# Information Discreteness (JP All Stocks)

- **Slug**: `info-discreteness-jp-all`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: factor, information, momentum-quality
- **Source**: qbuntu-analysis (computed asof 2026-08-01T07:30:59)
- **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/info-discreteness-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/info-discreteness-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Da, Gurun, Warachka (2014): information discreteness measures whether a stock's return is from few large moves or many small moves. Testing on the full Japanese stock universe.

## Why it didn't work

Across 160 grid combinations, median Sharpe=0.02, best=0.94. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | 0.0237 |
| Max drawdown | -18.1% |
| p-value | 0.46 |
| Backtest period | 2022-03-01 to 2026-02-02 |

Sharpe distribution across 160 grid runs: median 0.02, best 0.94 (best-case — not representative), worst -2.05, p25 -0.37, p75 0.36.

## 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-info-discreteness-jp-all-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -1.76 | -3.46 | -1.19 | -2.52 |
| `r-info-discreteness-jp-all-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -1.08 | -0.12 | -1.19 | -2.52 |
| `r-info-discreteness-jp-all-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -2.05 | -3.72 | -1.51 | -2.81 |
| `r-info-discreteness-jp-all-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -1.36 | -0.29 | -1.51 | -2.81 |
| `r-info-discreteness-jp-all-0004` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -1.57 | -2.55 | -1.33 | -1.3 |
| `r-info-discreteness-jp-all-0018` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -1.21 | -2.93 | -0.53 | -3.11 |
| `r-info-discreteness-jp-all-0032` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | -0.54 | -4.16 | 0.51 | 1.2 |
| `r-info-discreteness-jp-all-0038` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=10 | -0.47 | -3.91 | 0.37 | 1.26 |
| `r-info-discreteness-jp-all-0052` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | -0.32 | -4.26 | 0.51 | 5.14 |
| `r-info-discreteness-jp-all-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | 0.02 | -2.08 | 0.53 | -0.67 |
| `r-info-discreteness-jp-all-0067` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=60 | 0.15 | -0.98 | 0.51 | -0.69 |
| `r-info-discreteness-jp-all-0081` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.11 | -0.95 | 0.26 | 2.97 |
| `r-info-discreteness-jp-all-0087` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=1 | -0.6 | -0.69 | -0.57 | -0.58 |
| `r-info-discreteness-jp-all-0101` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=5 | 0.19 | 0.15 | 0.18 | 0.79 |
| `r-info-discreteness-jp-all-0113` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=10 | 0.94 | -0.13 | 1.37 | -0.66 |
| `r-info-discreteness-jp-all-0116` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=10 | 0.04 | -1.72 | 0.59 | 2.22 |
| `r-info-discreteness-jp-all-0130` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=20 | 0.23 | -0.88 | 0.86 | -0.8 |
| `r-info-discreteness-jp-all-0144` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | 0.45 | 0.74 | 0.41 | -0.9 |
| `r-info-discreteness-jp-all-0150` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=60 | 0.47 | 0.36 | 0.32 | 4 |
| `r-info-discreteness-jp-all-0164` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -0.87 | -2.16 | -0.35 | -4.58 |
| `r-info-discreteness-jp-all-0178` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -0.24 | 0.06 | -0.23 | -3.9 |
| `r-info-discreteness-jp-all-0192` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | 0.45 | 0.35 | 0.67 | -0.8 |
| `r-info-discreteness-jp-all-0198` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=10 | -0.33 | -1.25 | 0.11 | -9.57 |
| `r-info-discreteness-jp-all-0212` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | 0.02 | -1.13 | 0.63 | -2.98 |
| `r-info-discreteness-jp-all-0226` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=60 | 0 | 0.73 | -0.01 | -1.47 |
| `r-info-discreteness-jp-all-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.15 | -0.48 | 0.45 | 0.43 |
| `r-info-discreteness-jp-all-0241` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.66 | 1.57 | 0.45 | 0.43 |
| `r-info-discreteness-jp-all-0247` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=1 | -0.37 | 0.54 | -0.62 | -0.51 |
| `r-info-discreteness-jp-all-0261` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=5 | 0.5 | 1.78 | 0.08 | 0.09 |
| `r-info-discreteness-jp-all-0275` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=10 | -0.09 | 1.3 | -0.54 | -2.29 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.94 (p=0.066).**
  - Value: 0.94 sharpe_ratio
  - Context: period 2022-03-01–2026-02-02; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/info-discreteness-jp-all-fact-best-sharpe

- **Median Sharpe across 160 grid runs is 0.02.**
  - Value: 0.02 sharpe_ratio
  - Context: Full grid of 160 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/info-discreteness-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is -0.76 across 160 runs.**
  - Value: -0.76 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/info-discreteness-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is 0.23 across 160 runs.**
  - Value: 0.23 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/info-discreteness-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is -0.12 across 160 runs.**
  - Value: -0.12 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/info-discreteness-jp-all-fact-regime-up

## Related strategies

- same_strategy: [info-discreteness-jp-growth](https://qbuntu.ai/strategies/info-discreteness-jp-growth)

---

Cite as: qbuntu (2026). Information Discreteness (JP All Stocks). https://qbuntu.ai/strategies/info-discreteness-jp-all

Visit qbuntu.ai — the honest scorecard for quant strategies (live, promising, marginal, rejected).