{"schema_version":"v1","slug":"forecast-revision-jp-growth","name":"Forecast Revision (JP Growth Stocks)","name_i18n":{},"verdict":"marginal","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":"regime_dependent","secondary":[],"narrative":"Across 48 grid combinations, median Sharpe=0.26, best=0.79. 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":0.2637,"max_drawdown_pct":-7.4,"win_rate":null,"alpha_annualized_pct":null,"p_value":0.56,"backtest_period":{"start":"2024-03-01","end":"2026-09-01"}},"grid_summary":{"sharpe":{"p25":-0.21,"p75":0.39,"best":0.79,"worst":-1.71,"median":0.26},"n_combinations":48},"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":"2026-09-24T21:54:30","git_sha_z":"1455e77","git_sha_genkidama":"17a7674","python_version":"3.12.10","numpy_version":"2.4.2","pandas_version":"3.0.0","tier":"shallow"},"runs":[{"run_id":"r-forecast-revision-jp-growth-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":-0.06,"max_drawdown_pct":-8,"alpha_annualized_pct":-0.5,"p_value":0.93,"regime_breakdown":{"UP":0.155739,"DOWN":1.623234,"FLAT":-0.540419}},"executed_at":"2026-09-24T02:19:33","notes":null},{"run_id":"r-forecast-revision-jp-growth-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":0.26,"max_drawdown_pct":-22.7,"alpha_annualized_pct":4.2,"p_value":0.68,"regime_breakdown":{"UP":2.223331,"DOWN":0.687101,"FLAT":-0.941857}},"executed_at":"2026-09-24T02:19:33","notes":null},{"run_id":"r-forecast-revision-jp-growth-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":0.42,"max_drawdown_pct":-41,"alpha_annualized_pct":17.2,"p_value":0.51,"regime_breakdown":{"UP":1.306377,"DOWN":1.428557,"FLAT":-0.102233}},"executed_at":"2026-09-24T02:19:33","notes":null},{"run_id":"r-forecast-revision-jp-growth-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":0.19,"max_drawdown_pct":-7.4,"alpha_annualized_pct":1.4,"p_value":0.76,"regime_breakdown":{"UP":1.018207,"DOWN":1.623234,"FLAT":-0.540419}},"executed_at":"2026-09-24T02:19:33","notes":null},{"run_id":"r-forecast-revision-jp-growth-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":0.37,"max_drawdown_pct":-23.2,"alpha_annualized_pct":5.7,"p_value":0.55,"regime_breakdown":{"UP":3.757287,"DOWN":0.687101,"FLAT":-0.941857}},"executed_at":"2026-09-24T02:19:33","notes":null},{"run_id":"r-forecast-revision-jp-growth-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":0.35,"max_drawdown_pct":-40,"alpha_annualized_pct":13.5,"p_value":0.57,"regime_breakdown":{"UP":1.341252,"DOWN":1.428557,"FLAT":-0.102233}},"executed_at":"2026-09-24T02:19:33","notes":null},{"run_id":"r-forecast-revision-jp-growth-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":-0.21,"max_drawdown_pct":-8.5,"alpha_annualized_pct":-1.7,"p_value":0.74,"regime_breakdown":{"UP":0.03198,"DOWN":1.474773,"FLAT":-0.711661}},"executed_at":"2026-09-24T02:19:33","notes":null},{"run_id":"r-forecast-revision-jp-growth-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":0.18,"max_drawdown_pct":-23.4,"alpha_annualized_pct":3,"p_value":0.77,"regime_breakdown":{"UP":2.150088,"DOWN":0.523806,"FLAT":-1.02244}},"executed_at":"2026-09-24T02:19:33","notes":null},{"run_id":"r-forecast-revision-jp-growth-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":0.39,"max_drawdown_pct":-41.3,"alpha_annualized_pct":15.9,"p_value":0.54,"regime_breakdown":{"UP":1.275482,"DOWN":1.35149,