{"schema_version":"v1","slug":"gap-reversal-short-jp-all","name":"Gap Reversal (JP All Stocks)","name_i18n":{},"verdict":"rejected","asset_class":"equity","categories":["gap","intraday","mean-reversion"],"hypothesis":"Overnight gaps across all Japanese stocks tend to reverse. Testing the same gap-reversal signal on the full universe.","rejection_reason":{"primary":"no_edge","secondary":[],"narrative":"Across 1728 grid combinations, median Sharpe=-0.74, best=0.63. Primary failure mode: no_edge."},"target_universe":{"description":"Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks","symbols":[]},"performance_summary":{"sharpe_median":-0.7361,"max_drawdown_pct":-4.6,"win_rate":null,"alpha_annualized_pct":null,"p_value":0.11,"backtest_period":{"start":"2022-01-07","end":"2026-09-14"}},"grid_summary":{"sharpe":{"p25":-1.09,"p75":-0.18,"best":0.63,"worst":-1.74,"median":-0.74},"n_combinations":1728},"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":"2026-09-24T21:54:26","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-gap-reversal-short-jp-all-0000","name":"top_n=10, min_gap_size=0.03, hold_days=1, side=SHORT, cost_bps=3","params":{"side":"SHORT","top_n":10,"cost_bps":3,"hold_days":1,"min_gap_size":0.03},"performance":{"sharpe":-0.96,"max_drawdown_pct":-4.3,"alpha_annualized_pct":-0.9,"p_value":0.037,"regime_breakdown":{"UP":-0.351531,"DOWN":-4.38068,"FLAT":-2.329502}},"executed_at":"2026-09-23T11:23:16","notes":null},{"run_id":"r-gap-reversal-short-jp-all-0001","name":"top_n=10, min_gap_size=0.03, hold_days=1, side=SHORT, cost_bps=5","params":{"side":"SHORT","top_n":10,"cost_bps":5,"hold_days":1,"min_gap_size":0.03},"performance":{"sharpe":-1.01,"max_drawdown_pct":-4.5,"alpha_annualized_pct":-1,"p_value":0.028,"regime_breakdown":{"UP":-0.491736,"DOWN":-4.486265,"FLAT":-2.466057}},"executed_at":"2026-09-23T11:23:16","notes":null},{"run_id":"r-gap-reversal-short-jp-all-0002","name":"top_n=10, min_gap_size=0.03, hold_days=1, side=SHORT, cost_bps=10","params":{"side":"SHORT","top_n":10,"cost_bps":10,"hold_days":1,"min_gap_size":0.03},"performance":{"sharpe":-1.14,"max_drawdown_pct":-5.1,"alpha_annualized_pct":-1.1,"p_value":0.013,"regime_breakdown":{"UP":-0.841947,"DOWN":-4.74967,"FLAT":-2.807114}},"executed_at":"2026-09-23T11:23:16","notes":null},{"run_id":"r-gap-reversal-short-jp-all-0006","name":"top_n=10, min_gap_size=0.03, hold_days=1, side=BOTH, cost_bps=3","params":{"side":"BOTH","top_n":10,"cost_bps":3,"hold_days":1,"min_gap_size":0.03},"performance":{"sharpe":-1.11,"max_drawdown_pct":-7.7,"alpha_annualized_pct":-1.6,"p_value":0.016,"regime_breakdown":{"UP":-2.838689,"DOWN":0.799069,"FLAT":-2.671562}},"executed_at":"2026-09-23T11:23:16","notes":null},{"run_id":"r-gap-reversal-short-jp-all-0009","name":"top_n=10, min_gap_size=0.03, hold_days=1, regime_gate=nikkei-sma20, side=SHORT, cost_bps=3","params":{"side":"SHORT","top_n":10,"cost_bps":3,"hold_days":1,"regime_gate":"nikkei-sma20","min_gap_size":0.03},"performance":{"sharpe":-1,"max_drawdown_pct":-4.1,"alpha_annualized_pct":-0.9,"p_value":0.029,"regime_breakdown":{"DOWN":-4.38068,"FLAT":-2.329502}},"executed_at":"2026-09-23T11:23:16","notes":null},{"run_id":"r-gap-reversal-short-jp-all-0018","name":"top_n=10, min_gap_size=0.03, hold_days=1, regime_gate=nikkei-sma60, side=SHORT, cost_bps=3","params":{"side":"SHORT","top_n":10,"cost_bps":3,"hold_days":1,"regime_gate":"nikkei-sma60","min_gap_size":0.03},"performance":{"sharpe":-0.65,"max_drawdown_pct":-3.3,"alpha_annualized_pct":-0.6,"p_value":0.16,"regime_breakdown":{"UP":5.082182,"DOWN":-4.38068,"FLAT":-1.871125}},"executed_at":"2026-09-23T11:23:16","notes":null},{"run_id":"r-gap-reversal-short-jp-all-0081","name":"top_n=10, min_gap_size=0.03, hold_days=5, side=SHORT, cost_bps=3","params":{"side":"SHORT","top_n":10,"cost_bps":3,"hold_days":5,"min_gap_size":0.03},"performance":{"sharpe":-1.69,"max_drawdown_pct":-24.7,"alpha_annualized_pct":-5.2,"p_value":0.00021,"regime_breakdown":{"UP":-3.549973,"DOWN":-9.234861,"FLAT":-3.751046}},"executed_at":"2026-09-23T11:23:17","notes":null},{"run_id":"r-gap-reversal-short-jp-all-0083","name":"top_n=10, min_gap_size=0.03, hold_days=5, side=SHORT, cost_bps=10","params":{"side":"SHORT","top_n":10,"cost_bps":10,"hold_days":5,"min_gap_size":0.03},"performance":{"sharpe":-1.74,"max_drawdown_pct":-25.5,"alpha_annualized_pct":-5.4,"p_value":0.00013,"regime_breakdown":{"UP":-3.664037,"DOWN":-9.419107,"FLAT":-3.907803}},"executed_at":"2026-09-23T11:23:17","notes":null},{"run_id":"r-gap-reversal-short-jp-all-0092","name":"top_n=10, min_gap_size=0.03, hold_days=5, regime_gate=nikkei-sma20, side=SHORT, cost_bps=10","params":{"side":"SHORT","top_n":10,"cost_bps":10,"hold_days":5,"regime_gate":"nikkei-sma20","min_gap_size":0.03},"performance":{"sharpe":-1.59,"max_drawdown_pct":-20.5,"alpha_annualized_pct":-4.3,"p_value":0.00046,"regime_breakdown":{"DOWN":-9.419107,"FLAT":-3.907803}},"executed_at":"2026-09-23T11:23:17","notes":null},{"run_id":"r-gap-reversal-short-jp-all-0177","name":"top_n=10, min_gap_size=0.05, hold_days=3, regime_gate=nikkei-sma20, side=BOTH, cost_bps=3","params":{"side":"BOTH","top_n":10,"cost_bps":3,"hold_days":3,"regime_gate":"nikkei-sma20","min_gap_size":0.05},"performance":{"sharpe":-0.97,"max_drawdown_pct":-11.2,"alpha_annualized_pct":-2.3,"p_value":0.034,"regime_breakdown":{"UP":-6.02045,"DOWN":-2.691161,"FLAT":-2.976819}},"executed_at":"2026-09-23T11:23:17","notes":null},{"run_id":"r-gap-reversal-short-jp-all-0262","name":"top_n=10, min_gap_size=0.07, hold_days=2, regime_gate=nikkei-sma60, side=SHORT, cost_bps=5","params":{"side":"SHORT","top_n":10,"cost_bps":5,"hold_days":2,"regime_gate":"nikkei-sma60","min_gap_size":0