{"schema_version":"v1","slug":"multi-factor-jp-growth","name":"Multi-Factor Composite (JP Growth Stocks)","name_i18n":{},"verdict":"marginal","asset_class":"equity","categories":["composite","cross-sectional","multi-factor"],"hypothesis":"Combines signals from marginal/promising single factors (short-term reversal, low volatility, max return, mean reversion) into a z-scored composite. Tests whether combining weak signals produces a stronger overall signal.","rejection_reason":{"primary":"regime_dependent","secondary":[],"narrative":"Across 240 grid combinations, median Sharpe=0.22, best=1.95. Primary failure mode: regime_dependent."},"target_universe":{"description":"Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY","symbols":[]},"performance_summary":{"sharpe_median":0.2178,"max_drawdown_pct":-23,"win_rate":null,"alpha_annualized_pct":null,"p_value":0.5,"backtest_period":{"start":"2022-02-01","end":"2026-09-01"}},"grid_summary":{"sharpe":{"p25":-0.03,"p75":0.55,"best":1.95,"worst":-0.53,"median":0.22},"n_combinations":240},"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":"2026-09-24T02:22:17","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-multi-factor-jp-growth-0000","name":"n_factors=2, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"n_factors":2,"regime_gate":false,"holding_days":1},"performance":{"sharpe":1.46,"max_drawdown_pct":-8.9,"alpha_annualized_pct":13.8,"p_value":0.0023,"regime_breakdown":{"UP":2.495729,"DOWN":15.945402,"FLAT":1.048178}},"executed_at":"2026-09-23T20:42:09","notes":null},{"run_id":"r-multi-factor-jp-growth-0001","name":"n_factors=2, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":5,"n_factors":2,"regime_gate":true,"holding_days":1},"performance":{"sharpe":1.1,"max_drawdown_pct":-10,"alpha_annualized_pct":10.3,"p_value":0.019,"regime_breakdown":{"UP":0.300134,"DOWN":15.945402,"FLAT":1.048178}},"executed_at":"2026-09-23T20:42:09","notes":null},{"run_id":"r-multi-factor-jp-growth-0002","name":"n_factors=2, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":5,"n_factors":2,"regime_gate":false,"holding_days":1},"performance":{"sharpe":1.33,"max_drawdown_pct":-9.5,"alpha_annualized_pct":12.6,"p_value":0.0051,"regime_breakdown":{"UP":2.312654,"DOWN":15.478023,"FLAT":0.928891}},"executed_at":"2026-09-23T20:42:09","notes":null},{"run_id":"r-multi-factor-jp-growth-0003","name":"n_factors=2, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":5,"n_factors":2,"regime_gate":true,"holding_days":1},"performance":{"sharpe":0.99,"max_drawdown_pct":-10.1,"alpha_annualized_pct":9.2,"p_value":0.035,"regime_breakdown":{"UP":0.188521,"DOWN":15.478023,"FLAT":0.928891}},"executed_at":"2026-09-23T20:42:10","notes":null},{"run_id":"r-multi-factor-jp-growth-0012","name":"n_factors=2, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":50,"n_factors":2,"regime_gate":false,"holding_days":1},"performance":{"sharpe":0.24,"max_drawdown_pct":-3.5,"alpha_annualized_pct":0.7,"p_value":0.6,"regime_breakdown":{"UP":-0.458187,"DOWN":3.058573,"FLAT":0.435502}},"executed_at":"2026-09-23T20:42:11","notes":null},{"run_id":"r-multi-factor-jp-growth-0014","name":"n_factors=2, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":50,"n_factors":2,"regime_gate":false,"holding_days":1},"performance":{"sharpe":-0.21,"max_drawdown_pct":-5.7,"alpha_annualized_pct":-0.6,"p_value":0.65,"regime_breakdown":{"UP":-0.840087,"DOWN":1.973007,"FLAT":-0.031795}},"executed_at":"2026-09-23T20:42:12","notes":null},{"run_id":"r-multi-factor-jp-growth-0024","name":"n_factors=2, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":20,"n_factors":2,"regime_gate":false,"holding_days":5},"performance":{"sharpe":0.03,"max_drawdown_pct":-12.7,"alpha_annualized_pct":0.2,"p_value":0.95,"regime_breakdown":{"UP":-0.323979,"DOWN":3.485889,"FLAT":0.103271}},"executed_at":"2026-09-23T20:42:14","