# Volume Anomaly (JP All Stocks)

- **Slug**: `volume-anomaly-jp-all`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: anomaly, factor, volume
- **Source**: qbuntu-analysis (computed asof 2026-07-28T01:10:38)
- **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/volume-anomaly-jp-all
- **JSON**: https://qbuntu.ai/v1/strategies/volume-anomaly-jp-all
- **License**: CC-BY-4.0

## Hypothesis

Campbell, Grossman, Wang (1993): abnormal volume spikes predict subsequent price drift or reversal. Testing on the full Japanese stock universe.

## Why it didn't work

Across 564 grid combinations, median Sharpe=-0.24, best=2.25. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.242 |
| Max drawdown | -23.2% |
| p-value | 0.5 |
| Backtest period | 2022-02-01 to 2026-06-01 |

Sharpe distribution across 564 grid runs: median -0.24, best 2.25 (best-case — not representative), worst -5.2, p25 -0.64, p75 0.27.

## 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-volume-anomaly-jp-all-0000` | cost_bps=5, direction="momentum", regime_gate=false, holding_days=1 | -1.31 | -0.62 | -1.32 | — |
| `r-volume-anomaly-jp-all-0001` | cost_bps=5, direction="momentum", regime_gate=true, holding_days=1 | -1.17 | -0.52 | -1.32 | — |
| `r-volume-anomaly-jp-all-0002` | cost_bps=10, direction="momentum", regime_gate=false, holding_days=1 | -1.44 | -0.81 | -1.45 | — |
| `r-volume-anomaly-jp-all-0003` | cost_bps=10, direction="momentum", regime_gate=true, holding_days=1 | -1.27 | -0.6 | -1.45 | — |
| `r-volume-anomaly-jp-all-0008` | cost_bps=5, direction="vol_only", regime_gate=false, holding_days=1 | -1.11 | -0.62 | -1.44 | — |
| `r-volume-anomaly-jp-all-0030` | cost_bps=10, direction="reversal", regime_gate=false, holding_days=10 | -0.71 | -1.65 | -0.59 | — |
| `r-volume-anomaly-jp-all-0036` | cost_bps=5, direction="momentum", regime_gate=false, holding_days=20 | 0.39 | 1.72 | -0.13 | — |
| `r-volume-anomaly-jp-all-0057` | cost_bps=5, direction="vol_only", regime_gate=true, holding_days=1 | -1.34 | 0.07 | -1.7 | — |
| `r-volume-anomaly-jp-all-0083` | cost_bps=10, direction="vol_only", regime_gate=true, holding_days=10 | -0.54 | -2.56 | -0.3 | — |
| `r-volume-anomaly-jp-all-0096` | cost_bps=5, direction="momentum", regime_gate=false, holding_days=1 | -0.19 | -1.72 | 0.44 | — |
| `r-volume-anomaly-jp-all-0110` | cost_bps=10, direction="momentum", regime_gate=false, holding_days=5 | -1.15 | -0.82 | -1.27 | — |
| `r-volume-anomaly-jp-all-0136` | cost_bps=5, direction="reversal", regime_gate=false, holding_days=20 | -2.12 | -1.77 | -2.28 | — |
| `r-volume-anomaly-jp-all-0210` | cost_bps=10, direction="reversal", regime_gate=false, holding_days=5 | -0.18 | 0.31 | -0.35 | — |
| `r-volume-anomaly-jp-all-0240` | cost_bps=5, direction="momentum", regime_gate=false, holding_days=1 | 0.16 | -1.87 | 0.71 | — |
| `r-volume-anomaly-jp-all-0266` | cost_bps=10, direction="momentum", regime_gate=false, holding_days=10 | 0.66 | -0.75 | 0.88 | — |
| `r-volume-anomaly-jp-all-0292` | cost_bps=5, direction="reversal", regime_gate=false, holding_days=1 | 0.89 | 1.53 | 0.23 | — |
| `r-volume-anomaly-jp-all-0318` | cost_bps=10, direction="reversal", regime_gate=false, holding_days=10 | -0.29 | 2.53 | -4.84 | — |
| `r-volume-anomaly-jp-all-0392` | cost_bps=5, direction="vol_only", regime_gate=false, holding_days=1 | -0.82 | -0.49 | -1.08 | — |
| `r-volume-anomaly-jp-all-0422` | cost_bps=10, direction="momentum", regime_gate=false, holding_days=20 | 1.6 | 1.91 | 1.41 | — |
| `r-volume-anomaly-jp-all-0452` | cost_bps=5, direction="vol_only", regime_gate=false, holding_days=5 | -0.7 | -0.45 | -0.67 | — |
| `r-volume-anomaly-jp-all-0478` | cost_bps=10, direction="vol_only", regime_gate=false, holding_days=20 | -0.72 | -0.54 | -0.56 | — |
| `r-volume-anomaly-jp-all-0504` | cost_bps=5, direction="momentum", regime_gate=false, holding_days=10 | 1.42 | 0.72 | 3.35 | — |
| `r-volume-anomaly-jp-all-0511` | cost_bps=10, direction="reversal", regime_gate=true, holding_days=10 | -5.2 | -8.38 | -4.19 | — |
| `r-volume-anomaly-jp-all-0576` | cost_bps=5, direction="momentum", regime_gate=false, holding_days=1 | -0.09 | -1.09 | 0.41 | — |
| `r-volume-anomaly-jp-all-0580` | cost_bps=5, direction="reversal", regime_gate=false, holding_days=1 | -0.1 | 0.89 | -0.59 | — |
| `r-volume-anomaly-jp-all-0606` | cost_bps=10, direction="reversal", regime_gate=false, holding_days=10 | 0 | 0.76 | -0.34 | — |
| `r-volume-anomaly-jp-all-0632` | cost_bps=5, direction="vol_only", regime_gate=false, holding_days=1 | -1.63 | -3.18 | -1.5 | — |
| `r-volume-anomaly-jp-all-0658` | cost_bps=10, direction="vol_only", regime_gate=false, holding_days=10 | -0.76 | -1.64 | -0.5 | — |
| `r-volume-anomaly-jp-all-0676` | cost_bps=5, direction="reversal", regime_gate=false, holding_days=1 | 2.25 | 4.09 | 2.02 | — |
| `r-volume-anomaly-jp-all-0685` | cost_bps=5, direction="momentum", regime_gate=true, holding_days=5 | -0.68 | 2.61 | -0.94 | — |

## Facts (5)

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

- **Best grid Sharpe ratio is 2.25 (p=0.1).**
  - Value: 2.25 sharpe_ratio
  - Context: period 2022-02-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/volume-anomaly-jp-all-fact-best-sharpe

- **Median Sharpe across 564 grid runs is -0.24.**
  - Value: -0.24 sharpe_ratio
  - Context: Full grid of 564 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/volume-anomaly-jp-all-fact-median-sharpe

- **Median Sharpe in DOWN regime is nan across 564 runs.**
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/volume-anomaly-jp-all-fact-regime-down

- **Median Sharpe in FLAT regime is -0.23 across 564 runs.**
  - Value: -0.23 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/volume-anomaly-jp-all-fact-regime-flat

- **Median Sharpe in UP regime is -0.28 across 564 runs.**
  - Value: -0.28 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/volume-anomaly-jp-all-fact-regime-up

## Related strategies

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

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

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