# Amihud Illiquidity Premium (JP Growth Stocks)

- **Slug**: `amihud-illiquidity-premium-jp-growth`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: factor, liquidity
- **Source**: qbuntu-analysis (computed asof 2026-08-02T16:26:49)
- **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-growth
- **JSON**: https://qbuntu.ai/v1/strategies/amihud-illiquidity-premium-jp-growth
- **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 144 grid combinations, median Sharpe=-0.96, best=0.49. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.9564 |
| Max drawdown | -26.2% |
| p-value | 0.049 |
| Backtest period | 2022-02-01 to 2026-06-01 |

Sharpe distribution across 144 grid runs: median -0.96, best 0.49 (best-case — not representative), worst -2, p25 -1.27, p75 0.02.

## 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 Growth Market, ~495 stocks, tv >= 30M JPY

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-amihud-illiquidity-premium-jp-growth-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -1.24 | -2.43 | -0.98 | -0.15 |
| `r-amihud-illiquidity-premium-jp-growth-0001` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | -1.67 | -2.98 | -1.3 | -4.23 |
| `r-amihud-illiquidity-premium-jp-growth-0002` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | -0.39 | 0.42 | -0.49 | -3.43 |
| `r-amihud-illiquidity-premium-jp-growth-0003` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -1.15 | -1.93 | -0.98 | -0.15 |
| `r-amihud-illiquidity-premium-jp-growth-0006` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -1.37 | -2.58 | -1.09 | -0.33 |
| `r-amihud-illiquidity-premium-jp-growth-0010` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | -1.61 | -2.5 | -1.38 | -4.72 |
| `r-amihud-illiquidity-premium-jp-growth-0016` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=5 | -1.5 | -2.8 | -1.12 | -2.67 |
| `r-amihud-illiquidity-premium-jp-growth-0022` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | -1.63 | -2.88 | -1.25 | -2.9 |
| `r-amihud-illiquidity-premium-jp-growth-0028` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=5 | -0.61 | -0.8 | -0.32 | -3.8 |
| `r-amihud-illiquidity-premium-jp-growth-0034` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=5 | -0.77 | -0.88 | -0.5 | -4.02 |
| `r-amihud-illiquidity-premium-jp-growth-0036` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | -1.06 | -1.8 | -0.61 | -2.26 |
| `r-amihud-illiquidity-premium-jp-growth-0041` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=20 | 0.33 | -0.18 | 0.66 | -2.73 |
| `r-amihud-illiquidity-premium-jp-growth-0047` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=20 | 0.21 | -0.24 | 0.51 | -3.25 |
| `r-amihud-illiquidity-premium-jp-growth-0053` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=20 | -0.04 | -0.62 | 0.05 | -0.22 |
| `r-amihud-illiquidity-premium-jp-growth-0059` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=20 | -0.07 | -0.65 | 0.02 | -0.32 |
| `r-amihud-illiquidity-premium-jp-growth-0062` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | 0.49 | 1.13 | 0.38 | -0.12 |
| `r-amihud-illiquidity-premium-jp-growth-0066` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=1 | -0.94 | -1.59 | -0.69 | -2.26 |
| `r-amihud-illiquidity-premium-jp-growth-0072` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=1 | -1.19 | -1.58 | -0.95 | -3.33 |
| `r-amihud-illiquidity-premium-jp-growth-0078` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=1 | -1.49 | -1.85 | -1.24 | -3.87 |
| `r-amihud-illiquidity-premium-jp-growth-0084` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | -1.2 | -1.71 | -0.84 | -2.23 |
| `r-amihud-illiquidity-premium-jp-growth-0090` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | -1.72 | -2.12 | -1.44 | -2.7 |
| `r-amihud-illiquidity-premium-jp-growth-0096` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.7 | -1.46 | -0.48 | -2.03 |
| `r-amihud-illiquidity-premium-jp-growth-0097` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | -1.37 | -2.49 | -0.92 | -4.31 |
| `r-amihud-illiquidity-premium-jp-growth-0103` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -1.45 | -2.57 | -1.01 | -4.73 |
| `r-amihud-illiquidity-premium-jp-growth-0109` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=5 | -1.64 | -3.47 | -0.95 | -3.49 |
| `r-amihud-illiquidity-premium-jp-growth-0115` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | -1.76 | -3.6 | -1.08 | -3.69 |
| `r-amihud-illiquidity-premium-jp-growth-0121` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=5 | -1.32 | -3.3 | -0.4 | -7.24 |
| `r-amihud-illiquidity-premium-jp-growth-0127` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=5 | -1.5 | -3.47 | -0.6 | -7.59 |
| `r-amihud-illiquidity-premium-jp-growth-0133` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=5 | -1.06 | -2.49 | -0.21 | -10.75 |
| `r-amihud-illiquidity-premium-jp-growth-0138` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | -2 | -2.26 | -1.77 | -3.04 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.49 (p=0.3).**
  - Value: 0.49 sharpe_ratio
  - Context: period 2022-02-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/amihud-illiquidity-premium-jp-growth-fact-best-sharpe

- **Median Sharpe across 144 grid runs is -0.96.**
  - Value: -0.96 sharpe_ratio
  - Context: Full grid of 144 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/amihud-illiquidity-premium-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is -2.95 across 144 runs.**
  - Value: -2.95 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/amihud-illiquidity-premium-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is -0.54 across 144 runs.**
  - Value: -0.54 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/amihud-illiquidity-premium-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -1.33 across 144 runs.**
  - Value: -1.33 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/amihud-illiquidity-premium-jp-growth-fact-regime-up

## Related strategies

- same_strategy: [amihud-illiquidity-premium-jp-all](https://qbuntu.ai/strategies/amihud-illiquidity-premium-jp-all)
- 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 Growth Stocks). https://qbuntu.ai/strategies/amihud-illiquidity-premium-jp-growth

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