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

- **Slug**: `vol-of-vol-stability-jp-growth`
- **Verdict**: rejected (regime_dependent)
- **Asset class**: equity
- **Categories**: factor, low-risk, volatility
- **Source**: qbuntu-analysis (computed asof 2026-08-02T16:26:49)
- **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-growth
- **JSON**: https://qbuntu.ai/v1/strategies/vol-of-vol-stability-jp-growth
- **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 432 grid combinations, median Sharpe=0.04, best=1.33. Primary failure mode: regime_dependent.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | 0.0431 |
| Max drawdown | -12.3% |
| p-value | 0.65 |
| Backtest period | 2022-03-01 to 2026-06-01 |

Sharpe distribution across 432 grid runs: median 0.04, best 1.33 (best-case — not representative), worst -0.89, p25 -0.16, p75 0.28.

## 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-vol-of-vol-stability-jp-growth-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.65 | 1.33 | 0.45 | 1.56 |
| `r-vol-of-vol-stability-jp-growth-0001` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 1.05 | 3.17 | 0.42 | 3.21 |
| `r-vol-of-vol-stability-jp-growth-0002` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | 0.42 | 0.9 | 0.04 | 8.26 |
| `r-vol-of-vol-stability-jp-growth-0003` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.54 | 0.54 | 0.45 | 1.56 |
| `r-vol-of-vol-stability-jp-growth-0006` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | 0.45 | 1 | 0.28 | 1.39 |
| `r-vol-of-vol-stability-jp-growth-0013` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=5 | 1.33 | 3.37 | 0.72 | 1.98 |
| `r-vol-of-vol-stability-jp-growth-0025` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=5 | 0.81 | 1.95 | 0.23 | 3.25 |
| `r-vol-of-vol-stability-jp-growth-0036` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | 0.38 | 1.33 | -0.24 | 5.91 |
| `r-vol-of-vol-stability-jp-growth-0046` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=5 | -0.23 | 0.57 | -0.81 | 1.27 |
| `r-vol-of-vol-stability-jp-growth-0066` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=1 | -0.1 | -1.5 | 0.03 | 2.25 |
| `r-vol-of-vol-stability-jp-growth-0086` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=20 | 0.03 | 0.3 | -0.11 | 0.39 |
| `r-vol-of-vol-stability-jp-growth-0096` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.26 | -0.04 | 0.19 | 2.1 |
| `r-vol-of-vol-stability-jp-growth-0107` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=20 | -0.24 | 0.73 | -0.72 | 3.2 |
| `r-vol-of-vol-stability-jp-growth-0127` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=5 | 0.55 | 1.63 | 0.02 | 2.63 |
| `r-vol-of-vol-stability-jp-growth-0147` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.15 | -0.75 | 0.23 | 3.04 |
| `r-vol-of-vol-stability-jp-growth-0167` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=20 | -0.07 | 0.11 | -0.26 | 4.93 |
| `r-vol-of-vol-stability-jp-growth-0187` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=5 | -0.05 | 0.24 | -0.31 | 0.88 |
| `r-vol-of-vol-stability-jp-growth-0207` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | -0.18 | 0.02 | -0.43 | 5.69 |
| `r-vol-of-vol-stability-jp-growth-0227` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=20 | -0.12 | 0.22 | -0.29 | 0.6 |
| `r-vol-of-vol-stability-jp-growth-0247` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -0.07 | 1.43 | -0.58 | 2.43 |
| `r-vol-of-vol-stability-jp-growth-0260` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=20 | -0.89 | 0.03 | -1.18 | -0.22 |
| `r-vol-of-vol-stability-jp-growth-0268` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=5 | 0.54 | 0.51 | 0.38 | 2.6 |
| `r-vol-of-vol-stability-jp-growth-0288` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.3 | 0.55 | 0.02 | 2.97 |
| `r-vol-of-vol-stability-jp-growth-0289` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 0.49 | 2.35 | -0.58 | 2.54 |
| `r-vol-of-vol-stability-jp-growth-0309` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=1 | -0.22 | 0.32 | -0.65 | 2.7 |
| `r-vol-of-vol-stability-jp-growth-0329` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=20 | 0.11 | 0.29 | -0.02 | 0.61 |
| `r-vol-of-vol-stability-jp-growth-0349` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=5 | 0.27 | 1.73 | -0.48 | 12.44 |
| `r-vol-of-vol-stability-jp-growth-0369` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=1 | -0.29 | -0.29 | -0.62 | 3.84 |
| `r-vol-of-vol-stability-jp-growth-0389` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=20 | -0.15 | 0.41 | -0.57 | 3.15 |
| `r-vol-of-vol-stability-jp-growth-0409` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=5 | 0.12 | 0.62 | -0.13 | 1.33 |

## Facts (5)

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

- **Best grid Sharpe ratio is 1.33 (p=0.0072).**
  - Value: 1.33 sharpe_ratio
  - Context: period 2022-03-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vol-of-vol-stability-jp-growth-fact-best-sharpe

- **Median Sharpe across 432 grid runs is 0.04.**
  - Value: 0.04 sharpe_ratio
  - Context: Full grid of 432 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vol-of-vol-stability-jp-growth-fact-median-sharpe

- **Median Sharpe in DOWN regime is 3.02 across 432 runs.**
  - Value: 3.02 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vol-of-vol-stability-jp-growth-fact-regime-down

- **Median Sharpe in FLAT regime is -0.29 across 432 runs.**
  - Value: -0.29 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vol-of-vol-stability-jp-growth-fact-regime-flat

- **Median Sharpe in UP regime is 0.43 across 432 runs.**
  - Value: 0.43 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vol-of-vol-stability-jp-growth-fact-regime-up

## Related strategies

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

---

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

Visit qbuntu.ai — the honest scorecard for quant strategies (live, promising, marginal, rejected).