"FLAT":-0.130081}},"executed_at":"2026-09-24T02:19:34","notes":null},{"run_id":"r-forecast-revision-jp-growth-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":0.05,"max_drawdown_pct":-7.7,"alpha_annualized_pct":0.3,"p_value":0.94,"regime_breakdown":{"UP":0.931223,"DOWN":1.474773,"FLAT":-0.711661}},"executed_at":"2026-09-24T02:19:34","notes":null},{"run_id":"r-forecast-revision-jp-growth-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":0.3,"max_drawdown_pct":-23.9,"alpha_annualized_pct":4.6,"p_value":0.63,"regime_breakdown":{"UP":3.701957,"DOWN":0.523806,"FLAT":-1.02244}},"executed_at":"2026-09-24T02:19:34","notes":null},{"run_id":"r-forecast-revision-jp-growth-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":0.33,"max_drawdown_pct":-40.2,"alpha_annualized_pct":12.4,"p_value":0.6,"regime_breakdown":{"UP":1.321126,"DOWN":1.35149,"FLAT":-0.130081}},"executed_at":"2026-09-24T02:19:34","notes":null},{"run_id":"r-forecast-revision-jp-growth-0012","name":"n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1","params":{"cost_bps":5,"n_stocks":10,"regime_gate":false,"holding_days":1},"performance":{"sharpe":-0.18,"max_drawdown_pct":-5.7,"alpha_annualized_pct":-0.8,"p_value":0.77,"regime_breakdown":{"UP":-0.121749,"DOWN":0.136932,"FLAT":-0.256147}},"executed_at":"2026-09-24T02:19:34","notes":null},{"run_id":"r-forecast-revision-jp-growth-0013","name":"n_stocks=10, cost_bps=5, regime_gate=False, holding_days=5","params":{"cost_bps":5,"n_stocks":10,"regime_gate":false,"holding_days":5},"performance":{"sharpe":0.08,"max_drawdown_pct":-7.2,"alpha_annualized_pct":0.6,"p_value":0.9,"regime_breakdown":{"UP":1.499419,"DOWN":-2.281131,"FLAT":-0.417208}},"executed_at":"2026-09-24T02:19:34","notes":null},{"run_id":"r-forecast-revision-jp-growth-0014","name":"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},"performance":{"sharpe":0.48,"max_drawdown_pct":-21.4,"alpha_annualized_pct":11.9,"p_value":0.46,"regime_breakdown":{"UP":1.069001,"DOWN":1.888252,"FLAT":0.077181}},"executed_at":"2026-09-24T02:19:34","notes":null},{"run_id":"r-forecast-revision-jp-growth-0015","name":"n_stocks=10, cost_bps=5, regime_gate=True, holding_days=1","params":{"cost_bps":5,"n_stocks":10,"regime_gate":true,"holding_days":1},"performance":{"sharpe":-0.02,"max_drawdown_pct":-4.2,"alpha_annualized_pct":-0.1,"p_value":0.97,"regime_breakdown":{"UP":0.257375,"DOWN":0.136932,"FLAT":-0.256147}},"executed_at":"2026-09-24T02:19:34","notes":null},{"run_id":"r-forecast-revision-jp-growth-0016","name":"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},"performance":{"sharpe":0.5,"max_drawdown_pct":-6.7,"alpha_annualized_pct":4.8,"p_value":0.43,"regime_breakdown":{"UP":2.069244,"DOWN":-2.281131,"FLAT":-0.417208}},"executed_at":"2026-09-24T02:19:34","notes":null},{"run_id":"r-forecast-revision-jp-growth-0017","name":"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},"performance":{"sharpe":0.38,"max_drawdown_pct":-21.2,"alpha_annualized_pct":8.8,"p_value":0.55,"regime_breakdown":{"UP":0.870172,"DOWN":1.888252,"FLAT":0.077181}},"executed_at":"2026-09-24T02:19:34","notes":null},{"run_id":"r-forecast-revision-jp-growth-0018","name":"n_stocks=10, cost_bps=10, regime_gate=False, holding_days=1","params":{"cost_bps":10,"n_stocks":10,"regime_gate":false,"holding_days":1},"performance":{"sharpe":-0.47,"max_drawdown_pct":-7.1,"alpha_annualized_pct":-2,"p_value":0.46,"regime_breakdown":{"UP":-0.360507,"DOWN":-0.221273,"FLAT":-0.545678}},"executed_at":"2026-09-24T02:19:34","notes":null},{"run_id":"r-forecast-revision-jp-growth-0019","name":"n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5","params":{"cost_bps":10,"n_stocks":10,"regime_gate":false,"holding_days":5},"performance":{"sharpe":-0.08,"max_drawdown_pct":-7.9,"alpha_annualized_pct":-0.6,"p_value":0.89,"regime_breakdown":{"UP":1.330222,"DOWN":-2.674435,"FLAT":-0.574665}},"executed_at":"2026-09-24T02:19:35","notes":null},{"run_id":"r-forecast-revision-jp-growth-0020","name":"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},"performance":{"sharpe":0.43,"max_drawdown_pct":-21.6,"alpha_annualized_pct":10.7,"p_value":0.5,"regime_breakdown":{"UP":1.019131,"DOWN":1.788265,"FLAT":0.031152}},"executed_at":"2026-09-24T02:19:35","notes":null},{"run_id":"r-forecast-revision-jp-growth-0021","name":"n_stocks=10, cost_bps=10, regime_gate=True, holding_days=1","params":{"cost_bps":10,"n_stocks":10,"regime_gate":true,"holding_days":1},"performance":{"sharpe":-0.24,"max_drawdown_pct":-4.4,"alpha_annualized_pct":-1.2,"p_value":0.71,"regime_breakdown":{"UP":0.163812,"DOWN":-0.221273,"FLAT":-0.545678}},"executed_at":"2026-09-24T02:19:35","notes":null},{"run_id":"r-forecast-revision-jp-growth-0022","name":"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},"performance":{"sharpe":0.39,"max_drawdown_pct":-7.3,"alpha_annualized_pct":3.8,"p_value":0.54,"regime_breakdown":{"UP":2.017921,"DOWN":-2.674435,"FLAT":-0.574665}},"executed_at":"2026-09-24T02:19:35","notes":null},{"run_id":"r-forecast-revision-jp-growth-0023","name":"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},"performance":{"sharpe":0.33,"max_drawdown_pct":-21.4,"alpha_annualized_pct":7.7,"p_value":0.6,"regime_breakdown":{"UP":0.837517,"DOWN":1.788265,"FLAT":0.031152}},"executed_at":"2026-09-24T02:19:35","notes":null},{"run_id":"r-forecast-revision-jp-growth-0024","name":"n_stocks=20, cost_bps=5, regime_gate=False, holding_days=1","params":{"cost_bps":5,"n_stocks":20,"regime_gate":false,"holding_days":1},"performance":{"sharpe":-0.23,"max_drawdown_pct":-6.1,"alpha_annualized_pct":-0.8,"p_value":0.73,"regime_breakdown":{"UP":-0.101507,"DOWN":-0.311743,"FLAT":-0.31958}},"executed_at":"2026-09-24T02:19:35","notes":null},{"run_id":"r-forecast-revision-jp-growth-0025","name":"n_stocks=20, cost_bps=5, regime_gate=False, holding_days=5","params":{"cost_bps":5,"n_stocks":20,"regime_gate":false,"holding_days":5},"performance":{"sharpe":0.27,"max_drawdown_pct":-3.6,"alpha_annualized_pct":1.3,"p_value":0.67,"regime_breakdown":{"UP":0.93441,"DOWN":0.154343,"FLAT":-0.074354}},"executed_at":"2026-09-24T02:19:35","notes":null},{"run_id":"r-forecast-revision-jp-growth-0026","name":"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},"performance":{"sharpe":0.64,"max_drawdown_pct":-12.1,"alpha_annualized_pct":9.8,"p_value":0.33,"regime_breakdown":{"UP":1.405858,"DOWN":0.48976,"FLAT":0.131088}},"executed_at":"2026-09-24T02:19:35","notes":null},{"run_id":"r-forecast-revision-jp-growth-0028","name":"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},"performance":{"sharpe":0.79,"max_drawdown_pct":-3.2,"alpha_annualized_pct":4.4,"p_value":0.22,"regime_breakdown":{"UP":2.337228,"DOWN":0.154343,"FLAT":-0.074354}},"executed_at