Skewness Anomaly (JP All Stocks)
slug: skewness-anomaly-jp-all
Skewness Anomaly (JP All Stocks) backtest. Median Sharpe across 160 parameter sets is -0.56. p-value is 0.22. Max DD is -32.5%. Period: 2022-02-01 to 2026-09-01. Best Sharpe +0.27 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
-32.5%
Win rate
—
Alpha (ann.)
—
p-value
0.22
backtest period: 2022-02-01 → 2026-09-01
Sharpe across 160 grid runs:median -0.56best 0.27 (not representative)worst -1.50p25–p75 -0.96–-0.17
Hypothesis
Boyer, Mitton, Vorkink (2010): stocks with high expected skewness earn lower returns. Testing on the full Japanese stock universe.
Why it didn't work
Across 160 grid combinations, median Sharpe=-0.56, best=0.27. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is 0.27 (p=0.56).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/skewness-anomaly-jp-all-fact-best-sharpevia r-skewness-anomaly-jp-all-0193
Median Sharpe across 160 grid runs is -0.56.
Full grid of 160 parameter combinations.
Median Sharpe in DOWN regime is -0.44 across 160 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.47 across 160 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.94 across 160 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-skewness-anomaly-jp-all-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.49 | -1.46 | +0.03 | -1.24 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-skewness-anomaly-jp-all-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.36 | -1.19 | +0.03 | -1.24 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-skewness-anomaly-jp-all-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.75 | -1.65 | -0.27 | -1.54 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-skewness-anomaly-jp-all-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.61 | -1.31 | -0.27 | -1.54 |
formation_days=20, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False r-skewness-anomaly-jp-all-0004 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.31 | -0.90 | -0.25 | +2.33 |
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-skewness-anomaly-jp-all-0018 | cost_bps: 10 n_stocks: 5 regime_gate: false | -1.17 | -1.97 | -0.86 | -0.42 |
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-skewness-anomaly-jp-all-0032 | cost_bps: 5 n_stocks: 5 regime_gate: false | -1.24 | -2.42 | -0.72 | -2.51 |
formation_days=20, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-skewness-anomaly-jp-all-0038 | cost_bps: 10 n_stocks: 10 regime_gate: false | -1.08 | -2.35 | -0.61 | -1.26 |
formation_days=20, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-skewness-anomaly-jp-all-0052 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.86 | -2.54 | -0.43 | -0.45 |
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-skewness-anomaly-jp-all-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.13 | +0.10 | -0.47 | +1.17 |
formation_days=20, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True r-skewness-anomaly-jp-all-0067 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.20 | -0.06 | -0.51 | +1.15 |
formation_days=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-skewness-anomaly-jp-all-0081 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.68 | -1.25 | -0.71 | +8.92 |
formation_days=40, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True r-skewness-anomaly-jp-all-0087 | cost_bps: 10 n_stocks: 10 regime_gate: true | -0.22 | -0.95 | +0.04 | +0.91 |
formation_days=40, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True r-skewness-anomaly-jp-all-0101 | cost_bps: 5 n_stocks: 10 regime_gate: true | -0.43 | -0.55 | -0.56 | +1.34 |
formation_days=40, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=True r-skewness-anomaly-jp-all-0115 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.56 | -0.82 | -0.46 | -0.42 |
formation_days=40, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True r-skewness-anomaly-jp-all-0129 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.04 | -0.95 | +0.17 | +1.17 |
formation_days=40, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True r-skewness-anomaly-jp-all-0135 | cost_bps: 10 n_stocks: 10 regime_gate: true | -0.46 | -0.36 | -0.42 | -1.82 |
formation_days=40, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=True r-skewness-anomaly-jp-all-0149 | cost_bps: 5 n_stocks: 10 regime_gate: true | -0.02 | +0.31 | -0.17 | -0.46 |
formation_days=60, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-skewness-anomaly-jp-all-0163 | cost_bps: 10 n_stocks: 5 regime_gate: true | -1.08 | -1.47 | -0.98 | -0.14 |
formation_days=60, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True r-skewness-anomaly-jp-all-0177 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.49 | -0.38 | -0.49 | -0.70 |
formation_days=60, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True r-skewness-anomaly-jp-all-0183 | cost_bps: 10 n_stocks: 10 regime_gate: true | -0.54 | -0.54 | -0.67 | +1.08 |
formation_days=60, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True r-skewness-anomaly-jp-all-0193 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.27 | +0.15 | +0.56 | -2.28 |
formation_days=60, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-skewness-anomaly-jp-all-0198 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.39 | -1.30 | +0.08 | -1.42 |
formation_days=60, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False r-skewness-anomaly-jp-all-0212 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.32 | -1.24 | +0.10 | -0.74 |
formation_days=60, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False r-skewness-anomaly-jp-all-0226 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.17 | -0.30 | -0.12 | -0.14 |
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-skewness-anomaly-jp-all-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.98 | -1.40 | -0.63 | -9.91 |
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-skewness-anomaly-jp-all-0241 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.81 | -0.72 | -0.63 | -9.91 |
formation_days=120, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True r-skewness-anomaly-jp-all-0247 | cost_bps: 10 n_stocks: 10 regime_gate: true | -0.76 | -0.63 | -0.88 | -0.10 |
formation_days=120, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-skewness-anomaly-jp-all-0258 | cost_bps: 10 n_stocks: 5 regime_gate: false | -1.50 | -1.48 | -1.65 | -2.93 |
formation_days=120, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False r-skewness-anomaly-jp-all-0262 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.99 | -1.40 | -0.94 | +0.42 |
Target universe
Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks
Related strategies
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:21