.07},"performance":{"sharpe":-1.09,"max_drawdown_pct":-5.9,"alpha_annualized_pct":-1.3,"p_value":0.015,"regime_breakdown":{"UP":-53.282156,"DOWN":-11.797067,"FLAT":-5.944661}},"executed_at":"2026-09-23T11:23:18","notes":null},{"run_id":"r-gap-reversal-short-jp-all-0300","name":"top_n=10, min_gap_size=0.07, hold_days=5, side=LONG, cost_bps=3","params":{"side":"LONG","top_n":10,"cost_bps":3,"hold_days":5,"min_gap_size":0.07},"performance":{"sharpe":0.63,"max_drawdown_pct":-1.5,"alpha_annualized_pct":1.4,"p_value":0.18,"regime_breakdown":{"UP":-13.209715,"DOWN":15.605836,"FLAT":4.100088}},"executed_at":"2026-09-23T11:23:18","notes":null},{"run_id":"r-gap-reversal-short-jp-all-0324","name":"top_n=10, min_gap_size=0.1, hold_days=1, side=SHORT, cost_bps=3","params":{"side":"SHORT","top_n":10,"cost_bps":3,"hold_days":1,"min_gap_size":0.1},"performance":{"sharpe":-0.11,"max_drawdown_pct":-0.9,"alpha_annualized_pct":0,"p_value":0.83,"regime_breakdown":{"UP":7.654237,"DOWN":-5.731138,"FLAT":3.907279}},"executed_at":"2026-09-23T11:23:18","notes":null},{"run_id":"r-gap-reversal-short-jp-all-0349","name":"top_n=10, min_gap_size=0.1, hold_days=1, regime_gate=nikkei-sma60, side=BOTH, cost_bps=5","params":{"side":"BOTH","top_n":10,"cost_bps":5,"hold_days":1,"regime_gate":"nikkei-sma60","min_gap_size":0.1},"performance":{"sharpe":-0.49,"max_drawdown_pct":-1.5,"alpha_annualized_pct":-0.2,"p_value":0.3,"regime_breakdown":{"UP":-6.481437,"DOWN":-4.788847,"FLAT":3.457163}},"executed_at":"2026-09-23T11:23:18","notes":null},{"run_id":"r-gap-reversal-short-jp-all-0434","name":"top_n=20, min_gap_size=0.03, hold_days=1, side=SHORT, cost_bps=10","params":{"side":"SHORT","top_n":20,"cost_bps":10,"hold_days":1,"min_gap_size":0.03},"performance":{"sharpe":-1.14,"max_drawdown_pct":-5.1,"alpha_annualized_pct":-1.1,"p_value":0.013,"regime_breakdown":{"UP":-0.841947,"DOWN":-4.74967,"FLAT":-2.807114}},"executed_at":"2026-09-23T11:23:18","notes":null},{"run_id":"r-gap-reversal-short-jp-all-0519","name":"top_n=20, min_gap_size=0.03, hold_days=5, side=BOTH, cost_bps=3","params":{"side":"BOTH","top_n":20,"cost_bps":3,"hold_days":5,"min_gap_size":0.03},"performance":{"sharpe":-0.85,"max_drawdown_pct":-19.3,"alpha_annualized_pct":-3.7,"p_value":0.065,"regime_breakdown":{"UP":-3.84262,"DOWN":1.733909,"FLAT":-1.893898}},"executed_at":"2026-09-23T11:23:19","notes":null},{"run_id":"r-gap-reversal-short-jp-all-0604","name":"top_n=20, min_gap_size=0.05, hold_days=3, regime_gate=nikkei-sma20, side=SHORT, cost_bps=5","params":{"side":"SHORT","top_n":20,"cost_bps":5,"hold_days":3,"regime_gate":"nikkei-sma20","min_gap_size":0.05},"performance":{"sharpe":-1.08,"max_drawdown_pct":-11.1,"alpha_annualized_pct":-2.3,"p_value":0.017,"regime_breakdown":{"DOWN":-8.377119,"FLAT":-4.362461}},"executed_at":"2026-09-23T11:23:20","notes":null},{"run_id":"r-gap