# Calendar Effects (JP All Stocks)

- **Slug**: `calendar-effects-jp-all`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: anomaly, calendar, seasonal
- **Source**: qbuntu-analysis (computed asof 2026-07-29T01:09:04)
- **Reproducibility**: analysis-engine@18193e9, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/calendar-effects-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/calendar-effects-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Tests well-known calendar anomalies: Halloween effect, January effect, Turn-of-Month, and Day-of-Week effects on the full Japanese stock universe.

## Why it didn't work

Across 144 grid combinations, median Sharpe=-0.71, best=1.03. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.7121 |
| Max drawdown | -30.2% |
| p-value | 0.41 |
| Backtest period | 2022-01-18 to 2026-06-08 |

Sharpe distribution across 144 grid runs: median -0.71, best 1.03 (best-case — not representative), worst -3.12, p25 -1.53, p75 0.12.

## 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-calendar-effects-jp-all-0000` | effect="halloween", cost_bps=5, n_stocks=5, regime_gate=false | -1.15 | -0.27 | -1.61 | -0.64 |
| `r-calendar-effects-jp-all-0001` | effect="halloween", cost_bps=5, n_stocks=5, regime_gate=true | -1.55 | -1.98 | -1.61 | -0.64 |
| `r-calendar-effects-jp-all-0002` | effect="halloween", cost_bps=10, n_stocks=5, regime_gate=false | -1.72 | -0.93 | -2.15 | -1.13 |
| `r-calendar-effects-jp-all-0003` | effect="halloween", cost_bps=10, n_stocks=5, regime_gate=true | -2.11 | -2.67 | -2.15 | -1.13 |
| `r-calendar-effects-jp-all-0008` | effect="halloween", cost_bps=5, n_stocks=20, regime_gate=false | -1.39 | -2.15 | -1 | -2.42 |
| `r-calendar-effects-jp-all-0010` | effect="halloween", cost_bps=10, n_stocks=20, regime_gate=false | -2.06 | -3.02 | -1.63 | -2.98 |
| `r-calendar-effects-jp-all-0020` | effect="halloween", cost_bps=5, n_stocks=10, regime_gate=false | -1.92 | -6.42 | -0.58 | -10.72 |
| `r-calendar-effects-jp-all-0026` | effect="halloween", cost_bps=10, n_stocks=20, regime_gate=false | -2.27 | -8.48 | -0.78 | -11.77 |
| `r-calendar-effects-jp-all-0032` | effect="halloween", cost_bps=5, n_stocks=5, regime_gate=false | -0.73 | -0.82 | -0.69 | -0.85 |
| `r-calendar-effects-jp-all-0037` | effect="halloween", cost_bps=5, n_stocks=10, regime_gate=true | -0.95 | -1.2 | -0.88 | -1.28 |
| `r-calendar-effects-jp-all-0043` | effect="halloween", cost_bps=10, n_stocks=20, regime_gate=true | -0.75 | -1.38 | -0.75 | 0.79 |
| `r-calendar-effects-jp-all-0053` | effect="january", cost_bps=5, n_stocks=10, regime_gate=true | -0.31 | -2.29 | 1.51 | — |
| `r-calendar-effects-jp-all-0059` | effect="january", cost_bps=10, n_stocks=20, regime_gate=true | -1.7 | -5 | 1.11 | — |
| `r-calendar-effects-jp-all-0069` | effect="january", cost_bps=5, n_stocks=10, regime_gate=true | -0.11 | -20.04 | 4.3 | — |
| `r-calendar-effects-jp-all-0075` | effect="january", cost_bps=10, n_stocks=20, regime_gate=true | -0.23 | -11.58 | 3.67 | — |
| `r-calendar-effects-jp-all-0080` | effect="january", cost_bps=5, n_stocks=5, regime_gate=false | 1.03 | -0.14 | 1.58 | — |
| `r-calendar-effects-jp-all-0086` | effect="january", cost_bps=10, n_stocks=10, regime_gate=false | 0.83 | -1.15 | 2.47 | — |
| `r-calendar-effects-jp-all-0096` | effect="turn_of_month", cost_bps=5, n_stocks=5, regime_gate=false | -0.7 | 0.37 | -0.61 | -4.47 |
| `r-calendar-effects-jp-all-0097` | effect="turn_of_month", cost_bps=5, n_stocks=5, regime_gate=true | -1.15 | -1.83 | -0.61 | -4.47 |
| `r-calendar-effects-jp-all-0103` | effect="turn_of_month", cost_bps=10, n_stocks=10, regime_gate=true | -1.7 | -3.75 | -0.84 | -6.72 |
| `r-calendar-effects-jp-all-0113` | effect="turn_of_month", cost_bps=5, n_stocks=5, regime_gate=true | 0 | -0.14 | 0.17 | -0.61 |
| `r-calendar-effects-jp-all-0119` | effect="turn_of_month", cost_bps=10, n_stocks=10, regime_gate=true | -0.73 | 0.06 | -0.67 | -2.19 |
| `r-calendar-effects-jp-all-0129` | effect="turn_of_month", cost_bps=5, n_stocks=5, regime_gate=true | 0.49 | -0.63 | 0.64 | 3.02 |
| `r-calendar-effects-jp-all-0135` | effect="turn_of_month", cost_bps=10, n_stocks=10, regime_gate=true | 0.43 | -0.41 | 0.57 | 0.77 |
| `r-calendar-effects-jp-all-0144` | effect="day_of_week", cost_bps=5, n_stocks=5, regime_gate=false | -1.28 | -0.72 | -1.05 | -4.7 |
| `r-calendar-effects-jp-all-0146` | effect="day_of_week", cost_bps=10, n_stocks=5, regime_gate=false | -1.87 | -1.4 | -1.61 | -5.23 |
| `r-calendar-effects-jp-all-0152` | effect="day_of_week", cost_bps=5, n_stocks=20, regime_gate=false | -1.9 | -1.28 | -1.55 | -6.74 |
| `r-calendar-effects-jp-all-0155` | effect="day_of_week", cost_bps=10, n_stocks=20, regime_gate=true | -3.12 | -6.09 | -2.2 | -7.42 |
| `r-calendar-effects-jp-all-0163` | effect="day_of_week", cost_bps=10, n_stocks=5, regime_gate=true | -0.93 | -0.01 | -1.1 | — |
| `r-calendar-effects-jp-all-0169` | effect="day_of_week", cost_bps=5, n_stocks=20, regime_gate=true | -0.94 | 2.37 | -0.89 | — |

## Facts (5)

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

- **Best grid Sharpe ratio is 1.03 (p=0.6).**
  - Value: 1.03 sharpe_ratio
  - Context: period 2022-01-18–2026-06-08; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/calendar-effects-jp-all-fact-best-sharpe

- **Median Sharpe across 144 grid runs is -0.71.**
  - Value: -0.71 sharpe_ratio
  - Context: Full grid of 144 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/calendar-effects-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is -2.91 across 144 runs.**
  - Value: -2.91 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/calendar-effects-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is -0.47 across 144 runs.**
  - Value: -0.47 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/calendar-effects-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is -1.26 across 144 runs.**
  - Value: -1.26 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/calendar-effects-jp-all-fact-regime-up

## Related strategies

- same_strategy: [calendar-effects-jp-growth](https://qbuntu.ai/strategies/calendar-effects-jp-growth)

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Cite as: qbuntu (2026). Calendar Effects (JP All Stocks). https://qbuntu.ai/strategies/calendar-effects-jp-all

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