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rejectedregime_dependent· equity· anomaly· factor· liquidity· turnover

Turnover Factor (US S&P 500)

slug: turnover-us-sp500

Turnover Factor (US S&P 500) backtest. Median Sharpe across 320 parameter sets is -0.11. p-value is 0.56. Max DD is -15.5%. Period: 2022-05-02 to 2026-09-01. Best Sharpe +0.62 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). Results split across up, flat, and down markets, so the median is not stable.

Performance summary

Sharpe (median)
-0.11
Max DD
-15.5%
Win rate
—
Alpha (ann.)
—
p-value
0.56
backtest period: 2022-05-02 → 2026-09-01
Sharpe across 320 grid runs:median -0.11best 0.62 (not representative)worst -2.45p25–p75 -0.42–0.11

Hypothesis

Datar, Naik, Radcliffe (1998): low turnover stocks outperform. Applied to S&P 500 constituents.

Why it didn't work

Across 320 grid combinations, median Sharpe=-0.11, best=0.62. Primary failure mode: regime_dependent.

Facts (5)

Best grid Sharpe ratio is 0.62 (p=0.034).
period 2022-05-02–2026-09-01; cost=5bps
sharpe_ratio0.62
cite ↗ /cite/turnover-us-sp500-fact-best-sharpevia r-turnover-us-sp500-0237
Median Sharpe across 320 grid runs is -0.11.
Full grid of 320 parameter combinations.
sharpe_ratio-0.11
cite ↗ /cite/turnover-us-sp500-fact-median-sharpe
Median Sharpe in DOWN regime is -1.03 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-1.03
cite ↗ /cite/turnover-us-sp500-fact-regime-down
Median Sharpe in FLAT regime is -1.06 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-1.06
cite ↗ /cite/turnover-us-sp500-fact-regime-flat
Median Sharpe in UP regime is 0.90 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.90
cite ↗ /cite/turnover-us-sp500-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-turnover-us-sp500-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.28+0.83-0.21-0.39
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-turnover-us-sp500-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.17-0.09-0.21-0.39
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-turnover-us-sp500-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.02+0.53-0.51-0.71
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-turnover-us-sp500-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.38-0.21-0.51-0.71
formation_days=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-turnover-us-sp500-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.50-1.36-2.00-0.54
formation_days=10, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-turnover-us-sp500-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.05+0.95-0.70-1.85
formation_days=10, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-turnover-us-sp500-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.16+1.43-0.73-2.35
formation_days=10, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False
r-turnover-us-sp500-0046
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.33+0.55-1.38-0.45
formation_days=10, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False
r-turnover-us-sp500-0060
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.21+0.63-1.06-0.69
formation_days=10, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-turnover-us-sp500-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.27+0.71-0.54+0.31
formation_days=10, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True
r-turnover-us-sp500-0075
cost_bps: 10
n_stocks: 20
regime_gate: true
+0.36+1.00-0.78-0.54
formation_days=20, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True
r-turnover-us-sp500-0089
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.59-0.16-0.99-0.95
formation_days=20, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True
r-turnover-us-sp500-0103
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.23+1.02-1.14-1.53
formation_days=20, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True
r-turnover-us-sp500-0117
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.18+1.27-1.31-1.80
formation_days=20, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True
r-turnover-us-sp500-0131
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.06+1.64-1.53-1.20
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True
r-turnover-us-sp500-0145
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.29+0.94-0.57-0.67
formation_days=20, holding_days=60, n_stocks=50, cost_bps=10, regime_gate=True
r-turnover-us-sp500-0159
cost_bps: 10
n_stocks: 50
regime_gate: true
+0.57+1.07-0.49+0.28
formation_days=40, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=True
r-turnover-us-sp500-0173
cost_bps: 5
n_stocks: 50
regime_gate: true
-0.85-0.46-1.00-3.22
formation_days=40, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=True
r-turnover-us-sp500-0187
cost_bps: 10
n_stocks: 20
regime_gate: true
+0.01+1.53-0.93-1.53
formation_days=40, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=True
r-turnover-us-sp500-0201
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.02+1.42-1.72-2.06
formation_days=40, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True
r-turnover-us-sp500-0215
cost_bps: 10
n_stocks: 10
regime_gate: true
+0.10+1.72-1.25-2.57
formation_days=40, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=True
r-turnover-us-sp500-0229
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.43+0.99-0.64-0.01
formation_days=40, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=True
r-turnover-us-sp500-0237
cost_bps: 5
n_stocks: 50
regime_gate: true
+0.62+1.15-0.52+0.52
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-turnover-us-sp500-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.41-0.04-0.50-1.10
formation_days=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-turnover-us-sp500-0245
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.55-0.04-0.69-1.42
formation_days=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-turnover-us-sp500-0254
cost_bps: 10
n_stocks: 50
regime_gate: false
-2.45-2.49-1.99-4.52
formation_days=60, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False
r-turnover-us-sp500-0260
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.23+0.29-0.68-0.96
formation_days=60, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False
r-turnover-us-sp500-0274
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.20+0.65-1.35-2.34
formation_days=60, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-turnover-us-sp500-0288
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.55+0.38-1.57-1.83
formation_days=60, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-turnover-us-sp500-0302
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.05-0.45-1.91-0.85

Target universe

S&P 500 constituents, ~503 stocks

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same_strategy:turnover-jp-allsame_strategy:turnover-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T21:54:27
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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