-reversal-short-jp-all-0689","name":"top_n=20, min_gap_size=0.07, hold_days=2, regime_gate=nikkei-sma20, side=LONG, cost_bps=10","params":{"side":"LONG","top_n":20,"cost_bps":10,"hold_days":2,"regime_gate":"nikkei-sma20","min_gap_size":0.07},"performance":{"sharpe":0.12,"max_drawdown_pct":-1.2,"alpha_annualized_pct":0.1,"p_value":0.8,"regime_breakdown":{"UP":-13.137962,"DOWN":9.637548,"FLAT":-1.050805}},"executed_at":"2026-09-23T11:23:20","notes":null},{"run_id":"r-gap-reversal-short-jp-all-0774","name":"top_n=20, min_gap_size=0.1, hold_days=1, regime_gate=nikkei-sma60, side=SHORT, cost_bps=3","params":{"side":"SHORT","top_n":20,"cost_bps":3,"hold_days":1,"regime_gate":"nikkei-sma60","min_gap_size":0.1},"performance":{"sharpe":-0.1,"max_drawdown_pct":-0.9,"alpha_annualized_pct":0,"p_value":0.83,"regime_breakdown":{"DOWN":-5.731138,"FLAT":3.907279}},"executed_at":"2026-09-23T11:23:20","notes":null},{"run_id":"r-gap-reversal-short-jp-all-0859","name":"top_n=20, min_gap_size=0.1, hold_days=5, regime_gate=nikkei-sma60, side=LONG, cost_bps=5","params":{"side":"LONG","top_n":20,"cost_bps":5,"hold_days":5,"regime_gate":"nikkei-sma60","min_gap_size":0.1},"performance":{"sharpe":0.53,"max_drawdown_pct":-1.2,"alpha_annualized_pct":0.8,"p_value":0.26,"regime_breakdown":{"UP":-12.110578,"DOWN":12.559745,"FLAT":2.956908}},"executed_at":"2026-09-23T11:23:21","notes":null},{"run_id":"r-gap-reversal-short-jp-all-0944","name":"top_n=50, min_gap_size=0.03, hold_days=3, regime_gate=nikkei-sma60, side=BOTH, cost_bps=10","params":{"side":"BOTH","top_n":50,"cost_bps":10,"hold_days":3,"regime_gate":"nikkei-sma60","min_gap_size":0.03},"performance":{"sharpe":-1.11,"max_drawdown_pct":-17.6,"alpha_annualized_pct":-3.3,"p_value":0.016,"regime_breakdown":{"UP":-5.314144,"DOWN":-2.46391,"FLAT":-1.648892}},"executed_at":"2026-09-23T11:23:22","notes":null},{"run_id":"r-gap-reversal-short-jp-all-1029","name":"top_n=50, min_gap_size=0.05, hold_days=3, side=LONG, cost_bps=3","params":{"side":"LONG","top_n":50,"cost_bps":3,"hold_days":3,"min_gap_size":0.05},"performance":{"sharpe":-0.07,"max_drawdown_pct":-2.1,"alpha_annualized_pct":-0.1,"p_value":0.88,"regime_breakdown":{"UP":-6.02045,"DOWN":7.723443,"FLAT":0.789947}},"executed_at":"2026-09-23T11:23:22","notes":null},{"run_id":"r-gap-reversal-short-jp-all-1114","name":"top_n=50, min_gap_size=0.07, hold_days=2, side=BOTH, cost_bps=5","params":{"side":"BOTH","top_n":50,"cost_bps":5,"hold_days":2,"min_gap_size":0.07},"performance":{"sharpe":-0.77,"max_drawdown_pct":-6.2,"alpha_annualized_pct":-1.2,"p_value":0.095,"regime_breakdown":{"UP":-8.974384,"DOWN":1.540366,"FLAT":-4.493197}},"executed_at":"2026-09-23T11:23:22","notes":null},{"run_id":"r-gap-reversal-short-jp-all-1199","name":"top_n=50, min_gap_size=0.1, hold_days=1, regime_gate=nikkei-sma20, side=SHORT, cost_bps=10","params":