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rejectedno_edge· equity· anomaly· calendar· seasonal

Calendar Effects (JP All Stocks)

slug: calendar-effects-jp-all
performance summary
Sharpe (median)
-0.71
Max DD
-30.2%
Win rate
—
Alpha (ann.)
—
p-value
0.41
backtest period: 2022-01-18 → 2026-06-08
Sharpe across 144 grid runs:median -0.71best 1.03 (not representative)worst -3.12p25–p75 -1.53–0.12

Hypothesis

Tests well-known calendar anomalies: Halloween effect, January effect, Turn-of-Month, and Day-of-Week effects on the full Japanese stock universe.

Why it didn't work

Across 144 grid combinations, median Sharpe=-0.71, best=1.03. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 1.03 (p=0.6).
period 2022-01-18–2026-06-08; cost=5bps
sharpe_ratio1.03
cite ↗ /cite/calendar-effects-jp-all-fact-best-sharpevia r-calendar-effects-jp-all-0080
Median Sharpe across 144 grid runs is -0.71.
Full grid of 144 parameter combinations.
sharpe_ratio-0.71
cite ↗ /cite/calendar-effects-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is -2.91 across 144 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-2.91
cite ↗ /cite/calendar-effects-jp-all-fact-regime-down
Median Sharpe in FLAT regime is -0.47 across 144 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.47
cite ↗ /cite/calendar-effects-jp-all-fact-regime-flat
Median Sharpe in UP regime is -1.26 across 144 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-1.26
cite ↗ /cite/calendar-effects-jp-all-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
effect=halloween, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-calendar-effects-jp-all-0000
effect: "halloween"
cost_bps: 5
n_stocks: 5
-1.15-0.27-1.61-0.64
effect=halloween, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-calendar-effects-jp-all-0001
effect: "halloween"
cost_bps: 5
n_stocks: 5
-1.55-1.98-1.61-0.64
effect=halloween, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-calendar-effects-jp-all-0002
effect: "halloween"
cost_bps: 10
n_stocks: 5
-1.72-0.93-2.15-1.13
effect=halloween, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-calendar-effects-jp-all-0003
effect: "halloween"
cost_bps: 10
n_stocks: 5
-2.11-2.67-2.15-1.13
effect=halloween, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=False
r-calendar-effects-jp-all-0008
effect: "halloween"
cost_bps: 5
n_stocks: 20
-1.39-2.15-1.00-2.42
effect=halloween, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False
r-calendar-effects-jp-all-0010
effect: "halloween"
cost_bps: 10
n_stocks: 20
-2.06-3.02-1.63-2.98
effect=halloween, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False
r-calendar-effects-jp-all-0020
effect: "halloween"
cost_bps: 5
n_stocks: 10
-1.92-6.42-0.58-10.72
effect=halloween, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=False
r-calendar-effects-jp-all-0026
effect: "halloween"
cost_bps: 10
n_stocks: 20
-2.27-8.48-0.78-11.77
effect=halloween, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-calendar-effects-jp-all-0032
effect: "halloween"
cost_bps: 5
n_stocks: 5
-0.73-0.82-0.69-0.85
effect=halloween, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True
r-calendar-effects-jp-all-0037
effect: "halloween"
cost_bps: 5
n_stocks: 10
-0.95-1.20-0.88-1.28
effect=halloween, holding_days=20, n_stocks=20, cost_bps=10, regime_gate=True
r-calendar-effects-jp-all-0043
effect: "halloween"
cost_bps: 10
n_stocks: 20
-0.75-1.38-0.75+0.79
effect=january, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-calendar-effects-jp-all-0053
effect: "january"
cost_bps: 5
n_stocks: 10
-0.31-2.29+1.51—
effect=january, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=True
r-calendar-effects-jp-all-0059
effect: "january"
cost_bps: 10
n_stocks: 20
-1.70-5.00+1.11—
effect=january, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True
r-calendar-effects-jp-all-0069
effect: "january"
cost_bps: 5
n_stocks: 10
-0.11-20.04+4.30—
effect=january, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=True
r-calendar-effects-jp-all-0075
effect: "january"
cost_bps: 10
n_stocks: 20
-0.23-11.58+3.67—
effect=january, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-calendar-effects-jp-all-0080
effect: "january"
cost_bps: 5
n_stocks: 5
+1.03-0.14+1.58—
effect=january, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=False
r-calendar-effects-jp-all-0086
effect: "january"
cost_bps: 10
n_stocks: 10
+0.83-1.15+2.47—
effect=turn_of_month, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-calendar-effects-jp-all-0096
effect: "turn_of_month"
cost_bps: 5
n_stocks: 5
-0.70+0.37-0.61-4.47
effect=turn_of_month, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-calendar-effects-jp-all-0097
effect: "turn_of_month"
cost_bps: 5
n_stocks: 5
-1.15-1.83-0.61-4.47
effect=turn_of_month, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True
r-calendar-effects-jp-all-0103
effect: "turn_of_month"
cost_bps: 10
n_stocks: 10
-1.70-3.75-0.84-6.72
effect=turn_of_month, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True
r-calendar-effects-jp-all-0113
effect: "turn_of_month"
cost_bps: 5
n_stocks: 5
0.00-0.14+0.17-0.61
effect=turn_of_month, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True
r-calendar-effects-jp-all-0119
effect: "turn_of_month"
cost_bps: 10
n_stocks: 10
-0.73+0.06-0.67-2.19
effect=turn_of_month, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True
r-calendar-effects-jp-all-0129
effect: "turn_of_month"
cost_bps: 5
n_stocks: 5
+0.49-0.63+0.64+3.02
effect=turn_of_month, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True
r-calendar-effects-jp-all-0135
effect: "turn_of_month"
cost_bps: 10
n_stocks: 10
+0.43-0.41+0.57+0.77
effect=day_of_week, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-calendar-effects-jp-all-0144
effect: "day_of_week"
cost_bps: 5
n_stocks: 5
-1.28-0.72-1.05-4.70
effect=day_of_week, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-calendar-effects-jp-all-0146
effect: "day_of_week"
cost_bps: 10
n_stocks: 5
-1.87-1.40-1.61-5.23
effect=day_of_week, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=False
r-calendar-effects-jp-all-0152
effect: "day_of_week"
cost_bps: 5
n_stocks: 20
-1.90-1.28-1.55-6.74
effect=day_of_week, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=True
r-calendar-effects-jp-all-0155
effect: "day_of_week"
cost_bps: 10
n_stocks: 20
-3.12-6.09-2.20-7.42
effect=day_of_week, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-calendar-effects-jp-all-0163
effect: "day_of_week"
cost_bps: 10
n_stocks: 5
-0.93-0.01-1.10—
effect=day_of_week, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=True
r-calendar-effects-jp-all-0169
effect: "day_of_week"
cost_bps: 5
n_stocks: 20
-0.94+2.37-0.89—

Target universe

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

Related strategies

same_strategy:calendar-effects-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-29T01:09:04
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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