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

Max Return / Lottery Effect (JP Growth Stocks)

slug: max-return-lottery-jp-growth

Max Return / Lottery Effect (JP Growth Stocks) backtest. Median Sharpe across 320 parameter sets is +0.23. p-value is 0.43. Max DD is -19.9%. Period: 2022-02-01 to 2026-09-01. Best Sharpe +1.53 is not the representative figure.

Verdict: marginal. Some parameter set has a p-value under 0.10, but the median itself misses promising (Sharpe > 0.5 and p-value < 0.05). Results split across up, flat, and down markets, so the median is not stable.

Performance summary

Sharpe (median)
+0.23
Max DD
-19.9%
Win rate
—
Alpha (ann.)
—
p-value
0.43
backtest period: 2022-02-01 → 2026-09-01
Sharpe across 320 grid runs:median 0.23best 1.53 (not representative)worst -0.54p25–p75 -0.08–0.63

Hypothesis

Bali, Cakici, Whitelaw (2011): stocks with extreme positive daily returns (lottery-like) subsequently underperform. LONG low-MAX, SHORT high-MAX.

Why it didn't work

Across 320 grid combinations, median Sharpe=0.23, best=1.53. Primary failure mode: regime_dependent.

Facts (5)

Best grid Sharpe ratio is 1.53 (p=0.0015).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio1.53
cite ↗ /cite/max-return-lottery-jp-growth-fact-best-sharpevia r-max-return-lottery-jp-growth-0165
Median Sharpe across 320 grid runs is 0.23.
Full grid of 320 parameter combinations.
sharpe_ratio0.23
cite ↗ /cite/max-return-lottery-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is 1.41 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio1.41
cite ↗ /cite/max-return-lottery-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is 0.23 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.23
cite ↗ /cite/max-return-lottery-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -0.22 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.22
cite ↗ /cite/max-return-lottery-jp-growth-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-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
+1.42+2.14+1.02+34.03
formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.92-0.55+1.02+34.03
formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-growth-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
+1.29+1.98+0.91+33.08
formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-growth-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.82-0.64+0.91+33.08
formation_days=5, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-growth-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.24-0.10+0.26+4.75
formation_days=5, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-growth-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
+1.12+2.22+0.66+6.08
formation_days=5, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-growth-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.86+0.04+0.94+2.97
formation_days=5, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-growth-0046
cost_bps: 10
n_stocks: 50
regime_gate: false
+0.18-1.23+0.39+1.99
formation_days=5, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-growth-0060
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.79+1.08+0.60+6.54
formation_days=5, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-growth-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.28+0.83+0.09+3.48
formation_days=5, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-growth-0075
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.14-0.39-0.13+0.71
formation_days=10, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-growth-0089
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.26-0.52+0.37+1.17
formation_days=10, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-growth-0103
cost_bps: 10
n_stocks: 10
regime_gate: true
+0.54-1.14+0.66+20.48
formation_days=10, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-growth-0117
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.48-1.36+0.72+0.38
formation_days=10, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-growth-0131
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.78+0.63+0.62+8.41
formation_days=10, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-growth-0145
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.56-0.40+0.61+5.66
formation_days=10, holding_days=60, n_stocks=50, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-growth-0159
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.16-1.00+0.03-0.09
formation_days=20, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-growth-0165
cost_bps: 5
n_stocks: 10
regime_gate: true
+1.53-0.82+1.74+9.38
formation_days=20, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-growth-0174
cost_bps: 10
n_stocks: 50
regime_gate: false
+0.14+0.10+0.03+2.44
formation_days=20, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-growth-0188
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.27+0.07+0.34+0.79
formation_days=20, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-growth-0202
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.07-0.94+0.23+1.06
formation_days=20, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-growth-0216
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.45-0.29+0.71+0.09
formation_days=20, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-growth-0230
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.16+0.88-0.14+0.35
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-growth-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.74+0.39+0.71+2.19
formation_days=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-growth-0245
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.69-2.01+1.02+2.43
formation_days=60, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-growth-0259
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.11+0.39+0.04+0.94
formation_days=60, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-growth-0273
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.48-0.34-0.52-0.54
formation_days=60, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-growth-0279
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.54-1.44-0.52+0.50
formation_days=60, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-growth-0288
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.18+0.23-0.25-0.52
formation_days=60, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-growth-0302
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.22-0.31-0.26+1.86

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: 2026-09-24T02:22:20
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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