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marginalno_edge· equity· anomaly· factor· volume

Volume Anomaly (US S&P 500)

slug: volume-anomaly-us-sp500

Volume Anomaly (US S&P 500) backtest. Median Sharpe across 768 parameter sets is +0.05. p-value is 0.41. Max DD is -15.3%. Period: 2022-02-01 to 2026-09-01. Best Sharpe +2.70 is not the representative figure.

Verdict: marginal. Some parameter set has a p-value under 0.10, but the median itself misses promising (Sharpe > 0.5 and p-value < 0.05). Primary reason: no_edge. It is not regime, frequency, or cost, and the median does not clear the bar.

Performance summary

Sharpe (median)
+0.05
Max DD
-15.3%
Win rate
—
Alpha (ann.)
—
p-value
0.41
backtest period: 2022-02-01 → 2026-09-01
Sharpe across 768 grid runs:median 0.05best 2.70 (not representative)worst -2.98p25–p75 -0.58–0.41

Hypothesis

Campbell, Grossman, Wang (1993): abnormal volume spikes predict subsequent price drift or reversal. Applied to S&P 500 constituents.

Why it didn't work

Across 768 grid combinations, median Sharpe=0.05, best=2.70. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 2.70 (p=0.06).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio2.70
cite ↗ /cite/volume-anomaly-us-sp500-fact-best-sharpevia r-volume-anomaly-us-sp500-0172
Median Sharpe across 768 grid runs is 0.05.
Full grid of 768 parameter combinations.
sharpe_ratio0.05
cite ↗ /cite/volume-anomaly-us-sp500-fact-median-sharpe
Median Sharpe in DOWN regime is 0.48 across 768 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio0.48
cite ↗ /cite/volume-anomaly-us-sp500-fact-regime-down
Median Sharpe in FLAT regime is -0.03 across 768 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.03
cite ↗ /cite/volume-anomaly-us-sp500-fact-regime-flat
Median Sharpe in UP regime is -0.33 across 768 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.33
cite ↗ /cite/volume-anomaly-us-sp500-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-us-sp500-0000
cost_bps: 5
direction: "momentum"
regime_gate: false
+0.30+0.87+0.44-1.28
volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=5, regime_gate=True
r-volume-anomaly-us-sp500-0001
cost_bps: 5
direction: "momentum"
regime_gate: true
+0.38+0.72+0.44-1.28
volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=10, regime_gate=False
r-volume-anomaly-us-sp500-0002
cost_bps: 10
direction: "momentum"
regime_gate: false
-0.16+0.42-0.05-1.69
volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=10, regime_gate=True
r-volume-anomaly-us-sp500-0003
cost_bps: 10
direction: "momentum"
regime_gate: true
+0.11+0.52-0.05-1.69
volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=vol_only, cost_bps=5, regime_gate=False
r-volume-anomaly-us-sp500-0008
cost_bps: 5
direction: "vol_only"
regime_gate: false
+0.26+0.16-0.43+1.64
volume_lookback=5, volume_threshold=1.5, holding_days=20, direction=momentum, cost_bps=5, regime_gate=False
r-volume-anomaly-us-sp500-0036
cost_bps: 5
direction: "momentum"
regime_gate: false
+0.23+0.62-0.85+0.55
volume_lookback=5, volume_threshold=1.5, holding_days=20, direction=reversal, cost_bps=5, regime_gate=True
r-volume-anomaly-us-sp500-0041
cost_bps: 5
direction: "reversal"
regime_gate: true
+0.04+0.16+0.53-0.65
volume_lookback=5, volume_threshold=2, holding_days=10, direction=reversal, cost_bps=5, regime_gate=True
r-volume-anomaly-us-sp500-0077
cost_bps: 5
direction: "reversal"
regime_gate: true
+0.44-0.12+0.53+1.59
volume_lookback=5, volume_threshold=3, holding_days=5, direction=reversal, cost_bps=5, regime_gate=True
r-volume-anomaly-us-sp500-0113
cost_bps: 5
direction: "reversal"
regime_gate: true
+0.39+0.17+0.35+3.02
volume_lookback=5, volume_threshold=5, holding_days=1, direction=momentum, cost_bps=5, regime_gate=False
r-volume-anomaly-us-sp500-0144
cost_bps: 5
direction: "momentum"
regime_gate: false
+0.19-1.33+0.58—
volume_lookback=5, volume_threshold=5, holding_days=1, direction=reversal, cost_bps=10, regime_gate=False
r-volume-anomaly-us-sp500-0150
cost_bps: 10
direction: "reversal"
regime_gate: false
-0.46+0.96-0.78—
volume_lookback=5, volume_threshold=5, holding_days=10, direction=momentum, cost_bps=10, regime_gate=False
r-volume-anomaly-us-sp500-0170
