{"schema_version":"v1","slug":"skewness-reversal-jp-all","name":"Skewness Reversal (JP All Stocks)","name_i18n":{},"verdict":"rejected","asset_class":"equity","categories":["factor","reversal","skewness"],"hypothesis":"Investors overpay for lottery-like positive skewness and shun negative skewness (Harvey & Siddique 2000 line): stocks with extreme recent return skewness should subsequently revert. Ranking on realized skewness tests the effect long/short.","rejection_reason":{"primary":"no_edge","secondary":[],"narrative":"Across 72 grid combinations, median Sharpe=-0.65, best=0.23. Primary failure mode: no_edge."},"target_universe":{"description":"Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks","symbols":[]},"performance_summary":{"sharpe_median":-0.6519,"max_drawdown_pct":-23,"win_rate":null,"alpha_annualized_pct":null,"p_value":0.19,"backtest_period":{"start":"2022-02-01","end":"2026-02-02"}},"grid_summary":{"sharpe":{"p25":-0.97,"p75":-0.41,"best":0.23,"worst":-1.51,"median":-0.65},"n_combinations":72},"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":"2026-08-02T16:26:49","git_sha_z":"2f23bb7","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-skewness-reversal-jp-all-0000","name":"lookback_days=20, 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,"lookback_days":20},"performance":{"sharpe":-0.69,"max_drawdown_pct":-18.5,"alpha_annualized_pct":-3.2,"p_value":0.16,"regime_breakdown":{"UP":-1.843812,"DOWN":-1.243288,"FLAT":-0.154432}},"executed_at":"2026-08-02T01:01:44","notes":null},{"run_id":"r-skewness-reversal-jp-all-0001","name":"lookback_days=20, 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,"lookback_days":20},"performance":{"sharpe":-1.12,"max_drawdown_pct":-46.3,"alpha_annualized_pct":-11.7,"p_value":0.026,"regime_breakdown":{"UP":-2.107996,"DOWN":-0.184987,"FLAT":-0.796279}},"executed_at":"2026-08-02T01:01:44","notes":null},{"run_id":"r-skewness-reversal-jp-all-0002","name":"lookback_days=20, 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,"lookback_days":20},"performance":{"sharpe":-0.96,"max_drawdown_pct":-46.4,"alpha_annualized_pct":-14.2,"p_value":0.058,"regime_breakdown":{"UP":-4.326977,"DOWN":-0.715297,"FLAT":-0.365676}},"executed_at":"2026-08-02T01:01:44","notes":null},{"run_id":"r-skewness-reversal-jp-all-0003","name":"lookback_days=20, 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,"lookback_days":20},"performance":{"sharpe":-0.41,"max_drawdown_pct":-12.4,"alpha_annualized_pct":-1.7,"p_value":0.4,"regime_breakdown":{"UP":-0.978278,"DOWN":-1.243288,"FLAT":-0.154432}},"executed_at":"2026-08-02T01:01:45","notes":null},{"run_id":"r-skewness-reversal-jp-all-0005","name":"lookback_days=20, 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,"lookback_days":20},"performance":{"sharpe":-0.65,"max_drawdown_pct":-34.5,"alpha_annualized_pct":-9.2,"p_value":0.19,"regime_breakdown":{"UP":-2.025209,"DOWN":-0.715297,"FLAT":-0.365676}},"executed_at":"2026-08-02T01:01:45","notes":null},{"run_id":"r-skewness-reversal-jp-all-0006","name":"lookback_days=20, 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,"lookback_days":20},"performance":{"sharpe":-0.95,"max_drawdown_pct":-21.9,"alpha_annualized_pct":-4.5,"p_value":0.057,"regime_breakdown":{"UP":-2.029536,"DOWN":-1.540643,"FLAT":-0.464734}},"executed_at":"2026-08-02T01:01:45","notes":null},{"run_id":"r-skewness-reversal-jp-all-0008","name":"lookback_days=20, 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,"lookback_days":20},"performance":{"sharpe":-1.04,"max_drawdown_pct":-48.5,"alpha_annualized_pct":-15.4,"p_value":0.04,"regime_breakdown":{"UP":-4.446014,"DOWN":-0.76724,"FLAT":-0.449492}},"executed_at":"2026-08-02T01:01:45","notes":null},{"run_id":"r-skewness-reversal-jp-all-0010","name":"lookback_days=20, 