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rejectedno_edge· equity· factor· liquidity

Amihud Illiquidity Premium (JP Growth Stocks)

slug: amihud-illiquidity-premium-jp-growth

Amihud Illiquidity Premium (JP Growth Stocks) backtest. Median Sharpe across 144 parameter sets is -0.87. p-value is 0.06. Max DD is -27.6%. Period: 2022-02-01 to 2026-09-01. Best Sharpe +0.67 is not the representative figure.

Verdict: rejected. The median reaches neither promising (Sharpe > 0.5 and p-value < 0.05) nor marginal (Sharpe > 0.05 and best p-value < 0.10). Primary reason: no_edge. It is not regime, frequency, or cost, and the median does not clear the bar.

Performance summary

Sharpe (median)
-0.87
Max DD
-27.6%
Win rate
—
Alpha (ann.)
—
p-value
0.06
backtest period: 2022-02-01 → 2026-09-01
Sharpe across 144 grid runs:median -0.87best 0.67 (not representative)worst -1.99p25–p75 -1.20–0.11

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 144 grid combinations, median Sharpe=-0.87, best=0.67. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 0.67 (p=0.15).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio0.67
cite ↗ /cite/amihud-illiquidity-premium-jp-growth-fact-best-sharpevia r-amihud-illiquidity-premium-jp-growth-0062
Median Sharpe across 144 grid runs is -0.87.
Full grid of 144 parameter combinations.
sharpe_ratio-0.87
cite ↗ /cite/amihud-illiquidity-premium-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is -2.95 across 144 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-2.95
cite ↗ /cite/amihud-illiquidity-premium-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is -0.45 across 144 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.45
cite ↗ /cite/amihud-illiquidity-premium-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -1.33 across 144 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-1.33
cite ↗ /cite/amihud-illiquidity-premium-jp-growth-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-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.20-2.43-0.94-0.15
lookback_days=10, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.35-2.98-0.94-4.23
lookback_days=10, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-amihud-illiquidity-premium-jp-growth-0002
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.24+0.15-0.26-3.43
lookback_days=10, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-amihud-illiquidity-premium-jp-growth-0003
cost_bps: 5
n_stocks: 5
regime_gate: true
-1.12-1.93-0.94-0.15
lookback_days=10, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-growth-0006
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.33-2.58-1.06-0.33
lookback_days=10, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0010
cost_bps: 10
n_stocks: 5
regime_gate: true
-1.28-2.50-1.01-4.72
lookback_days=10, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0016
cost_bps: 5
n_stocks: 10
regime_gate: true
-1.31-2.80-0.92-2.67
lookback_days=10, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0022
cost_bps: 10
n_stocks: 10
regime_gate: true
-1.44-2.88-1.05-2.90
lookback_days=10, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0028
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.45-0.80-0.11-3.80
lookback_days=10, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0034
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.61-0.88-0.29-4.02
lookback_days=10, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-growth-0036
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.11-1.80-0.73-2.26
lookback_days=10, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=20
r-amihud-illiquidity-premium-jp-growth-0041
cost_bps: 5
n_stocks: 50
regime_gate: true
+0.34-0.40+0.78-2.73
lookback_days=10, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=20
r-amihud-illiquidity-premium-jp-growth-0047
cost_bps: 10
n_stocks: 50
regime_gate: true
+0.22-0.45+0.63-3.25
lookback_days=20, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20
r-amihud-illiquidity-premium-jp-growth-0053
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.04-0.97+0.21-0.22
lookback_days=20, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20
r-amihud-illiquidity-premium-jp-growth-0059
cost_bps: 10
n_stocks: 5
regime_gate: true
0.00-1.00+0.18-0.32
lookback_days=20, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20
r-amihud-illiquidity-premium-jp-growth-0062
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.67+1.43+0.53-0.12
lookback_days=20, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-growth-0066
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.97-1.59-0.74-2.26
lookback_days=20, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-growth-0072
cost_bps: 5
n_stocks: 20
regime_gate: false
-1.19-1.58-0.97-3.33
lookback_days=20, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-growth-0078
cost_bps: 10
n_stocks: 20
regime_gate: false
-1.47-1.85-1.24-3.87
lookback_days=20, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-growth-0084
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.29-1.71-1.02-2.23
lookback_days=20, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-growth-0090
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.80-2.12-1.57-2.70
lookback_days=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-growth-0096
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.66-1.46-0.45-2.03
lookback_days=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0097
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.97-2.49-0.44-4.31
lookback_days=40, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0103
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.05-2.57-0.52-4.73
lookback_days=40, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0109
cost_bps: 5
n_stocks: 10
regime_gate: false
-1.44-3.47-0.73-3.49
lookback_days=40, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0115
cost_bps: 10
n_stocks: 10
regime_gate: false
-1.56-3.60-0.86-3.69
lookback_days=40, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0121
cost_bps: 5
n_stocks: 20
regime_gate: false
-1.21-3.30-0.29-7.24
lookback_days=40, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0127
cost_bps: 10
n_stocks: 20
regime_gate: false
-1.39-3.47-0.49-7.59
lookback_days=40, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=5
r-amihud-illiquidity-premium-jp-growth-0133
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.07-2.49-0.28-10.75
lookback_days=40, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-amihud-illiquidity-premium-jp-growth-0138
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.99-2.26-1.77-3.04

Target universe

Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY

Related strategies

same_strategy:amihud-illiquidity-premium-jp-allsame_strategy:amihud-illiquidity-premium-us-sp500
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T21:54:29
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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