{"schema_version":"v1","slug":"forecast-revision-jp-all","name":"Forecast Revision (JP All Stocks)","name_i18n":{},"verdict":"rejected","asset_class":"equity","categories":["drift","fundamental","revision"],"hypothesis":"Japanese companies publish their own full-year guidance; upward revisions are informative and historically under-reacted to. Ranking on the latest guidance revision tests for a post-revision drift analogous to PEAD.","rejection_reason":{"primary":"no_edge","secondary":[],"narrative":"Across 12 grid combinations, median Sharpe=-0.49, best=0.38. Primary failure mode: no_edge."},"target_universe":{"description":"Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks; fundamentals from J-Quants financial statements (coverage from 2023-12)","symbols":[]},"performance_summary":{"sharpe_median":-0.4913,"max_drawdown_pct":-11.3,"win_rate":null,"alpha_annualized_pct":null,"p_value":0.49,"backtest_period":{"start":"2024-11-01","end":"2026-02-02"}},"grid_summary":{"sharpe":{"p25":-1.08,"p75":0.29,"best":0.38,"worst":-1.64,"median":-0.49},"n_combinations":12},"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":"2026-08-05T03:19:07","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-forecast-revision-jp-all-0000","name":"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},"performance":{"sharpe":-1.43,"max_drawdown_pct":-11,"alpha_annualized_pct":-9,"p_value":0.11,"regime_breakdown":{"UP":-3.121771,"DOWN":3.146487,"FLAT":-0.691426}},"executed_at":"2026-08-05T01:01:04","notes":null},{"run_id":"r-forecast-revision-jp-all-0001","name":"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},"performance":{"sharpe":-0.89,"max_drawdown_pct":-23.8,"alpha_annualized_pct":-15.4,"p_value":0.31,"regime_breakdown":{"UP":-1.828875,"DOWN":2.106011,"FLAT":-0.14499}},"executed_at":"2026-08-05T01:01:04","notes":null},{"run_id":"r-forecast-revision-jp-all-0002","name":"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},"performance":{"sharpe":0.36,"max_drawdown_pct":-14.6,"alpha_annualized_pct":6,"p_value":0.69,"regime_breakdown":{"UP":-0.929356,"DOWN":123.657776,"FLAT":0.217868}},"executed_at":"2026-08-05T01:01:04","notes":null},{"run_id":"r-forecast-revision-jp-all-0003","name":"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},"performance":{"sharpe":-0.99,"max_drawdown_pct":-4.3,"alpha_annualized_pct":-3.2,"p_value":0.26,"regime_breakdown":{"UP":-2.527138,"DOWN":3.146487,"FLAT":-0.691426}},"executed_at":"2026-08-05T01:01:04","notes":null},{"run_id":"r-forecast-revision-jp-all-0004","name":"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},"performance":{"sharpe":0.09,"max_drawdown_pct":-8.1,"alpha_annualized_pct":0.5,"p_value":0.92,"regime_breakdown":{"UP":-0.178337,"DOWN":2.106011,"FLAT":-0.14499}},"executed_at":"2026-08-05T01:01:04","notes":null},{"run_id":"r-forecast-revision-jp-all-0005","name":"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},"performance":{"sharpe":0.38,"max_drawdown_pct":-11.1,"alpha_annualized_pct":6,"p_value":0.67,"regime_breakdown":{"UP":-1.228859,"DOWN":123.657776,"FLAT":0.217868}},"executed_at":"2026-08-05T01:01:04","notes":null},{"run_id":"r-forecast-revision-jp-all-0006","name":"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},"performance":{"sharpe":-1.64,"max_drawdown_pct":-11.9,"alpha_annualized_pct":-10.3,"p_value":0.074,"regime_breakdown":{"UP":-3.270001,"DOWN":2.389569,"FLAT":-1.086722}},"executed_at":"2026-08-05T01:01:04","notes":null},{"run_id":"r-forecast-revision-jp-all-0007","name":"n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5","params":{"cost_bps":10,"n_stocks":5,"regime_gate":false,"holding_days":5},"performance":{"sharpe":-0.97,"max_drawdown_pct":-24.4,"alpha_annualized_pct":-16.7,"p_value":0.28,"regime_breakdown":{"UP":-1.873525,"DOWN":1.870466,"FLAT":-0.354444}},"executed_at":"2026-08-05T01:01:04","notes":null},{"run_id":"r-forecast-revision-jp-all-0008","name":