{"schema_version":"v1","slug":"idiosyncratic-vol-jp-all","name":"Idiosyncratic Volatility (JP All Stocks)","name_i18n":{},"verdict":"marginal","asset_class":"equity","categories":["anomaly","factor","idiosyncratic-volatility"],"hypothesis":"Ang, Hodrick, Xing, Zhang (2006): stocks with high idiosyncratic volatility earn lower returns. Testing on the full Japanese stock universe.","rejection_reason":{"primary":"no_edge","secondary":[],"narrative":"Across 320 grid combinations, median Sharpe=0.38, best=1.81. Primary failure mode: no_edge."},"target_universe":{"description":"Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks","symbols":[]},"performance_summary":{"sharpe_median":0.377,"max_drawdown_pct":-23,"win_rate":null,"alpha_annualized_pct":null,"p_value":0.32,"backtest_period":{"start":"2022-02-01","end":"2026-09-01"}},"grid_summary":{"sharpe":{"p25":0.13,"p75":0.66,"best":1.81,"worst":-0.72,"median":0.38},"n_combinations":320},"methodology":{"notes":"{\"walk_forward_definition\": {\"type\": \"single_pass\", \"description\": \"Full period backtest without walk-forward split\", \"verdict_basis\": \"full_period\"}}","signal":null,"benchmark":null,"rebalance":null,"slippage_model":"open-on-open + variable bps fixed","position_sizing":"equal_weight","regime_definition":"N225 SMA20/SMA60 three-class","transaction_cost_bps":5},"provenance":{"data_source":"kabu STATION REST API + J-Quants daily bars","source_project":"qbuntu-analysis","computed_asof":"2026-09-26T05:46:57","git_sha_z":"1455e77","git_sha_genkidama":"17a7674","python_version":"3.12.10","numpy_version":"2.4.2","pandas_version":"3.0.0","tier":"shallow"},"runs":[{"run_id":"r-idiosyncratic-vol-jp-all-0000","name":"estimation_window=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"regime_gate":false,"holding_days":1,"estimation_window":20},"performance":{"sharpe":1.81,"max_drawdown_pct":-9.1,"alpha_annualized_pct":15.8,"p_value":0.00022,"regime_breakdown":{"UP":1.283026,"DOWN":3.156302,"FLAT":1.957893}},"executed_at":"2026-09-25T22:59:38","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0001","name":"estimation_window=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":5,"regime_gate":true,"holding_days":1,"estimation_window":20},"performance":{"sharpe":1.51,"max_drawdown_pct":-5.4,"alpha_annualized_pct":10.8,"p_value":0.0017,"regime_breakdown":{"UP":-0.869659,"DOWN":3.156302,"FLAT":1.957893}},"executed_at":"2026-09-25T22:59:39","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0002","name":"estimation_window=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":5,"regime_gate":false,"holding_days":1,"estimation_window":20},"performance":{"sharpe":1.67,"max_drawdown_pct":-10.1,"alpha_annualized_pct":14.6,"p_value":0.00058,"regime_breakdown":{"UP":1.151901,"DOWN":2.9409,"FLAT":1.828695}},"executed_at":"2026-09-25T22:59:40","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0003","name":"estimation_window=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":5,"regime_gate":true,"holding_days":1,"estimation_window":20},"performance":{"sharpe":1.38,"max_drawdown_pct":-5.9,"alpha_annualized_pct":9.8,"p_value":0.0038,"regime_breakdown":{"UP":-1.436781,"DOWN":2.9409,"FLAT":1.828695}},"executed_at":"2026-09-25T22:59:41","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0012","name":"estimation_window=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":50,"regime_gate":false,"holding_days":1,"estimation_window":20},"performance":{"sharpe":0.83,"max_drawdown_pct":-5.9,"alpha_annualized_pct":4.5,"p_value":0.074,"regime_breakdown":{"UP":0.300473,"DOWN":0.611421,"FLAT":1.360006}},"executed_at":"2026-09-25T22:59:49","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0017","name":"estimation_window=20, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":5,"regime_gate":true,"holding_days":5,"estimation_window":20},"performance":{"sharpe":0.28,"max_drawdown_pct":-27.6,"alpha_annualized_pct":4.4,"p_value":0.55,"regime_breakdown":{"UP":0.815488,"DOWN":0.718527,"FLAT":0.172471}},"executed_at":"2026-09-25T22:59:54","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0030","name":"estimation_window=20, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":50,"regime_gate":false,"holding_days":5,"estimation_window":20},"performance":{"sharpe":0.72,"max_drawdown_pct":-8.5,"alpha_annualized_pct":