# Vol-of-Vol Stability (JP All Stocks)

- **Slug**: `vol-of-vol-stability-jp-all`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: factor, low-risk, volatility
- **Source**: qbuntu-analysis (computed asof 2026-08-02T16:25:50)
- **Reproducibility**: analysis-engine@2f23bb7, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/vol-of-vol-stability-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/vol-of-vol-stability-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Stocks with unstable volatility (high volatility-of-volatility) carry uncertainty about their own risk and tend to underperform; ranking on vol-of-vol and holding the stable side tests this risk-uncertainty premium (Baltussen et al. 2018 line of research).

## Why it didn't work

Across 216 grid combinations, median Sharpe=-0.11, best=1.16. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.1133 |
| Max drawdown | -11.9% |
| p-value | 0.5 |
| Backtest period | 2022-03-01 to 2026-02-02 |

Sharpe distribution across 216 grid runs: median -0.11, best 1.16 (best-case — not representative), worst -1.39, p25 -0.42, p75 0.22.

## 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-vol-of-vol-stability-jp-all-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.5 | -0.91 | 1.08 | 4.79 |
| `r-vol-of-vol-stability-jp-all-0001` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | -0.08 | -1.33 | 0.69 | 3.31 |
| `r-vol-of-vol-stability-jp-all-0002` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | -0.21 | -0.85 | 0.02 | 0.53 |
| `r-vol-of-vol-stability-jp-all-0003` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 1.16 | 0.8 | 1.08 | 4.79 |
| `r-vol-of-vol-stability-jp-all-0006` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | 0.23 | -1.1 | 0.74 | 4.2 |
| `r-vol-of-vol-stability-jp-all-0012` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | 0.2 | -0.86 | 0.51 | 2.41 |
| `r-vol-of-vol-stability-jp-all-0014` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | -0.25 | -0.35 | -0.08 | -1.5 |
| `r-vol-of-vol-stability-jp-all-0023` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=20 | -0.1 | 0.39 | -0.18 | -1.59 |
| `r-vol-of-vol-stability-jp-all-0032` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=20 | -0.45 | -0.57 | -0.3 | -1.03 |
| `r-vol-of-vol-stability-jp-all-0041` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | -0.4 | -0.2 | -0.23 | -2.71 |
| `r-vol-of-vol-stability-jp-all-0048` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.18 | -0.81 | 0.38 | 5.25 |
| `r-vol-of-vol-stability-jp-all-0051` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.57 | 0.61 | 0.38 | 5.25 |
| `r-vol-of-vol-stability-jp-all-0060` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -0.08 | -1.23 | 0.25 | 0.28 |
| `r-vol-of-vol-stability-jp-all-0068` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=20 | -1.39 | -2.09 | -0.95 | -3.72 |
| `r-vol-of-vol-stability-jp-all-0070` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | -0.71 | 0.49 | -0.85 | -1.98 |
| `r-vol-of-vol-stability-jp-all-0079` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | 0.28 | -0.3 | 0.65 | -1.3 |
| `r-vol-of-vol-stability-jp-all-0088` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=5 | 0.74 | 1.42 | 0.57 | 0.55 |
| `r-vol-of-vol-stability-jp-all-0097` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 0.26 | -0.19 | 0.7 | -0.67 |
| `r-vol-of-vol-stability-jp-all-0106` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | 0.48 | 0.72 | 0.52 | -0.79 |
| `r-vol-of-vol-stability-jp-all-0115` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | -0.27 | -1.13 | 0.34 | -0.99 |
| `r-vol-of-vol-stability-jp-all-0124` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=5 | 0.27 | 0.68 | 0.28 | -1.45 |
| `r-vol-of-vol-stability-jp-all-0133` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=5 | -0.63 | -1.2 | -0.32 | -0.98 |
| `r-vol-of-vol-stability-jp-all-0142` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | -0.43 | 0.15 | -0.52 | -1.23 |
| `r-vol-of-vol-stability-jp-all-0144` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.37 | 1.08 | 0.16 | 1.45 |
| `r-vol-of-vol-stability-jp-all-0152` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=20 | -0.32 | -0.26 | -0.3 | -0.94 |
| `r-vol-of-vol-stability-jp-all-0161` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | 0 | 0.17 | 0.08 | -2.73 |
| `r-vol-of-vol-stability-jp-all-0170` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | -0.95 | -1.29 | -0.68 | -1.95 |
| `r-vol-of-vol-stability-jp-all-0179` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=20 | -0.81 | -0.46 | -0.75 | -2 |
| `r-vol-of-vol-stability-jp-all-0188` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=20 | -0.58 | -1.05 | -0.08 | -4.73 |
| `r-vol-of-vol-stability-jp-all-0197` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=20 | -0.53 | -0.25 | -0.57 | -0.84 |

## Facts (5)

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

- **Best grid Sharpe ratio is 1.16 (p=0.023).**
  - Value: 1.16 sharpe_ratio
  - Context: period 2022-03-01–2026-02-02; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vol-of-vol-stability-jp-all-fact-best-sharpe

- **Median Sharpe across 216 grid runs is -0.11.**
  - Value: -0.11 sharpe_ratio
  - Context: Full grid of 216 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vol-of-vol-stability-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is -0.84 across 216 runs.**
  - Value: -0.84 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vol-of-vol-stability-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is 0.07 across 216 runs.**
  - Value: 0.07 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vol-of-vol-stability-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is -0.36 across 216 runs.**
  - Value: -0.36 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vol-of-vol-stability-jp-all-fact-regime-up

## Related strategies

- same_strategy: [vol-of-vol-stability-jp-growth](https://qbuntu.ai/strategies/vol-of-vol-stability-jp-growth)
- same_strategy: [vol-of-vol-stability-us-sp500](https://qbuntu.ai/strategies/vol-of-vol-stability-us-sp500)

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Cite as: qbuntu (2026). Vol-of-Vol Stability (JP All Stocks). https://qbuntu.ai/strategies/vol-of-vol-stability-jp-all

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