qbuntuqbuntu
rejectedno_edge· equity· anomaly· factor· volume

Volume Anomaly (JP All Stocks)

slug: volume-anomaly-jp-all

Volume Anomaly (JP All Stocks) backtest. Median Sharpe across 768 parameter sets is -0.25. p-value is 0.47. Max DD is -21.8%. Period: 2022-02-01 to 2026-09-01. Best Sharpe +0.86 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)
-0.25
Max DD
-21.8%
Win rate
—
Alpha (ann.)
—
p-value
0.47
backtest period: 2022-02-01 → 2026-09-01
Sharpe across 768 grid runs:median -0.25best 0.86 (not representative)worst -2.42p25–p75 -0.53–0.06

Hypothesis

Campbell, Grossman, Wang (1993): abnormal volume spikes predict subsequent price drift or reversal. Testing on the full Japanese stock universe.

Why it didn't work

Across 768 grid combinations, median Sharpe=-0.25, best=0.86. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 0.86 (p=0.066).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio0.86
cite ↗ /cite/volume-anomaly-jp-all-fact-best-sharpevia r-volume-anomaly-jp-all-0044
Median Sharpe across 768 grid runs is -0.25.
Full grid of 768 parameter combinations.
sharpe_ratio-0.25
cite ↗ /cite/volume-anomaly-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is -0.03 across 768 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.03
cite ↗ /cite/volume-anomaly-jp-all-fact-regime-down
Median Sharpe in FLAT regime is -0.47 across 768 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.47
cite ↗ /cite/volume-anomaly-jp-all-fact-regime-flat
Median Sharpe in UP regime is -0.19 across 768 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.19
cite ↗ /cite/volume-anomaly-jp-all-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=5, regime_gate=False
r-volume-anomaly-jp-all-0000
cost_bps: 5
direction: "momentum"
regime_gate: false
-1.09-1.52-0.54-2.02
volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=5, regime_gate=True
r-volume-anomaly-jp-all-0001
cost_bps: 5
direction: "momentum"
regime_gate: true
-0.49-0.45-0.54-2.02
volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=10, regime_gate=False
r-volume-anomaly-jp-all-0002
cost_bps: 10
direction: "momentum"
regime_gate: false
-1.82-2.45-1.15-2.78
volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0003
cost_bps: 10
direction: "momentum"
regime_gate: true
-0.74-0.61-1.15-2.78
volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=vol_only, cost_bps=5, regime_gate=False
r-volume-anomaly-jp-all-0008
cost_bps: 5
direction: "vol_only"
regime_gate: false
-0.82-0.33-1.34+0.09
volume_lookback=5, volume_threshold=1.5, holding_days=20, direction=momentum, cost_bps=5, regime_gate=False
r-volume-anomaly-jp-all-0036
cost_bps: 5
direction: "momentum"
regime_gate: false
+0.23-0.51+1.09+0.09
volume_lookback=5, volume_threshold=1.5, holding_days=20, direction=reversal, cost_bps=5, regime_gate=True
r-volume-anomaly-jp-all-0041
cost_bps: 5
direction: "reversal"
regime_gate: true
+0.37+1.20-1.23-0.43
volume_lookback=5, volume_threshold=1.5, holding_days=20, direction=vol_only, cost_bps=5, regime_gate=False
r-volume-anomaly-jp-all-0044
cost_bps: 5
direction: "vol_only"
regime_gate: false
+0.86+1.06+0.18+2.45
volume_lookback=5, volume_threshold=2, holding_days=10, direction=reversal, cost_bps=10, regime_gate=False
r-volume-anomaly-jp-all-0078
cost_bps: 10
direction: "reversal"
regime_gate: false
-0.26+0.13-1.13+1.01
volume_lookback=5, volume_threshold=3, holding_days=5, direction=reversal, cost_bps=10, regime_gate=False
r-volume-anomaly-jp-all-0114
cost_bps: 10
direction: "reversal"
regime_gate: false
-0.25-0.21-1.02+0.88
volume_lookback=5, volume_threshold=5, holding_days=1, direction=momentum, cost_bps=5, regime_gate=False
r-volume-anomaly-jp-all-0144
cost_bps: 5
direction: "momentum"
regime_gate: false
-0.11-0.50+0.18-0.16
volume_lookback=5, volume_threshold=5, holding_days=1, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0151