"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},"performance":{"sharpe":0.28,"max_drawdown_pct":-14.8,"alpha_annualized_pct":4.7,"p_value":0.76,"regime_breakdown":{"UP":-1.005969,"DOWN":121.369632,"FLAT":0.142356}},"executed_at":"2026-08-05T01:01:04","notes":null},{"run_id":"r-forecast-revision-jp-all-0009","name":"n_stocks=5, cost_bps=10, regime_gate=True, holding_days=1","params":{"cost_bps":10,"n_stocks":5,"regime_gate":true,"holding_days":1},"performance":{"sharpe":-1.34,"max_drawdown_pct":-4.8,"alpha_annualized_pct":-4.2,"p_value":0.14,"regime_breakdown":{"UP":-2.722842,"DOWN":2.389569,"FLAT":-1.086722}},"executed_at":"2026-08-05T01:01:04","notes":null},{"run_id":"r-forecast-revision-jp-all-0010","name":"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},"performance":{"sharpe":-0.09,"max_drawdown_pct":-8.5,"alpha_annualized_pct":-0.5,"p_value":0.92,"regime_breakdown":{"UP":-0.268754,"DOWN":1.870466,"FLAT":-0.354444}},"executed_at":"2026-08-05T01:01:04","notes":null},{"run_id":"r-forecast-revision-jp-all-0011","name":"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},"performance":{"sharpe":0.32,"max_drawdown_pct":-11.6,"alpha_annualized_pct":5,"p_value":0.73,"regime_breakdown":{"UP":-1.279989,"DOWN":121.369632,"FLAT":0.142356}},"executed_at":"2026-08-05T01:01:04","notes":null}],"facts":[{"fact_id":"forecast-revision-jp-all-fact-best-sharpe","strategy_slug":"forecast-revision-jp-all","claim":"Best grid Sharpe ratio is 0.38 (p=0.67).","value":0.38,"value_text":null,"unit":"sharpe_ratio","context":"period 2024-11-01–2026-02-02; cost=5bps","supports_verdict":"rejected","source_run_id":"r-forecast-revision-jp-all-0005","search_tsv":"'-01':12 '-02':14,15 '-11':11 '0.38':6 '0.67':8 '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/forecast-revision-jp-all-fact-best-sharpe"},{"fact_id":"forecast-revision-jp-all-fact-median-sharpe","strategy_slug":"forecast-revision-jp-all","claim":"Median Sharpe across 12 grid runs is -0.49.","value":-0.49,"value_text":null,"unit":"sharpe_ratio","context":"Full grid of 12 parameter combinations.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.49':8 '12':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/forecast-revision-jp-all-fact-median-sharpe"},{"fact_id":"forecast-revision-jp-all-fact-regime-down","strategy_slug":"forecast-revision-jp-all","claim":"Median Sharpe in DOWN regime is 2.77 across 12 runs.","value":2.77,"value_text":null,"unit":"sharpe_ratio","context":"Regime=DOWN, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'12':9 '2.77':7 'across':8 'classif':15 'median':1 'n225':13 'regim':5,11 'run':10 'sharp':2 'sma20/sma60':14","cite_url":"https://qbuntu.ai/cite/forecast-revision-jp-all-fact-regime-down"},{"fact_id":"forecast-revision-jp-all-fact-regime-flat","strategy_slug":"forecast-revision-jp-all","claim":"Median Sharpe in FLAT regime is -0.25 across 12 runs.","value":-0.25,"value_text":null,"unit":"sharpe_ratio","context":"Regime=FLAT, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.25':7 '12':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/forecast-revision-jp-all-fact-regime-flat"},{"fact_id":"forecast-revision-jp-all-fact-regime-up","strategy_slug":"forecast-revision-jp-all","claim":"Median Sharpe in UP regime is -1.55 across 12 runs.","value":-1.55,"value_text":null,"unit":"sharpe_ratio","context":"Regime=UP, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-1.55':7 '12':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/forecast-revision-jp-all-fact-regime-up"}],"related_strategies":[{"related_slug":"forecast-revision-jp-growth","relation":"same_strategy"}],"tags":["revision","guidance","drift","fundamental","all-market","grid-search"],"_links":{"self":"https://qbuntu.ai/v1/strategies/forecast-revision-jp-all","html":"https://qbuntu.ai/strategies/forecast-revision-jp-all","markdown":"https://qbuntu.ai/ai/strategies/forecast-revision-jp-all.md"}}