{"schema_version":"v1","slug":"volatility-ratio-reversal-jp-growth","name":"Volatility Ratio Reversal (JP Growth Stocks)","name_i18n":{},"verdict":"marginal","asset_class":"equity","categories":["reversal","technical","volatility"],"hypothesis":"When short-window realized volatility spikes relative to the long-window baseline (high vol ratio), prices have typically overreacted; buying the dislocated side tests whether the spike mean-reverts within the holding period.","rejection_reason":{"primary":"regime_dependent","secondary":[],"narrative":"Across 432 grid combinations, median Sharpe=0.26, best=1.85. Primary failure mode: regime_dependent."},"target_universe":{"description":"Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY","symbols":[]},"performance_summary":{"sharpe_median":0.2587,"max_drawdown_pct":-10.9,"win_rate":null,"alpha_annualized_pct":null,"p_value":0.45,"backtest_period":{"start":"2022-02-01","end":"2026-06-01"}},"grid_summary":{"sharpe":{"p25":-0.07,"p75":0.57,"best":1.85,"worst":-1.25,"median":0.26},"n_combinations":432},"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":"2026-08-02T16:26:50","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-volatility-ratio-reversal-jp-growth-0000","name":"short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1","params":{"cost_bps":5,"n_stocks":5,"long_window":15,"regime_gate":false,"holding_days":1,"short_window":3},"performance":{"sharpe":0.19,"max_drawdown_pct":-5.8,"alpha_annualized_pct":1.5,"p_value":0.68,"regime_breakdown":{"UP":-0.399514,"DOWN":2.37974,"FLAT":0.195474}},"executed_at":"2026-08-02T01:02:07","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0001","name":"short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5","params":{"cost_bps":5,"n_stocks":5,"long_window":15,"regime_gate":false,"holding_days":5,"short_window":3},"performance":{"sharpe":-0.06,"max_drawdown_pct":-32.2,"alpha_annualized_pct":-0.9,"p_value":0.89,"regime_breakdown":{"UP":-0.958099,"DOWN":-0.221198,"FLAT":0.389478}},"executed_at":"2026-08-02T01:02:07","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0002","name":"short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20","params":{"cost_bps":5,"n_stocks":5,"long_window":15,"regime_gate":false,"holding_days":20,"short_window":3},"performance":{"sharpe":0.52,"max_drawdown_pct":-34.6,"alpha_annualized_pct":11.1,"p_value":0.28,"regime_breakdown":{"UP":-0.192904,"DOWN":0.801298,"FLAT":0.802572}},"executed_at":"2026-08-02T01:02:07","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0003","name":"short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1","params":{"cost_bps":5,"n_stocks":5,"long_window":15,"regime_gate":true,"holding_days":1,"short_window":3},"performance":{"sharpe":0.04,"max_drawdown_pct":-4.7,"alpha_annualized_pct":0.3,"p_value":0.94,"regime_breakdown":{"UP":-1.606909,"DOWN":2.37974,"FLAT":0.195474}},"executed_at":"2026-08-02T01:02:07","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0006","name":"short_window=3, long_window=15, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1","params":{"cost_bps":10,"n_stocks":5,"long_window":15,"regime_gate":false,"holding_days":1,"short_window":3},"performance":{"sharpe":0.03,"max_drawdown_pct":-6.7,"alpha_annualized_pct":0.2,"p_value":0.95,"regime_breakdown":{"UP":-0.55738,"DOWN":2.245361,"FLAT":0.026014}},"executed_at":"2026-08-02T01:02:07","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0024","name":"short_window=3, long_window=15, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=1","params":{"cost_bps":5,"n_stocks":20,"long_window":15,"regime_gate":false,"holding_days":1,"short_window":3},"performance":{"sharpe":0.16,"max_drawdown_pct":-3.6,"alpha_annualized_pct":0.6,"p_value":0.74,"regime_breakdown":{"UP":-1.605728,"DOWN":1.062871,"FLAT":0.595418}},"executed_at":"2026-08-02T01:02:08","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0036","name":"short_window=3, long_window=15, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1","params":{"cost_bps":5,"n_stocks":50,"long_window":15,"regime_gate":false,"holding_days":1,"short_window":3},"performance":{"sharpe":0.07,"max_drawdown_pct":-1.9,"alpha_annualized_pct":0.1,"p_value":0.88,"regime_breakdown":{"UP":0.555127,"DOWN":-1.604777,"FLAT":0.061147}},"executed_at":"2026-08-02T01:02:09","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0045","name":"short_window=3, long_window=15, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=1","params":{"cost_bps":10