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rejectedno_edge· equity· anomaly· factor· lottery· max-return

Max Return / Lottery Effect (JP All Stocks)

slug: max-return-lottery-jp-all
performance summary
Sharpe (median)
-0.39
Max DD
-27.9%
Win rate
—
Alpha (ann.)
—
p-value
0.39
backtest period: 2022-02-01 → 2026-02-02
Sharpe across 160 grid runs:median -0.39best 0.28 (not representative)worst -1.10p25–p75 -0.55–-0.14

Hypothesis

Bali, Cakici, Whitelaw (2011): stocks with extreme positive daily returns subsequently underperform. Testing on the full Japanese stock universe.

Why it didn't work

Across 160 grid combinations, median Sharpe=-0.39, best=0.28. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 0.28 (p=0.56).
period 2022-02-01–2026-02-02; cost=5bps
sharpe_ratio0.28
cite ↗ /cite/max-return-lottery-jp-all-fact-best-sharpevia r-max-return-lottery-jp-all-0017
Median Sharpe across 160 grid runs is -0.39.
Full grid of 160 parameter combinations.
sharpe_ratio-0.39
cite ↗ /cite/max-return-lottery-jp-all-fact-median-sharpe
Median Sharpe in DOWN regime is -1.17 across 160 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-1.17
cite ↗ /cite/max-return-lottery-jp-all-fact-regime-down
Median Sharpe in FLAT regime is -0.15 across 160 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.15
cite ↗ /cite/max-return-lottery-jp-all-fact-regime-flat
Median Sharpe in UP regime is -0.62 across 160 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.62
cite ↗ /cite/max-return-lottery-jp-all-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-all-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.48-2.86+0.32-2.36
formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-all-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.18-1.90+0.32-2.36
formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-all-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.71-3.10+0.08-2.58
formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-all-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.41-2.09+0.08-2.58
formation_days=5, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-all-0004
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.73-2.78+0.03-4.12
formation_days=5, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-all-0006
cost_bps: 10
n_stocks: 10
regime_gate: false
-1.10-3.12-0.37-4.76
formation_days=5, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-all-0017
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.28+0.61+0.41-2.43
formation_days=5, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-all-0020
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.46-1.95+0.24-8.39
formation_days=5, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-all-0034
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.52-1.97+0.14-2.20
formation_days=5, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-all-0048
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.52-1.89+0.04-3.85
formation_days=5, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-all-0054
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.80-0.02-0.82-7.60
formation_days=5, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-all-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.37-1.63+0.07-0.80
formation_days=5, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-all-0069
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.38+0.22-0.60+0.17
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-all-0083
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.40-0.76-0.41+0.73
formation_days=10, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-all-0097
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.09+0.99-0.12+0.45
formation_days=10, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-all-0103
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.10+0.37-0.24+0.08
formation_days=10, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-all-0117
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.10+0.43-0.07+7.34
formation_days=10, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-all-0131
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.20+0.89+0.21-4.67
formation_days=10, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-all-0145
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.22-0.47-0.12-0.65
formation_days=10, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-all-0151
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.28-0.61-0.16-0.32
formation_days=20, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-all-0165
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.33-0.63-0.26+0.27
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-all-0179
cost_bps: 10
n_stocks: 5
regime_gate: true
0.00+0.29-0.03-0.01
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-all-0193
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.12+0.70+0.32-3.92
formation_days=20, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-all-0199
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.24+0.40-0.22-3.44
formation_days=20, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-all-0213
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.26-0.01-0.28-0.79
formation_days=20, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-all-0227
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.30+0.24-0.29-1.53
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-all-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.29-1.74+0.14+1.67
formation_days=60, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-all-0242
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.52-1.92-0.14+1.44
formation_days=60, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-all-0256
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.45-1.51-0.09+2.10
formation_days=60, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-all-0262
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.69-1.99-0.29+0.89

Target universe

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

Related strategies

same_strategy:max-return-lottery-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-01T07:31:00
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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