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rejectedregime_dependent· equity· anomaly· factor· illiquidity· liquidity

Liquidity Premium / Amihud Illiquidity (JP All Stocks)

slug: liquidity-premium-jp-all
performance summary
Sharpe (median)
-0.08
Max DD
-19.7%
Win rate
—
Alpha (ann.)
—
p-value
0.53
backtest period: 2022-02-01 → 2026-02-02
Sharpe across 160 grid runs:median -0.08best 0.57 (not representative)worst -1.58p25–p75 -0.37–0.21

Hypothesis

Amihud (2002): illiquid stocks earn a premium. Testing on the full Japanese stock universe.

Why it didn't work

Across 160 grid combinations, median Sharpe=-0.08, best=0.57. Primary failure mode: regime_dependent.

Facts (5)

Best grid Sharpe ratio is 0.57 (p=0.25).
period 2022-02-01–2026-02-02; cost=5bps
sharpe_ratio0.57
cite ↗ /cite/liquidity-premium-jp-all-fact-best-sharpevia r-liquidity-premium-jp-all-0129
Median Sharpe across 160 grid runs is -0.08.
Full grid of 160 parameter combinations.
sharpe_ratio-0.08
cite ↗ /cite/liquidity-premium-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is 2.02 across 160 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio2.02
cite ↗ /cite/liquidity-premium-jp-all-fact-regime-down
Median Sharpe in FLAT regime is -0.87 across 160 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.87
cite ↗ /cite/liquidity-premium-jp-all-fact-regime-flat
Median Sharpe in UP regime is 0.63 across 160 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.63
cite ↗ /cite/liquidity-premium-jp-all-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-all-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.53+0.69-0.94+0.28
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-liquidity-premium-jp-all-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.36+1.53-0.94+0.28
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-all-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.76+0.47-1.16-0.17
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-liquidity-premium-jp-all-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.56+1.42-1.16-0.17
formation_days=10, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-all-0004
cost_bps: 5
n_stocks: 10
regime_gate: false
-1.19+0.35-1.76+1.33
formation_days=10, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-all-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.29+0.14-0.90+1.80
formation_days=10, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-all-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.33+0.21-0.84+1.03
formation_days=10, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-all-0038
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.30+0.55-0.85+1.34
formation_days=10, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-all-0052
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.28+0.42+0.06+2.43
formation_days=10, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-all-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.09-0.68+0.32+2.28
formation_days=10, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True
r-liquidity-premium-jp-all-0067
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.44+0.69+0.29+2.24
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-liquidity-premium-jp-all-0081
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.50+1.33-1.08-0.16
formation_days=20, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True
r-liquidity-premium-jp-all-0087
cost_bps: 10
n_stocks: 10
regime_gate: true
-1.27+1.22-1.94-0.57
formation_days=20, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True
r-liquidity-premium-jp-all-0101
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.09+1.33-1.16+1.45
formation_days=20, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=True
r-liquidity-premium-jp-all-0115
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.14+1.03-1.07+3.67
formation_days=20, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True
r-liquidity-premium-jp-all-0129
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.57+0.74+0.21+8.07
formation_days=20, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-all-0130
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.16-0.36+0.13+7.89
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-all-0144
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.19-0.62+0.28+1.85
formation_days=20, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-all-0150
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.26-0.46+0.38+1.29
formation_days=40, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-all-0164
cost_bps: 5
n_stocks: 10
regime_gate: false
-1.26-0.04-1.77-0.09
formation_days=40, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-all-0166
cost_bps: 10
n_stocks: 10
regime_gate: false
-1.58-0.35-2.10-0.32
formation_days=40, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-liquidity-premium-jp-all-0179
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.01+1.27-1.09+4.47
formation_days=40, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-liquidity-premium-jp-all-0193
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.03+1.16-1.16+3.86
formation_days=40, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True
r-liquidity-premium-jp-all-0199
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.26+1.43-1.23+2.07
formation_days=40, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True
r-liquidity-premium-jp-all-0213
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.18+0.95-0.38+4.60
formation_days=40, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True
r-liquidity-premium-jp-all-0227
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.40+0.78+0.01+2.28
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-all-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.66+1.47-1.43+0.86
formation_days=60, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-all-0242
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.89+1.24-1.68+0.46
formation_days=60, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-all-0256
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.08+0.40-0.73+4.05
formation_days=60, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-all-0262
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.58-0.14-1.43+1.40

Target universe

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

Related strategies

same_strategy:liquidity-premium-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-01T07:31:26
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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