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marginalno_edge· equity· anomaly· factor· volatility

Garman-Klass Volatility Factor (JP Growth Stocks)

slug: garman-klass-vol-jp-growth
performance summary
Sharpe (median)
+0.19
Max DD
-21.2%
Win rate
—
Alpha (ann.)
—
p-value
0.45
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 320 grid runs:median 0.19best 1.50 (not representative)worst -0.68p25–p75 -0.08–0.58

Hypothesis

Garman & Klass (1980): OHLC-based volatility estimator more efficient than close-to-close. Tests low-volatility anomaly using GK vol: LONG lowest GK-vol stocks, SHORT highest GK-vol stocks. Baker, Bradley, Wurgler (2011): low-vol stocks earn higher risk-adjusted returns.

Why it didn't work

Across 320 grid combinations, median Sharpe=0.19, best=1.50. Primary failure mode: no_edge.

Facts (7)

Average monthly return correlation with other strategies in DOWN regime: -0.01
Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
correlation-0.01
cite ↗ /cite/garman-klass-vol-jp-growth-fact-avg-corr-down
Average monthly return correlation with other strategies (full period): 0.01
Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
correlation0.01
cite ↗ /cite/garman-klass-vol-jp-growth-fact-avg-corr-full
Best grid Sharpe ratio is 1.50 (p=0.0023).
period 2022-02-01–2026-06-01; cost=5bps
sharpe_ratio1.50
cite ↗ /cite/garman-klass-vol-jp-growth-fact-best-sharpevia r-garman-klass-vol-jp-growth-0080
Median Sharpe across 320 grid runs is 0.19.
Full grid of 320 parameter combinations.
sharpe_ratio0.19
cite ↗ /cite/garman-klass-vol-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is -0.04 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.04
cite ↗ /cite/garman-klass-vol-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is 0.17 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.17
cite ↗ /cite/garman-klass-vol-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -0.30 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.30
cite ↗ /cite/garman-klass-vol-jp-growth-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
+1.33+1.71+1.05+3.95
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-garman-klass-vol-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.95-1.12+1.05+3.95
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-growth-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
+1.21+1.61+0.91+3.72
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-garman-klass-vol-jp-growth-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.81-1.51+0.91+3.72
formation_days=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.86+0.21+1.06+2.83
formation_days=10, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-growth-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.88+3.84+0.19+6.08
formation_days=10, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
0.00+3.08-0.38-0.38
formation_days=10, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-growth-0046
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.36-1.19-0.08-0.67
formation_days=10, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0060
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.20-0.19+0.28+0.52
formation_days=10, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.41+2.30+0.15-0.77
formation_days=10, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True
r-garman-klass-vol-jp-growth-0075
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.09-1.17+0.07-0.69
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0080
cost_bps: 5
n_stocks: 5
regime_gate: false
+1.50+1.41+1.43+26.92
formation_days=20, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-growth-0090
cost_bps: 10
n_stocks: 20
regime_gate: false
+0.89+0.23+1.09+3.11
formation_days=20, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0104
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.67+0.21+0.82+0.79
formation_days=20, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-growth-0118
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.28-0.22-0.28-0.54
formation_days=20, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0132
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.39+0.77+0.30+0.05
formation_days=20, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-growth-0146
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.19+1.92-0.10-1.96
formation_days=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0160
cost_bps: 5
n_stocks: 5
regime_gate: false
+1.48+1.33+1.40+3.46
formation_days=40, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-growth-0174
cost_bps: 10
n_stocks: 50
regime_gate: false
+0.25-0.29+0.29+4.28
formation_days=40, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0188
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.30-0.37+0.52+1.17
formation_days=40, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-growth-0202
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.13-0.54+0.09-1.30
formation_days=40, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0216
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.49+0.45+0.55-0.06
formation_days=40, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-growth-0230
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.37+1.15+0.30-1.48
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
+1.23+1.03+1.52-0.37
formation_days=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-garman-klass-vol-jp-growth-0245
cost_bps: 5
n_stocks: 10
regime_gate: true
+1.22-1.18+1.61+1.33
formation_days=60, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-garman-klass-vol-jp-growth-0259
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.56-0.92+0.78-0.09
formation_days=60, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-garman-klass-vol-jp-growth-0273
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.43-1.19-0.41-0.60
formation_days=60, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True
r-garman-klass-vol-jp-growth-0283
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.68-0.23-0.70-1.36
formation_days=60, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-garman-klass-vol-jp-growth-0288
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.19+4.77-0.55+0.90
formation_days=60, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-garman-klass-vol-jp-growth-0302
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.05+0.19-0.23+0.93

Target universe

Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-30T01:20:51
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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