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rejectedno_edge· equity· anomaly· factor· illiquidity· liquidity

Liquidity Premium / Amihud Illiquidity (JP Growth Stocks)

slug: liquidity-premium-jp-growth
performance summary
Sharpe (median)
-0.56
Max DD
-26.4%
Win rate
—
Alpha (ann.)
—
p-value
0.06
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 320 grid runs:median -0.56best 0.99 (not representative)worst -2.21p25–p75 -1.08–0.29

Hypothesis

Amihud (2002): illiquid stocks earn a premium. Illiquidity = |return| / dollar_volume averaged over formation window. LONG most illiquid, SHORT most liquid.

Why it didn't work

Across 320 grid combinations, median Sharpe=-0.56, best=0.99. Primary failure mode: no_edge.

Facts (7)

Average monthly return correlation with other strategies in DOWN regime: 0.16
Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
correlation0.16
cite ↗ /cite/liquidity-premium-jp-growth-fact-avg-corr-down
Average monthly return correlation with other strategies (full period): 0.06
Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
correlation0.06
cite ↗ /cite/liquidity-premium-jp-growth-fact-avg-corr-full
Best grid Sharpe ratio is 0.99 (p=0.0011).
period 2022-02-01–2026-06-01; cost=5bps
sharpe_ratio0.99
cite ↗ /cite/liquidity-premium-jp-growth-fact-best-sharpevia r-liquidity-premium-jp-growth-0148
Median Sharpe across 320 grid runs is -0.56.
Full grid of 320 parameter combinations.
sharpe_ratio-0.56
cite ↗ /cite/liquidity-premium-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is -1.91 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-1.91
cite ↗ /cite/liquidity-premium-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is -0.33 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.33
cite ↗ /cite/liquidity-premium-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -0.75 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.75
cite ↗ /cite/liquidity-premium-jp-growth-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-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.24-2.43-0.98-0.15
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-liquidity-premium-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-1.15-1.93-0.98-0.15
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-growth-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.37-2.58-1.09-0.33
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-liquidity-premium-jp-growth-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-1.26-2.00-1.09-0.33
formation_days=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-growth-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.06-1.80-0.61-2.26
formation_days=10, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-growth-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.76-3.07-1.38-4.72
formation_days=10, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-growth-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.93-0.75-0.93-3.74
formation_days=10, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-growth-0046
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.78-2.28-0.40-0.57
formation_days=10, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-growth-0060
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.23-0.84+0.66-2.73
formation_days=10, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-growth-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.59+0.24+0.71-0.57
formation_days=10, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True
r-liquidity-premium-jp-growth-0075
cost_bps: 10
n_stocks: 20
regime_gate: true
+0.68-0.95+1.12-1.43
formation_days=20, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True
r-liquidity-premium-jp-growth-0089
cost_bps: 5
n_stocks: 20
regime_gate: true
-1.08-1.16-0.95-3.33
formation_days=20, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True
r-liquidity-premium-jp-growth-0103
cost_bps: 10
n_stocks: 10
regime_gate: true
-1.11-1.97-0.72-2.08
formation_days=20, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True
r-liquidity-premium-jp-growth-0117
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.51-1.08-0.47+0.40
formation_days=20, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True
r-liquidity-premium-jp-growth-0131
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.07-0.65+0.02-0.32
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True
r-liquidity-premium-jp-growth-0145
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.50-1.09+0.73+0.25
formation_days=20, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-growth-0148
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.99+0.86+1.06+0.56
formation_days=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-growth-0160
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.70-1.46-0.48-2.03
formation_days=40, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-growth-0174
cost_bps: 10
n_stocks: 50
regime_gate: false
-2.00-2.26-1.77-3.04
formation_days=40, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-growth-0188
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.06-2.49-0.21-10.75
formation_days=40, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-growth-0202
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.64-1.14-0.40-0.80
formation_days=40, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-growth-0216
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.41+0.27+0.73-3.77
formation_days=40, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-growth-0230
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.79-0.08+1.00+1.40
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-growth-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.84-0.44-0.95-1.81
formation_days=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-liquidity-premium-jp-growth-0245
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.79-1.34-0.44-2.39
formation_days=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-growth-0254
cost_bps: 10
n_stocks: 50
regime_gate: false
-2.21-2.46-1.98-3.11
formation_days=60, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-growth-0260
cost_bps: 5
n_stocks: 10
regime_gate: false
-1.35-2.15-0.81-7.75
formation_days=60, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-growth-0274
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.26-0.22-0.25-0.58
formation_days=60, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-liquidity-premium-jp-growth-0288
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.60+1.10+0.52-0.07
formation_days=60, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-liquidity-premium-jp-growth-0302
cost_bps: 10
n_stocks: 50
regime_gate: false
+0.23+0.07+0.44-3.04

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: 2026-08-01T07:31:11
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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