{"schema_version":"v1","slug":"momentum-volume-jp-growth","name":"Momentum × Volume Interaction (JP Growth Stocks)","name_i18n":{},"verdict":"rejected","asset_class":"equity","categories":["factor","interaction","momentum","volume"],"hypothesis":"Lee & Swaminathan (2000): volume confirms momentum quality. High-volume winners underperform (overreaction), low-volume winners continue (underreaction). LONG low-volume winners, SHORT high-volume losers.","rejection_reason":{"primary":"no_edge","secondary":[],"narrative":"Across 320 grid combinations, median Sharpe=-0.16, best=0.79. Primary failure mode: no_edge."},"target_universe":{"description":"Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY","symbols":[]},"performance_summary":{"sharpe_median":-0.1576,"max_drawdown_pct":-18.1,"win_rate":null,"alpha_annualized_pct":null,"p_value":0.52,"backtest_period":{"start":"2022-05-02","end":"2026-06-01"}},"grid_summary":{"sharpe":{"p25":-0.5,"p75":0.12,"best":0.79,"worst":-1.77,"median":-0.16},"n_combinations":320},"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":"2026-07-30T01:21:10","git_sha_z":"18193e9","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-momentum-volume-jp-growth-0000","name":"formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"regime_gate":false,"holding_days":1,"formation_days":20},"performance":{"sharpe":0.27,"max_drawdown_pct":-13.1,"alpha_annualized_pct":2.2,"p_value":0.58,"regime_breakdown":{"UP":1.229137,"DOWN":4.541777,"FLAT":-0.492705}},"executed_at":"2026-07-30T01:01:21","notes":null},{"run_id":"r-momentum-volume-jp-growth-0001","name":"formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":5,"regime_gate":true,"holding_days":1,"formation_days":20},"performance":{"sharpe":0.07,"max_drawdown_pct":-14.2,"alpha_annualized_pct":0.6,"p_value":0.88,"regime_breakdown":{"UP":0.744843,"DOWN":4.541777,"FLAT":-0.492705}},"executed_at":"2026-07-30T01:01:21","notes":null},{"run_id":"r-momentum-volume-jp-growth-0002","name":"formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":5,"regime_gate":false,"holding_days":1,"formation_days":20},"performance":{"sharpe":0.12,"max_drawdown_pct":-15.5,"alpha_annualized_pct":1,"p_value":0.8,"regime_breakdown":{"UP":1.12202,"DOWN":4.070144,"FLAT":-0.682725}},"executed_at":"2026-07-30T01:01:21","notes":null},{"run_id":"r-momentum-volume-jp-growth-0003","name":"formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":5,"regime_gate":true,"holding_days":1,"formation_days":20},"performance":{"sharpe":-0.07,"max_drawdown_pct":-15.9,"alpha_annualized_pct":-0.5,"p_value":0.89,"regime_breakdown":{"UP":0.68565,"DOWN":4.070144,"FLAT":-0.682725}},"executed_at":"2026-07-30T01:01:21","notes":null},{"run_id":"r-momentum-volume-jp-growth-0012","name":"formation_days=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":50,"regime_gate":false,"holding_days":1,"formation_days":20},"performance":{"sharpe":-0.09,"max_drawdown_pct":-3.8,"alpha_annualized_pct":-0.2,"p_value":0.85,"regime_breakdown":{"UP":0.57333,"DOWN":1.96792,"FLAT":-0.698903}},"executed_at":"2026-07-30T01:01:21","notes":null},{"run_id":"r-momentum-volume-jp-growth-0018","name":"formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":5,"regime_gate":false,"holding_days":5,"formation_days":20},"performance":{"sharpe":-0.38,"max_drawdown_pct":-29.2,"alpha_annualized_pct":-4.4,"p_value":0.44,"regime_breakdown":{"UP":0.683846,"DOWN":1.739052,"FLAT":-1.141451}},"executed_at":"2026-07-30T01:01:22","notes":null},{"run_id":"r-momentum-volume-jp-growth-0032","name":"formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"regime_gate":false,"holding_days":10,"formation_days":20},"performance":{"sharpe":-0.45,"max_drawdown_pct":-46.6,"alpha_annualized_pct":-7.9,"p_value":0.36,"regime_breakdown":{"UP":0.365621,"DOWN":-0.848893,"FLAT":-0.980167}},"executed_at":"2026-07-30T01:01:23","notes":null},{"run_id":"r-momentum-volume-jp-growth-0046","name":"formation_days=20, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":50,"regime_gate":false,"holding_days":10,"formation_days":20},"performance":{"sharpe":-1.39,"max_drawdown_pct":-30.6,"alpha_annualized_pct":-8.4,"p_value":0.0064,"regime_breakdown":{"UP":