cost_bps: 10
direction: "reversal"
regime_gate: true
-0.27-0.34-0.63+0.02
volume_lookback=5, volume_threshold=5, holding_days=20, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0187
cost_bps: 10
direction: "reversal"
regime_gate: true
0.00-0.18+0.58-0.64
volume_lookback=10, volume_threshold=1.5, holding_days=10, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0223
cost_bps: 10
direction: "reversal"
regime_gate: true
+0.14+0.52-1.31+0.82
volume_lookback=10, volume_threshold=2, holding_days=5, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0259
cost_bps: 10
direction: "reversal"
regime_gate: true
+0.02+0.29-1.76+1.49
volume_lookback=10, volume_threshold=3, holding_days=1, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0295
cost_bps: 10
direction: "reversal"
regime_gate: true
+0.08+0.10-0.43+0.59
volume_lookback=10, volume_threshold=3, holding_days=20, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0331
cost_bps: 10
direction: "reversal"
regime_gate: true
-0.10-0.38+0.39+0.16
volume_lookback=10, volume_threshold=5, holding_days=10, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0367
cost_bps: 10
direction: "reversal"
regime_gate: true
+0.07-0.07+0.24+0.29
volume_lookback=20, volume_threshold=1.5, holding_days=5, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0403
cost_bps: 10
direction: "reversal"
regime_gate: true
+0.01+0.31-1.29+0.81
volume_lookback=20, volume_threshold=2, holding_days=1, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0439
cost_bps: 10
direction: "reversal"
regime_gate: true
-0.14-0.27-0.46+0.92
volume_lookback=20, volume_threshold=2, holding_days=20, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0475
cost_bps: 10
direction: "reversal"
regime_gate: true
-0.13-0.03-0.20-0.80
volume_lookback=20, volume_threshold=3, holding_days=10, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0511
cost_bps: 10
direction: "reversal"
regime_gate: true
-0.01-0.49+0.64+0.91
volume_lookback=20, volume_threshold=5, holding_days=5, direction=reversal, cost_bps=10, regime_gate=True
r-volume-anomaly-jp-all-0547
cost_bps: 10
direction: "reversal"
regime_gate: true
-0.18-0.40-0.33+0.59
volume_lookback=60, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=5, regime_gate=False
r-volume-anomaly-jp-all-0576
cost_bps: 5
direction: "momentum"
regime_gate: false
-1.53-1.40-1.54-1.70
volume_lookback=60, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=10, regime_gate=False
r-volume-anomaly-jp-all-0578
cost_bps: 10
direction: "momentum"
regime_gate: false
-2.42-2.48-2.38-2.38
volume_lookback=60, volume_threshold=1.5, holding_days=1, direction=vol_only, cost_bps=5, regime_gate=True
r-volume-anomaly-jp-all-0585
cost_bps: 5
direction: "vol_only"
regime_gate: true
-0.89-0.37-1.34-0.37
volume_lookback=60, volume_threshold=1.5, holding_days=20, direction=vol_only, cost_bps=5, regime_gate=True
r-volume-anomaly-jp-all-0621
cost_bps: 5
direction: "vol_only"
regime_gate: true
+0.75+1.03-0.10+3.03
volume_lookback=60, volume_threshold=2, holding_days=10, direction=vol_only, cost_bps=5, regime_gate=True
r-volume-anomaly-jp-all-0657
cost_bps: 5
direction: "vol_only"
regime_gate: true
+0.13+0.21-0.24+1.20
volume_lookback=60, volume_threshold=3, holding_days=5, direction=vol_only, cost_bps=5, regime_gate=True
r-volume-anomaly-jp-all-0693
cost_bps: 5
direction: "vol_only"
regime_gate: true
-0.61-0.05-0.85-1.01
volume_lookback=60, volume_threshold=5, holding_days=1, direction=vol_only, cost_bps=5, regime_gate=True
r-volume-anomaly-jp-all-0729
cost_bps: 5
direction: "vol_only"
regime_gate: true
-1.32-0.84-1.88-0.88

Target universe

Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks

Related strategies

same_strategy:volume-anomaly-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-26T05:54:03
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

Related strategies