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rejectedregime_dependent· equity· factor· liquidity

Amihud Illiquidity Premium (JP All Stocks)

slug: amihud-illiquidity-premium-jp-all
performance summary
Sharpe (median)
-0.21
Max DD
-17.9%
Win rate
—
Alpha (ann.)
—
p-value
0.47
backtest period: 2022-02-01 → 2026-02-02
Sharpe across 72 grid runs:median -0.21best 0.57 (not representative)worst -1.58p25–p75 -0.58–0.13

Hypothesis

Amihud (2002): illiquid stocks (high |return| per unit of trading volume) must compensate holders with higher expected returns. Ranking on the Amihud illiquidity measure tests whether the premium survives transaction costs in this universe.

Why it didn't work

Across 72 grid combinations, median Sharpe=-0.21, best=0.57. Primary failure mode: regime_dependent.

Facts (5)

Best grid Sharpe ratio is 0.57 (p=0.25).
period 2022-02-01–2026-02-02; cost=5bps
sharpe_ratio0.57
cite ↗ /cite/amihud-illiquidity-premium-jp-all-fact-best-sharpevia r-amihud-illiquidity-premium-jp-all-0053
Median Sharpe across 72 grid runs is -0.21.
Full grid of 72 parameter combinations.
sharpe_ratio-0.21
cite ↗ /cite/amihud-illiquidity-premium-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is 2.06 across 72 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio2.06
cite ↗ /cite/amihud-illiquidity-premium-jp-all-fact-regime-down
Median Sharpe in FLAT regime is -1.01 across 72 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-1.01
cite ↗ /cite/amihud-illiquidity-premium-jp-all-fact-regime-flat
Median Sharpe in UP regime is 0.73 across 72 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.73
cite ↗ /cite/amihud-illiquidity-premium-jp-all-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
lookback_days=10, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-all-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.53+0.69-0.94+0.28
lookback_days=10, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-jp-all-0001
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.19+0.19-0.74+1.95
lookback_days=10, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-amihud-illiquidity-premium-jp-all-0002
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.09-0.42+0.26+3.81
lookback_days=10, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-amihud-illiquidity-premium-jp-all-0003
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.36+1.53-0.94+0.28
lookback_days=10, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20
r-amihud-illiquidity-premium-jp-all-0005
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.46+0.79+0.26+3.81
lookback_days=10, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-all-0006
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.76+0.47-1.16-0.17
lookback_days=10, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20
r-amihud-illiquidity-premium-jp-all-0008
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.02-0.46+0.18+3.48
lookback_days=10, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5
r-amihud-illiquidity-premium-jp-all-0010
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.01+1.08-0.90+1.80
lookback_days=10, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-all-0012
cost_bps: 5
n_stocks: 10
regime_gate: false
-1.19+0.35-1.76+1.33
lookback_days=10, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-jp-all-0013
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.39+0.20-1.34+2.32
lookback_days=10, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=1
r-amihud-illiquidity-premium-jp-all-0015
cost_bps: 5
n_stocks: 10
regime_gate: true
-1.05+1.19-1.76+1.33
lookback_days=10, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20
r-amihud-illiquidity-premium-jp-all-0017
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.35+0.76+0.06+2.43
lookback_days=10, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-jp-all-0019
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.54+0.11-1.60+2.18
lookback_days=10, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=1
r-amihud-illiquidity-premium-jp-all-0021
cost_bps: 10
n_stocks: 10
regime_gate: true
-1.33+0.99-2.07+0.89
lookback_days=10, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=20
r-amihud-illiquidity-premium-jp-all-0023
cost_bps: 10
n_stocks: 10
regime_gate: true
+0.27+0.72-0.04+2.32
lookback_days=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-jp-all-0049
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.19+0.11-0.74+3.78
lookback_days=20, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-amihud-illiquidity-premium-jp-all-0051
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.50+1.33-1.08-0.16
lookback_days=20, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20
r-amihud-illiquidity-premium-jp-all-0053
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.57+0.74+0.21+8.07
lookback_days=20, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-all-0054
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.89+0.40-1.32-0.71
lookback_days=20, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20
r-amihud-illiquidity-premium-jp-all-0056
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.16-0.36+0.13+7.89
lookback_days=20, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5
r-amihud-illiquidity-premium-jp-all-0058
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.03+0.92-0.91+3.55
lookback_days=20, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-all-0060
cost_bps: 5
n_stocks: 10
regime_gate: false
-1.10+0.46-1.60-0.32
lookback_days=20, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20
r-amihud-illiquidity-premium-jp-all-0062
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.27+0.42-0.00+3.94
lookback_days=20, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=5
r-amihud-illiquidity-premium-jp-all-0064
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.09+1.33-1.16+1.45
lookback_days=20, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-all-0066
cost_bps: 10
n_stocks: 10
regime_gate: false
-1.44+0.09-1.94-0.57
lookback_days=20, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20
r-amihud-illiquidity-premium-jp-all-0068
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.17+0.32-0.10+3.81
lookback_days=20, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5
r-amihud-illiquidity-premium-jp-all-0070
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.25+1.27-1.41+1.32
lookback_days=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-all-0096
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.57+1.40-1.25+0.40
lookback_days=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-jp-all-0097
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.19+0.34-0.93+4.82
lookback_days=40, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-all-0114
cost_bps: 10
n_stocks: 10
regime_gate: false
-1.58-0.35-2.10-0.32

Target universe

Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks

Related strategies

same_strategy:amihud-illiquidity-premium-jp-growthsame_strategy:amihud-illiquidity-premium-us-sp500
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-02T16:25:57
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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