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rejectedregime_dependent· equity· factor· low-risk· volatility

Vol-of-Vol Stability (JP Growth Stocks)

slug: vol-of-vol-stability-jp-growth
performance summary
Sharpe (median)
+0.04
Max DD
-12.3%
Win rate
—
Alpha (ann.)
—
p-value
0.65
backtest period: 2022-03-01 → 2026-06-01
Sharpe across 432 grid runs:median 0.04best 1.33 (not representative)worst -0.89p25–p75 -0.16–0.28

Hypothesis

Stocks with unstable volatility (high volatility-of-volatility) carry uncertainty about their own risk and tend to underperform; ranking on vol-of-vol and holding the stable side tests this risk-uncertainty premium (Baltussen et al. 2018 line of research).

Why it didn't work

Across 432 grid combinations, median Sharpe=0.04, best=1.33. Primary failure mode: regime_dependent.

Facts (5)

Best grid Sharpe ratio is 1.33 (p=0.0072).
period 2022-03-01–2026-06-01; cost=5bps
sharpe_ratio1.33
cite ↗ /cite/vol-of-vol-stability-jp-growth-fact-best-sharpevia r-vol-of-vol-stability-jp-growth-0013
Median Sharpe across 432 grid runs is 0.04.
Full grid of 432 parameter combinations.
sharpe_ratio0.04
cite ↗ /cite/vol-of-vol-stability-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is 3.02 across 432 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio3.02
cite ↗ /cite/vol-of-vol-stability-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is -0.29 across 432 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.29
cite ↗ /cite/vol-of-vol-stability-jp-growth-fact-regime-flat
Median Sharpe in UP regime is 0.43 across 432 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.43
cite ↗ /cite/vol-of-vol-stability-jp-growth-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
lookback_days_vol=10, lookback_days_vov=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-vol-of-vol-stability-jp-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.65+1.33+0.45+1.56
lookback_days_vol=10, lookback_days_vov=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-vol-of-vol-stability-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: false
+1.05+3.17+0.42+3.21
lookback_days_vol=10, lookback_days_vov=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-vol-of-vol-stability-jp-growth-0002
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.42+0.90+0.04+8.26
lookback_days_vol=10, lookback_days_vov=40, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-vol-of-vol-stability-jp-growth-0003
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.54+0.54+0.45+1.56
lookback_days_vol=10, lookback_days_vov=40, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-vol-of-vol-stability-jp-growth-0006
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.45+1.00+0.28+1.39
lookback_days_vol=10, lookback_days_vov=40, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=5
r-vol-of-vol-stability-jp-growth-0013
cost_bps: 5
n_stocks: 10
regime_gate: false
+1.33+3.37+0.72+1.98
lookback_days_vol=10, lookback_days_vov=40, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=5
r-vol-of-vol-stability-jp-growth-0025
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.81+1.95+0.23+3.25
lookback_days_vol=10, lookback_days_vov=40, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-vol-of-vol-stability-jp-growth-0036
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.38+1.33-0.24+5.91
lookback_days_vol=10, lookback_days_vov=40, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=5
r-vol-of-vol-stability-jp-growth-0046
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.23+0.57-0.81+1.27
lookback_days_vol=10, lookback_days_vov=60, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=1
r-vol-of-vol-stability-jp-growth-0066
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.10-1.50+0.03+2.25
lookback_days_vol=10, lookback_days_vov=60, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=20
r-vol-of-vol-stability-jp-growth-0086
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.03+0.30-0.11+0.39
lookback_days_vol=10, lookback_days_vov=80, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-vol-of-vol-stability-jp-growth-0096
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.26-0.04+0.19+2.10
lookback_days_vol=10, lookback_days_vov=80, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20
r-vol-of-vol-stability-jp-growth-0107
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.24+0.73-0.72+3.20
lookback_days_vol=10, lookback_days_vov=80, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=5
r-vol-of-vol-stability-jp-growth-0127
cost_bps: 10
n_stocks: 20
regime_gate: false
+0.55+1.63+0.02+2.63
lookback_days_vol=20, lookback_days_vov=40, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-vol-of-vol-stability-jp-growth-0147
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.15-0.75+0.23+3.04
lookback_days_vol=20, lookback_days_vov=40, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=20
r-vol-of-vol-stability-jp-growth-0167
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.07+0.11-0.26+4.93
lookback_days_vol=20, lookback_days_vov=40, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=5
r-vol-of-vol-stability-jp-growth-0187
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.05+0.24-0.31+0.88
lookback_days_vol=20, lookback_days_vov=60, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=1
r-vol-of-vol-stability-jp-growth-0207
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.18+0.02-0.43+5.69
lookback_days_vol=20, lookback_days_vov=60, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=20
r-vol-of-vol-stability-jp-growth-0227
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.12+0.22-0.29+0.60
lookback_days_vol=20, lookback_days_vov=80, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5
r-vol-of-vol-stability-jp-growth-0247
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.07+1.43-0.58+2.43
lookback_days_vol=20, lookback_days_vov=80, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20
r-vol-of-vol-stability-jp-growth-0260
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.89+0.03-1.18-0.22
lookback_days_vol=20, lookback_days_vov=80, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=5
r-vol-of-vol-stability-jp-growth-0268
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.54+0.51+0.38+2.60
lookback_days_vol=30, lookback_days_vov=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-vol-of-vol-stability-jp-growth-0288
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.30+0.55+0.02+2.97
lookback_days_vol=30, lookback_days_vov=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-vol-of-vol-stability-jp-growth-0289
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.49+2.35-0.58+2.54
lookback_days_vol=30, lookback_days_vov=40, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=1
r-vol-of-vol-stability-jp-growth-0309
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.22+0.32-0.65+2.70
lookback_days_vol=30, lookback_days_vov=40, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=20
r-vol-of-vol-stability-jp-growth-0329
cost_bps: 5
n_stocks: 50
regime_gate: true
+0.11+0.29-0.02+0.61
lookback_days_vol=30, lookback_days_vov=60, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=5
r-vol-of-vol-stability-jp-growth-0349
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.27+1.73-0.48+12.44
lookback_days_vol=30, lookback_days_vov=60, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=1
r-vol-of-vol-stability-jp-growth-0369
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.29-0.29-0.62+3.84
lookback_days_vol=30, lookback_days_vov=80, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20
r-vol-of-vol-stability-jp-growth-0389
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.15+0.41-0.57+3.15
lookback_days_vol=30, lookback_days_vov=80, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=5
r-vol-of-vol-stability-jp-growth-0409
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.12+0.62-0.13+1.33

Target universe

Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY

Related strategies

same_strategy:vol-of-vol-stability-jp-allsame_strategy:vol-of-vol-stability-us-sp500
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-02T16:26:49
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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