{"side":"SHORT","top_n":50,"cost_bps":10,"hold_days":1,"regime_gate":"nikkei-sma20","min_gap_size":0.1},"performance":{"sharpe":-0.29,"max_drawdown_pct":-0.9,"alpha_annualized_pct":-0.1,"p_value":0.54,"regime_breakdown":{"DOWN":-5.961394,"FLAT":3.443033}},"executed_at":"2026-09-23T11:23:23","notes":null},{"run_id":"r-gap-reversal-short-jp-all-1284","name":"top_n=50, min_gap_size=0.1, hold_days=5, regime_gate=nikkei-sma20, side=BOTH, cost_bps=3","params":{"side":"BOTH","top_n":50,"cost_bps":3,"hold_days":5,"regime_gate":"nikkei-sma20","min_gap_size":0.1},"performance":{"sharpe":0.03,"max_drawdown_pct":-5.1,"alpha_annualized_pct":0.1,"p_value":0.94,"regime_breakdown":{"UP":-12.026831,"DOWN":4.468155,"FLAT":-2.530358}},"executed_at":"2026-09-23T11:23:23","notes":null},{"run_id":"r-gap-reversal-short-jp-all-1296","name":"top_n=100, min_gap_size=0.03, hold_days=1, side=SHORT, cost_bps=3","params":{"side":"SHORT","top_n":100,"cost_bps":3,"hold_days":1,"min_gap_size":0.03},"performance":{"sharpe":-0.96,"max_drawdown_pct":-4.3,"alpha_annualized_pct":-0.9,"p_value":0.037,"regime_breakdown":{"UP":-0.351531,"DOWN":-4.38068,"FLAT":-2.329502}},"executed_at":"2026-09-23T11:23:23","notes":null},{"run_id":"r-gap-reversal-short-jp-all-1370","name":"top_n=100, min_gap_size=0.03, hold_days=3, regime_gate=nikkei-sma60, side=SHORT, cost_bps=10","params":{"side":"SHORT","top_n":100,"cost_bps":10,"hold_days":3,"regime_gate":"nikkei-sma60","min_gap_size":0.03},"performance":{"sharpe":-1.28,"max_drawdown_pct":-14.2,"alpha_annualized_pct":-3,"p_value":0.0052,"regime_breakdown":{"UP":-8.787982,"DOWN":-8.168024,"FLAT":-2.807075}},"executed_at":"2026-09-23T11:23:24","notes":null},{"run_id":"r-gap-reversal-short-jp-all-1455","name":"top_n=100, min_gap_size=0.05, hold_days=2, regime_gate=nikkei-sma60, side=BOTH, cost_bps=3","params":{"side":"BOTH","top_n":100,"cost_bps":3,"hold_days":2,"regime_gate":"nikkei-sma60","min_gap_size":0.05},"performance":{"sharpe":-0.95,"max_drawdown_pct":-8.1,"alpha_annualized_pct":-1.7,"p_value":0.038,"regime_breakdown":{"UP":-9.804428,"DOWN":1.758963,"FLAT":-3.513288}},"executed_at":"2026-09-23T11:23:24","notes":null},{"run_id":"r-gap-reversal-short-jp-all-1540","name":"top_n=100, min_gap_size=0.07, hold_days=2, side=SHORT, cost_bps=5","params":{"side":"SHORT","top_n":100,"cost_bps":5,"hold_days":2,"min_gap_size":0.07},"performance":{"sharpe":-1.15,"max_drawdown_pct":-6.6,"alpha_annualized_pct":-1.4,"p_value":0.01,"regime_breakdown":{"UP":-8.232939,"DOWN":-11.797067,"FLAT":-5.944661}},"executed_at":"2026-09-23T11:23:25","notes":null},{"run_id":"r-gap-reversal-short-jp-all-1625","name":"top_n=100, min_gap_size=0.1, hold_days=1, side=LONG, cost_bps=10","params":{"side":"LONG","top_n":100,"cost_bps":10,"hold_days":1,"min_gap_size":0.1},"performance":{"sharpe":-0.76,"max_drawdown_pct":-1,"alpha_annualized_pct":-0.2,"p_value":0.099,"regime_breakdown":{"UP":-14.552474,"DOWN":-3.269882,"FLAT":2.310787}},"executed_at":"2026-09-23T11:23:25","notes":null}],"facts":[{"fact_id":"gap-reversal-short-jp-all-fact-best-sharpe","strategy_slug":"gap-reversal-short-jp-all","claim":"Best