{"schema_version":"v1","slug":"pead-jp-all","name":"Post-Earnings Announcement Drift (JP All Stocks)","name_i18n":{},"verdict":"marginal","asset_class":"equity","categories":["earnings","event-driven","momentum"],"hypothesis":"Ball & Brown (1968): stocks with positive earnings surprises drift upward. Testing PEAD on the full Japanese stock universe.","rejection_reason":{"primary":"no_edge","secondary":[],"narrative":"Across 2304 grid combinations, median Sharpe=0.96, best=2.24. Primary failure mode: no_edge."},"target_universe":{"description":"Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks","symbols":[]},"performance_summary":{"sharpe_median":0.9632,"max_drawdown_pct":-39,"win_rate":null,"alpha_annualized_pct":null,"p_value":0.24,"backtest_period":{"start":"2023-12-13","end":"2026-05-25"}},"grid_summary":{"sharpe":{"p25":0.58,"p75":1.42,"best":2.24,"worst":-0.27,"median":0.96},"n_combinations":2304},"methodology":{"notes":"{\"data_start\": \"2023-12-06 (earnings data availability)\", \"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":"2026-07-27T03:36:14","git_sha_z":"bfafe7d","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-pead-jp-all-0000","name":"holding_period=5, surprise_threshold=0.01, n_positions=3, cost_bps=5, side=BOTH","params":{"side":"BOTH","cost_bps":5,"n_positions":3,"holding_period":5,"surprise_threshold":0.01},"performance":{"sharpe":1.73,"max_drawdown_pct":-20.8,"alpha_annualized_pct":121.3,"p_value":0.089,"regime_breakdown":{"UP":1.376287,"DOWN":-1.161241,"FLAT":2.667543}},"executed_at":"2026-07-27T03:28:29","notes":null},{"run_id":"r-pead-jp-all-0001","name":"holding_period=5, surprise_threshold=0.01, n_positions=3, cost_bps=5, side=LONG_ONLY","params":{"side":"LONG_ONLY","cost_bps":5,"n_positions":3,"holding_period":5,"surprise_threshold":0.01},"performance":{"sharpe":1.74,"max_drawdown_pct":-44,"alpha_annualized_pct":185.6,"p_value":0.17,"regime_breakdown":{"UP":-0.52604,"DOWN":-1.099424,"FLAT":3.663009}},"executed_at":"2026-07-27T03:28:29","notes":null},{"run_id":"r-pead-jp-all-0002","name":"holding_period=5, surprise_threshold=0.01, n_positions=3, cost_bps=10, side=BOTH","params":{"side":"BOTH","cost_bps":10,"n_positions":3,"holding_period":5,"surprise_threshold":0.01},"performance":{"sharpe":1.64,"max_drawdown_pct":-21.3,"alpha_annualized_pct":111.5,"p_value":0.11,"regime_breakdown":{"UP":1.266058,"DOWN":-1.239837,"FLAT":2.599329}},"executed_at":"2026-07-27T03:28:29","notes":null},{"run_id":"r-pead-jp-all-0006","name":"holding_period=5, surprise_threshold=0.01, n_positions=3, cost_bps=20, side=BOTH","params":{"side":"BOTH","cost_bps":20,"n_positions":3,"holding_period":5,"surprise_threshold":0.01},"performance":{"sharpe":1.48,"max_drawdown_pct":-22.2,"alpha_annualized_pct":93.1,"p_value":0.15,"regime_breakdown":{"UP":1.044607,"DOWN":-1.396743,"FLAT":2.462963}},"executed_at":"2026-07-27T03:28:29","notes":null},{"run_id":"r-pead-jp-all-0024","name":"holding_period=5, surprise_threshold=0.01, n_positions=20, cost_bps=5, side=BOTH","params":{"side":"BOTH","cost_bps":5,"n_positions":20,"holding_period":5,"surprise_threshold":0.01},"performance":{"sharpe":1.59,"max_drawdown_pct":-25.1,"alpha_annualized_pct":104.9,"p_value":0.12,"regime_breakdown":{"UP":0.995919,"DOWN":-1.161241,"FLAT":2.670665}},"executed_at":"2026-07-27T03:28:30","notes":null},{"run_id":"r-pead-jp-all-0110","name":"holding_