Information Discreteness (US S&P 500)
slug: info-discreteness-us-sp500
performance summary
Sharpe (median)
+0.23
Max DD
-9.5%
Win rate
—
Alpha (ann.)
—
p-value
0.38
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 320 grid runs:median 0.23best 1.58 (not representative)worst -1.20p25–p75 -0.19–0.62
Hypothesis
Da, Gurun, Warachka (2014): information discreteness measures whether a stock's return is from few large moves or many small moves. Applied to S&P 500 constituents.
Why it didn't work
Across 320 grid combinations, median Sharpe=0.23, best=1.58. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is 1.58 (p=0.0019).
period 2022-02-01–2026-06-01; cost=5bps
cite ↗ /cite/info-discreteness-us-sp500-fact-best-sharpevia r-info-discreteness-us-sp500-0209
Median Sharpe across 320 grid runs is 0.23.
Full grid of 320 parameter combinations.
Median Sharpe in DOWN regime is 0.29 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is 0.11 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.39 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-info-discreteness-us-sp500-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.25 | +0.07 | -0.87 | -0.22 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-info-discreteness-us-sp500-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.28 | +0.12 | -0.87 | -0.22 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-info-discreteness-us-sp500-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.58 | -0.23 | -1.23 | -0.66 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-info-discreteness-us-sp500-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.57 | -0.08 | -1.23 | -0.66 |
formation_days=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-info-discreteness-us-sp500-0012 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.22 | +0.23 | -0.39 | -1.09 |
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-info-discreteness-us-sp500-0018 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.39 | +0.01 | -0.17 | -1.25 |
formation_days=20, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False r-info-discreteness-us-sp500-0030 | cost_bps: 10 n_stocks: 50 regime_gate: false | -1.20 | -1.07 | -0.73 | -2.06 |
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True r-info-discreteness-us-sp500-0033 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.16 | +1.14 | -0.14 | -0.49 |
formation_days=20, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True r-info-discreteness-us-sp500-0047 | cost_bps: 10 n_stocks: 50 regime_gate: true | -0.29 | +0.71 | -1.09 | -1.09 |
formation_days=20, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=True r-info-discreteness-us-sp500-0061 | cost_bps: 5 n_stocks: 50 regime_gate: true | +0.24 | +1.50 | -0.28 | -1.65 |
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-info-discreteness-us-sp500-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.06 | +0.10 | -0.36 | +0.06 |
formation_days=20, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False r-info-discreteness-us-sp500-0076 | cost_bps: 5 n_stocks: 50 regime_gate: false | +0.14 | +0.38 | +0.12 | -0.36 |
formation_days=40, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False r-info-discreteness-us-sp500-0090 | cost_bps: 10 n_stocks: 20 regime_gate: false | +0.12 | +0.46 | -0.64 | +0.34 |
formation_days=40, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False r-info-discreteness-us-sp500-0104 | cost_bps: 5 n_stocks: 20 regime_gate: false | -0.24 | +0.03 | +0.05 | -1.45 |
formation_days=40, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-info-discreteness-us-sp500-0118 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.03 | -0.27 | +0.18 | +0.05 |
formation_days=40, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-info-discreteness-us-sp500-0132 | cost_bps: 5 n_stocks: 10 regime_gate: false | +0.55 | +0.48 | +0.57 | +0.71 |
formation_days=40, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False r-info-discreteness-us-sp500-0146 | cost_bps: 10 n_stocks: 5 regime_gate: false | +0.82 | +0.75 | +0.66 | +1.56 |
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-info-discreteness-us-sp500-0160 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.36 | +0.22 | -1.19 | +3.56 |
formation_days=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-info-discreteness-us-sp500-0174 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.55 | -0.92 | -3.00 | +1.85 |
formation_days=60, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False r-info-discreteness-us-sp500-0188 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.66 | -1.76 | +0.19 | -0.29 |
formation_days=60, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False r-info-discreteness-us-sp500-0202 | cost_bps: 10 n_stocks: 20 regime_gate: false | -0.20 | -0.78 | +0.45 | +0.02 |
formation_days=60, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True r-info-discreteness-us-sp500-0209 | cost_bps: 5 n_stocks: 5 regime_gate: true | +1.58 | +1.55 | +1.27 | +3.28 |
formation_days=60, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True r-info-discreteness-us-sp500-0217 | cost_bps: 5 n_stocks: 20 regime_gate: true | +1.14 | +1.30 | +0.89 | +1.11 |
formation_days=60, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True r-info-discreteness-us-sp500-0231 | cost_bps: 10 n_stocks: 10 regime_gate: true | +0.93 | +1.38 | +0.61 | -0.08 |
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-info-discreteness-us-sp500-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.41 | -0.14 | +0.67 | +2.29 |
formation_days=120, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False r-info-discreteness-us-sp500-0246 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.65 | -1.13 | -0.28 | +1.00 |
formation_days=120, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False r-info-discreteness-us-sp500-0260 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.29 | -0.49 | -0.78 | +1.03 |
formation_days=120, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False r-info-discreteness-us-sp500-0274 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.25 | -1.12 | -0.18 | +2.33 |
formation_days=120, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-info-discreteness-us-sp500-0288 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.08 | -0.83 | +1.03 | +1.39 |
formation_days=120, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-info-discreteness-us-sp500-0302 | cost_bps: 10 n_stocks: 50 regime_gate: false | +0.20 | +0.06 | +0.00 | +0.73 |
Target universe
S&P 500 constituents, ~503 stocks
Related strategies
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-01T07:30:59