cost_bps: 10
direction: "momentum"
regime_gate: false
-2.98-2.28-3.12—
volume_lookback=5, volume_threshold=5, holding_days=10, direction=reversal, cost_bps=5, regime_gate=False
r-volume-anomaly-us-sp500-0172
cost_bps: 5
direction: "reversal"
regime_gate: false
+2.70+2.08+2.86—
volume_lookback=5, volume_threshold=5, holding_days=20, direction=vol_only, cost_bps=5, regime_gate=False
r-volume-anomaly-us-sp500-0188
cost_bps: 5
direction: "vol_only"
regime_gate: false
+2.47+0.79+2.78—
volume_lookback=10, volume_threshold=1.5, holding_days=10, direction=vol_only, cost_bps=5, regime_gate=False
r-volume-anomaly-us-sp500-0224
cost_bps: 5
direction: "vol_only"
regime_gate: false
+0.74+0.37+0.62+1.57
volume_lookback=10, volume_threshold=2, holding_days=5, direction=vol_only, cost_bps=5, regime_gate=False
r-volume-anomaly-us-sp500-0260
cost_bps: 5
direction: "vol_only"
regime_gate: false
+0.17-0.02+0.37+0.27
volume_lookback=10, volume_threshold=3, holding_days=1, direction=vol_only, cost_bps=5, regime_gate=False
r-volume-anomaly-us-sp500-0296
cost_bps: 5
direction: "vol_only"
regime_gate: false
-0.36-1.83+0.26+1.09
volume_lookback=10, volume_threshold=3, holding_days=20, direction=vol_only, cost_bps=5, regime_gate=False
r-volume-anomaly-us-sp500-0332
cost_bps: 5
direction: "vol_only"
regime_gate: false
+0.48-0.04+0.66+1.31
volume_lookback=10, volume_threshold=5, holding_days=10, direction=vol_only, cost_bps=5, regime_gate=False
r-volume-anomaly-us-sp500-0368
cost_bps: 5
direction: "vol_only"
regime_gate: false
+0.41-1.27+2.69—
volume_lookback=20, volume_threshold=1.5, holding_days=5, direction=vol_only, cost_bps=5, regime_gate=False
r-volume-anomaly-us-sp500-0404
cost_bps: 5
direction: "vol_only"
regime_gate: false
+0.17+0.41+0.06-0.02
volume_lookback=20, volume_threshold=2, holding_days=1, direction=vol_only, cost_bps=5, regime_gate=False
r-volume-anomaly-us-sp500-0440
cost_bps: 5
direction: "vol_only"
regime_gate: false
-0.22-1.03-0.73+2.87
volume_lookback=20, volume_threshold=2, holding_days=20, direction=vol_only, cost_bps=5, regime_gate=False
r-volume-anomaly-us-sp500-0476
cost_bps: 5
direction: "vol_only"
regime_gate: false
+0.19-0.57-0.03+2.07
volume_lookback=20, volume_threshold=3, holding_days=10, direction=vol_only, cost_bps=5, regime_gate=False
r-volume-anomaly-us-sp500-0512
cost_bps: 5
direction: "vol_only"
regime_gate: false
-0.08-1.13+0.57+1.36
volume_lookback=20, volume_threshold=5, holding_days=5, direction=vol_only, cost_bps=5, regime_gate=False
r-volume-anomaly-us-sp500-0548
cost_bps: 5
direction: "vol_only"
regime_gate: false
-0.33-1.13+1.23-2.25
volume_lookback=60, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=5, regime_gate=False
r-volume-anomaly-us-sp500-0576
cost_bps: 5
direction: "momentum"
regime_gate: false
-0.11-0.05+0.48-1.84
volume_lookback=60, volume_threshold=1.5, holding_days=1, direction=vol_only, cost_bps=5, regime_gate=True
r-volume-anomaly-us-sp500-0585
cost_bps: 5
direction: "vol_only"
regime_gate: true
+0.28-0.03-0.26+2.15
volume_lookback=60, volume_threshold=1.5, holding_days=20, direction=vol_only, cost_bps=5, regime_gate=True
r-volume-anomaly-us-sp500-0621
cost_bps: 5
direction: "vol_only"
regime_gate: true
+1.10+0.85+0.56+2.99
volume_lookback=60, volume_threshold=2, holding_days=10, direction=vol_only, cost_bps=5, regime_gate=True
r-volume-anomaly-us-sp500-0657
cost_bps: 5
direction: "vol_only"
regime_gate: true
+0.20-0.92+0.37+2.24
volume_lookback=60, volume_threshold=3, holding_days=5, direction=vol_only, cost_bps=5, regime_gate=True
r-volume-anomaly-us-sp500-0693
cost_bps: 5
direction: "vol_only"
regime_gate: true
-0.65-1.62+0.59+0.20
volume_lookback=60, volume_threshold=5, holding_days=1, direction=vol_only, cost_bps=5, regime_gate=True
r-volume-anomaly-us-sp500-0729
cost_bps: 5
direction: "vol_only"
regime_gate: true
+0.10-3.57+2.70+1.04

Target universe

S&P 500 constituents, ~503 stocks

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same_strategy:volume-anomaly-jp-allsame_strategy:volume-anomaly-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:16
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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