spec. amihud-illiquidity-premium-jp-all-fact-best-sharpecite ledger
qbuntu.ai/cite/amihud-illiquidity-premium-jp-all-fact-best-sharpeCC-BY-4.0
Best grid Sharpe ratio is 0.57 (p=0.25).
sharpe_ratio0.57 sharpe_ratiosupports verdict:rejected
Context
period 2022-02-01–2026-02-02; cost=5bps
Source strategy
rejectedequity· regime_dependent
Amihud Illiquidity Premium (JP All Stocks)
amihud-illiquidity-premium-jp-all
fact derives from run: r-amihud-illiquidity-premium-jp-all-0053
Cite this
qbuntu (2026). Best grid Sharpe ratio is 0.57 (p=0.25).. Strategy: Amihud Illiquidity Premium (JP All Stocks). https://qbuntu.ai/cite/amihud-illiquidity-premium-jp-all-fact-best-sharpe
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-02T16:25:57
fact_id: amihud-illiquidity-premium-jp-all-fact-best-sharpe (immutable)