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rejectedno_edge· equity· factor· information· momentum-quality

Information Discreteness (JP All Stocks)

slug: info-discreteness-jp-all
performance summary
Sharpe (median)
+0.02
Max DD
-18.1%
Win rate
—
Alpha (ann.)
—
p-value
0.46
backtest period: 2022-03-01 → 2026-02-02
Sharpe across 160 grid runs:median 0.02best 0.94 (not representative)worst -2.05p25–p75 -0.37–0.36

Hypothesis

Da, Gurun, Warachka (2014): information discreteness measures whether a stock's return is from few large moves or many small moves. Testing on the full Japanese stock universe.

Why it didn't work

Across 160 grid combinations, median Sharpe=0.02, best=0.94. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 0.94 (p=0.066).
period 2022-03-01–2026-02-02; cost=5bps
sharpe_ratio0.94
cite ↗ /cite/info-discreteness-jp-all-fact-best-sharpevia r-info-discreteness-jp-all-0113
Median Sharpe across 160 grid runs is 0.02.
Full grid of 160 parameter combinations.
sharpe_ratio0.02
cite ↗ /cite/info-discreteness-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is -0.76 across 160 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.76
cite ↗ /cite/info-discreteness-jp-all-fact-regime-down
Median Sharpe in FLAT regime is 0.23 across 160 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.23
cite ↗ /cite/info-discreteness-jp-all-fact-regime-flat
Median Sharpe in UP regime is -0.12 across 160 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.12
cite ↗ /cite/info-discreteness-jp-all-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-info-discreteness-jp-all-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.76-3.46-1.19-2.52
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-info-discreteness-jp-all-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-1.08-0.12-1.19-2.52
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-info-discreteness-jp-all-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-2.05-3.72-1.51-2.81
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-info-discreteness-jp-all-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-1.36-0.29-1.51-2.81
formation_days=20, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False
r-info-discreteness-jp-all-0004
cost_bps: 5
n_stocks: 10
regime_gate: false
-1.57-2.55-1.33-1.30
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-info-discreteness-jp-all-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.21-2.93-0.53-3.11
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-info-discreteness-jp-all-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.54-4.16+0.51+1.20
formation_days=20, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False
r-info-discreteness-jp-all-0038
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.47-3.91+0.37+1.26
formation_days=20, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False
r-info-discreteness-jp-all-0052
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.32-4.26+0.51+5.14
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-info-discreteness-jp-all-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.02-2.08+0.53-0.67
formation_days=20, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True
r-info-discreteness-jp-all-0067
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.15-0.98+0.51-0.69
formation_days=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-info-discreteness-jp-all-0081
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.11-0.95+0.26+2.97
formation_days=40, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True
r-info-discreteness-jp-all-0087
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.60-0.69-0.57-0.58
formation_days=40, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True
r-info-discreteness-jp-all-0101
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.19+0.15+0.18+0.79
formation_days=40, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-info-discreteness-jp-all-0113
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.94-0.13+1.37-0.66
formation_days=40, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=False
r-info-discreteness-jp-all-0116
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.04-1.72+0.59+2.22
formation_days=40, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=False
r-info-discreteness-jp-all-0130
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.23-0.88+0.86-0.80
formation_days=40, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-info-discreteness-jp-all-0144
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.45+0.74+0.41-0.90
formation_days=40, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False
r-info-discreteness-jp-all-0150
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.47+0.36+0.32+4.00
formation_days=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False
r-info-discreteness-jp-all-0164
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.87-2.16-0.35-4.58
formation_days=60, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-info-discreteness-jp-all-0178
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.24+0.06-0.23-3.90
formation_days=60, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-info-discreteness-jp-all-0192
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.45+0.35+0.67-0.80
formation_days=60, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False
r-info-discreteness-jp-all-0198
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.33-1.25+0.11-9.57
formation_days=60, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False
r-info-discreteness-jp-all-0212
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.02-1.13+0.63-2.98
formation_days=60, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False
r-info-discreteness-jp-all-0226
cost_bps: 10
n_stocks: 5
regime_gate: false
0.00+0.73-0.01-1.47
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-info-discreteness-jp-all-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.15-0.48+0.45+0.43
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-info-discreteness-jp-all-0241
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.66+1.57+0.45+0.43
formation_days=120, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True
r-info-discreteness-jp-all-0247
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.37+0.54-0.62-0.51
formation_days=120, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True
r-info-discreteness-jp-all-0261
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.50+1.78+0.08+0.09
formation_days=120, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=True
r-info-discreteness-jp-all-0275
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.09+1.30-0.54-2.29

Target universe

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

Related strategies

same_strategy:info-discreteness-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-01T07:30:59
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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