period=5, surprise_threshold=0.02, n_positions=5, cost_bps=20, side=BOTH","params":{"side":"BOTH","cost_bps":20,"n_positions":5,"holding_period":5,"surprise_threshold":0.02},"performance":{"sharpe":1.33,"max_drawdown_pct":-29.6,"alpha_annualized_pct":81,"p_value":0.22,"regime_breakdown":{"UP":0.526497,"DOWN":-1.88709,"FLAT":2.810913}},"executed_at":"2026-07-27T03:28:33","notes":null},{"run_id":"r-pead-jp-all-0298","name":"holding_period=5, surprise_threshold=0.05, n_positions=5, cost_bps=10, side=BOTH","params":{"side":"BOTH","cost_bps":10,"n_positions":5,"holding_period":5,"surprise_threshold":0.05},"performance":{"sharpe":1.54,"max_drawdown_pct":-29.5,"alpha_annualized_pct":102.9,"p_value":0.19,"regime_breakdown":{"UP":1.814215,"DOWN":-3.243416,"FLAT":2.647225}},"executed_at":"2026-07-27T03:28:38","notes":null},{"run_id":"r-pead-jp-all-0384","name":"holding_period=5, surprise_threshold=0.07, n_positions=3, cost_bps=5, side=BOTH","params":{"side":"BOTH","cost_bps":5,"n_positions":3,"holding_period":5,"surprise_threshold":0.07},"performance":{"sharpe":2.24,"max_drawdown_pct":-23.6,"alpha_annualized_pct":244.8,"p_value":0.065,"regime_breakdown":{"UP":2.566504,"DOWN":-6.052355,"FLAT":3.549091}},"executed_at":"2026-07-27T03:28:41","notes":null},{"run_id":"r-pead-jp-all-0398","name":"holding_period=5, surprise_threshold=0.07, n_positions=5, cost_bps=20, side=BOTH","params":{"side":"BOTH","cost_bps":20,"n_positions":5,"holding_period":5,"surprise_threshold":0.07},"performance":{"sharpe":1.98,"max_drawdown_pct":-25.8,"alpha_annualized_pct":192.8,"p_value":0.1,"regime_breakdown":{"UP":2.219939,"DOWN":-6.285813,"FLAT":3.356808}},"executed_at":"2026-07-27T03:28:41","notes":null},{"run_id":"r-pead-jp-all-0497","name":"holding_period=10, surprise_threshold=0.01, n_positions=10, cost_bps=5, side=LONG_ONLY","params":{"side":"LONG_ONLY","cost_bps":5,"n_positions":10,"holding_period":10,"surprise_threshold":0.01},"performance":{"sharpe":1.54,"max_drawdown_pct":-49.6,"alpha_annualized_pct":128.8,"p_value":0.12,"regime_breakdown":{"UP":1.295919,"DOWN":-1.869905,"FLAT":2.879409}},"executed_at":"2026-07-27T03:28:44","notes":null},{"run_id":"r-pead-jp-all-0596","name":"holding_period=10, surprise_threshold=0.02, n_positions=10, cost_bps=15, side=BOTH","params":{"side":"BOTH","cost_bps":15,"n_positions":10,"holding_period":10,"surprise_threshold":0.02},"performance":{"sharpe":1.34,"max_drawdown_pct":-27,"alpha_annualized_pct":75.8,"p_value":0.12,"regime_breakdown":{"UP":1.5716,"DOWN":-0.398277,"FLAT":1.722402}},"executed_at":"2026-07-27T03:28:48","notes":null},{"run_id":"r-pead-jp-all-0695","name":"holding_period=10, surprise_threshold=0.03, n_positions=10, cost_bps=20, side=LONG_ONLY","params":{"side":"LONG_ONLY","cost_bps":20,"n_positions":10,"holding_period":10,"surprise_threshold":0.03},"performance":{"sharpe":1.64,"max_drawdown_pct":-40.6,"alpha_annualized_pct":172.8,"p_value":0.14,"regime_breakdown":{"UP":1.5524,"DOWN":-2.482725,"FLAT":3.100233}},"executed_at":"2026-07-27T03:28:51","notes":null},{"run_id":"r-pead-jp-all-0794","name":"holding_period=10, surprise_threshold=0.05, n_positions=20, cost_bps=10, side=BOTH","params":{"side":"BOTH","cost_bps":10,"n_positions":20,"holding_period":10,"surprise_threshold":0.05},"performance":{"sharpe":1.1,"max_drawdown_pct":-37.1,"alpha_annualized_pct":58.9,"p_value":0.23,"regime_breakdown":{"UP":2.335037,"