# Turnover Factor (JP Growth Stocks)

- **Slug**: `turnover-jp-growth`
- **Verdict**: rejected (regime_dependent)
- **Asset class**: equity
- **Categories**: anomaly, factor, liquidity, turnover
- **Source**: qbuntu-analysis (computed asof 2026-07-28T01:10:43)
- **Reproducibility**: analysis-engine@bfafe7d, 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-growth
- **JSON**: https://qbuntu.ai/v1/strategies/turnover-jp-growth
- **License**: CC-BY-4.0

## Hypothesis

Datar, Naik, Radcliffe (1998): low turnover stocks outperform. Turnover (volume/avg_volume) proxies investor attention and liquidity. LONG lowest turnover, SHORT highest turnover.

## Why it didn't work

Across 320 grid combinations, median Sharpe=-0.07, best=1.47. Primary failure mode: regime_dependent.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.0692 |
| Max drawdown | -24.8% |
| p-value | 0.36 |
| Backtest period | 2022-05-02 to 2026-06-01 |

Sharpe distribution across 320 grid runs: median -0.07, best 1.47 (best-case — not representative), worst -1.33, p25 -0.33, p75 0.51.

## 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-turnover-jp-growth-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 1.47 | 2.28 | 1.05 | 8.34 |
| `r-turnover-jp-growth-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 1.01 | 0.39 | 1.05 | 8.34 |
| `r-turnover-jp-growth-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | 1.31 | 2.12 | 0.9 | 7.77 |
| `r-turnover-jp-growth-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | 0.87 | 0.29 | 0.9 | 7.77 |
| `r-turnover-jp-growth-0012` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | 0.66 | 1.29 | 0.18 | 7.49 |
| `r-turnover-jp-growth-0017` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=5 | 1.12 | 0.39 | 1.19 | 4.46 |
| `r-turnover-jp-growth-0030` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=5 | -0.1 | 1.16 | -0.89 | 3.69 |
| `r-turnover-jp-growth-0043` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=10 | -0.88 | -0.37 | -1.06 | -0.41 |
| `r-turnover-jp-growth-0046` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=10 | -1.33 | -0.75 | -1.58 | 0.06 |
| `r-turnover-jp-growth-0057` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=20 | -0.3 | -0.25 | -0.51 | 2.41 |
| `r-turnover-jp-growth-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | -0.07 | 0.7 | -0.29 | 0.39 |
| `r-turnover-jp-growth-0071` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=60 | -0.26 | -0.63 | -0.25 | 0.67 |
| `r-turnover-jp-growth-0084` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | 1.43 | 1.88 | 1.02 | 20.15 |
| `r-turnover-jp-growth-0097` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=5 | 0.47 | 0.89 | 0.1 | 4.38 |
| `r-turnover-jp-growth-0110` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=5 | 0.03 | 0.94 | -0.66 | 8.12 |
| `r-turnover-jp-growth-0123` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=10 | -0.54 | -0.22 | -0.71 | -0.78 |
| `r-turnover-jp-growth-0136` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=20 | 0.02 | -0.86 | 0.44 | -0.07 |
| `r-turnover-jp-growth-0149` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=60 | -0.24 | -0.63 | -0.24 | 1.34 |
| `r-turnover-jp-growth-0162` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | 0.6 | 1.03 | 0.29 | 5.34 |
| `r-turnover-jp-growth-0175` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=1 | -0.03 | -0.31 | -0.1 | 5.11 |
| `r-turnover-jp-growth-0188` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=5 | 0.4 | 0.84 | -0.13 | 2.91 |
| `r-turnover-jp-growth-0201` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=10 | -0.03 | 0.49 | -0.32 | 0.55 |
| `r-turnover-jp-growth-0214` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=20 | 0.2 | 0.12 | 0.12 | 0.93 |
| `r-turnover-jp-growth-0227` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=60 | -0.14 | 0.19 | -0.47 | 3.17 |
| `r-turnover-jp-growth-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.75 | 1.31 | 0.35 | 5.64 |
| `r-turnover-jp-growth-0241` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.64 | 0.94 | 0.35 | 5.64 |
| `r-turnover-jp-growth-0254` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | 0.38 | 0.95 | -0.2 | 18.83 |
| `r-turnover-jp-growth-0267` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=5 | 0.28 | 0.8 | -0.27 | 4.94 |
| `r-turnover-jp-growth-0280` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=10 | -0.92 | -0.84 | -1.05 | 1.79 |
| `r-turnover-jp-growth-0293` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | -0.48 | 0.47 | -0.92 | 0.39 |

## 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: -0.05**
  - Value: -0.0538 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/turnover-jp-growth-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): 0.01**
  - Value: 0.0077 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/turnover-jp-growth-fact-avg-corr-full

- **Best grid Sharpe ratio is 1.47 (p=0.0039).**
  - Value: 1.47 sharpe_ratio
  - Context: period 2022-05-02–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/turnover-jp-growth-fact-best-sharpe

- **Median Sharpe across 320 grid runs is -0.07.**
  - Value: -0.07 sharpe_ratio
  - Context: Full grid of 320 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/turnover-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is 2.85 across 320 runs.**
  - Value: 2.85 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/turnover-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is -0.27 across 320 runs.**
  - Value: -0.27 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/turnover-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: `rejected`
  - Cite: https://qbuntu.ai/cite/turnover-jp-growth-fact-regime-up

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

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