# Skewness Anomaly (JP All Stocks)

- **Slug**: `skewness-anomaly-jp-all`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: anomaly, factor, lottery, skewness
- **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/skewness-anomaly-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/skewness-anomaly-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Boyer, Mitton, Vorkink (2010): stocks with high expected skewness earn lower returns. Testing on the full Japanese stock universe.

## Why it didn't work

Across 160 grid combinations, median Sharpe=-0.56, best=0.24. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.563 |
| Max drawdown | -28.4% |
| p-value | 0.25 |
| Backtest period | 2022-02-01 to 2026-02-02 |

Sharpe distribution across 160 grid runs: median -0.56, best 0.24 (best-case — not representative), worst -1.74, p25 -0.97, 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-skewness-anomaly-jp-all-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.69 | -1.84 | -0.15 | -1.24 |
| `r-skewness-anomaly-jp-all-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.41 | -0.98 | -0.15 | -1.24 |
| `r-skewness-anomaly-jp-all-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.95 | -2.03 | -0.46 | -1.54 |
| `r-skewness-anomaly-jp-all-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -0.69 | -1.11 | -0.46 | -1.54 |
| `r-skewness-anomaly-jp-all-0004` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -0.63 | -1.89 | -0.47 | 2.33 |
| `r-skewness-anomaly-jp-all-0018` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -1.24 | -2.18 | -0.96 | -0.42 |
| `r-skewness-anomaly-jp-all-0032` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | -1.26 | -2.71 | -0.73 | -2.51 |
| `r-skewness-anomaly-jp-all-0038` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=10 | -1.2 | -2.58 | -0.76 | -1.26 |
| `r-skewness-anomaly-jp-all-0052` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | -0.9 | -3.15 | -0.43 | -0.45 |
| `r-skewness-anomaly-jp-all-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | -0.25 | -0.29 | -0.5 | 1.17 |
| `r-skewness-anomaly-jp-all-0067` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=60 | -0.29 | -0.36 | -0.54 | 1.15 |
| `r-skewness-anomaly-jp-all-0081` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.41 | -0.68 | -0.56 | 8.92 |
| `r-skewness-anomaly-jp-all-0087` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=1 | -0.08 | -0.96 | 0.17 | 0.91 |
| `r-skewness-anomaly-jp-all-0101` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=5 | -0.39 | -0.09 | -0.66 | 1.34 |
| `r-skewness-anomaly-jp-all-0115` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=10 | -0.52 | 0.14 | -0.71 | -0.42 |
| `r-skewness-anomaly-jp-all-0129` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=20 | 0.05 | -0.55 | 0.15 | 1.17 |
| `r-skewness-anomaly-jp-all-0135` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=20 | -0.28 | -0.5 | -0.11 | -1.82 |
| `r-skewness-anomaly-jp-all-0149` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=60 | -0.06 | 0.02 | -0.05 | -0.46 |
| `r-skewness-anomaly-jp-all-0163` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -0.81 | -0.97 | -0.78 | -0.14 |
| `r-skewness-anomaly-jp-all-0177` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=5 | -0.47 | 0.22 | -0.64 | -0.7 |
| `r-skewness-anomaly-jp-all-0183` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | -0.5 | -0.1 | -0.75 | 1.08 |
| `r-skewness-anomaly-jp-all-0193` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=10 | 0.24 | 0.41 | 0.44 | -2.28 |
| `r-skewness-anomaly-jp-all-0198` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=10 | -0.64 | -3.24 | 0.12 | -1.42 |
| `r-skewness-anomaly-jp-all-0212` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | -0.56 | -4.38 | 0.2 | -0.74 |
| `r-skewness-anomaly-jp-all-0226` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=60 | -0.26 | -1.1 | -0.05 | -0.14 |
| `r-skewness-anomaly-jp-all-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.94 | -2.4 | -0.33 | -9.91 |
| `r-skewness-anomaly-jp-all-0241` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.61 | -0.83 | -0.33 | -9.91 |
| `r-skewness-anomaly-jp-all-0247` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=1 | -0.45 | -0.3 | -0.53 | -0.1 |
| `r-skewness-anomaly-jp-all-0258` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -1.74 | -2.15 | -1.67 | -2.93 |
| `r-skewness-anomaly-jp-all-0262` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | -1.13 | -1.97 | -0.93 | 0.42 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.24 (p=0.64).**
  - Value: 0.24 sharpe_ratio
  - Context: period 2022-02-01–2026-02-02; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/skewness-anomaly-jp-all-fact-best-sharpe

- **Median Sharpe across 160 grid runs is -0.56.**
  - Value: -0.56 sharpe_ratio
  - Context: Full grid of 160 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/skewness-anomaly-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is -0.44 across 160 runs.**
  - Value: -0.44 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/skewness-anomaly-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is -0.46 across 160 runs.**
  - Value: -0.46 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/skewness-anomaly-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is -0.95 across 160 runs.**
  - Value: -0.95 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/skewness-anomaly-jp-all-fact-regime-up

## Related strategies

- same_strategy: [skewness-anomaly-jp-growth](https://qbuntu.ai/strategies/skewness-anomaly-jp-growth)

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Cite as: qbuntu (2026). Skewness Anomaly (JP All Stocks). https://qbuntu.ai/strategies/skewness-anomaly-jp-all

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