5.4,"p_value":0.12,"regime_breakdown":{"UP":1.269232,"DOWN":0.591039,"FLAT":0.342759}},"executed_at":"2026-09-25T23:00:06","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0043","name":"estimation_window=20, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":20,"regime_gate":true,"holding_days":10,"estimation_window":20},"performance":{"sharpe":0.04,"max_drawdown_pct":-26.1,"alpha_annualized_pct":0.5,"p_value":0.93,"regime_breakdown":{"UP":0.788251,"DOWN":0.359385,"FLAT":-0.191425}},"executed_at":"2026-09-25T23:00:18","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0056","name":"estimation_window=20, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":20,"regime_gate":false,"holding_days":20,"estimation_window":20},"performance":{"sharpe":0.69,"max_drawdown_pct":-18.4,"alpha_annualized_pct":13.3,"p_value":0.14,"regime_breakdown":{"UP":1.415443,"DOWN":-0.034764,"FLAT":0.426563}},"executed_at":"2026-09-25T23:00:32","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0064","name":"estimation_window=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"regime_gate":false,"holding_days":60,"estimation_window":20},"performance":{"sharpe":0.36,"max_drawdown_pct":-79,"alpha_annualized_pct":30,"p_value":0.2,"regime_breakdown":{"UP":1.342858,"DOWN":-0.379365,"FLAT":0.080567}},"executed_at":"2026-09-25T23:00:40","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0070","name":"estimation_window=20, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":10,"regime_gate":false,"holding_days":60,"estimation_window":20},"performance":{"sharpe":0.69,"max_drawdown_pct":-50.9,"alpha_annualized_pct":41.5,"p_value":0.016,"regime_breakdown":{"UP":1.501296,"DOWN":-0.072543,"FLAT":0.424163}},"executed_at":"2026-09-25T23:00:46","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0083","name":"estimation_window=40, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":5,"regime_gate":true,"holding_days":1,"estimation_window":40},"performance":{"sharpe":1.1,"max_drawdown_pct":-7.7,"alpha_annualized_pct":8.4,"p_value":0.02,"regime_breakdown":{"UP":-1.678603,"DOWN":0.319045,"FLAT":2.08657}},"executed_at":"2026-09-25T23:01:00","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0096","name":"estimation_window=40, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"regime_gate":false,"holding_days":5,"estimation_window":40},"performance":{"sharpe":1.2,"max_drawdown_pct":-22.4,"alpha_annualized_pct":18.8,"p_value":0.012,"regime_breakdown":{"UP":0.588508,"DOWN":0.541446,"FLAT":2.304799}},"executed_at":"2026-09-25T23:01:13","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0109","name":"estimation_window=40, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":50,"regime_gate":true,"holding_days":5,"estimation_window":40},"performance":{"sharpe":0.67,"max_drawdown_pct":-8.7,"alpha_annualized_pct":4.2,"p_value":0.15,"regime_breakdown":{"UP":1.094189,"DOWN":1.01499,"FLAT":0.542232}},"executed_at":"2026-09-25T23:01:26","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0122","name":"estimation_window=40, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":20,"regime_gate":false,"holding_days":10,"estimation_window":40},"performance":{"sharpe":0.19,"max_drawdown_pct":-34.9,"alpha_annualized_pct":3.1,"p_value":0.68,"regime_breakdown":{"UP":1.143575,"DOWN":-0.327911,"FLAT":-0.437509}},"executed_at":"2026-09-25T23:01:39","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0135","name":"estimation_window=40, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":10,"regime_gate":true,"holding_days":20,"estimation_window":40},"performance":{"sharpe":0.19,"max_drawdown_pct":-35.3,"alpha_annualized_pct":3.8,"p_value":0.69,"regime_breakdown":{"UP":1.440878,"DOWN":-0.430459,"FLAT":0.230575}},"executed_at":"2026-09-25T23:01:53","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0148","name":"estimation_window=40, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":10,"regime_gate":false,"holding_days":60,"estimation_window":40},"performance":{"sharpe":0.6,"max_drawdown_pct":-52.8,"alpha_annualized_pct":34,"p_value":0.038,"regime_breakdown":{"UP":1.049533,"DOWN":-0.784001,"FLAT":0.563614}},"executed_at":"2026-09-25T23:02:06","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0161","name":"estimation_window=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":5,"regime