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rejectedno_edge· equity· anomaly· factor· lottery· max-return

Max Return / Lottery Effect (JP All Stocks)

slug: max-return-lottery-jp-all

Max Return / Lottery Effect (JP All Stocks) backtest. Median Sharpe across 160 parameter sets is -0.44. p-value is 0.28. Max DD is -33.1%. Period: 2022-02-01 to 2026-09-01. Best Sharpe +0.29 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)
-0.44
Max DD
-33.1%
Win rate
—
Alpha (ann.)
—
p-value
0.28
backtest period: 2022-02-01 → 2026-09-01
Sharpe across 160 grid runs:median -0.44best 0.29 (not representative)worst -1.38p25–p75 -0.61–-0.27

Hypothesis

Bali, Cakici, Whitelaw (2011): stocks with extreme positive daily returns subsequently underperform. Testing on the full Japanese stock universe.

Why it didn't work

Across 160 grid combinations, median Sharpe=-0.44, best=0.29. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 0.29 (p=0.53).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio0.29
cite ↗ /cite/max-return-lottery-jp-all-fact-best-sharpevia r-max-return-lottery-jp-all-0017
Median Sharpe across 160 grid runs is -0.44.
Full grid of 160 parameter combinations.
sharpe_ratio-0.44
cite ↗ /cite/max-return-lottery-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is -1.17 across 160 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-1.17
cite ↗ /cite/max-return-lottery-jp-all-fact-regime-down
Median Sharpe in FLAT regime is -0.25 across 160 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.25
cite ↗ /cite/max-return-lottery-jp-all-fact-regime-flat
Median Sharpe in UP regime is -0.78 across 160 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.78
cite ↗ /cite/max-return-lottery-jp-all-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-all-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.72-3.42+0.19-2.36
formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-all-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.42-2.30+0.19-2.36
formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-all-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.95-3.67-0.05-2.58
formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-all-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.65-2.47-0.05-2.58
formation_days=5, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-all-0004
cost_bps: 5
n_stocks: 10
regime_gate: false
-1.02-3.28-0.16-4.12
formation_days=5, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-all-0006
cost_bps: 10
n_stocks: 10
regime_gate: false
-1.38-3.62-0.56-4.76
formation_days=5, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-all-0017
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.29-0.07+0.54-2.43
formation_days=5, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-all-0020
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.39-1.57+0.34-8.39
formation_days=5, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-all-0034
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.32-1.26+0.25-2.20
formation_days=5, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-all-0048
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.55-1.06-0.19-3.85
formation_days=5, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-all-0054
cost_bps: 10
n_stocks: 10
regime_gate: false
-1.04-0.43-1.12-7.60
formation_days=5, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-all-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.40-1.44+0.04-0.80
formation_days=5, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-all-0069
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.39+0.06-0.65+0.17
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-all-0083
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.55-1.45-0.40+0.73
formation_days=10, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-all-0097
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.02+0.05-0.01+0.45
formation_days=10, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-all-0103
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.16-0.26-0.14+0.08
formation_days=10, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-all-0117
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.02-0.23+0.02+7.34
formation_days=10, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-all-0131
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.02+0.65-0.04-4.67
formation_days=10, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-all-0145
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.29-0.43-0.23-0.65
formation_days=10, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-all-0151
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.30-0.37-0.27-0.32
formation_days=20, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-all-0165
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.42-1.04-0.20+0.27
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-all-0179
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.05-0.40-0.00-0.01
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-all-0193
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.04+0.15+0.27-3.92
formation_days=20, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-all-0199
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.40-0.25-0.26-3.44
formation_days=20, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-all-0213
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.44-0.40-0.41-0.79
formation_days=20, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-all-0227
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.41+0.02-0.43-1.53
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-all-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.61-1.63-0.38+1.67
formation_days=60, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-all-0242
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.85-1.83-0.64+1.44
formation_days=60, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-all-0256
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.41-1.13-0.15+2.10
formation_days=60, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-all-0262
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.63-1.28-0.42+0.89

Target universe

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

Related strategies

same_strategy:max-return-lottery-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:20
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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