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,"lookback_days":20},"performance":{"sharpe":-0.88,"max_drawdown_pct":-31,"alpha_annualized_pct":-6.2,"p_value":0.076,"regime_breakdown":{"UP":-0.63417,"DOWN":-0.42295,"FLAT":-0.959591}},"executed_at":"2026-08-02T01:01:45","notes":null},{"run_id":"r-skewness-reversal-jp-all-0012","name":"lookback_days=20, 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,"lookback_days":20},"performance":{"sharpe":-0.63,"max_drawdown_pct":-13.2,"alpha_annualized_pct":-2.5,"p_value":0.2,"regime_breakdown":{"UP":-1.889513,"DOWN":2.328049,"FLAT":-0.468652}},"executed_at":"2026-08-02T01:01:45","notes":null},{"run_id":"r-skewness-reversal-jp-all-0013","name":"lookback_days=20, 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,"lookback_days":20},"performance":{"sharpe":-1.33,"max_drawdown_pct":-35,"alpha_annualized_pct":-9.5,"p_value":0.0087,"regime_breakdown":{"UP":-2.548411,"DOWN":1.351261,"FLAT":-1.298409}},"executed_at":"2026-08-02T01:01:45","notes":null},{"run_id":"r-skewness-reversal-jp-all-0015","name":"lookback_days=20, 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,"lookback_days":20},"performance":{"sharpe":-0.34,"max_drawdown_pct":-8.7,"alpha_annualized_pct":-1.2,"p_value":0.5,"regime_breakdown":{"UP":-0.691867,"DOWN":2.328049,"FLAT":-0.468652}},"executed_at":"2026-08-02T01:01:45","notes":null},{"run_id":"r-skewness-reversal-jp-all-0017","name":"lookback_days=20, 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,"lookback_days":20},"performance":{"sharpe":-0.54,"max_drawdown_pct":-24.7,"alpha_annualized_pct":-6.6,"p_value":0.28,"regime_breakdown":{"UP":-0.971863,"DOWN":-0.448831,"FLAT":-0.428955}},"executed_at":"2026-08-02T01:01:45","notes":null},{"run_id":"r-skewness-reversal-jp-all-0019","name":"lookback_days=20, 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,"lookback_days":20},"performance":{"sharpe":-1.51,"max_drawdown_pct":-37.6,"alpha_annualized_pct":-10.8,"p_value":0.0034,"regime_breakdown":{"UP":-2.659253,"DOWN":1.204342,"FLAT":-1.558938}},"executed_at":"2026-08-02T01:01:45","notes":null},{"run_id":"r-skewness-reversal-jp-all-0020","name":"lookback_days=20, 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,"lookback_days":20},"performance":{"sharpe":-1,"max_drawdown_pct":-40.3,"alpha_annualized_pct":-12.6,"p_value":0.048,"regime_breakdown":{"UP":-3.263508,"DOWN":-0.55578,"FLAT":-0.523819}},"executed_at":"2026-08-02T01:01:45","notes":null},{"run_id":"r-skewness-reversal-jp-all-0022","name":"lookback_days=20, 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,"lookback_days":20},"performance":{"sharpe":-1.08,"max_drawdown_pct":-22,"alpha_annualized_pct":-5.4,"p_value":0.032,"regime_breakdown":{"UP":-0.62658,"DOWN":1.204342,"FLAT":-1.558938}},"executed_at":"2026-08-02T01:01:45","notes":null},{"run_id":"r-skewness-reversal-jp-all-0048","name":"lookback_days=40, 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,"lookback_days":40},"performance":{"sharpe":-0.84,"max_drawdown_pct":-23.4,"alpha_annualized_pct":-4.5,"p_value":0.096,"regime_breakdown":{"UP":-2.231501,"DOWN":8.918383,"FLAT":-0.55875}},"executed_at":"2026-08-02T01:01:46","notes":null},{"run_id":"r-skewness-reversal-jp-all-0050","name":"lookback_days=40, 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,"lookback_days":40},"performance":{"sharpe":-0.49,"max_drawdown_pct":-37.9,"alpha_annualized_pct":-7,"p_value":0.33,"regime_breakdown":{"UP":-2.168734,"DOWN":1.16654,"FLAT":0.153374}},"executed_at":"2026-08-02T01:01:46","notes":null},{"run_id":"r-skewness-reversal-jp-all-0052","name":"lookback_days=40, 