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rejectedno_edge· equity· anomaly· factor· illiquidity· liquidity

Liquidity Premium / Amihud Illiquidity (JP Growth Stocks)

slug: liquidity-premium-jp-growth

Liquidity Premium / Amihud Illiquidity (JP Growth Stocks) backtest. Median Sharpe across 320 parameter sets is -0.56. p-value is 0.08. Max DD is -28.8%. Period: 2022-02-01 to 2026-09-01. Best Sharpe +0.97 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)
-0.56
Max DD
-28.8%
Win rate
—
Alpha (ann.)
—
p-value
0.08
backtest period: 2022-02-01 → 2026-09-01
Sharpe across 320 grid runs:median -0.56best 0.97 (not representative)worst -2.23p25–p75 -1.03–0.31

Hypothesis

Amihud (2002): illiquid stocks earn a premium. Illiquidity = |return| / dollar_volume averaged over formation window. LONG most illiquid, SHORT most liquid.

Why it didn't work

Across 320 grid combinations, median Sharpe=-0.56, best=0.97. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 0.97 (p=0.00099).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio0.97
cite ↗ /cite/liquidity-premium-jp-growth-fact-best-sharpevia r-liquidity-premium-jp-growth-0148
Median Sharpe across 320 grid runs is -0.56.
Full grid of 320 parameter combinations.
sharpe_ratio-0.56
cite ↗ /cite/liquidity-premium-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is -1.91 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-1.91
cite ↗ /cite/liquidity-premium-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is -0.27 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.27
cite ↗ /cite/liquidity-premium-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -0.87 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.87
cite ↗ /cite/liquidity-premium-jp-growth-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.20-2.43-0.94-0.15
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-liquidity-premium-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-1.12-1.93-0.94-0.15
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-growth-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.33-2.58-1.06-0.33
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-liquidity-premium-jp-growth-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-1.23-2.00-1.06-0.33
formation_days=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-growth-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.11-1.80-0.73-2.26
formation_days=10, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-growth-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.42-3.07-1.01-4.72
formation_days=10, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-growth-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.83-0.99-0.74-3.74
formation_days=10, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-growth-0046
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.76-2.15-0.41-0.57
formation_days=10, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-growth-0060
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.35-0.72+0.78-2.73
formation_days=10, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-growth-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.54+0.53+0.61-0.57
formation_days=10, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True
r-liquidity-premium-jp-growth-0075
cost_bps: 10
n_stocks: 20
regime_gate: true
+0.61-0.90+1.04-1.43
formation_days=20, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True
r-liquidity-premium-jp-growth-0089
cost_bps: 5
n_stocks: 20
regime_gate: true
-1.08-1.16-0.97-3.33
formation_days=20, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True
r-liquidity-premium-jp-growth-0103
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.93-1.97-0.50-2.08
formation_days=20, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True
r-liquidity-premium-jp-growth-0117
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.58-1.46-0.42+0.40
formation_days=20, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True
r-liquidity-premium-jp-growth-0131
cost_bps: 10
n_stocks: 5
regime_gate: true
0.00-1.00+0.18-0.32
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True
r-liquidity-premium-jp-growth-0145
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.47-1.11+0.71+0.25
formation_days=20, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-growth-0148
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.97+1.05+1.01+0.56
formation_days=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-growth-0160
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.66-1.46-0.45-2.03
formation_days=40, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-growth-0174
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.99-2.26-1.77-3.04
formation_days=40, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-growth-0188
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.07-2.49-0.28-10.75
formation_days=40, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-growth-0202
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.71-1.17-0.51-0.80
formation_days=40, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-growth-0216
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.45+0.34+0.75-3.77
formation_days=40, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-growth-0230
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.72-0.03+0.92+1.40
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-growth-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.68-0.44-0.71-1.81
formation_days=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-liquidity-premium-jp-growth-0245
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.86-1.34-0.56-2.39
formation_days=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-growth-0254
cost_bps: 10
n_stocks: 50
regime_gate: false
-2.23-2.46-2.04-3.11
formation_days=60, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-growth-0260
cost_bps: 5
n_stocks: 10
regime_gate: false
-1.24-2.15-0.68-7.75
formation_days=60, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-growth-0274
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.24-0.42-0.15-0.58
formation_days=60, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-growth-0288
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.66+1.06+0.60-0.07
formation_days=60, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-growth-0302
cost_bps: 10
n_stocks: 50
regime_gate: false
+0.21+0.15+0.37-3.04

Target universe

Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T21:54:29
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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