":"2026-09-24T02:19:35","notes":null},{"run_id":"r-forecast-revision-jp-growth-0036","name":"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},"performance":{"sharpe":-1.05,"max_drawdown_pct":-5.3,"alpha_annualized_pct":-2,"p_value":0.14,"regime_breakdown":{"UP":-1.034064,"DOWN":-0.392358,"FLAT":-1.149904}},"executed_at":"2026-09-24T02:19:36","notes":null},{"run_id":"r-forecast-revision-jp-growth-0042","name":"n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1","params":{"cost_bps":10,"n_stocks":50,"regime_gate":false,"holding_days":1},"performance":{"sharpe":-1.71,"max_drawdown_pct":-6.3,"alpha_annualized_pct":-3.3,"p_value":0.019,"regime_breakdown":{"UP":-1.501864,"DOWN":-2.322077,"FLAT":-1.941512}},"executed_at":"2026-09-24T02:19:37","notes":null}],"facts":[{"fact_id":"forecast-revision-jp-growth-fact-best-sharpe","strategy_slug":"forecast-revision-jp-growth","claim":"Best grid Sharpe ratio is 0.79 (p=0.22).","value":0.79,"value_text":null,"unit":"sharpe_ratio","context":"period 2024-03-01–2026-09-01; cost=5bps","supports_verdict":"marginal","source_run_id":"r-forecast-revision-jp-growth-0028","search_tsv":"'-01':12,15 '-03':11 '-09':14 '0.22':8 '0.79':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/forecast-revision-jp-growth-fact-best-sharpe"},{"fact_id":"forecast-revision-jp-growth-fact-median-sharpe","strategy_slug":"forecast-revision-jp-growth","claim":"Median Sharpe across 48 grid runs is 0.26.","value":0.26,"value_text":null,"unit":"sharpe_ratio","context":"Full grid of 48 parameter combinations.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'0.26':8 '48':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-growth-fact-median-sharpe"},{"fact_id":"forecast-revision-jp-growth-fact-regime-down","strategy_slug":"forecast-revision-jp-growth","claim":"Median Sharpe in DOWN regime is 0.51 across 48 runs.","value":0.51,"value_text":null,"unit":"sharpe_ratio","context":"Regime=DOWN, N225 SMA20/SMA60 classification.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'0.51':7 '48':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-growth-fact-regime-down"},{"fact_id":"forecast-revision-jp-growth-fact-regime-flat","strategy_slug":"forecast-revision-jp-growth","claim":"Median Sharpe in FLAT regime is -0.54 across 48 runs.","value":-0.54,"value_text":null,"unit":"sharpe_ratio","context":"Regime=FLAT, N225 SMA20/SMA60 classification.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'-0.54':7 '48':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-growth-fact-regime-flat"},{"fact_id":"forecast-revision-jp-growth-fact-regime-up","strategy_slug":"forecast-revision-jp-growth","claim":"Median Sharpe in UP regime is 0.93 across 48 runs.","value":0.93,"value_text":null,"unit":"sharpe_ratio","context":"Regime=UP, N225 SMA20/SMA60 classification.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'0.93':7 '48':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-growth-fact-regime-up"}],"related_strategies":[{"related_slug":"forecast-revision-jp-all","relation":"same_strategy"}],"tags":["revision","guidance","drift","fundamental","growth-market","grid-search"],"_links":{"self":"https://qbuntu.ai/v1/strategies/forecast-revision-jp-growth","html":"https://qbuntu.ai/strategies/forecast-revision-jp-growth","markdown":"https://qbuntu.ai/ai/strategies/forecast-revision-jp-growth.md"}}