,"n_stocks":50,"long_window":15,"regime_gate":true,"holding_days":1,"short_window":3},"performance":{"sharpe":-0.45,"max_drawdown_pct":-6.5,"alpha_annualized_pct":-1.4,"p_value":0.34,"regime_breakdown":{"UP":-0.244991,"DOWN":-2.123112,"FLAT":-0.559224}},"executed_at":"2026-08-02T01:02:10","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0065","name":"short_window=3, long_window=20, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20","params":{"cost_bps":5,"n_stocks":10,"long_window":20,"regime_gate":true,"holding_days":20,"short_window":3},"performance":{"sharpe":0.29,"max_drawdown_pct":-27.9,"alpha_annualized_pct":5.5,"p_value":0.54,"regime_breakdown":{"UP":-0.338571,"DOWN":1.747389,"FLAT":0.361557}},"executed_at":"2026-08-02T01:02:11","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0085","name":"short_window=3, long_window=20, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=5","params":{"cost_bps":5,"n_stocks":50,"long_window":20,"regime_gate":false,"holding_days":5,"short_window":3},"performance":{"sharpe":-0.34,"max_drawdown_pct":-7,"alpha_annualized_pct":-1.1,"p_value":0.47,"regime_breakdown":{"UP":-2.187745,"DOWN":2.621519,"FLAT":0.046477}},"executed_at":"2026-08-02T01:02:12","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0096","name":"short_window=3, long_window=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1","params":{"cost_bps":5,"n_stocks":5,"long_window":40,"regime_gate":false,"holding_days":1,"short_window":3},"performance":{"sharpe":0.77,"max_drawdown_pct":-16.5,"alpha_annualized_pct":5.9,"p_value":0.11,"regime_breakdown":{"UP":-0.249479,"DOWN":2.310462,"FLAT":1.052077}},"executed_at":"2026-08-02T01:02:13","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0106","name":"short_window=3, long_window=40, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5","params":{"cost_bps":10,"n_stocks":5,"long_window":40,"regime_gate":true,"holding_days":5,"short_window":3},"performance":{"sharpe":0.18,"max_drawdown_pct":-31.5,"alpha_annualized_pct":2.1,"p_value":0.71,"regime_breakdown":{"UP":-2.869265,"DOWN":0.432203,"FLAT":0.614215}},"executed_at":"2026-08-02T01:02:13","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0126","name":"short_window=3, long_window=40, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=1","params":{"cost_bps":10,"n_stocks":20,"long_window":40,"regime_gate":false,"holding_days":1,"short_window":3},"performance":{"sharpe":0.07,"max_drawdown_pct":-5.7,"alpha_annualized_pct":0.2,"p_value":0.88,"regime_breakdown":{"UP":-0.824507,"DOWN":0.140784,"FLAT":0.434589}},"executed_at":"2026-08-02T01:02:14","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0146","name":"short_window=5, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20","params":{"cost_bps":5,"n_stocks":5,"long_window":15,"regime_gate":false,"holding_days":20,"short_window":5},"performance":{"sharpe":-0.16,"max_drawdown_pct":-43.9,"alpha_annualized_pct":-4.9,"p_value":0.74,"regime_breakdown":{"UP":1.272233,"DOWN":0.586529,"FLAT":-0.491895}},"executed_at":"2026-08-02T01:02:16","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0166","name":"short_window=5, long_window=15, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5","params":{"cost_bps":10,"n_stocks":10,"long_window":15,"regime_gate":true,"holding_days":5,"short_window":5},"performance":{"sharpe":0.05,"max_drawdown_pct":-11.2,"alpha_annualized_pct":0.4,"p_value":0.92,"regime_breakdown":{"UP":-0.295871,"DOWN":0.735285,"FLAT":0.07458}},"executed_at":"2026-08-02T01:02:17","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0186","name":"short_window=5, long_window=15, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1","params":{"cost_bps":10,"n_stocks":50,"long_window":15,"regime_gate":false,"holding_days":1,"short_window":5},"performance":{"sharpe":-0.58,"max_drawdown_pct":-5.5,"alpha_annualized_pct":-1.2,"p_value":0.22,"regime_breakdown":{"UP":-0.408394,"DOWN":-1.132579,"FLAT":-0.605766}},"executed_at":"2026-08-02T01:02:18","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0206","name":"short_window=5, long_window=20, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20","params":{"cost_bps":5,"n_stocks":10,"long_window":20,"regime_gate":false,"holding_days":20,"short_window":5},"performance":{"sharpe":0.36,"max_drawdown_pct":-26,"alpha_annualized_pct":7.3,"p_value":0.45,"regime_breakdown":{"UP":0.924061,"DOWN":3.302249,"FLAT":0.161033}},"executed_at":"2026-08-02T01:02:19","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