DOWN":-2.361214,"FLAT":1.097612}},"executed_at":"2026-07-27T03:28:54","notes":null},{"run_id":"r-pead-jp-all-0893","name":"holding_period=10, surprise_threshold=0.07, n_positions=20, cost_bps=15, side=LONG_ONLY","params":{"side":"LONG_ONLY","cost_bps":15,"n_positions":20,"holding_period":10,"surprise_threshold":0.07},"performance":{"sharpe":1.35,"max_drawdown_pct":-42.8,"alpha_annualized_pct":115.6,"p_value":0.25,"regime_breakdown":{"UP":1.928313,"DOWN":-3.36435,"FLAT":2.58884}},"executed_at":"2026-07-27T03:28:57","notes":null},{"run_id":"r-pead-jp-all-0992","name":"holding_period=20, surprise_threshold=0.01, n_positions=3, cost_bps=5, side=BOTH","params":{"side":"BOTH","cost_bps":5,"n_positions":3,"holding_period":20,"surprise_threshold":0.01},"performance":{"sharpe":0.92,"max_drawdown_pct":-25.9,"alpha_annualized_pct":32.8,"p_value":0.17,"regime_breakdown":{"UP":0.765019,"DOWN":0.557293,"FLAT":1.208899}},"executed_at":"2026-07-27T03:29:00","notes":null},{"run_id":"r-pead-jp-all-1091","name":"holding_period=20, surprise_threshold=0.02, n_positions=3, cost_bps=10, side=LONG_ONLY","params":{"side":"LONG_ONLY","cost_bps":10,"n_positions":3,"holding_period":20,"surprise_threshold":0.02},"performance":{"sharpe":1.28,"max_drawdown_pct":-29.5,"alpha_annualized_pct":93.9,"p_value":0.13,"regime_breakdown":{"UP":0.211392,"DOWN":0.923896,"FLAT":2.247005}},"executed_at":"2026-07-27T03:29:05","notes":null},{"run_id":"r-pead-jp-all-1190","name":"holding_period=20, surprise_threshold=0.03, n_positions=3, cost_bps=20, side=BOTH","params":{"side":"BOTH","cost_bps":20,"n_positions":3,"holding_period":20,"surprise_threshold":0.03},"performance":{"sharpe":0.85,"max_drawdown_pct":-29.1,"alpha_annualized_pct":33.7,"p_value":0.23,"regime_breakdown":{"UP":0.601166,"DOWN":0.149897,"FLAT":1.322336}},"executed_at":"2026-07-27T03:29:09","notes":null},{"run_id":"r-pead-jp-all-1289","name":"holding_period=20, surprise_threshold=0.05, n_positions=5, cost_bps=5, side=LONG_ONLY","params":{"side":"LONG_ONLY","cost_bps":5,"n_positions":5,"holding_period":20,"surprise_threshold":0.05},"performance":{"sharpe":0.83,"max_drawdown_pct":-47.2,"alpha_annualized_pct":42,"p_value":0.35,"regime_breakdown":{"UP":0.237116,"DOWN":-0.121924,"FLAT":1.929881}},"executed_at":"2026-07-27T03:29:13","notes":null},{"run_id":"r-pead-jp-all-1388","name":"holding_period=20, surprise_threshold=0.07, n_positions=5, cost_bps=15, side=BOTH","params":{"side":"BOTH","cost_bps":15,"n_positions":5,"holding_period":20,"surprise_threshold":0.07},"performance":{"sharpe":0.63,"max_drawdown_pct":-47.8,"alpha_annualized_pct":21.1,"p_value":0.39,"regime_breakdown":{"UP":1.097857,"DOWN":-1.5337,"FLAT":1.058652}},"executed_at":"2026-07-27T03:29:16","notes":null},{"run_id":"r-pead-jp-all-1487","name":"holding_period=40, surprise_threshold=0.01, n_positions=5, cost_bps=20, side=LONG_ONLY","params":{"side":"LONG_ONLY","cost_bps":20,"n_positions":5,"holding_period":40,"surprise_threshold":0.01},"performance":{"sharpe":1.04,"max_drawdown_pct":-35.7,"alpha_annualized_pct":52.4,"p_value":0.13,"regime_breakdown":{"UP":0.53477,"DOWN":0.722765,"FLAT":1.711773}},"executed_at":"2026-07-27T03:29:20","notes":null},{"run_id":"r-pead-jp-all-1586","name":"holding_period=40, surprise_threshold=0.02, n_positions=10, cost_bps=10, side=BOTH","params":{"side":"BOTH","cost_bps":10,"n_positions":10,"holding_period":40,"surprise_