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rejectedno_edge· equity· factor· information· momentum-quality

Information Discreteness (JP All Stocks)

slug: info-discreteness-jp-all

Information Discreteness (JP All Stocks) backtest. Median Sharpe across 320 parameter sets is +0.02. p-value is 0.39. Max DD is -14.4%. Period: 2022-03-01 to 2026-09-01. Best Sharpe +1.18 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)
+0.02
Max DD
-14.4%
Win rate
—
Alpha (ann.)
—
p-value
0.39
backtest period: 2022-03-01 → 2026-09-01
Sharpe across 320 grid runs:median 0.02best 1.18 (not representative)worst -1.73p25–p75 -0.38–0.35

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 320 grid combinations, median Sharpe=0.02, best=1.18. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 1.18 (p=0.014).
period 2022-03-01–2026-09-01; cost=5bps
sharpe_ratio1.18
cite ↗ /cite/info-discreteness-jp-all-fact-best-sharpevia r-info-discreteness-jp-all-0049
Median Sharpe across 320 grid runs is 0.02.
Full grid of 320 parameter combinations.
sharpe_ratio0.02
cite ↗ /cite/info-discreteness-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is -0.49 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.49
cite ↗ /cite/info-discreteness-jp-all-fact-regime-down
Median Sharpe in FLAT regime is 0.06 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.06
cite ↗ /cite/info-discreteness-jp-all-fact-regime-flat
Median Sharpe in UP regime is 0.09 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.09
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
-0.30-1.01-0.21+0.80
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
+0.01-0.14-0.21+0.80
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
-0.62-1.33-0.60+0.57
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
-0.20-0.25-0.60+0.57
formation_days=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-info-discreteness-jp-all-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.04-1.61-1.01-0.18
formation_days=20, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-info-discreteness-jp-all-0014
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.73-2.55-1.56-0.93
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-info-discreteness-jp-all-0019
cost_bps: 10
n_stocks: 5
regime_gate: true
+1.04+0.62+0.91+2.43
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-info-discreteness-jp-all-0033
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.68+0.26+0.63+1.50
formation_days=20, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True
r-info-discreteness-jp-all-0047
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.32-0.07-0.78+0.25
formation_days=20, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True
r-info-discreteness-jp-all-0049
cost_bps: 5
n_stocks: 5
regime_gate: true
+1.18+1.21+0.53+3.46
formation_days=20, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-info-discreteness-jp-all-0062
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.99-1.06-1.40+0.59
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
0.00-0.32+0.29+0.87
formation_days=20, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=True
r-info-discreteness-jp-all-0077
cost_bps: 5
n_stocks: 50
regime_gate: true
+0.49+1.42-0.35+0.54
formation_days=40, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=True
r-info-discreteness-jp-all-0091
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.21-0.09+0.16-1.33
formation_days=40, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=True
r-info-discreteness-jp-all-0105
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.44+1.05+1.04-3.50
formation_days=40, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True
r-info-discreteness-jp-all-0119
cost_bps: 10
n_stocks: 10
regime_gate: true
+0.25+1.17+0.09-0.74
formation_days=40, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True
r-info-discreteness-jp-all-0133
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.43+0.62+0.60-0.46
formation_days=40, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True
r-info-discreteness-jp-all-0147
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.01+0.47-0.21+0.01
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-info-discreteness-jp-all-0161
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.10+0.01+0.44-0.32
formation_days=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=True
r-info-discreteness-jp-all-0175
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.40-0.21-0.64-2.06
formation_days=60, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=True
r-info-discreteness-jp-all-0189
cost_bps: 5
n_stocks: 50
regime_gate: true
-0.20+0.51-0.32-2.75
formation_days=60, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True
r-info-discreteness-jp-all-0203
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.25+0.40-0.23-3.09
formation_days=60, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True
r-info-discreteness-jp-all-0217
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.65+0.84+1.01-1.48
formation_days=60, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True
r-info-discreteness-jp-all-0231
cost_bps: 10
n_stocks: 10
regime_gate: true
+0.47+1.37+0.05-0.27
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
+1.00+0.79+1.56+0.25
formation_days=120, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False
r-info-discreteness-jp-all-0246
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.41-0.35+0.31-1.54
formation_days=120, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False
r-info-discreteness-jp-all-0260
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.80+0.26-1.04-2.19
formation_days=120, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False
r-info-discreteness-jp-all-0274
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.60-0.27-0.64-1.11
formation_days=120, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-info-discreteness-jp-all-0288
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.42-0.18-0.88+0.10
formation_days=120, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-info-discreteness-jp-all-0302
cost_bps: 10
n_stocks: 50
regime_gate: false
+0.58+0.41+0.98+0.28

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: 2026-09-26T05:46:57
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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