-0.619986,"DOWN":0.214532,"FLAT":-1.768739}},"executed_at":"2026-07-30T01:01:23","notes":null},{"run_id":"r-momentum-volume-jp-growth-0060","name":"formation_days=20, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":50,"regime_gate":false,"holding_days":20,"formation_days":20},"performance":{"sharpe":-1.59,"max_drawdown_pct":-36.9,"alpha_annualized_pct":-10.4,"p_value":0.0021,"regime_breakdown":{"UP":-1.001926,"DOWN":0.582468,"FLAT":-1.977086}},"executed_at":"2026-07-30T01:01:24","notes":null},{"run_id":"r-momentum-volume-jp-growth-0062","name":"formation_days=20, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":50,"regime_gate":false,"holding_days":20,"formation_days":20},"performance":{"sharpe":-1.77,"max_drawdown_pct":-39.8,"alpha_annualized_pct":-11.6,"p_value":0.00067,"regime_breakdown":{"UP":-1.176772,"DOWN":0.361778,"FLAT":-2.166187}},"executed_at":"2026-07-30T01:01:24","notes":null},{"run_id":"r-momentum-volume-jp-growth-0064","name":"formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"regime_gate":false,"holding_days":60,"formation_days":20},"performance":{"sharpe":0.22,"max_drawdown_pct":-62.6,"alpha_annualized_pct":17.8,"p_value":0.46,"regime_breakdown":{"UP":0.180176,"DOWN":-0.941606,"FLAT":0.28346}},"executed_at":"2026-07-30T01:01:24","notes":null},{"run_id":"r-momentum-volume-jp-growth-0076","name":"formation_days=20, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":50,"regime_gate":false,"holding_days":60,"formation_days":20},"performance":{"sharpe":-0.76,"max_drawdown_pct":-45.7,"alpha_annualized_pct":-14.3,"p_value":0.013,"regime_breakdown":{"UP":-0.740482,"DOWN":42.016567,"FLAT":-0.858456}},"executed_at":"2026-07-30T01:01:25","notes":null},{"run_id":"r-momentum-volume-jp-growth-0090","name":"formation_days=60, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":20,"regime_gate":false,"holding_days":1,"formation_days":60},"performance":{"sharpe":0.01,"max_drawdown_pct":-4.1,"alpha_annualized_pct":0,"p_value":0.98,"regime_breakdown":{"UP":0.636519,"DOWN":1.663024,"FLAT":-0.329712}},"executed_at":"2026-07-30T01:01:26","notes":null},{"run_id":"r-momentum-volume-jp-growth-0104","name":"formation_days=60, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":20,"regime_gate":false,"holding_days":5,"formation_days":60},"performance":{"sharpe":-0.1,"max_drawdown_pct":-12.4,"alpha_annualized_pct":-0.6,"p_value":0.84,"regime_breakdown":{"UP":0.192124,"DOWN":-0.01598,"FLAT":-0.23068}},"executed_at":"2026-07-30T01:01:26","notes":null},{"run_id":"r-momentum-volume-jp-growth-0118","name":"formation_days=60, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":10,"regime_gate":false,"holding_days":10,"formation_days":60},"performance":{"sharpe":-0.25,"max_drawdown_pct":-27,"alpha_annualized_pct":-3.1,"p_value":0.62,"regime_breakdown":{"UP":-0.340091,"DOWN":-0.137432,"FLAT":-0.206186}},"executed_at":"2026-07-30T01:01:27","notes":null},{"run_id":"r-momentum-volume-jp-growth-0132","name":"formation_days=60, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":10,"regime_gate":false,"holding_days":20,"formation_days":60},"performance":{"sharpe":0.22,"max_drawdown_pct":-21.6,"alpha_annualized_pct":3.4,"p_value":0.66,"regime_breakdown":{"UP":-0.381919,"DOWN":3.742057,"FLAT":0.443721}},"executed_at":"2026-07-30T01:01:28","notes":null},{"run_id":"r-momentum-volume-jp-growth-0146","name":"formation_days=60, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":5,"regime_gate":false,"holding_days":60,"formation_days":60},"performance":{"sharpe":0.43,"max_drawdown_pct":-28.3,"alpha_annualized_pct":30.3,"p_value":0.16,"regime_breakdown":{"UP":0.848086,"DOWN":0.577979,"FLAT":0.318822}},"executed_at":"2026-07-30T01:01:29","notes":null},{"run_id":"r-momentum-volume-jp-growth-0160","name":"formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"regime_gate":false,"holding_days":1,"formation_days":120},"performance":{"sharpe":0.55,"max_drawdown_pct":-8.7,"alpha_annualized_pct":3.6,"p_value":0.27,"regime_breakdown":{"UP":1.317567,"DOWN":0.765258,"FLAT":0.150507}},"executed_at":"2026-07-30T01:01:30","notes":null},{"run_id":"r-momentum-volume-jp-growth-0174","name":"formation_days=120, