Liquidity Premium / Amihud Illiquidity (US S&P 500)
slug: liquidity-premium-us-sp500
performance summary
Sharpe (median)
+0.31
Max DD
-12.9%
Win rate
—
Alpha (ann.)
—
p-value
0.29
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 320 grid runs:median 0.31best 1.36 (not representative)worst -1.06p25–p75 -0.20–0.73
Hypothesis
Amihud (2002): illiquid stocks earn a premium. Applied to S&P 500 constituents.
Why it didn't work
Across 320 grid combinations, median Sharpe=0.31, best=1.36. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is 1.36 (p=0.006).
period 2022-02-01–2026-06-01; cost=5bps
cite ↗ /cite/liquidity-premium-us-sp500-fact-best-sharpevia r-liquidity-premium-us-sp500-0209
Median Sharpe across 320 grid runs is 0.31.
Full grid of 320 parameter combinations.
Median Sharpe in DOWN regime is -0.82 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.22 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.95 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-liquidity-premium-us-sp500-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.46 | -0.53 | -0.15 | -0.99 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-liquidity-premium-us-sp500-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.28 | -0.14 | -0.15 | -0.99 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-liquidity-premium-us-sp500-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.76 | -0.84 | -0.41 | -1.36 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-liquidity-premium-us-sp500-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.53 | -0.33 | -0.41 | -1.36 |
formation_days=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-liquidity-premium-us-sp500-0012 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.34 | -0.16 | -0.61 | -0.58 |
formation_days=10, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-liquidity-premium-us-sp500-0018 | cost_bps: 10 n_stocks: 5 regime_gate: false | -0.16 | -0.03 | +0.47 | -2.11 |
formation_days=10, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False r-liquidity-premium-us-sp500-0032 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.21 | +0.82 | -0.37 | -1.25 |
formation_days=10, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-liquidity-premium-us-sp500-0046 | cost_bps: 10 n_stocks: 50 regime_gate: false | -0.28 | +0.09 | -0.61 | -0.91 |
formation_days=10, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False r-liquidity-premium-us-sp500-0060 | cost_bps: 5 n_stocks: 50 regime_gate: false | +0.43 | +0.58 | +0.34 | +0.04 |
formation_days=10, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-liquidity-premium-us-sp500-0064 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.75 | +0.87 | +0.68 | +0.76 |
formation_days=10, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True r-liquidity-premium-us-sp500-0075 | cost_bps: 10 n_stocks: 20 regime_gate: true | +0.79 | +1.38 | -0.21 | +1.57 |
formation_days=20, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True r-liquidity-premium-us-sp500-0089 | cost_bps: 5 n_stocks: 20 regime_gate: true | -0.10 | +0.68 | -0.71 | -0.72 |
formation_days=20, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True r-liquidity-premium-us-sp500-0103 | cost_bps: 10 n_stocks: 10 regime_gate: true | +0.30 | +1.37 | -0.09 | -1.63 |
formation_days=20, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True r-liquidity-premium-us-sp500-0117 | cost_bps: 5 n_stocks: 10 regime_gate: true | +0.41 | +1.45 | -0.61 | -0.86 |
formation_days=20, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True r-liquidity-premium-us-sp500-0131 | cost_bps: 10 n_stocks: 5 regime_gate: true | +1.06 | +2.09 | +0.73 | -1.05 |
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True r-liquidity-premium-us-sp500-0145 | cost_bps: 5 n_stocks: 5 regime_gate: true | +0.92 | +1.21 | +0.62 | +0.87 |
formation_days=20, holding_days=60, n_stocks=50, cost_bps=10, regime_gate=True r-liquidity-premium-us-sp500-0159 | cost_bps: 10 n_stocks: 50 regime_gate: true | +0.81 | +1.27 | -0.28 | +2.76 |
formation_days=40, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=True r-liquidity-premium-us-sp500-0173 | cost_bps: 5 n_stocks: 50 regime_gate: true | +0.05 | +0.65 | -0.90 | -0.21 |
formation_days=40, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=True r-liquidity-premium-us-sp500-0187 | cost_bps: 10 n_stocks: 20 regime_gate: true | +0.18 | +1.64 | -0.82 | -1.89 |
formation_days=40, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=True r-liquidity-premium-us-sp500-0201 | cost_bps: 5 n_stocks: 20 regime_gate: true | +0.32 | +1.42 | -1.11 | -0.98 |
formation_days=40, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True r-liquidity-premium-us-sp500-0209 | cost_bps: 5 n_stocks: 5 regime_gate: true | +1.36 | +2.46 | +1.05 | -0.69 |
formation_days=40, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-liquidity-premium-us-sp500-0216 | cost_bps: 5 n_stocks: 20 regime_gate: false | +0.39 | +1.14 | +0.15 | -0.65 |
formation_days=40, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False r-liquidity-premium-us-sp500-0230 | cost_bps: 10 n_stocks: 10 regime_gate: false | +0.69 | +0.92 | +0.24 | +1.55 |
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-liquidity-premium-us-sp500-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.66 | -0.56 | -0.54 | -1.15 |
formation_days=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True r-liquidity-premium-us-sp500-0245 | cost_bps: 5 n_stocks: 10 regime_gate: true | -0.55 | +0.63 | -1.23 | -2.00 |
formation_days=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-liquidity-premium-us-sp500-0254 | cost_bps: 10 n_stocks: 50 regime_gate: false | -1.06 | -0.67 | -1.78 | -1.08 |
formation_days=60, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False r-liquidity-premium-us-sp500-0260 | cost_bps: 5 n_stocks: 10 regime_gate: false | -0.21 | +0.55 | -0.26 | -2.76 |
formation_days=60, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False r-liquidity-premium-us-sp500-0274 | cost_bps: 10 n_stocks: 5 regime_gate: false | +0.06 | +0.91 | -1.22 | -0.76 |
formation_days=60, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-liquidity-premium-us-sp500-0288 | cost_bps: 5 n_stocks: 5 regime_gate: false | +0.78 | +1.98 | +0.29 | -0.75 |
formation_days=60, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-liquidity-premium-us-sp500-0302 | cost_bps: 10 n_stocks: 50 regime_gate: false | +0.08 | +0.50 | +0.14 | -0.96 |
Target universe
S&P 500 constituents, ~503 stocks
Related strategies
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-01T07:30:59