# Max Return / Lottery Effect (JP Growth Stocks)

- **Slug**: `max-return-lottery-jp-growth`
- **Verdict**: marginal (regime_dependent)
- **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-growth
- **JSON**: https://qbuntu.ai/v1/strategies/max-return-lottery-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Bali, Cakici, Whitelaw (2011): stocks with extreme positive daily returns (lottery-like) subsequently underperform. LONG low-MAX, SHORT high-MAX.

## Why it didn't work

Across 320 grid combinations, median Sharpe=0.26, best=1.53. Primary failure mode: regime_dependent.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | 0.2556 |
| Max drawdown | -18.8% |
| p-value | 0.4 |
| Backtest period | 2022-02-01 to 2026-06-01 |

Sharpe distribution across 320 grid runs: median 0.26, best 1.53 (best-case — not representative), worst -0.73, p25 -0.13, p75 0.7.

## 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-max-return-lottery-jp-growth-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 1.38 | 2.14 | 0.94 | 34.03 |
| `r-max-return-lottery-jp-growth-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.86 | -0.55 | 0.94 | 34.03 |
| `r-max-return-lottery-jp-growth-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | 1.25 | 1.98 | 0.83 | 33.08 |
| `r-max-return-lottery-jp-growth-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | 0.75 | -0.64 | 0.83 | 33.08 |
| `r-max-return-lottery-jp-growth-0012` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | 0.4 | -0.1 | 0.49 | 4.75 |
| `r-max-return-lottery-jp-growth-0018` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | 1.34 | 2.22 | 0.89 | 6.08 |
| `r-max-return-lottery-jp-growth-0032` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | 0.79 | -0.26 | 0.91 | 2.97 |
| `r-max-return-lottery-jp-growth-0046` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=10 | 0.25 | -1.43 | 0.52 | 1.99 |
| `r-max-return-lottery-jp-growth-0060` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=20 | 0.93 | 1.08 | 0.76 | 6.54 |
| `r-max-return-lottery-jp-growth-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | 0.31 | 0.88 | 0.12 | 3.48 |
| `r-max-return-lottery-jp-growth-0075` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=60 | -0.1 | -0.09 | -0.15 | 0.71 |
| `r-max-return-lottery-jp-growth-0089` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=1 | 0.43 | -0.52 | 0.6 | 1.17 |
| `r-max-return-lottery-jp-growth-0103` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | 0.6 | -1.14 | 0.75 | 20.48 |
| `r-max-return-lottery-jp-growth-0117` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=10 | 0.39 | -1.35 | 0.61 | 0.38 |
| `r-max-return-lottery-jp-growth-0131` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=20 | 0.8 | 0.5 | 0.69 | 8.41 |
| `r-max-return-lottery-jp-growth-0145` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=60 | 0.58 | -0.9 | 0.62 | 5.66 |
| `r-max-return-lottery-jp-growth-0159` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=60 | -0.18 | -1.28 | 0.01 | -0.09 |
| `r-max-return-lottery-jp-growth-0165` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | 1.53 | -0.82 | 1.76 | 9.38 |
| `r-max-return-lottery-jp-growth-0174` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | 0.31 | 0.1 | 0.29 | 2.44 |
| `r-max-return-lottery-jp-growth-0188` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=5 | 0.3 | 0.07 | 0.4 | 0.79 |
| `r-max-return-lottery-jp-growth-0202` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=10 | -0.2 | -1.12 | 0.11 | 1.06 |
| `r-max-return-lottery-jp-growth-0216` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=20 | 0.36 | -0.41 | 0.63 | 0.09 |
| `r-max-return-lottery-jp-growth-0230` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=60 | 0.14 | 0.74 | -0.1 | 0.35 |
| `r-max-return-lottery-jp-growth-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.63 | 0.39 | 0.54 | 2.19 |
| `r-max-return-lottery-jp-growth-0245` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | 0.59 | -2.01 | 0.93 | 2.43 |
| `r-max-return-lottery-jp-growth-0259` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | 0.08 | 0.39 | -0 | 0.94 |
| `r-max-return-lottery-jp-growth-0273` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=10 | -0.58 | -0.22 | -0.66 | -0.54 |
| `r-max-return-lottery-jp-growth-0279` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=10 | -0.73 | -1.05 | -0.82 | 0.5 |
| `r-max-return-lottery-jp-growth-0288` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | -0.23 | 0.11 | -0.28 | -0.52 |
| `r-max-return-lottery-jp-growth-0302` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=20 | -0.36 | -0.56 | -0.36 | 1.86 |

## Facts (5)

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

- **Best grid Sharpe ratio is 1.53 (p=0.002).**
  - Value: 1.53 sharpe_ratio
  - Context: period 2022-02-01–2026-06-01; cost=5bps
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/max-return-lottery-jp-growth-fact-best-sharpe

- **Median Sharpe across 320 grid runs is 0.26.**
  - Value: 0.26 sharpe_ratio
  - Context: Full grid of 320 parameter combinations.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/max-return-lottery-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is 1.41 across 320 runs.**
  - Value: 1.41 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/max-return-lottery-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is 0.29 across 320 runs.**
  - Value: 0.29 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/max-return-lottery-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is -0.22 across 320 runs.**
  - Value: -0.22 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/max-return-lottery-jp-growth-fact-regime-up

---

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

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