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":50,"regime_gate":false,"holding_days":1,"formation_days":120},"performance":{"sharpe":-0.36,"max_drawdown_pct":-4.4,"alpha_annualized_pct":-0.8,"p_value":0.47,"regime_breakdown":{"UP":0.119171,"DOWN":1.549692,"FLAT":-0.795033}},"executed_at":"2026-07-30T01:01:30","notes":null},{"run_id":"r-momentum-volume-jp-growth-0188","name":"formation_days=120, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":50,"regime_gate":false,"holding_days":5,"formation_days":120},"performance":{"sharpe":-0.21,"max_drawdown_pct":-5.5,"alpha_annualized_pct":-0.7,"p_value":0.68,"regime_breakdown":{"UP":1.341097,"DOWN":0.020129,"FLAT":-0.640474}},"executed_at":"2026-07-30T01:01:31","notes":null},{"run_id":"r-momentum-volume-jp-growth-0202","name":"formation_days=120, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":20,"regime_gate":false,"holding_days":10,"formation_days":120},"performance":{"sharpe":-0.3,"max_drawdown_pct":-18.4,"alpha_annualized_pct":-3.2,"p_value":0.55,"regime_breakdown":{"UP":0.360398,"DOWN":1.045988,"FLAT":-0.842476}},"executed_at":"2026-07-30T01:01:32","notes":null},{"run_id":"r-momentum-volume-jp-growth-0208","name":"formation_days=120, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"regime_gate":false,"holding_days":20,"formation_days":120},"performance":{"sharpe":0.79,"max_drawdown_pct":-15.2,"alpha_annualized_pct":19.3,"p_value":0.12,"regime_breakdown":{"UP":1.474865,"DOWN":2.803723,"FLAT":0.397627}},"executed_at":"2026-07-30T01:01:32","notes":null},{"run_id":"r-momentum-volume-jp-growth-0217","name":"formation_days=120, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":20,"regime_gate":true,"holding_days":20,"formation_days":120},"performance":{"sharpe":0.22,"max_drawdown_pct":-11.7,"alpha_annualized_pct":2.4,"p_value":0.66,"regime_breakdown":{"UP":0.640345,"DOWN":1.582585,"FLAT":-0.204743}},"executed_at":"2026-07-30T01:01:33","notes":null},{"run_id":"r-momentum-volume-jp-growth-0231","name":"formation_days=120, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":10,"regime_gate":true,"holding_days":60,"formation_days":120},"performance":{"sharpe":-0.28,"max_drawdown_pct":-54.4,"alpha_annualized_pct":-14.8,"p_value":0.36,"regime_breakdown":{"UP":-0.403682,"DOWN":-0.065665,"FLAT":-0.263356}},"executed_at":"2026-07-30T01:01:33","notes":null},{"run_id":"r-momentum-volume-jp-growth-0240","name":"formation_days=250, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"regime_gate":false,"holding_days":1,"formation_days":250},"performance":{"sharpe":0.5,"max_drawdown_pct":-4.6,"alpha_annualized_pct":1.8,"p_value":0.36,"regime_breakdown":{"UP":0.897263,"DOWN":0.890376,"FLAT":0.249837}},"executed_at":"2026-07-30T01:01:34","notes":null},{"run_id":"r-momentum-volume-jp-growth-0246","name":"formation_days=250, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":10,"regime_gate":false,"holding_days":1,"formation_days":250},"performance":{"sharpe":0.22,"max_drawdown_pct":-5.6,"alpha_annualized_pct":0.9,"p_value":0.68,"regime_breakdown":{"UP":0.566598,"DOWN":0.981055,"FLAT":0.054524}},"executed_at":"2026-07-30T01:01:34","notes":null},{"run_id":"r-momentum-volume-jp-growth-0260","name":"formation_days=250, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":10,"regime_gate":false,"holding_days":5,"formation_days":250},"performance":{"sharpe":0.31,"max_drawdown_pct":-13.6,"alpha_annualized_pct":2.1,"p_value":0.56,"regime_breakdown":{"UP":0.327997,"DOWN":1.52619,"FLAT":0.205344}},"executed_at":"2026-07-30T01:01:35","notes":null},{"run_id":"r-momentum-volume-jp-growth-0274","name":"formation_days=250, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":5,"regime_gate":false,"holding_days":10,"formation_days":250},"performance":{"sharpe":-0.4,"max_drawdown_pct":-32.3,"alpha_annualized_pct":-7,"p_value":0.46,"regime_breakdown":{"UP":1.587709,"DOWN":0.957681,"FLAT":-1.68208}},"executed_at":"2026-07-30T01:01:36","notes":null},{"run_id":"r-momentum-volume-jp-growth-0288","name":"formation_days=250, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"regime_gate":false,"holding_days":20,"formation_days":250},"performance":{"sharpe":-0.23,"max_drawdown_pct":-32.5,"alpha_annualized_pct":-3.9,"p_value":0.67,"regime_breakdown":{"UP":0.556874,"DOWN":-0.019564,"FLAT":-0.446624}},"executed_at":"2026-07-30T01:01:36","notes":null},{"run_id":"r-momentum-volume-jp-growth-0302","name":"formation_days=250, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":50,"regime_gate":false,"holding_days":20,"formation_days":250},"performance":{"sharpe":-0.94,"max_drawdown_pct":-28.1,"alpha_annualized_pct":-8.7,"p_value":0.089,"regime_breakdown":{"UP":-1.719163,"DOWN":-0.198156,"FLAT":-0.658876}},"executed_at":"2026-07-30T01:01:37","notes":null}],"facts":[{"fact_id":"momentum-volume-jp-growth-fact-avg-corr-down","strategy_slug":"momentum-volume-jp-growth","claim":"Average monthly return correlation with other strategies in DOWN regime: 0.11","value":0.1097,"value_text":null,"unit":"correlation","context":"Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'0.11':11 '3':27 '42':19 'across':18 'averag':1 'correl':4,14 'filter':21 'month':2,16,25 'n':26 'n225':28 'pairwis':12 'pearson':13 'regim':10,24 'return':3,17 'sma20':29 'sma60':30 'strategi':7,20","cite_url":"https://qbuntu.ai/cite/momentum-volume-jp-growth-fact-avg-corr-down"},{"fact_id":"momentum-volume-jp-growth-fact-avg-corr-full","strategy_slug":"momentum-volume-jp-growth","claim":"Average monthly return correlation with other strategies (full period): 0.07","value":0.0682,"value_text":null,"unit":"correlation","context":"Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'0.07':10 '42':18 'across':17 'averag':1 'backtest':21 'correl':4,13 'full':8,20 'month':2,15 'pairwis':11 'pearson':12 'period':9,22 'return':3,16 'strategi':7,19","cite_url":"https://qbuntu.ai/cite/momentum-volume-jp-growth-fact-avg-corr-full"},{"fact_id":"momentum-volume-jp-growth-fact-best-sharpe","strategy_slug":"momentum-volume-jp-growth","claim":"Best grid Sharpe ratio is 0.79 (p=0.12).","value":0.79,"value_text":null,"unit":"sharpe_ratio","context":"period 2022-05-02–2026-06-01; cost=5bps","supports_verdict":"rejected","source_run_id":"r-momentum-volume-jp-growth-0208","search_tsv":"'-01':15 '-02':12 '-05':11 '-06':14 '0.12':8 '0.79':6 '2022':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/momentum-volume-jp-growth-fact-best-sharpe"},{"fact_id":"momentum-volume-jp-growth-fact-median-sharpe","strategy_slug":"momentum-volume-jp-growth","claim":"Median Sharpe across 320 grid runs is -0.16.","value":-0.16,"value_text":null,"unit":"sharpe_ratio","context":"Full grid of 320 parameter combinations.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.16':8 '320':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/momentum-volume-jp-growth-fact-median-sharpe"},{"fact_id":"momentum-volume-jp-growth-fact-regime-down","strategy_slug":"momentum-volume-jp-growth","claim":"Median Sharpe in DOWN regime is 0.37 across 320 runs.","value":0.37,"value_text":null,"unit":"sharpe_ratio","context":"Regime=DOWN, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'0.37':7 '320':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/momentum-volume-jp-growth-fact-regime-down"},{"fact_id":"momentum-volume-jp-growth-fact-regime-flat","strategy_slug":"momentum-volume-jp-growth","claim":"Median Sharpe in FLAT regime is -0.45 across 320 runs.","value":-0.45,"value_text":null,"unit":"sharpe_ratio","context":"Regime=FLAT, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.45':7 '320':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/momentum-volume-jp-growth-fact-regime-flat"},{"fact_id":"momentum-volume-jp-growth-fact-regime-up","strategy_slug":"momentum-volume-jp-growth","claim":"Median Sharpe in UP regime is 0.34 across 320 runs.","value":0.34,"value_text":null,"unit":"sharpe_ratio","context":"Regime=UP, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'0.34':7 '320':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/momentum-volume-jp-growth-fact-regime-up"}],"related_strategies":[],"tags":["momentum","volume","interaction","factor","growth-market","grid-search"],"_links":{"self":"https://qbuntu.ai/v1/strategies/momentum-volume-jp-growth","html":"https://qbuntu.ai/strategies/momentum-volume-jp-growth","markdown":"https://qbuntu.ai/ai/strategies/momentum-volume-jp-growth.md"}}