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rejectedno_edge· equity· factor· low-risk· volatility

Vol-of-Vol Stability (JP All Stocks)

slug: vol-of-vol-stability-jp-all
performance summary
Sharpe (median)
-0.11
Max DD
-11.9%
Win rate
—
Alpha (ann.)
—
p-value
0.50
backtest period: 2022-03-01 → 2026-02-02
Sharpe across 216 grid runs:median -0.11best 1.16 (not representative)worst -1.39p25–p75 -0.42–0.22

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 216 grid combinations, median Sharpe=-0.11, best=1.16. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 1.16 (p=0.023).
period 2022-03-01–2026-02-02; cost=5bps
sharpe_ratio1.16
cite ↗ /cite/vol-of-vol-stability-jp-all-fact-best-sharpevia r-vol-of-vol-stability-jp-all-0003
Median Sharpe across 216 grid runs is -0.11.
Full grid of 216 parameter combinations.
sharpe_ratio-0.11
cite ↗ /cite/vol-of-vol-stability-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is -0.84 across 216 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.84
cite ↗ /cite/vol-of-vol-stability-jp-all-fact-regime-down
Median Sharpe in FLAT regime is 0.07 across 216 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.07
cite ↗ /cite/vol-of-vol-stability-jp-all-fact-regime-flat
Median Sharpe in UP regime is -0.36 across 216 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.36
cite ↗ /cite/vol-of-vol-stability-jp-all-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-all-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.50-0.91+1.08+4.79
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-all-0001
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.08-1.33+0.69+3.31
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-all-0002
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.21-0.85+0.02+0.53
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-all-0003
cost_bps: 5
n_stocks: 5
regime_gate: true
+1.16+0.80+1.08+4.79
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-all-0006
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.23-1.10+0.74+4.20
lookback_days_vol=10, lookback_days_vov=40, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1
r-vol-of-vol-stability-jp-all-0012
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.20-0.86+0.51+2.41
lookback_days_vol=10, lookback_days_vov=40, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20
r-vol-of-vol-stability-jp-all-0014
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.25-0.35-0.08-1.50
lookback_days_vol=10, lookback_days_vov=40, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=20
r-vol-of-vol-stability-jp-all-0023
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.10+0.39-0.18-1.59
lookback_days_vol=10, lookback_days_vov=60, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20
r-vol-of-vol-stability-jp-all-0032
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.45-0.57-0.30-1.03
lookback_days_vol=10, lookback_days_vov=60, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20
r-vol-of-vol-stability-jp-all-0041
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.40-0.20-0.23-2.71
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-all-0048
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.18-0.81+0.38+5.25
lookback_days_vol=10, lookback_days_vov=80, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-vol-of-vol-stability-jp-all-0051
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.57+0.61+0.38+5.25
lookback_days_vol=10, lookback_days_vov=80, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1
r-vol-of-vol-stability-jp-all-0060
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.08-1.23+0.25+0.28
lookback_days_vol=10, lookback_days_vov=80, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20
r-vol-of-vol-stability-jp-all-0068
cost_bps: 10
n_stocks: 10
regime_gate: false
-1.39-2.09-0.95-3.72
lookback_days_vol=10, lookback_days_vov=80, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5
r-vol-of-vol-stability-jp-all-0070
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.71+0.49-0.85-1.98
lookback_days_vol=20, lookback_days_vov=40, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5
r-vol-of-vol-stability-jp-all-0079
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.28-0.30+0.65-1.30
lookback_days_vol=20, lookback_days_vov=40, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=5
r-vol-of-vol-stability-jp-all-0088
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.74+1.42+0.57+0.55
lookback_days_vol=20, lookback_days_vov=60, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-vol-of-vol-stability-jp-all-0097
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.26-0.19+0.70-0.67
lookback_days_vol=20, lookback_days_vov=60, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5
r-vol-of-vol-stability-jp-all-0106
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.48+0.72+0.52-0.79
lookback_days_vol=20, lookback_days_vov=60, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5
r-vol-of-vol-stability-jp-all-0115
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.27-1.13+0.34-0.99
lookback_days_vol=20, lookback_days_vov=80, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=5
r-vol-of-vol-stability-jp-all-0124
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.27+0.68+0.28-1.45
lookback_days_vol=20, lookback_days_vov=80, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=5
r-vol-of-vol-stability-jp-all-0133
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.63-1.20-0.32-0.98
lookback_days_vol=20, lookback_days_vov=80, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5
r-vol-of-vol-stability-jp-all-0142
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.43+0.15-0.52-1.23
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-all-0144
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.37+1.08+0.16+1.45
lookback_days_vol=30, lookback_days_vov=40, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=20
r-vol-of-vol-stability-jp-all-0152
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.32-0.26-0.30-0.94
lookback_days_vol=30, lookback_days_vov=40, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20
r-vol-of-vol-stability-jp-all-0161
cost_bps: 5
n_stocks: 10
regime_gate: true
0.00+0.17+0.08-2.73
lookback_days_vol=30, lookback_days_vov=60, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-vol-of-vol-stability-jp-all-0170
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.95-1.29-0.68-1.95
lookback_days_vol=30, lookback_days_vov=60, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=20
r-vol-of-vol-stability-jp-all-0179
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.81-0.46-0.75-2.00
lookback_days_vol=30, lookback_days_vov=60, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20
r-vol-of-vol-stability-jp-all-0188
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.58-1.05-0.08-4.73
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-all-0197
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.53-0.25-0.57-0.84

Target universe

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

Related strategies

same_strategy:vol-of-vol-stability-jp-growthsame_strategy:vol-of-vol-stability-us-sp500
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-02T16:25:50
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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