# Turnover Factor (JP All Stocks)

- **Slug**: `turnover-jp-all`
- **Verdict**: marginal (no_edge)
- **Asset class**: equity
- **Categories**: anomaly, factor, liquidity, turnover
- **Source**: qbuntu-analysis (computed asof 2026-07-29T01:08:34)
- **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/turnover-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/turnover-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Datar, Naik, Radcliffe (1998): low turnover stocks outperform. Testing on the full Japanese stock universe.

## Why it didn't work

Across 160 grid combinations, median Sharpe=0.12, best=0.93. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | 0.1225 |
| Max drawdown | -15.8% |
| p-value | 0.43 |
| Backtest period | 2022-05-02 to 2026-02-02 |

Sharpe distribution across 160 grid runs: median 0.12, best 0.93 (best-case — not representative), worst -1.13, p25 -0.22, p75 0.38.

## 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-turnover-jp-all-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.08 | 0.14 | -0.19 | 0.23 |
| `r-turnover-jp-all-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.08 | 1.28 | -0.19 | 0.23 |
| `r-turnover-jp-all-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.29 | -0.04 | -0.4 | -0.03 |
| `r-turnover-jp-all-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -0.13 | 1.12 | -0.4 | -0.03 |
| `r-turnover-jp-all-0004` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -0.63 | -0.87 | -0.67 | 1.09 |
| `r-turnover-jp-all-0018` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -0.46 | -0.5 | -0.41 | -1.18 |
| `r-turnover-jp-all-0032` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | 0.16 | 0.3 | 0.4 | -1.89 |
| `r-turnover-jp-all-0038` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=10 | -0.38 | 0.02 | -0.36 | -2.6 |
| `r-turnover-jp-all-0049` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=20 | 0.93 | 1.56 | 0.75 | 0.78 |
| `r-turnover-jp-all-0053` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | 0.39 | 0.46 | 0.4 | -0.2 |
| `r-turnover-jp-all-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | 0.31 | -0.12 | 0.29 | 1.4 |
| `r-turnover-jp-all-0068` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=60 | 0.01 | -1.27 | 0.33 | 1.09 |
| `r-turnover-jp-all-0082` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.29 | -0.46 | -0.33 | 0.51 |
| `r-turnover-jp-all-0086` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=1 | -1.13 | -0.67 | -1.4 | 0.36 |
| `r-turnover-jp-all-0097` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=5 | 0.05 | 2.76 | -0.38 | -0.5 |
| `r-turnover-jp-all-0103` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | -0.07 | 1.38 | -0.39 | -3.41 |
| `r-turnover-jp-all-0117` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=10 | 0.42 | 0.92 | 0.69 | -3.57 |
| `r-turnover-jp-all-0131` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=20 | 0.52 | 1.29 | 0.54 | -1.88 |
| `r-turnover-jp-all-0145` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=60 | 0.31 | -0.18 | 0.34 | 0.95 |
| `r-turnover-jp-all-0151` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=60 | 0.22 | -0.25 | 0.25 | 0.81 |
| `r-turnover-jp-all-0165` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | 0.22 | 0.27 | 0.22 | 0.1 |
| `r-turnover-jp-all-0179` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | 0.2 | 0.81 | 0.18 | -0.95 |
| `r-turnover-jp-all-0193` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=10 | 0.47 | 0.78 | 0.7 | -2.26 |
| `r-turnover-jp-all-0199` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=10 | 0.41 | 0.8 | 0.68 | -3.45 |
| `r-turnover-jp-all-0213` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | 0.71 | 0.54 | 0.89 | -0.67 |
| `r-turnover-jp-all-0227` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=60 | 0.38 | 0.1 | 0.29 | 1.89 |
| `r-turnover-jp-all-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.2 | -1.61 | 0.23 | 0.84 |
| `r-turnover-jp-all-0242` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.42 | -1.8 | -0.03 | 0.69 |
| `r-turnover-jp-all-0256` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | -0.6 | -1.13 | -0.08 | -1.41 |
| `r-turnover-jp-all-0262` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | -0.45 | -0.96 | 0.12 | -2.47 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.93 (p=0.076).**
  - Value: 0.93 sharpe_ratio
  - Context: period 2022-05-02–2026-02-02; cost=5bps
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/turnover-jp-all-fact-best-sharpe

- **Median Sharpe across 160 grid runs is 0.12.**
  - Value: 0.12 sharpe_ratio
  - Context: Full grid of 160 parameter combinations.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/turnover-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is -0.53 across 160 runs.**
  - Value: -0.53 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/turnover-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is 0.25 across 160 runs.**
  - Value: 0.25 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/turnover-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is 0.03 across 160 runs.**
  - Value: 0.03 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/turnover-jp-all-fact-regime-up

## Related strategies

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

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Cite as: qbuntu (2026). Turnover Factor (JP All Stocks). https://qbuntu.ai/strategies/turnover-jp-all

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