0226","name":"short_window=5, long_window=20, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=5","params":{"cost_bps":10,"n_stocks":20,"long_window":20,"regime_gate":true,"holding_days":5,"short_window":5},"performance":{"sharpe":0.24,"max_drawdown_pct":-6.1,"alpha_annualized_pct":1.3,"p_value":0.62,"regime_breakdown":{"UP":-0.359464,"DOWN":2.339938,"FLAT":0.401834}},"executed_at":"2026-08-02T01:02:20","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0246","name":"short_window=5, long_window=40, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1","params":{"cost_bps":10,"n_stocks":5,"long_window":40,"regime_gate":false,"holding_days":1,"short_window":5},"performance":{"sharpe":0.88,"max_drawdown_pct":-8.1,"alpha_annualized_pct":6.4,"p_value":0.069,"regime_breakdown":{"UP":0.740279,"DOWN":1.585662,"FLAT":0.813873}},"executed_at":"2026-08-02T01:02:21","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0266","name":"short_window=5, long_window=40, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=20","params":{"cost_bps":5,"n_stocks":20,"long_window":40,"regime_gate":false,"holding_days":20,"short_window":5},"performance":{"sharpe":0.81,"max_drawdown_pct":-10.5,"alpha_annualized_pct":10.3,"p_value":0.095,"regime_breakdown":{"UP":0.500068,"DOWN":1.826836,"FLAT":0.857356}},"executed_at":"2026-08-02T01:02:22","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0286","name":"short_window=5, long_window=40, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=5","params":{"cost_bps":10,"n_stocks":50,"long_window":40,"regime_gate":true,"holding_days":5,"short_window":5},"performance":{"sharpe":-0.27,"max_drawdown_pct":-9.5,"alpha_annualized_pct":-1.1,"p_value":0.57,"regime_breakdown":{"UP":-0.133159,"DOWN":1.117327,"FLAT":-0.493098}},"executed_at":"2026-08-02T01:02:24","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0288","name":"short_window=10, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1","params":{"cost_bps":5,"n_stocks":5,"long_window":15,"regime_gate":false,"holding_days":1,"short_window":10},"performance":{"sharpe":-0.12,"max_drawdown_pct":-13.8,"alpha_annualized_pct":-0.9,"p_value":0.8,"regime_breakdown":{"UP":0.996106,"DOWN":-0.544227,"FLAT":-0.446371}},"executed_at":"2026-08-02T01:02:24","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0307","name":"short_window=10, long_window=15, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5","params":{"cost_bps":10,"n_stocks":10,"long_window":15,"regime_gate":false,"holding_days":5,"short_window":10},"performance":{"sharpe":-0.18,"max_drawdown_pct":-15.6,"alpha_annualized_pct":-1.4,"p_value":0.7,"regime_breakdown":{"UP":0.134058,"DOWN":-0.708638,"FLAT":-0.314854}},"executed_at":"2026-08-02T01:02:25","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0327","name":"short_window=10, long_window=15, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=1","params":{"cost_bps":5,"n_stocks":50,"long_window":15,"regime_gate":true,"holding_days":1,"short_window":10},"performance":{"sharpe":-0.19,"max_drawdown_pct":-4.2,"alpha_annualized_pct":-0.6,"p_value":0.68,"regime_breakdown":{"UP":-0.235759,"DOWN":0.284345,"FLAT":-0.219458}},"executed_at":"2026-08-02T01:02:26","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0347","name":"short_window=10, long_window=20, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20","params":{"cost_bps":10,"n_stocks":5,"long_window":20,"regime_gate":true,"holding_days":20,"short_window":10},"performance":{"sharpe":0.61,"max_drawdown_pct":-33.2,"alpha_annualized_pct":20.4,"p_value":0.2,"regime_breakdown":{"UP":1.601953,"DOWN":7.092008,"FLAT":-0.00807}},"executed_at":"2026-08-02T01:02:27","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0367","name":"short_window=10, long_window=20, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=5","params":{"cost_bps":10,"n_stocks":20,"long_window":20,"regime_gate":false,"holding_days":5,"short_window":10},"performance":{"sharpe":-0.5,"max_drawdown_pct":-19.7,"alpha_annualized_pct":-3.1,"p_value":0.29,"regime_breakdown":{"UP":-0.346484,"DOWN":-32.617202,"FLAT":-0.416412}},"executed_at":"2026-08-02T01:02:28","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0379","name":"short_window=10, long_window=20, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=5","params":{"cost_bps":10,"n_stocks":50,"long_window":20,"regime_gate":false,"holding_days":5,"short_window":10},"performance":{"sharpe":-1.25,"max_drawdown_pct":-20.7,"alpha_annualized_pct":-5.2,"p_value":0.01,"regime_breakdown":{"UP":-1.46475,"DOWN":-0.598706,"FLAT":-1.200437}},"executed_at":"2026-08-02T01:02:29","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0388","name":"short_window=10, long_window=40, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=5","params":{"cost_bps":5,"n_stocks":5,"long_window":40,"regime_gate":true,"holding_days":5,"short_window":10},"performance":{"sharpe":0.87,"max_drawdown_pct":-10.8,"alpha_annualized_pct":10.1,"p_value":0.073,"regime_breakdown":{"UP":1.031873,"DOWN":0.338404,"FLAT":0.874717}},"executed_at":"2026-08-02T01:02:30","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0396","name":"short_window=10, long_window=40, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1","params":{"cost_bps":5,"n_stocks":10,"long_window":40,"regime_gate":false,"holding_days":1,"short_window":10},"performance":{"sharpe":1.85,"max_drawdown_pct":-2.8,"alpha_annualized_pct":8,"p_value":0.00028,"regime_breakdown":{"UP":1.154387,"DOWN":1.468494,"FLAT":2.143482}},"executed_at":"2026-08-02T01:02:30","notes":null},{"run_id":"r-volatility-ratio-reversal-jp-growth-0409","name":"short_window=10, long_window=40, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=5","params":{"cost_bps":5,"n_stocks":20,"long_window":40,"regime_gate":false,"holding_days":5,"short_window":10},"performance":{"sharpe":-0.31,"max_drawdown_pct":-15.4,"alpha_annualized_pct":-2.3,"p_value":0.52,"regime_breakdown":{"UP":-0.592115,"DOWN":-18.150217,"FLAT":-0.188202}},"executed_at":"2026-08-02T01:02:31","notes":null}],"facts":[{"fact_id":"volatility-ratio-reversal-jp-growth-fact-best-sharpe","strategy_slug":"volatility-ratio-reversal-jp-growth","claim":"Best grid Sharpe ratio is 1.85 (p=0.00028).","value":1.85,"value_text":null,"unit":"sharpe_ratio","context":"period 2022-02-01–2026-06-01; cost=5bps","supports_verdict":"marginal","source_run_id":"r-volatility-ratio-reversal-jp-growth-0396","search_tsv":"'-01':12,15 '-02':11 '-06':14 '0.00028':8 '1.85':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/volatility-ratio-reversal-jp-growth-fact-best-sharpe"},{"fact_id":"volatility-ratio-reversal-jp-growth-fact-median-sharpe","strategy_slug":"volatility-ratio-reversal-jp-growth","claim":"Median Sharpe across 432 grid runs is 0.26.","value":0.26,"value_text":null,"unit":"sharpe_ratio","context":"Full grid of 432 parameter combinations.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'0.26':8 '432':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/volatility-ratio-reversal-jp-growth-fact-median-sharpe"},{"fact_id":"volatility-ratio-reversal-jp-growth-fact-regime-down","strategy_slug":"volatility-ratio-reversal-jp-growth","claim":"Median Sharpe in DOWN regime is 1.18 across 432 runs.","value":1.18,"value_text":null,"unit":"sharpe_ratio","context":"Regime=DOWN, N225 SMA20/SMA60 classification.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'1.18':7 '432':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/volatility-ratio-reversal-jp-growth-fact-regime-down"},{"fact_id":"volatility-ratio-reversal-jp-growth-fact-regime-flat","strategy_slug":"volatility-ratio-reversal-jp-growth","claim":"Median Sharpe in FLAT regime is 0.29 across 432 runs.","value":0.29,"value_text":null,"unit":"sharpe_ratio","context":"Regime=FLAT, N225 SMA20/SMA60 classification.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'0.29':7 '432':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/volatility-ratio-reversal-jp-growth-fact-regime-flat"},{"fact_id":"volatility-ratio-reversal-jp-growth-fact-regime-up","strategy_slug":"volatility-ratio-reversal-jp-growth","claim":"Median Sharpe in UP regime is -0.06 across 432 runs.","value":-0.06,"value_text":null,"unit":"sharpe_ratio","context":"Regime=UP, N225 SMA20/SMA60 classification.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'-0.06':7 '432':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/volatility-ratio-reversal-jp-growth-fact-regime-up"}],"related_strategies":[{"related_slug":"volatility-ratio-reversal-jp-all","relation":"same_strategy"},{"related_slug":"volatility-ratio-reversal-us-sp500","relation":"same_strategy"}],"tags":["volatility","vol-ratio","reversal","technical","growth-market","grid-search"],"_links":{"self":"https://qbuntu.ai/v1/strategies/volatility-ratio-reversal-jp-growth","html":"https://qbuntu.ai/strategies/volatility-ratio-reversal-jp-growth","markdown":"https://qbuntu.ai/ai/strategies/volatility-ratio-reversal-jp-growth.md"}}