 '144':9 'across':8 'classif':15 'flat':4,12 'median':1 'n225':13 'regim':5,11 'run':10 'sharp':2 'sma20/sma60':14","cite_url":"https://qbuntu.ai/cite/earnings-yield-momentum-jp-growth-fact-regime-flat"},{"fact_id":"earnings-yield-momentum-jp-growth-fact-regime-up","strategy_slug":"earnings-yield-momentum-jp-growth","claim":"Median Sharpe in UP regime is -0.36 across 144 runs.","value":-0.36,"value_text":null,"unit":"sharpe_ratio","context":"Regime=UP, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.36':7 '144':9 'across':8 'classif':15 'median':1 'n225':13 'regim':5,11 'run':10 'sharp':2 'sma20/sma60':14","cite_url":"https://qbuntu.ai/cite/earnings-yield-momentum-jp-growth-fact-regime-up"}],"related_strategies":[{"related_slug":"earnings-yield-momentum-jp-all","relation":"same_strategy"}],"tags":["value","momentum","combo","fundamental","growth-market","grid-search"],"_links":{"self":"https://qbuntu.ai/v1/strategies/earnings-yield-momentum-jp-growth","html":"https://qbuntu.ai/strategies/earnings-yield-momentum-jp-growth","markdown":"https://qbuntu.ai/ai/strategies/earnings-yield-momentum-jp-growth.md"}}