# Idiosyncratic Volatility (JP All Stocks)

- **Slug**: `idiosyncratic-vol-jp-all`
- **Verdict**: rejected (regime_dependent)
- **Asset class**: equity
- **Categories**: anomaly, factor, idiosyncratic-volatility
- **Source**: qbuntu-analysis (computed asof 2026-07-30T01:21:28)
- **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/idiosyncratic-vol-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/idiosyncratic-vol-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Ang, Hodrick, Xing, Zhang (2006): stocks with high idiosyncratic volatility earn lower returns. Testing on the full Japanese stock universe.

## Why it didn't work

Across 160 grid combinations, median Sharpe=-0.04, best=1.26. Primary failure mode: regime_dependent.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.0403 |
| Max drawdown | -15.2% |
| p-value | 0.55 |
| Backtest period | 2023-07-03 to 2026-02-02 |

Sharpe distribution across 160 grid runs: median -0.04, best 1.26 (best-case — not representative), worst -1.28, p25 -0.35, p75 0.29.

## 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-idiosyncratic-vol-jp-all-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.56 | -1.83 | 0.03 | 1.05 |
| `r-idiosyncratic-vol-jp-all-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.05 | -1.01 | 0.03 | 1.05 |
| `r-idiosyncratic-vol-jp-all-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.77 | -2 | -0.2 | 0.84 |
| `r-idiosyncratic-vol-jp-all-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -0.28 | -1.23 | -0.2 | 0.84 |
| `r-idiosyncratic-vol-jp-all-0004` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -0.91 | -2.63 | -0.05 | -1.11 |
| `r-idiosyncratic-vol-jp-all-0006` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=1 | -1.28 | -3.03 | -0.42 | -1.46 |
| `r-idiosyncratic-vol-jp-all-0019` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | 0.33 | 0.85 | 0.15 | -0.2 |
| `r-idiosyncratic-vol-jp-all-0033` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=10 | 0.72 | 1.31 | 1.09 | -2.72 |
| `r-idiosyncratic-vol-jp-all-0039` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=10 | 0.21 | 0.68 | 0.95 | -4.42 |
| `r-idiosyncratic-vol-jp-all-0053` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | 0.17 | 0.18 | 0.61 | -2.16 |
| `r-idiosyncratic-vol-jp-all-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | 0.11 | -0.08 | 0.55 | -0.87 |
| `r-idiosyncratic-vol-jp-all-0068` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=60 | -0.32 | -0.72 | 0.09 | -1.48 |
| `r-idiosyncratic-vol-jp-all-0082` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.35 | -2.43 | 0.97 | 1.13 |
| `r-idiosyncratic-vol-jp-all-0096` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | -0.35 | -1.56 | 1.32 | 0.63 |
| `r-idiosyncratic-vol-jp-all-0097` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=5 | 1.26 | 1.3 | 1.32 | 0.63 |
| `r-idiosyncratic-vol-jp-all-0103` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | 0.37 | 0.58 | 0.12 | 0.86 |
| `r-idiosyncratic-vol-jp-all-0117` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=10 | 0.77 | 0.54 | 1.37 | -2.15 |
| `r-idiosyncratic-vol-jp-all-0131` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=20 | 0.55 | 0.24 | 1.06 | -3.84 |
| `r-idiosyncratic-vol-jp-all-0145` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=60 | 0.3 | 0.64 | 0.51 | -2.54 |
| `r-idiosyncratic-vol-jp-all-0151` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=60 | -0.06 | 0.5 | -0.03 | -2.19 |
| `r-idiosyncratic-vol-jp-all-0165` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | 0.03 | -0.77 | 0.43 | -0.07 |
| `r-idiosyncratic-vol-jp-all-0179` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | 0.36 | 1.3 | -0.09 | 0.19 |
| `r-idiosyncratic-vol-jp-all-0193` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=10 | -0.21 | 1.04 | -0.3 | -2.6 |
| `r-idiosyncratic-vol-jp-all-0199` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=10 | -0.06 | 0.78 | -0.21 | -2.77 |
| `r-idiosyncratic-vol-jp-all-0213` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | 0.32 | 0.35 | 0.45 | -0.93 |
| `r-idiosyncratic-vol-jp-all-0227` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=60 | 0.12 | 1.18 | 0.27 | -5.22 |
| `r-idiosyncratic-vol-jp-all-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.1 | -1.96 | 1.24 | 1.2 |
| `r-idiosyncratic-vol-jp-all-0242` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.29 | -2.12 | 0.99 | 1 |
| `r-idiosyncratic-vol-jp-all-0256` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | -0.71 | -1.54 | 0.1 | -0.05 |
| `r-idiosyncratic-vol-jp-all-0262` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | -1.11 | -1.5 | -0.75 | -2.26 |

## Facts (5)

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

- **Best grid Sharpe ratio is 1.26 (p=0.046).**
  - Value: 1.26 sharpe_ratio
  - Context: period 2023-07-03–2026-02-02; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/idiosyncratic-vol-jp-all-fact-best-sharpe

- **Median Sharpe across 160 grid runs is -0.04.**
  - Value: -0.04 sharpe_ratio
  - Context: Full grid of 160 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/idiosyncratic-vol-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is -1.66 across 160 runs.**
  - Value: -1.66 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/idiosyncratic-vol-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is 0.25 across 160 runs.**
  - Value: 0.25 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/idiosyncratic-vol-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is -0.28 across 160 runs.**
  - Value: -0.28 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/idiosyncratic-vol-jp-all-fact-regime-up

## Related strategies

- same_strategy: [idiosyncratic-vol-jp-growth](https://qbuntu.ai/strategies/idiosyncratic-vol-jp-growth)

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Cite as: qbuntu (2026). Idiosyncratic Volatility (JP All Stocks). https://qbuntu.ai/strategies/idiosyncratic-vol-jp-all

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