# Liquidity Premium / Amihud Illiquidity (JP All Stocks)

- **Slug**: `liquidity-premium-jp-all`
- **Verdict**: rejected (regime_dependent)
- **Asset class**: equity
- **Categories**: anomaly, factor, illiquidity, liquidity
- **Source**: qbuntu-analysis (computed asof 2026-08-01T07:31:26)
- **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/liquidity-premium-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/liquidity-premium-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Amihud (2002): illiquid stocks earn a premium. Testing on the full Japanese stock universe.

## Why it didn't work

Across 160 grid combinations, median Sharpe=-0.08, best=0.57. Primary failure mode: regime_dependent.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.0818 |
| Max drawdown | -19.7% |
| p-value | 0.53 |
| Backtest period | 2022-02-01 to 2026-02-02 |

Sharpe distribution across 160 grid runs: median -0.08, best 0.57 (best-case — not representative), worst -1.58, p25 -0.37, p75 0.21.

## 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-liquidity-premium-jp-all-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.53 | 0.69 | -0.94 | 0.28 |
| `r-liquidity-premium-jp-all-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.36 | 1.53 | -0.94 | 0.28 |
| `r-liquidity-premium-jp-all-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.76 | 0.47 | -1.16 | -0.17 |
| `r-liquidity-premium-jp-all-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -0.56 | 1.42 | -1.16 | -0.17 |
| `r-liquidity-premium-jp-all-0004` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -1.19 | 0.35 | -1.76 | 1.33 |
| `r-liquidity-premium-jp-all-0018` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -0.29 | 0.14 | -0.9 | 1.8 |
| `r-liquidity-premium-jp-all-0032` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | -0.33 | 0.21 | -0.84 | 1.03 |
| `r-liquidity-premium-jp-all-0038` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=10 | -0.3 | 0.55 | -0.85 | 1.34 |
| `r-liquidity-premium-jp-all-0052` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | 0.28 | 0.42 | 0.06 | 2.43 |
| `r-liquidity-premium-jp-all-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | 0.09 | -0.68 | 0.32 | 2.28 |
| `r-liquidity-premium-jp-all-0067` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=60 | 0.44 | 0.69 | 0.29 | 2.24 |
| `r-liquidity-premium-jp-all-0081` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.5 | 1.33 | -1.08 | -0.16 |
| `r-liquidity-premium-jp-all-0087` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=1 | -1.27 | 1.22 | -1.94 | -0.57 |
| `r-liquidity-premium-jp-all-0101` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=5 | -0.09 | 1.33 | -1.16 | 1.45 |
| `r-liquidity-premium-jp-all-0115` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=10 | -0.14 | 1.03 | -1.07 | 3.67 |
| `r-liquidity-premium-jp-all-0129` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=20 | 0.57 | 0.74 | 0.21 | 8.07 |
| `r-liquidity-premium-jp-all-0130` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=20 | 0.16 | -0.36 | 0.13 | 7.89 |
| `r-liquidity-premium-jp-all-0144` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | 0.19 | -0.62 | 0.28 | 1.85 |
| `r-liquidity-premium-jp-all-0150` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=60 | 0.26 | -0.46 | 0.38 | 1.29 |
| `r-liquidity-premium-jp-all-0164` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -1.26 | -0.04 | -1.77 | -0.09 |
| `r-liquidity-premium-jp-all-0166` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=1 | -1.58 | -0.35 | -2.1 | -0.32 |
| `r-liquidity-premium-jp-all-0179` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | -0.01 | 1.27 | -1.09 | 4.47 |
| `r-liquidity-premium-jp-all-0193` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=10 | -0.03 | 1.16 | -1.16 | 3.86 |
| `r-liquidity-premium-jp-all-0199` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=10 | -0.26 | 1.43 | -1.23 | 2.07 |
| `r-liquidity-premium-jp-all-0213` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | 0.18 | 0.95 | -0.38 | 4.6 |
| `r-liquidity-premium-jp-all-0227` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=60 | 0.4 | 0.78 | 0.01 | 2.28 |
| `r-liquidity-premium-jp-all-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.66 | 1.47 | -1.43 | 0.86 |
| `r-liquidity-premium-jp-all-0242` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.89 | 1.24 | -1.68 | 0.46 |
| `r-liquidity-premium-jp-all-0256` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | -0.08 | 0.4 | -0.73 | 4.05 |
| `r-liquidity-premium-jp-all-0262` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | -0.58 | -0.14 | -1.43 | 1.4 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.57 (p=0.25).**
  - Value: 0.57 sharpe_ratio
  - Context: period 2022-02-01–2026-02-02; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/liquidity-premium-jp-all-fact-best-sharpe

- **Median Sharpe across 160 grid runs is -0.08.**
  - Value: -0.08 sharpe_ratio
  - Context: Full grid of 160 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/liquidity-premium-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is 2.02 across 160 runs.**
  - Value: 2.02 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/liquidity-premium-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is -0.87 across 160 runs.**
  - Value: -0.87 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/liquidity-premium-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is 0.63 across 160 runs.**
  - Value: 0.63 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/liquidity-premium-jp-all-fact-regime-up

## Related strategies

- same_strategy: [liquidity-premium-jp-growth](https://qbuntu.ai/strategies/liquidity-premium-jp-growth)

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Cite as: qbuntu (2026). Liquidity Premium / Amihud Illiquidity (JP All Stocks). https://qbuntu.ai/strategies/liquidity-premium-jp-all

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