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marginalno_edge· equity· anomaly· factor· volatility

Garman-Klass Volatility Factor (JP All Stocks)

slug: garman-klass-vol-jp-all

Garman-Klass Volatility Factor (JP All Stocks) backtest. Median Sharpe across 320 parameter sets is +0.59. p-value is 0.18. Max DD is -14.8%. Period: 2022-02-01 to 2026-09-01. Best Sharpe +1.32 is not the representative figure.

Verdict: marginal. Some parameter set has a p-value under 0.10, but the median itself misses promising (Sharpe > 0.5 and p-value < 0.05). Primary reason: no_edge. It is not regime, frequency, or cost, and the median does not clear the bar.

Performance summary

Sharpe (median)
+0.59
Max DD
-14.8%
Win rate
—
Alpha (ann.)
—
p-value
0.18
backtest period: 2022-02-01 → 2026-09-01
Sharpe across 320 grid runs:median 0.59best 1.32 (not representative)worst -0.91p25–p75 0.31–0.85

Hypothesis

Garman & Klass (1980): OHLC-based volatility estimator. Testing low-volatility anomaly using GK vol on the full Japanese stock universe.

Why it didn't work

Across 320 grid combinations, median Sharpe=0.59, best=1.32. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 1.32 (p=1.5e-05).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio1.32
cite ↗ /cite/garman-klass-vol-jp-all-fact-best-sharpevia r-garman-klass-vol-jp-all-0076
Median Sharpe across 320 grid runs is 0.59.
Full grid of 320 parameter combinations.
sharpe_ratio0.59
cite ↗ /cite/garman-klass-vol-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is 0.04 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio0.04
cite ↗ /cite/garman-klass-vol-jp-all-fact-regime-down
Median Sharpe in FLAT regime is 0.59 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.59
cite ↗ /cite/garman-klass-vol-jp-all-fact-regime-flat
Median Sharpe in UP regime is 1.14 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio1.14
cite ↗ /cite/garman-klass-vol-jp-all-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-all-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.77+0.85+0.81+0.48
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-garman-klass-vol-jp-all-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.50-1.80+0.81+0.48
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-all-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.67+0.73+0.72+0.38
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-garman-klass-vol-jp-all-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.41-2.55+0.72+0.38
formation_days=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-all-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.71+0.12+1.34+0.24
formation_days=10, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-all-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.47+1.43+0.07-0.27
formation_days=10, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-all-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.64+2.29-0.05+0.09
formation_days=10, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-all-0046
cost_bps: 10
n_stocks: 50
regime_gate: false
+0.39+1.57-0.09-0.38
formation_days=10, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-all-0060
cost_bps: 5
n_stocks: 50
regime_gate: false
+1.07+1.80+0.89-0.13
formation_days=10, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-all-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
+1.15+2.00+0.95+0.28
formation_days=10, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True
r-garman-klass-vol-jp-all-0075
cost_bps: 10
n_stocks: 20
regime_gate: true
+0.80+1.66+1.19-0.13
formation_days=10, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-all-0076
cost_bps: 5
n_stocks: 50
regime_gate: false
+1.32+2.24+1.09+0.13
formation_days=20, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-all-0090
cost_bps: 10
n_stocks: 20
regime_gate: false
+0.82+0.57+1.14+0.44
formation_days=20, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-all-0104
cost_bps: 5
n_stocks: 20
regime_gate: false
+1.01+2.14+0.57-0.16
formation_days=20, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-all-0118
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.46+2.59-0.64-0.71
formation_days=20, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-all-0132
cost_bps: 5
n_stocks: 10
regime_gate: false
+1.07+2.16+0.62-0.16
formation_days=20, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-all-0146
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.76+1.05+0.72+0.10
formation_days=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-all-0160
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.96+0.50+1.48+0.96
formation_days=40, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-all-0174
cost_bps: 10
n_stocks: 50
regime_gate: false
+0.47-0.22+1.18+0.08
formation_days=40, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-all-0188
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.83+1.14+0.44+0.92
formation_days=40, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-all-0202
cost_bps: 10
n_stocks: 20
regime_gate: false
+0.35+2.38-0.72+0.05
formation_days=40, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-all-0216
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.74+2.15+0.04-0.18
formation_days=40, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-all-0230
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.99+1.72+0.74+0.34
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-all-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.33+0.31+0.25+0.50
formation_days=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-garman-klass-vol-jp-all-0245
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.60-1.71+1.19+0.16
formation_days=60, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-garman-klass-vol-jp-all-0259
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.16-0.14-0.38+0.34
formation_days=60, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-garman-klass-vol-jp-all-0273
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.66-0.08-0.92-0.65
formation_days=60, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True
r-garman-klass-vol-jp-all-0279
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.91-0.59-1.11-1.27
formation_days=60, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-all-0288
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.57+1.64+0.34-1.09
formation_days=60, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-all-0302
cost_bps: 10
n_stocks: 50
regime_gate: false
+0.55+1.55+0.31-1.64

Target universe

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

Related strategies

same_strategy:garman-klass-vol-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-26T05:46:57
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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