# Max Return / Lottery Effect (JP All Stocks)

- **Slug**: `max-return-lottery-jp-all`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: anomaly, factor, lottery, max-return
- **Source**: qbuntu-analysis (computed asof 2026-08-01T07:31:00)
- **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/max-return-lottery-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/max-return-lottery-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Bali, Cakici, Whitelaw (2011): stocks with extreme positive daily returns subsequently underperform. Testing on the full Japanese stock universe.

## Why it didn't work

Across 160 grid combinations, median Sharpe=-0.39, best=0.28. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.3934 |
| Max drawdown | -27.9% |
| p-value | 0.39 |
| Backtest period | 2022-02-01 to 2026-02-02 |

Sharpe distribution across 160 grid runs: median -0.39, best 0.28 (best-case — not representative), worst -1.1, p25 -0.55, p75 -0.14.

## 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-max-return-lottery-jp-all-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.48 | -2.86 | 0.32 | -2.36 |
| `r-max-return-lottery-jp-all-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.18 | -1.9 | 0.32 | -2.36 |
| `r-max-return-lottery-jp-all-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.71 | -3.1 | 0.08 | -2.58 |
| `r-max-return-lottery-jp-all-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -0.41 | -2.09 | 0.08 | -2.58 |
| `r-max-return-lottery-jp-all-0004` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -0.73 | -2.78 | 0.03 | -4.12 |
| `r-max-return-lottery-jp-all-0006` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=1 | -1.1 | -3.12 | -0.37 | -4.76 |
| `r-max-return-lottery-jp-all-0017` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=5 | 0.28 | 0.61 | 0.41 | -2.43 |
| `r-max-return-lottery-jp-all-0020` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=5 | -0.46 | -1.95 | 0.24 | -8.39 |
| `r-max-return-lottery-jp-all-0034` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=10 | -0.52 | -1.97 | 0.14 | -2.2 |
| `r-max-return-lottery-jp-all-0048` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | -0.52 | -1.89 | 0.04 | -3.85 |
| `r-max-return-lottery-jp-all-0054` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=20 | -0.8 | -0.02 | -0.82 | -7.6 |
| `r-max-return-lottery-jp-all-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | -0.37 | -1.63 | 0.07 | -0.8 |
| `r-max-return-lottery-jp-all-0069` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=60 | -0.38 | 0.22 | -0.6 | 0.17 |
| `r-max-return-lottery-jp-all-0083` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -0.4 | -0.76 | -0.41 | 0.73 |
| `r-max-return-lottery-jp-all-0097` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=5 | 0.09 | 0.99 | -0.12 | 0.45 |
| `r-max-return-lottery-jp-all-0103` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | -0.1 | 0.37 | -0.24 | 0.08 |
| `r-max-return-lottery-jp-all-0117` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=10 | 0.1 | 0.43 | -0.07 | 7.34 |
| `r-max-return-lottery-jp-all-0131` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=20 | 0.2 | 0.89 | 0.21 | -4.67 |
| `r-max-return-lottery-jp-all-0145` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=60 | -0.22 | -0.47 | -0.12 | -0.65 |
| `r-max-return-lottery-jp-all-0151` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=60 | -0.28 | -0.61 | -0.16 | -0.32 |
| `r-max-return-lottery-jp-all-0165` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | -0.33 | -0.63 | -0.26 | 0.27 |
| `r-max-return-lottery-jp-all-0179` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | 0 | 0.29 | -0.03 | -0.01 |
| `r-max-return-lottery-jp-all-0193` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=10 | 0.12 | 0.7 | 0.32 | -3.92 |
| `r-max-return-lottery-jp-all-0199` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=10 | -0.24 | 0.4 | -0.22 | -3.44 |
| `r-max-return-lottery-jp-all-0213` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | -0.26 | -0.01 | -0.28 | -0.79 |
| `r-max-return-lottery-jp-all-0227` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=60 | -0.3 | 0.24 | -0.29 | -1.53 |
| `r-max-return-lottery-jp-all-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.29 | -1.74 | 0.14 | 1.67 |
| `r-max-return-lottery-jp-all-0242` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.52 | -1.92 | -0.14 | 1.44 |
| `r-max-return-lottery-jp-all-0256` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | -0.45 | -1.51 | -0.09 | 2.1 |
| `r-max-return-lottery-jp-all-0262` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | -0.69 | -1.99 | -0.29 | 0.89 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.28 (p=0.56).**
  - Value: 0.28 sharpe_ratio
  - Context: period 2022-02-01–2026-02-02; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/max-return-lottery-jp-all-fact-best-sharpe

- **Median Sharpe across 160 grid runs is -0.39.**
  - Value: -0.39 sharpe_ratio
  - Context: Full grid of 160 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/max-return-lottery-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is -1.17 across 160 runs.**
  - Value: -1.17 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/max-return-lottery-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is -0.15 across 160 runs.**
  - Value: -0.15 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/max-return-lottery-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is -0.62 across 160 runs.**
  - Value: -0.62 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/max-return-lottery-jp-all-fact-regime-up

## Related strategies

- same_strategy: [max-return-lottery-jp-growth](https://qbuntu.ai/strategies/max-return-lottery-jp-growth)

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Cite as: qbuntu (2026). Max Return / Lottery Effect (JP All Stocks). https://qbuntu.ai/strategies/max-return-lottery-jp-all

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