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

Max Return / Lottery Effect (JP Growth Stocks)

slug: max-return-lottery-jp-growth
performance summary
Sharpe (median)
+0.26
Max DD
-18.8%
Win rate
—
Alpha (ann.)
—
p-value
0.40
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 320 grid runs:median 0.26best 1.53 (not representative)worst -0.73p25–p75 -0.13–0.70

Hypothesis

Bali, Cakici, Whitelaw (2011): stocks with extreme positive daily returns (lottery-like) subsequently underperform. LONG low-MAX, SHORT high-MAX.

Why it didn't work

Across 320 grid combinations, median Sharpe=0.26, best=1.53. Primary failure mode: regime_dependent.

Facts (5)

Best grid Sharpe ratio is 1.53 (p=0.002).
period 2022-02-01–2026-06-01; cost=5bps
sharpe_ratio1.53
cite ↗ /cite/max-return-lottery-jp-growth-fact-best-sharpevia r-max-return-lottery-jp-growth-0165
Median Sharpe across 320 grid runs is 0.26.
Full grid of 320 parameter combinations.
sharpe_ratio0.26
cite ↗ /cite/max-return-lottery-jp-growth-fact-median-sharpe
Median Sharpe in DOWN regime is 1.41 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio1.41
cite ↗ /cite/max-return-lottery-jp-growth-fact-regime-down
Median Sharpe in FLAT regime is 0.29 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio0.29
cite ↗ /cite/max-return-lottery-jp-growth-fact-regime-flat
Median Sharpe in UP regime is -0.22 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.22
cite ↗ /cite/max-return-lottery-jp-growth-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-growth-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
+1.38+2.14+0.94+34.03
formation_days=5, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-growth-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.86-0.55+0.94+34.03
formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-growth-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
+1.25+1.98+0.83+33.08
formation_days=5, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-growth-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.75-0.64+0.83+33.08
formation_days=5, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-growth-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.40-0.10+0.49+4.75
formation_days=5, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-growth-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
+1.34+2.22+0.89+6.08
formation_days=5, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-growth-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.79-0.26+0.91+2.97
formation_days=5, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-growth-0046
cost_bps: 10
n_stocks: 50
regime_gate: false
+0.25-1.43+0.52+1.99
formation_days=5, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-growth-0060
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.93+1.08+0.76+6.54
formation_days=5, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-growth-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.31+0.88+0.12+3.48
formation_days=5, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-growth-0075
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.10-0.09-0.15+0.71
formation_days=10, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-growth-0089
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.43-0.52+0.60+1.17
formation_days=10, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-growth-0103
cost_bps: 10
n_stocks: 10
regime_gate: true
+0.60-1.14+0.75+20.48
formation_days=10, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-growth-0117
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.39-1.35+0.61+0.38
formation_days=10, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-growth-0131
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.80+0.50+0.69+8.41
formation_days=10, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-growth-0145
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.58-0.90+0.62+5.66
formation_days=10, holding_days=60, n_stocks=50, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-growth-0159
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.18-1.28+0.01-0.09
formation_days=20, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-growth-0165
cost_bps: 5
n_stocks: 10
regime_gate: true
+1.53-0.82+1.76+9.38
formation_days=20, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-growth-0174
cost_bps: 10
n_stocks: 50
regime_gate: false
+0.31+0.10+0.29+2.44
formation_days=20, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-growth-0188
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.30+0.07+0.40+0.79
formation_days=20, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-growth-0202
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.20-1.12+0.11+1.06
formation_days=20, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-growth-0216
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.36-0.41+0.63+0.09
formation_days=20, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-growth-0230
cost_bps: 10
n_stocks: 10
regime_gate: false
+0.14+0.74-0.10+0.35
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-growth-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.63+0.39+0.54+2.19
formation_days=60, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-growth-0245
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.59-2.01+0.93+2.43
formation_days=60, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-growth-0259
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.08+0.39-0.00+0.94
formation_days=60, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-max-return-lottery-jp-growth-0273
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.58-0.22-0.66-0.54
formation_days=60, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True
r-max-return-lottery-jp-growth-0279
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.73-1.05-0.82+0.50
formation_days=60, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-max-return-lottery-jp-growth-0288
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.23+0.11-0.28-0.52
formation_days=60, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-max-return-lottery-jp-growth-0302
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.36-0.56-0.36+1.86

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: 2026-08-01T07:31:00
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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