# Information Discreteness (JP Growth Stocks)

- **Slug**: `info-discreteness-jp-growth`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: factor, information, momentum-quality
- **Source**: qbuntu-analysis (computed asof 2026-07-31T01:31:49)
- **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-growth
- **JSON**: https://qbuntu.ai/v1/strategies/info-discreteness-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Da, Gurun, Warachka (2014): information discreteness measures whether a stock's return is from few large moves (discrete, less persistent) or many small moves (continuous, momentum continues). LONG lowest ID (continuous momentum), SHORT highest ID.

## Why it didn't work

Across 320 grid combinations, median Sharpe=0.02, 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) | 0.019 |
| Max drawdown | -16.8% |
| p-value | 0.51 |
| Backtest period | 2022-03-01 to 2026-06-01 |

Sharpe distribution across 320 grid runs: median 0.02, best 1.03 (best-case — not representative), worst -1.26, p25 -0.31, p75 0.26.

## 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-info-discreteness-jp-growth-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.13 | -0.06 | 0.22 | -0.04 |
| `r-info-discreteness-jp-growth-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.14 | -0.02 | 0.22 | -0.04 |
| `r-info-discreteness-jp-growth-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.05 | -0.24 | 0.03 | -0.14 |
| `r-info-discreteness-jp-growth-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -0.02 | -0.1 | 0.03 | -0.14 |
| `r-info-discreteness-jp-growth-0012` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | -0.41 | -1.2 | -0.36 | 0.37 |
| `r-info-discreteness-jp-growth-0018` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | 0.23 | -0.85 | 0.56 | 0.5 |
| `r-info-discreteness-jp-growth-0032` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | -0.04 | -1.61 | 0.59 | -0.59 |
| `r-info-discreteness-jp-growth-0046` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=10 | -0.57 | -2.87 | -0.05 | 0.41 |
| `r-info-discreteness-jp-growth-0054` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=20 | -1.26 | -4.29 | -0.29 | -2.64 |
| `r-info-discreteness-jp-growth-0061` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=20 | -0.05 | -0.18 | -0.05 | 1.57 |
| `r-info-discreteness-jp-growth-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | -0.26 | -0.77 | -0.18 | 0.38 |
| `r-info-discreteness-jp-growth-0076` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=60 | -0.06 | -1.17 | 0.09 | 0.57 |
| `r-info-discreteness-jp-growth-0090` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=1 | -0.34 | -1.34 | 0.18 | -1.05 |
| `r-info-discreteness-jp-growth-0104` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=5 | 0.49 | 0.54 | 0.62 | -0.49 |
| `r-info-discreteness-jp-growth-0118` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=10 | -0.04 | 0.17 | 0.11 | -6.05 |
| `r-info-discreteness-jp-growth-0132` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | 0.09 | 0.35 | 0.17 | -1.45 |
| `r-info-discreteness-jp-growth-0146` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=60 | 0.55 | 0.95 | 0.52 | 0.08 |
| `r-info-discreteness-jp-growth-0160` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.14 | -0.4 | 0.22 | 1.3 |
| `r-info-discreteness-jp-growth-0174` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | -0.34 | -0.29 | -0.28 | -1.32 |
| `r-info-discreteness-jp-growth-0188` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=5 | 0.25 | 0.06 | 0.47 | -0.67 |
| `r-info-discreteness-jp-growth-0202` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=10 | -0.47 | -0.7 | -0.36 | -0.28 |
| `r-info-discreteness-jp-growth-0216` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=20 | -0.15 | -0.37 | -0.26 | 1.76 |
| `r-info-discreteness-jp-growth-0230` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=60 | 0.2 | -0.36 | 0.11 | 2.84 |
| `r-info-discreteness-jp-growth-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.72 | 2 | 0.39 | 0.06 |
| `r-info-discreteness-jp-growth-0245` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | 0.22 | 0.25 | 0.21 | 0.1 |
| `r-info-discreteness-jp-growth-0259` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | -0.49 | -0.05 | -0.56 | -0.84 |
| `r-info-discreteness-jp-growth-0273` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=10 | -0.6 | 0.35 | -0.76 | -1.07 |
| `r-info-discreteness-jp-growth-0287` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=10 | -0.34 | 0.47 | -0.86 | -1.7 |
| `r-info-discreteness-jp-growth-0296` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=20 | 1.03 | 3.37 | 0.52 | 1.03 |
| `r-info-discreteness-jp-growth-0302` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=20 | 0.11 | 1.71 | -0.54 | 2.72 |

## 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: 0.19**
  - Value: 0.1929 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/info-discreteness-jp-growth-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): 0.02**
  - Value: 0.0238 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/info-discreteness-jp-growth-fact-avg-corr-full

- **Best grid Sharpe ratio is 1.03 (p=0.044).**
  - Value: 1.03 sharpe_ratio
  - Context: period 2022-03-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/info-discreteness-jp-growth-fact-best-sharpe

- **Median Sharpe across 320 grid runs is 0.02.**
  - Value: 0.02 sharpe_ratio
  - Context: Full grid of 320 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/info-discreteness-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is -0.27 across 320 runs.**
  - Value: -0.27 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/info-discreteness-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is 0.09 across 320 runs.**
  - Value: 0.09 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/info-discreteness-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.04 across 320 runs.**
  - Value: -0.04 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/info-discreteness-jp-growth-fact-regime-up

---

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

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