Turnover Factor (JP All Stocks)
slug: turnover-jp-all
performance summary
Sharpe (median)
+0.12
Max DD
-15.8%
Win rate
—
Alpha (ann.)
—
p-value
0.43
backtest period: 2022-05-02 → 2026-02-02
Sharpe across 160 grid runs:median 0.12best 0.93 (not representative)worst -1.13p25–p75 -0.22–0.38
Hypothesis
Datar, Naik, Radcliffe (1998): low turnover stocks outperform. Testing on the full Japanese stock universe.
Why it didn't work
Across 160 grid combinations, median Sharpe=0.12, best=0.93. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is 0.93 (p=0.076).
period 2022-05-02–2026-02-02; cost=5bps
cite ↗ /cite/turnover-jp-all-fact-best-sharpevia r-turnover-jp-all-0049
Median Sharpe across 160 grid runs is 0.12.
Full grid of 160 parameter combinations.
Median Sharpe in DOWN regime is -0.53 across 160 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is 0.25 across 160 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.03 across 160 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-turnover-jp-all-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.08 | +0.14 | -0.19 | +0.23 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-turnover-jp-all-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.08 | +1.28 | -0.19 | +0.23 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-turnover-jp-all-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.29 | -0.04 | -0.40 | -0.03 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-turnover-jp-all-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.13 | +1.12 | -0.40 | -0.03 |
formation_days=10, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False r-turnover-jp-all-0004 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.63 | -0.87 | -0.67 | +1.09 |
formation_days=10, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-turnover-jp-all-0018 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.46 | -0.50 | -0.41 | -1.18 |
formation_days=10, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-turnover-jp-all-0032 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.16 | +0.30 | +0.40 | -1.89 |
formation_days=10, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-turnover-jp-all-0038 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.38 | +0.02 | -0.36 | -2.60 |
formation_days=10, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True r-turnover-jp-all-0049 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.93 | +1.56 | +0.75 | +0.78 |
formation_days=10, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-turnover-jp-all-0053 | cost_bps: 5 n_stocks: 10 regime_gate: true | +0.39 | +0.46 | +0.40 | -0.20 |
formation_days=10, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-turnover-jp-all-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.31 | -0.12 | +0.29 | +1.40 |
formation_days=10, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=False r-turnover-jp-all-0068 | cost_bps: 5 n_stocks: 10 regime_gate: false | +0.01 | -1.27 | +0.33 | +1.09 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-turnover-jp-all-0082 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.29 | -0.46 | -0.33 | +0.51 |
formation_days=20, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False r-turnover-jp-all-0086 | cost_bps: 10 n_stocks: 10 regime_gate: false | -1.13 | -0.67 | -1.40 | +0.36 |
formation_days=20, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True r-turnover-jp-all-0097 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.05 | +2.76 | -0.38 | -0.50 |
formation_days=20, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True r-turnover-jp-all-0103 | cost_bps: 10 n_stocks: 10 regime_gate: true | -0.07 | +1.38 | -0.39 | -3.41 |
formation_days=20, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True r-turnover-jp-all-0117 | cost_bps: 5 n_stocks: 10 regime_gate: true | +0.42 | +0.92 | +0.69 | -3.57 |
formation_days=20, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True r-turnover-jp-all-0131 | cost_bps: 10 n_stocks: 5 regime_gate: true | +0.52 | +1.29 | +0.54 | -1.88 |
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True r-turnover-jp-all-0145 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.31 | -0.18 | +0.34 | +0.95 |
formation_days=20, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True r-turnover-jp-all-0151 | cost_bps: 10 n_stocks: 10 regime_gate: true | +0.22 | -0.25 | +0.25 | +0.81 |
formation_days=40, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True r-turnover-jp-all-0165 | cost_bps: 5 n_stocks: 10 regime_gate: true | +0.22 | +0.27 | +0.22 | +0.10 |
formation_days=40, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True r-turnover-jp-all-0179 | cost_bps: 10 n_stocks: 5 regime_gate: true | +0.20 | +0.81 | +0.18 | -0.95 |
formation_days=40, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True r-turnover-jp-all-0193 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.47 | +0.78 | +0.70 | -2.26 |
formation_days=40, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True r-turnover-jp-all-0199 | cost_bps: 10 n_stocks: 10 regime_gate: true | +0.41 | +0.80 | +0.68 | -3.45 |
formation_days=40, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True r-turnover-jp-all-0213 | cost_bps: 5 n_stocks: 10 regime_gate: true | +0.71 | +0.54 | +0.89 | -0.67 |
formation_days=40, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True r-turnover-jp-all-0227 | cost_bps: 10 n_stocks: 5 regime_gate: true | +0.38 | +0.10 | +0.29 | +1.89 |
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-turnover-jp-all-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.20 | -1.61 | +0.23 | +0.84 |
formation_days=60, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-turnover-jp-all-0242 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.42 | -1.80 | -0.03 | +0.69 |
formation_days=60, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-turnover-jp-all-0256 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.60 | -1.13 | -0.08 | -1.41 |
formation_days=60, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False r-turnover-jp-all-0262 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.45 | -0.96 | +0.12 | -2.47 |
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: 2026-07-29T01:08:34