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rejectedno_edge· equity· anomaly· factor· lottery· skewness

Skewness Anomaly (US S&P 500)

slug: skewness-anomaly-us-sp500

Skewness Anomaly (US S&P 500) backtest. Median Sharpe across 320 parameter sets is -0.63. p-value is 0.14. Max DD is -20.1%. Period: 2022-02-01 to 2026-09-01. Best Sharpe +0.55 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)
-0.63
Max DD
-20.1%
Win rate
—
Alpha (ann.)
—
p-value
0.14
backtest period: 2022-02-01 → 2026-09-01
Sharpe across 320 grid runs:median -0.63best 0.55 (not representative)worst -3.17p25–p75 -1.13–-0.17

Hypothesis

Boyer, Mitton, Vorkink (2010): stocks with high expected skewness earn lower returns. Applied to S&P 500 constituents.

Why it didn't work

Across 320 grid combinations, median Sharpe=-0.63, best=0.55. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 0.55 (p=0.058).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio0.55
cite ↗ /cite/skewness-anomaly-us-sp500-fact-best-sharpevia r-skewness-anomaly-us-sp500-0313
Median Sharpe across 320 grid runs is -0.63.
Full grid of 320 parameter combinations.
sharpe_ratio-0.63
cite ↗ /cite/skewness-anomaly-us-sp500-fact-median-sharpe
Median Sharpe in DOWN regime is 0.47 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio0.47
cite ↗ /cite/skewness-anomaly-us-sp500-fact-regime-down
Median Sharpe in FLAT regime is -1.00 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-1
cite ↗ /cite/skewness-anomaly-us-sp500-fact-regime-flat
Median Sharpe in UP regime is -0.74 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.74
cite ↗ /cite/skewness-anomaly-us-sp500-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-skewness-anomaly-us-sp500-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.74-2.64-1.40-0.83
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-skewness-anomaly-us-sp500-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-1.40-1.93-1.40-0.83
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-skewness-anomaly-us-sp500-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-2.12-3.12-1.74-1.15
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-skewness-anomaly-us-sp500-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-1.71-2.25-1.74-1.15
formation_days=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-skewness-anomaly-us-sp500-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.39-1.80-1.25-0.31
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-skewness-anomaly-us-sp500-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.54-1.71-1.80-0.24
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-skewness-anomaly-us-sp500-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.82-1.36-0.84+1.09
formation_days=20, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False
r-skewness-anomaly-us-sp500-0046
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.65-0.61-1.23+1.12
formation_days=20, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False
r-skewness-anomaly-us-sp500-0060
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.32-0.38-0.99+1.45
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-skewness-anomaly-us-sp500-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.08-0.28-0.07+1.77
formation_days=20, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True
r-skewness-anomaly-us-sp500-0075
cost_bps: 10
n_stocks: 20
regime_gate: true
+0.21+0.92-0.84+0.56
formation_days=40, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True
r-skewness-anomaly-us-sp500-0089
cost_bps: 5
n_stocks: 20
regime_gate: true
-1.56-1.27-1.42-2.65
formation_days=40, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False
r-skewness-anomaly-us-sp500-0090
cost_bps: 10
n_stocks: 20
regime_gate: false
-3.17-4.12-2.09-3.46
formation_days=40, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False
r-skewness-anomaly-us-sp500-0104
cost_bps: 5
n_stocks: 20
regime_gate: false
-1.63-1.89-1.73-0.64
formation_days=40, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False
r-skewness-anomaly-us-sp500-0118
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.89-0.81-1.31+0.16
formation_days=40, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False
r-skewness-anomaly-us-sp500-0132
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.56-0.86-1.49+1.74
formation_days=40, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False
r-skewness-anomaly-us-sp500-0146
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.11-0.06-0.57+2.28
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-skewness-anomaly-us-sp500-0160
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.55-1.66-1.74-0.93
formation_days=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-skewness-anomaly-us-sp500-0174
cost_bps: 10
n_stocks: 50
regime_gate: false
-2.46-3.51-1.19-3.08
formation_days=60, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False
r-skewness-anomaly-us-sp500-0188
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.90-1.40-0.90+0.38
formation_days=60, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False
r-skewness-anomaly-us-sp500-0202
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.85-1.75-0.46+0.24
formation_days=60, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-skewness-anomaly-us-sp500-0216
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.56-1.17-0.16+0.48
formation_days=60, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False
r-skewness-anomaly-us-sp500-0230
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.16-0.74-0.61+1.98
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-skewness-anomaly-us-sp500-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.34-1.23-1.64-0.90
formation_days=120, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-skewness-anomaly-us-sp500-0245
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.52-0.40-1.06+0.21
formation_days=120, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-skewness-anomaly-us-sp500-0259
cost_bps: 10
n_stocks: 5
regime_gate: true
-1.02-0.39-1.63-0.78
formation_days=120, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-skewness-anomaly-us-sp500-0273
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.65-0.38-1.34+1.31
formation_days=120, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True
r-skewness-anomaly-us-sp500-0287
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.21+0.22-1.34+1.97
formation_days=120, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=True
r-skewness-anomaly-us-sp500-0301
cost_bps: 5
n_stocks: 50
regime_gate: true
+0.27+0.53-0.43+1.56
formation_days=120, holding_days=60, n_stocks=20, cost_bps=5, regime_gate=True
r-skewness-anomaly-us-sp500-0313
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.55+0.56+0.02+1.71

Target universe

S&P 500 constituents, ~503 stocks

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same_strategy:skewness-anomaly-jp-allsame_strategy:skewness-anomaly-jp-growth
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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