notes":null},{"run_id":"r-multi-factor-jp-growth-0034","name":"n_factors=2, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":5,"n_factors":2,"regime_gate":false,"holding_days":10},"performance":{"sharpe":0.19,"max_drawdown_pct":-53.5,"alpha_annualized_pct":4.7,"p_value":0.68,"regime_breakdown":{"UP":-0.593041,"DOWN":6.036484,"FLAT":0.392347}},"executed_at":"2026-09-23T20:42:15","notes":null},{"run_id":"r-multi-factor-jp-growth-0044","name":"n_factors=2, holding_days=10, n_stocks=50, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":50,"n_factors":2,"regime_gate":false,"holding_days":10},"performance":{"sharpe":-0.23,"max_drawdown_pct":-19.5,"alpha_annualized_pct":-1.7,"p_value":0.61,"regime_breakdown":{"UP":-1.730996,"DOWN":-0.990978,"FLAT":0.186919}},"executed_at":"2026-09-23T20:42:17","notes":null},{"run_id":"r-multi-factor-jp-growth-0054","name":"n_factors=2, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":10,"n_factors":2,"regime_gate":false,"holding_days":20},"performance":{"sharpe":0.08,"max_drawdown_pct":-47.8,"alpha_annualized_pct":1.9,"p_value":0.86,"regime_breakdown":{"UP":-0.550857,"DOWN":1.802757,"FLAT":0.174858}},"executed_at":"2026-09-23T20:42:19","notes":null},{"run_id":"r-multi-factor-jp-growth-0064","name":"n_factors=2, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"n_factors":2,"regime_gate":false,"holding_days":60},"performance":{"sharpe":0.38,"max_drawdown_pct":-71.2,"alpha_annualized_pct":29.7,"p_value":0.18,"regime_breakdown":{"UP":0.691211,"DOWN":0.538565,"FLAT":0.267331}},"executed_at":"2026-09-23T20:42:21","notes":null},{"run_id":"r-multi-factor-jp-growth-0065","name":"n_factors=2, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":5,"n_factors":2,"regime_gate":true,"holding_days":60},"performance":{"sharpe":0.21,"max_drawdown_pct":-63.2,"alpha_annualized_pct":15.6,"p_value":0.45,"regime_breakdown":{"UP":-0.134451,"DOWN":0.538565,"FLAT":0.267331}},"executed_at":"2026-09-23T20:42:21","notes":null},{"run_id":"r-multi-factor-jp-growth-0075","name":"n_factors=2, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":20,"n_factors":2,"regime_gate":true,"holding_days":60},"performance":{"sharpe":-0.36,"max_drawdown_pct":-63,"alpha_annualized_pct":-13.7,"p_value":0.21,"regime_breakdown":{"UP":-1.420972,"DOWN":-2.092658,"FLAT":-0.137814}},"executed_at":"2026-09-23T20:42:23","notes":null},{"run_id":"r-multi-factor-jp-growth-0080","name":"n_factors=3, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"n_factors":3,"regime_gate":false,"holding_days":1},"performance":{"sharpe":1.95,"max_drawdown_pct":-8,"alpha_annualized_pct":18.9,"p_value":0.00008,"regime_breakdown":{"UP":1.972027,"DOWN":7.444387,"FLAT":1.679081}},"executed_at":"2026-09-23T20:42:24","notes":null},{"run_id":"r-multi-factor-jp-growth-0086","name":"n_factors=3, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":10,"n_factors":3,"regime_gate":false,"holding_days":1},"performance":{"sharpe":1.34,"max_drawdown_pct":-4.2,"alpha_annualized_pct":9.1,"p_value":0.0049,"regime_breakdown":{"UP":0.956998,"DOWN":12.578524,"FLAT":1.235519}},"executed_at":"2026-09-23T20:42:25","notes":null},{"run_id":"r-multi-factor-jp-growth-0096","name":"n_factors=3, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"n_factors":3,"regime_gate":false,"holding_days":5},"performance":{"sharpe":0.69,"max_drawdown_pct":-21.2,"alpha_annualized_pct":13.6,"p_value":0.14,"regime_breakdown":{"UP":0.345942,"DOWN":19.787228,"FLAT":0.529332}},"executed_at":"2026-09-23T20:42:27","notes":null},{"run_id":"r-multi-factor-jp-growth-0106","name":"n_factors=3, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":20,"n_factors":3,"regime_gate":false,"holding_days":5},"performance":{"sharpe":0.45,"max_drawdown_pct":-9.7,"alpha_annualized_pct":4,"p_value":0.32,"regime_breakdown":{"UP":0.058808,"DOWN":6.223053,"FLAT":0.483046}},