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,"lookback_days":40},"performance":{"sharpe":-0.52,"max_drawdown_pct":-19.5,"alpha_annualized_pct":-3.6,"p_value":0.3,"regime_breakdown":{"UP":0.049711,"DOWN":2.76686,"FLAT":-0.95347}},"executed_at":"2026-08-02T01:01:46","notes":null},{"run_id":"r-skewness-reversal-jp-all-0054","name":"lookback_days=40, 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,"lookback_days":40},"performance":{"sharpe":-1.07,"max_drawdown_pct":-25.8,"alpha_annualized_pct":-5.7,"p_value":0.036,"regime_breakdown":{"UP":-2.403708,"DOWN":7.919442,"FLAT":-0.827354}},"executed_at":"2026-08-02T01:01:46","notes":null},{"run_id":"r-skewness-reversal-jp-all-0056","name":"lookback_days=40, 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,"lookback_days":40},"performance":{"sharpe":-0.57,"max_drawdown_pct":-39.3,"alpha_annualized_pct":-8.2,"p_value":0.26,"regime_breakdown":{"UP":-2.229588,"DOWN":1.08298,"FLAT":0.040494}},"executed_at":"2026-08-02T01:01:46","notes":null},{"run_id":"r-skewness-reversal-jp-all-0058","name":"lookback_days=40, 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,"lookback_days":40},"performance":{"sharpe":-0.67,"max_drawdown_pct":-22.6,"alpha_annualized_pct":-4.7,"p_value":0.18,"regime_breakdown":{"UP":-0.048458,"DOWN":2.590151,"FLAT":-1.127925}},"executed_at":"2026-08-02T01:01:46","notes":null},{"run_id":"r-skewness-reversal-jp-all-0060","name":"lookback_days=40, 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,"lookback_days":40},"performance":{"sharpe":-0.14,"max_drawdown_pct":-13,"alpha_annualized_pct":-0.6,"p_value":0.77,"regime_breakdown":{"UP":-2.034918,"DOWN":1.427139,"FLAT":0.515218}},"executed_at":"2026-08-02T01:01:47","notes":null},{"run_id":"r-skewness-reversal-jp-all-0062","name":"lookback_days=40, 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,"lookback_days":40},"performance":{"sharpe":-0.38,"max_drawdown_pct":-30.8,"alpha_annualized_pct":-4,"p_value":0.45,"regime_breakdown":{"UP":-1.467592,"DOWN":-1.649385,"FLAT":0.000665}},"executed_at":"2026-08-02T01:01:47","notes":null},{"run_id":"r-skewness-reversal-jp-all-0063","name":"lookback_days=40, 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,"lookback_days":40},"performance":{"sharpe":0.23,"max_drawdown_pct":-7.8,"alpha_annualized_pct":0.8,"p_value":0.65,"regime_breakdown":{"UP":-0.816404,"DOWN":1.427139,"FLAT":0.515218}},"executed_at":"2026-08-02T01:01:47","notes":null},{"run_id":"r-skewness-reversal-jp-all-0065","name":"lookback_days=40, 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,"lookback_days":40},"performance":{"sharpe":-0.17,"max_drawdown_pct":-26,"alpha_annualized_pct":-1.9,"p_value":0.73,"regime_breakdown":{"UP":-0.444783,"DOWN":-1.649385,"FLAT":0.000665}},"executed_at":"2026-08-02T01:01:47","notes":null},{"run_id":"r-skewness-reversal-jp-all-0067","name":"lookback_days=40, 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,"lookback_days":40},"performance":{"sharpe":-1.16,"max_drawdown_pct":-32.9,"alpha_annualized_pct":-8.1,"p_value":0.023,"regime_breakdown":{"UP":-2.358662,"DOWN":1.143117,"FLAT":-0.917129}},"executed_at":"2026-08-02T01:01:47","notes":null},{"run_id":"r-skewness-reversal-jp-all-0069","name":"lookback_days=40, 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,"lookback_days":40},"performance":{"sharpe":-0.08,"max_drawdown_pct":-10.2,"alpha_annualized_pct":-0.3,"p_value":0.88,"regime_breakdown":{"UP":-0.963343,"DOWN":0.906181,"FLAT":0.166919}},"executed_at":"2026-08-02T01:01:47","notes":null},{"run_id":"r-skewness-reversal-jp-all-0071","name":"lookback_days=40, 