grid Sharpe ratio is 0.63 (p=0.18).","value":0.63,"value_text":null,"unit":"sharpe_ratio","context":"period 2022-01-07–2026-09-14; cost=3bps; side=LONG","supports_verdict":"rejected","source_run_id":"r-gap-reversal-short-jp-all-0300","search_tsv":"'-01':11 '-07':12 '-09':14 '-14':15 '0.18':8 '0.63':6 '2022':10 '2026':13 '3bps':17 'best':1 'cost':16 'grid':2 'long':19 'p':7 'period':9 'ratio':4 'sharp':3 'side':18","cite_url":"https://qbuntu.ai/cite/gap-reversal-short-jp-all-fact-best-sharpe"},{"fact_id":"gap-reversal-short-jp-all-fact-median-sharpe","strategy_slug":"gap-reversal-short-jp-all","claim":"Median Sharpe across 1728 grid runs is -0.74.","value":-0.74,"value_text":null,"unit":"sharpe_ratio","context":"Full grid of 1728 parameter combinations.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.74':8 '1728':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/gap-reversal-short-jp-all-fact-median-sharpe"},{"fact_id":"gap-reversal-short-jp-all-fact-regime-down","strategy_slug":"gap-reversal-short-jp-all","claim":"Median Sharpe in DOWN regime is -2.06 across 1728 runs.","value":-2.06,"value_text":null,"unit":"sharpe_ratio","context":"Regime=DOWN, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-2.06':7 '1728':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/gap-reversal-short-jp-all-fact-regime-down"},{"fact_id":"gap-reversal-short-jp-all-fact-regime-flat","strategy_slug":"gap-reversal-short-jp-all","claim":"Median Sharpe in FLAT regime is -2.89 across 1728 runs.","value":-2.89,"value_text":null,"unit":"sharpe_ratio","context":"Regime=FLAT, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-2.89':7 '1728':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/gap-reversal-short-jp-all-fact-regime-flat"},{"fact_id":"gap-reversal-short-jp-all-fact-regime-up","strategy_slug":"gap-reversal-short-jp-all","claim":"Median Sharpe in UP regime is -8.87 across 1728 runs.","value":-8.87,"value_text":null,"unit":"sharpe_ratio","context":"Regime=UP, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-8.87':7 '1728':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/gap-reversal-short-jp-all-fact-regime-up"}],"related_strategies":[{"related_slug":"gap-reversal-short-jp-growth","relation":"same_strategy"}],"tags":["gap","reversal","mean-reversion","all-market","short-biased","regime-gated","grid-search"],"_links":{"self":"https://qbuntu.ai/v1/strategies/gap-reversal-short-jp-all","html":"https://qbuntu.ai/strategies/gap-reversal-short-jp-all","markdown":"https://qbuntu.ai/ai/strategies/gap-reversal-short-jp-all.md"}}