"executed_at":"2026-09-23T20:42:29","notes":null},{"run_id":"r-multi-factor-jp-growth-0116","name":"n_factors=3, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":10,"n_factors":3,"regime_gate":false,"holding_days":10},"performance":{"sharpe":-0.02,"max_drawdown_pct":-46.3,"alpha_annualized_pct":-0.6,"p_value":0.96,"regime_breakdown":{"UP":-0.973409,"DOWN":6.249206,"FLAT":0.111273}},"executed_at":"2026-09-23T20:42:31","notes":null},{"run_id":"r-multi-factor-jp-growth-0126","name":"n_factors=3, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":50,"n_factors":3,"regime_gate":false,"holding_days":10},"performance":{"sharpe":-0.53,"max_drawdown_pct":-29.6,"alpha_annualized_pct":-4.4,"p_value":0.25,"regime_breakdown":{"UP":-1.618218,"DOWN":-3.469641,"FLAT":-0.031229}},"executed_at":"2026-09-23T20:42:33","notes":null},{"run_id":"r-multi-factor-jp-growth-0127","name":"n_factors=3, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":50,"n_factors":3,"regime_gate":true,"holding_days":10},"performance":{"sharpe":-0.33,"max_drawdown_pct":-22.5,"alpha_annualized_pct":-2.7,"p_value":0.48,"regime_breakdown":{"UP":-0.76541,"DOWN":-3.469641,"FLAT":-0.031229}},"executed_at":"2026-09-23T20:42:33","notes":null},{"run_id":"r-multi-factor-jp-growth-0137","name":"n_factors=3, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":20,"n_factors":3,"regime_gate":true,"holding_days":20},"performance":{"sharpe":0.63,"max_drawdown_pct":-21.1,"alpha_annualized_pct":9.8,"p_value":0.17,"regime_breakdown":{"UP":-0.14127,"DOWN":1.851617,"FLAT":0.754612}},"executed_at":"2026-09-23T20:42:35","notes":null},{"run_id":"r-multi-factor-jp-growth-0147","name":"n_factors=3, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":5,"n_factors":3,"regime_gate":true,"holding_days":60},"performance":{"sharpe":0.35,"max_drawdown_pct":-58,"alpha_annualized_pct":22.9,"p_value":0.22,"regime_breakdown":{"UP":-0.973957,"DOWN":1.092396,"FLAT":0.519951}},"executed_at":"2026-09-23T20:42:36","notes":null},{"run_id":"r-multi-factor-jp-growth-0157","name":"n_factors=3, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":50,"n_factors":3,"regime_gate":true,"holding_days":60},"performance":{"sharpe":-0.26,"max_drawdown_pct":-45.9,"alpha_annualized_pct":-7,"p_value":0.34,"regime_breakdown":{"UP":-0.730169,"DOWN":-1.311147,"FLAT":-0.088446}},"executed_at":"2026-09-23T20:42:38","notes":null},{"run_id":"r-multi-factor-jp-growth-0160","name":"n_factors=4, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"n_factors":4,"regime_gate":false,"holding_days":1},"performance":{"sharpe":1.8,"max_drawdown_pct":-7.8,"alpha_annualized_pct":18.1,"p_value":0.00024,"regime_breakdown":{"UP":1.990531,"DOWN":8.76062,"FLAT":1.521687}},"executed_at":"2026-09-23T20:42:39","notes":null},{"run_id":"r-multi-factor-jp-growth-0168","name":"n_factors=4, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":20,"n_factors":4,"regime_gate":false,"holding_days":1},"performance":{"sharpe":0.75,"max_drawdown_pct":-5.9,"alpha_annualized_pct":3.6,"p_value":0.11,"regime_breakdown":{"UP":0.63188,"DOWN":9.319227,"FLAT":0.60059}},"executed_at":"2026-09-23T20:42:40","notes":null},{"run_id":"r-multi-factor-jp-growth-0178","name":"n_factors=4, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":5,"n_factors":4,"regime_gate":false,"holding_days":5},"performance":{"sharpe":0.62,"max_drawdown_pct":-20.5,"alpha_annualized_pct":12.7,"p_value":0.18,"regime_breakdown":{"UP":0.262374,"DOWN":48.002723,"FLAT":0.5352}},"executed_at":"2026-09-23T20:42:42","notes":null},{"run_id":"r-multi-factor-jp-growth-0188","name":"n_factors=4, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":50,"n_factors":4,"regime_gate":false,"holding_days":5},"performance":{"sharpe":0.18,"max_drawdown_pct":-6.2,"alpha_annualized_pct":0.8,"p_value":0.69,"regime_breakdown":{"UP":-0.275527,"DOWN":1.784811,"FLAT":0.264226}},"executed_at":"2026-09-23T20:42:44","notes":null},{"run_id":"r-multi-factor-jp-growth-0198","name":"n_factors=4, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":10,"n_factors":4,"regime_gate":false,"holding_days":10},"performance":{"sharpe":-0.12,"max_drawdown_pct":-47.2,"alpha_annualized_pct":-2.9,"p_value":0.8,"regime_breakdown":{"UP":-0.796222,"DOWN":6.032073,"FLAT":-0.016122}},"executed_at":"2026-09-23T20:42:46","notes":null},{"run_id":"r-multi-factor-jp-growth-0208","name":"n_factors=4, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"n_factors":4,"regime_gate":false,"holding_days":20},"performance":{"sharpe":0.66,"max_drawdown_pct":-48.5,"alpha_annualized_pct":23.4,"p_value":0.16,"regime_breakdown":{"UP":-0.172137,"DOWN":6.34058,"FLAT":0.823223}},"executed_at":"2026-09-23T20:42:48","notes":null},{"run_id":"r-multi-factor-jp-growth-0218","name":"n_factors=4, holding_days=20, n_stocks=20, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":20,"n_factors":4,"regime_gate":false,"holding_days":20},"performance":{"sharpe":0.21,"max_drawdown_pct":-25.6,"alpha_annualized_pct":3.4,"p_value":0.66,"regime_breakdown":{"UP":-0.906668,"DOWN":1.646689,"FLAT":0.533684}},"executed_at":"2026-09-23T20:42:50","notes":null}],"facts":[{"fact_id":"multi-factor-jp-growth-fact-best-sharpe","strategy_slug":"multi-factor-jp-growth","claim":"Best grid Sharpe ratio is 1.95 (p=8e-05).","value":1.95,"value_text":null,"unit":"sharpe_ratio","context":"period 2022-02-01–2026-09-01; cost=5bps","supports_verdict":"marginal","source_run_id":"r-multi-factor-jp-growth-0080","search_tsv":"'-01':12,15 '-02':11 '-09':14 '1.95':6 '2022':10 '2026':13 '5bps':17 '8e-05':8 'best':1 'cost':16 'grid':2 'p':7 'period':9 'ratio':4 'sharp':3","cite_url":"https://qbuntu.ai/cite/multi-factor-jp-growth-fact-best-sharpe"},{"fact_id":"multi-factor-jp-growth-fact-median-sharpe","strategy_slug":"multi-factor-jp-growth","claim":"Median Sharpe across 240 grid runs is 0.22.","value":0.22,"value_text":null,"unit":"sharpe_ratio","context":"Full grid of 240 parameter combinations.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'0.22':8 '240':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/multi-factor-jp-growth-fact-median-sharpe"},{"fact_id":"multi-factor-jp-growth-fact-regime-down","strategy_slug":"multi-factor-jp-growth","claim":"Median Sharpe in DOWN regime is 3.07 across 240 runs.","value":3.07,"value_text":null,"unit":"sharpe_ratio","context":"Regime=DOWN, N225 SMA20/SMA60 classification.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'240':9 '3.07':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/multi-factor-jp-growth-fact-regime-down"},{"fact_id":"multi-factor-jp-growth-fact-regime-flat","strategy_slug":"multi-factor-jp-growth","claim":"Median Sharpe in FLAT regime is 0.26 across 240 runs.","value":0.26,"value_text":null,"unit":"sharpe_ratio","context":"Regime=FLAT, N225 SMA20/SMA60 classification.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'0.26':7 '240':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/multi-factor-jp-growth-fact-regime-flat"},{"fact_id":"multi-factor-jp-growth-fact-regime-up","strategy_slug":"multi-factor-jp-growth","claim":"Median Sharpe in UP regime is -0.29 across 240 runs.","value":-0.29,"value_text":null,"unit":"sharpe_ratio","context":"Regime=UP, N225 SMA20/SMA60 classification.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'-0.29':7 '240':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/multi-factor-jp-growth-fact-regime-up"}],"related_strategies":[],"tags":["multi-factor","composite","cross-sectional","growth-market","grid-search"],"_links":{"self":"https://qbuntu.ai/v1/strategies/multi-factor-jp-growth","html":"https://qbuntu.ai/strategies/multi-factor-jp-growth","markdown":"https://qbuntu.ai/ai/strategies/multi-factor-jp-growth.md"}}