# Amihud Illiquidity Premium (JP All Stocks)

- **Slug**: `amihud-illiquidity-premium-jp-all`
- **Verdict**: rejected (regime_dependent)
- **Asset class**: equity
- **Categories**: factor, liquidity
- **Source**: qbuntu-analysis (computed asof 2026-08-02T16:25:57)
- **Reproducibility**: analysis-engine@2f23bb7, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/amihud-illiquidity-premium-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/amihud-illiquidity-premium-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Amihud (2002): illiquid stocks (high |return| per unit of trading volume) must compensate holders with higher expected returns. Ranking on the Amihud illiquidity measure tests whether the premium survives transaction costs in this universe.

## Why it didn't work

Across 72 grid combinations, median Sharpe=-0.21, best=0.57. Primary failure mode: regime_dependent.

## Performance summary

Headline figures are the **median across the parameter grid**, not the best run.

| Metric | Value |
|---|---|
| Sharpe (median) | -0.2108 |
| Max drawdown | -17.9% |
| p-value | 0.47 |
| Backtest period | 2022-02-01 to 2026-02-02 |

Sharpe distribution across 72 grid runs: median -0.21, best 0.57 (best-case — not representative), worst -1.58, p25 -0.58, p75 0.13.

## Methodology

- Notes: {"walk_forward_definition": {"type": "single_pass", "description": "Full period backtest without walk-forward split", "verdict_basis": "full_period"}}
- Slippage model: open-on-open + variable bps fixed
- Position sizing: equal_weight
- Regime definition: N225 SMA20/SMA60 three-class
- Transaction cost bps: 5

## Target universe

Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-amihud-illiquidity-premium-jp-all-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.53 | 0.69 | -0.94 | 0.28 |
| `r-amihud-illiquidity-premium-jp-all-0001` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | -0.19 | 0.19 | -0.74 | 1.95 |
| `r-amihud-illiquidity-premium-jp-all-0002` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | 0.09 | -0.42 | 0.26 | 3.81 |
| `r-amihud-illiquidity-premium-jp-all-0003` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.36 | 1.53 | -0.94 | 0.28 |
| `r-amihud-illiquidity-premium-jp-all-0005` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=20 | 0.46 | 0.79 | 0.26 | 3.81 |
| `r-amihud-illiquidity-premium-jp-all-0006` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.76 | 0.47 | -1.16 | -0.17 |
| `r-amihud-illiquidity-premium-jp-all-0008` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=20 | 0.02 | -0.46 | 0.18 | 3.48 |
| `r-amihud-illiquidity-premium-jp-all-0010` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | -0.01 | 1.08 | -0.9 | 1.8 |
| `r-amihud-illiquidity-premium-jp-all-0012` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -1.19 | 0.35 | -1.76 | 1.33 |
| `r-amihud-illiquidity-premium-jp-all-0013` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=5 | -0.39 | 0.2 | -1.34 | 2.32 |
| `r-amihud-illiquidity-premium-jp-all-0015` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | -1.05 | 1.19 | -1.76 | 1.33 |
| `r-amihud-illiquidity-premium-jp-all-0017` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | 0.35 | 0.76 | 0.06 | 2.43 |
| `r-amihud-illiquidity-premium-jp-all-0019` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | -0.54 | 0.11 | -1.6 | 2.18 |
| `r-amihud-illiquidity-premium-jp-all-0021` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=1 | -1.33 | 0.99 | -2.07 | 0.89 |
| `r-amihud-illiquidity-premium-jp-all-0023` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=20 | 0.27 | 0.72 | -0.04 | 2.32 |
| `r-amihud-illiquidity-premium-jp-all-0049` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | -0.19 | 0.11 | -0.74 | 3.78 |
| `r-amihud-illiquidity-premium-jp-all-0051` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.5 | 1.33 | -1.08 | -0.16 |
| `r-amihud-illiquidity-premium-jp-all-0053` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=20 | 0.57 | 0.74 | 0.21 | 8.07 |
| `r-amihud-illiquidity-premium-jp-all-0054` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.89 | 0.4 | -1.32 | -0.71 |
| `r-amihud-illiquidity-premium-jp-all-0056` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=20 | 0.16 | -0.36 | 0.13 | 7.89 |
| `r-amihud-illiquidity-premium-jp-all-0058` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | -0.03 | 0.92 | -0.91 | 3.55 |
| `r-amihud-illiquidity-premium-jp-all-0060` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -1.1 | 0.46 | -1.6 | -0.32 |
| `r-amihud-illiquidity-premium-jp-all-0062` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | 0.27 | 0.42 | -0 | 3.94 |
| `r-amihud-illiquidity-premium-jp-all-0064` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=5 | -0.09 | 1.33 | -1.16 | 1.45 |
| `r-amihud-illiquidity-premium-jp-all-0066` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=1 | -1.44 | 0.09 | -1.94 | -0.57 |
| `r-amihud-illiquidity-premium-jp-all-0068` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=20 | 0.17 | 0.32 | -0.1 | 3.81 |
| `r-amihud-illiquidity-premium-jp-all-0070` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | -0.25 | 1.27 | -1.41 | 1.32 |
| `r-amihud-illiquidity-premium-jp-all-0096` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.57 | 1.4 | -1.25 | 0.4 |
| `r-amihud-illiquidity-premium-jp-all-0097` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | -0.19 | 0.34 | -0.93 | 4.82 |
| `r-amihud-illiquidity-premium-jp-all-0114` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=1 | -1.58 | -0.35 | -2.1 | -0.32 |

## Facts (5)

Each fact has a permanent citation URL. AI agents quoting qbuntu should use these.

- **Best grid Sharpe ratio is 0.57 (p=0.25).**
  - Value: 0.57 sharpe_ratio
  - Context: period 2022-02-01–2026-02-02; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/amihud-illiquidity-premium-jp-all-fact-best-sharpe

- **Median Sharpe across 72 grid runs is -0.21.**
  - Value: -0.21 sharpe_ratio
  - Context: Full grid of 72 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/amihud-illiquidity-premium-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is 2.06 across 72 runs.**
  - Value: 2.06 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/amihud-illiquidity-premium-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is -1.01 across 72 runs.**
  - Value: -1.01 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/amihud-illiquidity-premium-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is 0.73 across 72 runs.**
  - Value: 0.73 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/amihud-illiquidity-premium-jp-all-fact-regime-up

## Related strategies

- same_strategy: [amihud-illiquidity-premium-jp-growth](https://qbuntu.ai/strategies/amihud-illiquidity-premium-jp-growth)
- same_strategy: [amihud-illiquidity-premium-us-sp500](https://qbuntu.ai/strategies/amihud-illiquidity-premium-us-sp500)

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Cite as: qbuntu (2026). Amihud Illiquidity Premium (JP All Stocks). https://qbuntu.ai/strategies/amihud-illiquidity-premium-jp-all

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