threshold":0.02},"performance":{"sharpe":0.25,"max_drawdown_pct":-35.8,"alpha_annualized_pct":3.1,"p_value":0.7,"regime_breakdown":{"UP":-0.271716,"DOWN":1.969894,"FLAT":0.284346}},"executed_at":"2026-07-27T03:29:25","notes":null},{"run_id":"r-pead-jp-all-1685","name":"holding_period=40, surprise_threshold=0.03, n_positions=10, cost_bps=15, side=LONG_ONLY","params":{"side":"LONG_ONLY","cost_bps":15,"n_positions":10,"holding_period":40,"surprise_threshold":0.03},"performance":{"sharpe":1.08,"max_drawdown_pct":-46.2,"alpha_annualized_pct":65.1,"p_value":0.13,"regime_breakdown":{"UP":0.70358,"DOWN":0.544732,"FLAT":1.621361}},"executed_at":"2026-07-27T03:29:29","notes":null},{"run_id":"r-pead-jp-all-1742","name":"holding_period=40, surprise_threshold=0.05, n_positions=5, cost_bps=20, side=BOTH","params":{"side":"BOTH","cost_bps":20,"n_positions":5,"holding_period":40,"surprise_threshold":0.05},"performance":{"sharpe":-0.27,"max_drawdown_pct":-52.2,"alpha_annualized_pct":-14.7,"p_value":0.68,"regime_breakdown":{"UP":-0.5029,"DOWN":0.36593,"FLAT":-0.268477}},"executed_at":"2026-07-27T03:29:32","notes":null},{"run_id":"r-pead-jp-all-1785","name":"holding_period=40, surprise_threshold=0.05, n_positions=20, cost_bps=5, side=LONG_ONLY","params":{"side":"LONG_ONLY","cost_bps":5,"n_positions":20,"holding_period":40,"surprise_threshold":0.05},"performance":{"sharpe":0.71,"max_drawdown_pct":-59.7,"alpha_annualized_pct":29.2,"p_value":0.35,"regime_breakdown":{"UP":0.786297,"DOWN":-0.124721,"FLAT":0.964674}},"executed_at":"2026-07-27T03:29:34","notes":null},{"run_id":"r-pead-jp-all-1884","name":"holding_period=40, surprise_threshold=0.07, n_positions=20, cost_bps=15, side=BOTH","params":{"side":"BOTH","cost_bps":15,"n_positions":20,"holding_period":40,"surprise_threshold":0.07},"performance":{"sharpe":-0.18,"max_drawdown_pct":-56.4,"alpha_annualized_pct":-14.1,"p_value":0.78,"regime_breakdown":{"UP":-0.081818,"DOWN":-0.673583,"FLAT":-0.096351}},"executed_at":"2026-07-27T03:29:37","notes":null},{"run_id":"r-pead-jp-all-1920","name":"holding_period=60, surprise_threshold=0.01, n_positions=3, cost_bps=5, side=BOTH","params":{"side":"BOTH","cost_bps":5,"n_positions":3,"holding_period":60,"surprise_threshold":0.01},"performance":{"sharpe":0.33,"max_drawdown_pct":-27.7,"alpha_annualized_pct":5.1,"p_value":0.61,"regime_breakdown":{"UP":0.078958,"DOWN":2.124548,"FLAT":-0.004236}},"executed_at":"2026-07-27T03:29:39","notes":null},{"run_id":"r-pead-jp-all-1984","name":"holding_period=60, surprise_threshold=0.01, n_positions=3, cost_bps=5, side=BOTH","params":{"side":"BOTH","cost_bps":5,"n_positions":3,"holding_period":60,"surprise_threshold":0.01},"performance":{"sharpe":0.33,"max_drawdown_pct":-27.7,"alpha_annualized_pct":5.1,"p_value":0.61,"regime_breakdown":{"UP":0.078958,"DOWN":2.124548,"FLAT":-0.004236}},"executed_at":"2026-07-27T03:29:42","notes":null},{"run_id":"r-pead-jp-all-2083","name":"holding_period=60, surprise_threshold=0.02, n_positions=3, cost_bps=10, side=LONG_ONLY","params":{"side":"LONG_ONLY","cost_bps":10,"n_positions":3,"holding_period":60,"surprise_threshold":0.02},"performance":{"sharpe":0.74,"max_drawdown_pct":-39,"alpha_annualized_pct":30.8,"p_value":0.27,"regime_breakdown":{"UP":0.284982,"DOWN":1.319256,"FLAT":1.156131}},"executed_at":"2026-07-27T03:29:47","notes":null},{"run_id":"r-pead-jp-all-2182","name":"holding_period=60, surprise_threshold=0.03, n_positions=3, cost_bps=20, side=BOTH","params":{"side":"BOTH","cost_bps":20,"n_positions":3,"holding_period":60,"surprise_threshold":0.03},"performance":{"sharpe":0.47,"max_drawdown_pct":-35.5,"alpha_annualized_pct":9.5,"p_value":0.47,"regime_breakdown":{"UP":0.304789,"DOWN":1.968234,"FLAT":0.188065}},"executed_at":"2026-07-27T03:29:52","notes":null},{"run_id":"r-pead-jp-all-2281","name":"holding_period=60, surprise_threshold=0.05, n_positions=5, cost_bps=5, side=LONG_ONLY","params":{"side":"LONG_ONLY","cost_bps":5,"n_positions":5,"holding_period":60,"surprise_threshold":0.05},"performance":{"sharpe":0.83,"max_drawdown_pct":-39.6,"alpha_annualized_pct":40.2,"p_value":0.22,"regime_breakdown":{"UP":0.834586,"DOWN":0.397108,"FLAT":1.004684}},"executed_at":"2026-07-27T03:29:56","notes":null}],"facts":[{"fact_id":"pead-jp-all-fact-best-sharpe","strategy_slug":"pead-jp-all","claim":"Best grid Sharpe ratio is 2.24 (p=0.065).","value":2.24,"value_text":null,"unit":"sharpe_ratio","context":"period 2023-12-13–2026-05-25; cost=5bps; side=BOTH","supports_verdict":"marginal","source_run_id":"r-pead-jp-all-0384","search_tsv":"'-05':14 '-12':11 '-13':12 '-25':15 '0.065':8 '2.24':6 '2023':10 '2026':13 '5bps':17 'best':1 'cost':16 'grid':2 'p':7 'period':9 'ratio':4 'sharp':3 'side':18","cite_url":"https://qbuntu.ai/cite/pead-jp-all-fact-best-sharpe"},{"fact_id":"pead-jp-all-fact-median-sharpe","strategy_slug":"pead-jp-all","claim":"Median Sharpe across 2304 grid runs is 0.96.","value":0.96,"value_text":null,"unit":"sharpe_ratio","context":"Full grid of 2304 parameter combinations.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'0.96':8 '2304':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/pead-jp-all-fact-median-sharpe"},{"fact_id":"pead-jp-all-fact-regime-down","strategy_slug":"pead-jp-all","claim":"Median Sharpe in DOWN regime is -0.07 across 2304 runs.","value":-0.07,"value_text":null,"unit":"sharpe_ratio","context":"Regime=DOWN, N225 SMA20/SMA60 classification.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'-0.07':7 '2304':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/pead-jp-all-fact-regime-down"},{"fact_id":"pead-jp-all-fact-regime-flat","strategy_slug":"pead-jp-all","claim":"Median Sharpe in FLAT regime is 1.54 across 2304 runs.","value":1.54,"value_text":null,"unit":"sharpe_ratio","context":"Regime=FLAT, N225 SMA20/SMA60 classification.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'1.54':7 '2304':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/pead-jp-all-fact-regime-flat"},{"fact_id":"pead-jp-all-fact-regime-up","strategy_slug":"pead-jp-all","claim":"Median Sharpe in UP regime is 0.55 across 2304 runs.","value":0.55,"value_text":null,"unit":"sharpe_ratio","context":"Regime=UP, N225 SMA20/SMA60 classification.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'0.55':7 '2304':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/pead-jp-all-fact-regime-up"}],"related_strategies":[{"related_slug":"earnings-reversal-short-jp-all","relation":"same_data_source"},{"related_slug":"pead-jp-growth","relation":"same_strategy"}],"tags":["earnings","momentum","event-driven","pead","drift","all-market","grid-search"],"_links":{"self":"https://qbuntu.ai/v1/strategies/pead-jp-all","html":"https://qbuntu.ai/strategies/pead-jp-all","markdown":"https://qbuntu.ai/ai/strategies/pead-jp-all.md"}}