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,"lookback_days":40},"performance":{"sharpe":-0.28,"max_drawdown_pct":-27.4,"alpha_annualized_pct":-3,"p_value":0.58,"regime_breakdown":{"UP":-0.495016,"DOWN":-1.82143,"FLAT":-0.111243}},"executed_at":"2026-08-02T01:01:47","notes":null},{"run_id":"r-skewness-reversal-jp-all-0096","name":"lookback_days=60, 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,"lookback_days":60},"performance":{"sharpe":-0.72,"max_drawdown_pct":-16.5,"alpha_annualized_pct":-3.1,"p_value":0.15,"regime_breakdown":{"UP":-1.516619,"DOWN":0.234807,"FLAT":-0.452943}},"executed_at":"2026-08-02T01:01:48","notes":null},{"run_id":"r-skewness-reversal-jp-all-0098","name":"lookback_days=60, 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,"lookback_days":60},"performance":{"sharpe":-0.19,"max_drawdown_pct":-26.9,"alpha_annualized_pct":-3,"p_value":0.7,"regime_breakdown":{"UP":-3.25313,"DOWN":-0.214225,"FLAT":0.418156}},"executed_at":"2026-08-02T01:01:48","notes":null}],"facts":[{"fact_id":"skewness-reversal-jp-all-fact-best-sharpe","strategy_slug":"skewness-reversal-jp-all","claim":"Best grid Sharpe ratio is 0.23 (p=0.65).","value":0.23,"value_text":null,"unit":"sharpe_ratio","context":"period 2022-02-01–2026-02-02; cost=5bps","supports_verdict":"rejected","source_run_id":"r-skewness-reversal-jp-all-0063","search_tsv":"'-01':12 '-02':11,14,15 '0.23':6 '0.65':8 '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/skewness-reversal-jp-all-fact-best-sharpe"},{"fact_id":"skewness-reversal-jp-all-fact-median-sharpe","strategy_slug":"skewness-reversal-jp-all","claim":"Median Sharpe across 72 grid runs is -0.65.","value":-0.65,"value_text":null,"unit":"sharpe_ratio","context":"Full grid of 72 parameter combinations.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.65':8 '72':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/skewness-reversal-jp-all-fact-median-sharpe"},{"fact_id":"skewness-reversal-jp-all-fact-regime-down","strategy_slug":"skewness-reversal-jp-all","claim":"Median Sharpe in DOWN regime is 0.25 across 72 runs.","value":0.25,"value_text":null,"unit":"sharpe_ratio","context":"Regime=DOWN, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'0.25':7 '72':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/skewness-reversal-jp-all-fact-regime-down"},{"fact_id":"skewness-reversal-jp-all-fact-regime-flat","strategy_slug":"skewness-reversal-jp-all","claim":"Median Sharpe in FLAT regime is -0.50 across 72 runs.","value":-0.5,"value_text":null,"unit":"sharpe_ratio","context":"Regime=FLAT, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.50':7 '72':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/skewness-reversal-jp-all-fact-regime-flat"},{"fact_id":"skewness-reversal-jp-all-fact-regime-up","strategy_slug":"skewness-reversal-jp-all","claim":"Median Sharpe in UP regime is -1.55 across 72 runs.","value":-1.55,"value_text":null,"unit":"sharpe_ratio","context":"Regime=UP, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-1.55':7 '72':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/skewness-reversal-jp-all-fact-regime-up"}],"related_strategies":[{"related_slug":"skewness-reversal-jp-growth","relation":"same_strategy"},{"related_slug":"skewness-reversal-us-sp500","relation":"same_strategy"}],"tags":["skewness","reversal","lottery","factor","all-market","grid-search"],"_links":{"self":"https://qbuntu.ai/v1/strategies/skewness-reversal-jp-all","html":"https://qbuntu.ai/strategies/skewness-reversal-jp-all","markdown":"https://qbuntu.ai/ai/strategies/skewness-reversal-jp-all.md"}}