# Garman-Klass Volatility Factor (JP Growth Stocks)

- **Slug**: `garman-klass-vol-jp-growth`
- **Verdict**: marginal (no_edge)
- **Asset class**: equity
- **Categories**: anomaly, factor, volatility
- **Source**: qbuntu-analysis (computed asof 2026-07-30T01:20:51)
- **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/garman-klass-vol-jp-growth
- **JSON**: https://qbuntu.ai/v1/strategies/garman-klass-vol-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Garman & Klass (1980): OHLC-based volatility estimator more efficient than close-to-close. Tests low-volatility anomaly using GK vol: LONG lowest GK-vol stocks, SHORT highest GK-vol stocks. Baker, Bradley, Wurgler (2011): low-vol stocks earn higher risk-adjusted returns.

## Why it didn't work

Across 320 grid combinations, median Sharpe=0.19, best=1.50. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | 0.1894 |
| Max drawdown | -21.2% |
| p-value | 0.45 |
| Backtest period | 2022-02-01 to 2026-06-01 |

Sharpe distribution across 320 grid runs: median 0.19, best 1.5 (best-case — not representative), worst -0.68, p25 -0.08, p75 0.58.

## 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-garman-klass-vol-jp-growth-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 1.33 | 1.71 | 1.05 | 3.95 |
| `r-garman-klass-vol-jp-growth-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.95 | -1.12 | 1.05 | 3.95 |
| `r-garman-klass-vol-jp-growth-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | 1.21 | 1.61 | 0.91 | 3.72 |
| `r-garman-klass-vol-jp-growth-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | 0.81 | -1.51 | 0.91 | 3.72 |
| `r-garman-klass-vol-jp-growth-0012` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | 0.86 | 0.21 | 1.06 | 2.83 |
| `r-garman-klass-vol-jp-growth-0018` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | 0.88 | 3.84 | 0.19 | 6.08 |
| `r-garman-klass-vol-jp-growth-0032` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | 0 | 3.08 | -0.38 | -0.38 |
| `r-garman-klass-vol-jp-growth-0046` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=10 | -0.36 | -1.19 | -0.08 | -0.67 |
| `r-garman-klass-vol-jp-growth-0060` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=20 | 0.2 | -0.19 | 0.28 | 0.52 |
| `r-garman-klass-vol-jp-growth-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | 0.41 | 2.3 | 0.15 | -0.77 |
| `r-garman-klass-vol-jp-growth-0075` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=60 | -0.09 | -1.17 | 0.07 | -0.69 |
| `r-garman-klass-vol-jp-growth-0080` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 1.5 | 1.41 | 1.43 | 26.92 |
| `r-garman-klass-vol-jp-growth-0090` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=1 | 0.89 | 0.23 | 1.09 | 3.11 |
| `r-garman-klass-vol-jp-growth-0104` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=5 | 0.67 | 0.21 | 0.82 | 0.79 |
| `r-garman-klass-vol-jp-growth-0118` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=10 | -0.28 | -0.22 | -0.28 | -0.54 |
| `r-garman-klass-vol-jp-growth-0132` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | 0.39 | 0.77 | 0.3 | 0.05 |
| `r-garman-klass-vol-jp-growth-0146` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=60 | 0.19 | 1.92 | -0.1 | -1.96 |
| `r-garman-klass-vol-jp-growth-0160` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 1.48 | 1.33 | 1.4 | 3.46 |
| `r-garman-klass-vol-jp-growth-0174` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | 0.25 | -0.29 | 0.29 | 4.28 |
| `r-garman-klass-vol-jp-growth-0188` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=5 | 0.3 | -0.37 | 0.52 | 1.17 |
| `r-garman-klass-vol-jp-growth-0202` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=10 | -0.13 | -0.54 | 0.09 | -1.3 |
| `r-garman-klass-vol-jp-growth-0216` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=20 | 0.49 | 0.45 | 0.55 | -0.06 |
| `r-garman-klass-vol-jp-growth-0230` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=60 | 0.37 | 1.15 | 0.3 | -1.48 |
| `r-garman-klass-vol-jp-growth-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 1.23 | 1.03 | 1.52 | -0.37 |
| `r-garman-klass-vol-jp-growth-0245` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | 1.22 | -1.18 | 1.61 | 1.33 |
| `r-garman-klass-vol-jp-growth-0259` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | 0.56 | -0.92 | 0.78 | -0.09 |
| `r-garman-klass-vol-jp-growth-0273` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=10 | -0.43 | -1.19 | -0.41 | -0.6 |
| `r-garman-klass-vol-jp-growth-0283` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=10 | -0.68 | -0.23 | -0.7 | -1.36 |
| `r-garman-klass-vol-jp-growth-0288` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | 0.19 | 4.77 | -0.55 | 0.9 |
| `r-garman-klass-vol-jp-growth-0302` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=20 | -0.05 | 0.19 | -0.23 | 0.93 |

## Facts (7)

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

- **Average monthly return correlation with other strategies in DOWN regime: -0.01**
  - Value: -0.0071 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/garman-klass-vol-jp-growth-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): 0.01**
  - Value: 0.0111 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/garman-klass-vol-jp-growth-fact-avg-corr-full

- **Best grid Sharpe ratio is 1.50 (p=0.0023).**
  - Value: 1.5 sharpe_ratio
  - Context: period 2022-02-01–2026-06-01; cost=5bps
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/garman-klass-vol-jp-growth-fact-best-sharpe

- **Median Sharpe across 320 grid runs is 0.19.**
  - Value: 0.19 sharpe_ratio
  - Context: Full grid of 320 parameter combinations.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/garman-klass-vol-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is -0.04 across 320 runs.**
  - Value: -0.04 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/garman-klass-vol-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is 0.17 across 320 runs.**
  - Value: 0.17 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/garman-klass-vol-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.30 across 320 runs.**
  - Value: -0.3 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/garman-klass-vol-jp-growth-fact-regime-up

---

Cite as: qbuntu (2026). Garman-Klass Volatility Factor (JP Growth Stocks). https://qbuntu.ai/strategies/garman-klass-vol-jp-growth

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