# Liquidity Premium / Amihud Illiquidity (JP Growth Stocks)

- **Slug**: `liquidity-premium-jp-growth`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: anomaly, factor, illiquidity, liquidity
- **Source**: qbuntu-analysis (computed asof 2026-08-01T07:31:11)
- **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-growth
- **JSON**: https://qbuntu.ai/v1/strategies/liquidity-premium-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Amihud (2002): illiquid stocks earn a premium. Illiquidity = |return| / dollar_volume averaged over formation window. LONG most illiquid, SHORT most liquid.

## Why it didn't work

Across 320 grid combinations, median Sharpe=-0.56, best=0.99. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.5569 |
| Max drawdown | -26.4% |
| p-value | 0.055 |
| Backtest period | 2022-02-01 to 2026-06-01 |

Sharpe distribution across 320 grid runs: median -0.56, best 0.99 (best-case — not representative), worst -2.21, p25 -1.08, 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 Growth Market, ~495 stocks, tv >= 30M JPY

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-liquidity-premium-jp-growth-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -1.24 | -2.43 | -0.98 | -0.15 |
| `r-liquidity-premium-jp-growth-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -1.15 | -1.93 | -0.98 | -0.15 |
| `r-liquidity-premium-jp-growth-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -1.37 | -2.58 | -1.09 | -0.33 |
| `r-liquidity-premium-jp-growth-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -1.26 | -2 | -1.09 | -0.33 |
| `r-liquidity-premium-jp-growth-0012` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | -1.06 | -1.8 | -0.61 | -2.26 |
| `r-liquidity-premium-jp-growth-0018` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -1.76 | -3.07 | -1.38 | -4.72 |
| `r-liquidity-premium-jp-growth-0032` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | -0.93 | -0.75 | -0.93 | -3.74 |
| `r-liquidity-premium-jp-growth-0046` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=10 | -0.78 | -2.28 | -0.4 | -0.57 |
| `r-liquidity-premium-jp-growth-0060` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=20 | 0.23 | -0.84 | 0.66 | -2.73 |
| `r-liquidity-premium-jp-growth-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | 0.59 | 0.24 | 0.71 | -0.57 |
| `r-liquidity-premium-jp-growth-0075` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=60 | 0.68 | -0.95 | 1.12 | -1.43 |
| `r-liquidity-premium-jp-growth-0089` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=1 | -1.08 | -1.16 | -0.95 | -3.33 |
| `r-liquidity-premium-jp-growth-0103` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | -1.11 | -1.97 | -0.72 | -2.08 |
| `r-liquidity-premium-jp-growth-0117` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=10 | -0.51 | -1.08 | -0.47 | 0.4 |
| `r-liquidity-premium-jp-growth-0131` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=20 | -0.07 | -0.65 | 0.02 | -0.32 |
| `r-liquidity-premium-jp-growth-0145` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=60 | 0.5 | -1.09 | 0.73 | 0.25 |
| `r-liquidity-premium-jp-growth-0148` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=60 | 0.99 | 0.86 | 1.06 | 0.56 |
| `r-liquidity-premium-jp-growth-0160` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.7 | -1.46 | -0.48 | -2.03 |
| `r-liquidity-premium-jp-growth-0174` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | -2 | -2.26 | -1.77 | -3.04 |
| `r-liquidity-premium-jp-growth-0188` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=5 | -1.06 | -2.49 | -0.21 | -10.75 |
| `r-liquidity-premium-jp-growth-0202` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=10 | -0.64 | -1.14 | -0.4 | -0.8 |
| `r-liquidity-premium-jp-growth-0216` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=20 | 0.41 | 0.27 | 0.73 | -3.77 |
| `r-liquidity-premium-jp-growth-0230` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=60 | 0.79 | -0.08 | 1 | 1.4 |
| `r-liquidity-premium-jp-growth-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.84 | -0.44 | -0.95 | -1.81 |
| `r-liquidity-premium-jp-growth-0245` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | -0.79 | -1.34 | -0.44 | -2.39 |
| `r-liquidity-premium-jp-growth-0254` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | -2.21 | -2.46 | -1.98 | -3.11 |
| `r-liquidity-premium-jp-growth-0260` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=5 | -1.35 | -2.15 | -0.81 | -7.75 |
| `r-liquidity-premium-jp-growth-0274` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=10 | -0.26 | -0.22 | -0.25 | -0.58 |
| `r-liquidity-premium-jp-growth-0288` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | 0.6 | 1.1 | 0.52 | -0.07 |
| `r-liquidity-premium-jp-growth-0302` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=20 | 0.23 | 0.07 | 0.44 | -3.04 |

## 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: 0.16**
  - Value: 0.1552 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/liquidity-premium-jp-growth-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): 0.06**
  - Value: 0.0638 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/liquidity-premium-jp-growth-fact-avg-corr-full

- **Best grid Sharpe ratio is 0.99 (p=0.0011).**
  - Value: 0.99 sharpe_ratio
  - Context: period 2022-02-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/liquidity-premium-jp-growth-fact-best-sharpe

- **Median Sharpe across 320 grid runs is -0.56.**
  - Value: -0.56 sharpe_ratio
  - Context: Full grid of 320 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/liquidity-premium-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is -1.91 across 320 runs.**
  - Value: -1.91 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/liquidity-premium-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is -0.33 across 320 runs.**
  - Value: -0.33 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/liquidity-premium-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.75 across 320 runs.**
  - Value: -0.75 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/liquidity-premium-jp-growth-fact-regime-up

---

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

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