_gate":true,"holding_days":1,"estimation_window":60},"performance":{"sharpe":0.7,"max_drawdown_pct":-14,"alpha_annualized_pct":5.8,"p_value":0.13,"regime_breakdown":{"UP":-1.368287,"DOWN":-0.247893,"FLAT":1.523276}},"executed_at":"2026-09-25T23:02:19","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0174","name":"estimation_window=60, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":50,"regime_gate":false,"holding_days":1,"estimation_window":60},"performance":{"sharpe":0.31,"max_drawdown_pct":-10.1,"alpha_annualized_pct":1.8,"p_value":0.51,"regime_breakdown":{"UP":-0.461176,"DOWN":-0.334886,"FLAT":1.198614}},"executed_at":"2026-09-25T23:02:32","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0187","name":"estimation_window=60, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":20,"regime_gate":true,"holding_days":5,"estimation_window":60},"performance":{"sharpe":0.21,"max_drawdown_pct":-17.3,"alpha_annualized_pct":2,"p_value":0.65,"regime_breakdown":{"UP":0.469789,"DOWN":0.0459,"FLAT":0.275442}},"executed_at":"2026-09-25T23:02:45","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0200","name":"estimation_window=60, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":20,"regime_gate":false,"holding_days":10,"estimation_window":60},"performance":{"sharpe":0.02,"max_drawdown_pct":-43.4,"alpha_annualized_pct":0.3,"p_value":0.97,"regime_breakdown":{"UP":0.897078,"DOWN":-0.737364,"FLAT":-0.422498}},"executed_at":"2026-09-25T23:02:57","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0213","name":"estimation_window=60, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":10,"regime_gate":true,"holding_days":20,"estimation_window":60},"performance":{"sharpe":0.18,"max_drawdown_pct":-30.8,"alpha_annualized_pct":3.5,"p_value":0.7,"regime_breakdown":{"UP":0.894862,"DOWN":-0.578486,"FLAT":0.370249}},"executed_at":"2026-09-25T23:03:10","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0226","name":"estimation_window=60, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":5,"regime_gate":false,"holding_days":60,"estimation_window":60},"performance":{"sharpe":0.12,"max_drawdown_pct":-92.1,"alpha_annualized_pct":11.2,"p_value":0.67,"regime_breakdown":{"UP":1.541035,"DOWN":-0.922663,"FLAT":-0.06041}},"executed_at":"2026-09-25T23:03:23","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0239","name":"estimation_window=60, holding_days=60, n_stocks=50, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":50,"regime_gate":true,"holding_days":60,"estimation_window":60},"performance":{"sharpe":0.1,"max_drawdown_pct":-48.1,"alpha_annualized_pct":3.9,"p_value":0.72,"regime_breakdown":{"UP":1.71386,"DOWN":-0.77261,"FLAT":-0.031749}},"executed_at":"2026-09-25T23:03:35","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0240","name":"estimation_window=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"regime_gate":false,"holding_days":1,"estimation_window":120},"performance":{"sharpe":0.56,"max_drawdown_pct":-16.6,"alpha_annualized_pct":5.9,"p_value":0.24,"regime_breakdown":{"UP":0.028211,"DOWN":0.349996,"FLAT":0.969751}},"executed_at":"2026-09-25T23:03:36","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0253","name":"estimation_window=120, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":50,"regime_gate":true,"holding_days":1,"estimation_window":120},"performance":{"sharpe":0.58,"max_drawdown_pct":-4.9,"alpha_annualized_pct":3,"p_value":0.22,"regime_breakdown":{"UP":-0.872941,"DOWN":-0.502313,"FLAT":1.512215}},"executed_at":"2026-09-25T23:03:48","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0266","name":"estimation_window=120, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":20,"regime_gate":false,"holding_days":5,"estimation_window":120},"performance":{"sharpe":0.23,"max_drawdown_pct":-12.7,"alpha_annualized_pct":2.4,"p_value":0.62,"regime_breakdown":{"UP":0.39882,"DOWN":-0.410544,"FLAT":0.303525}},"executed_at":"2026-09-25T23:04:01","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0275","name":"estimation_window=120, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":5,"regime_gate":true,"holding_days":10,"estimation_window":120},"performance":{"sharpe":-0.72,"max_drawdown_pct":-70.4,"alpha_annualized_pct":-19.2,"p_value":0.13,"regime_breakdown":{"UP":0.201902,"DOWN":-1.924924,"FLAT":-0.818117}},"executed_at":"2026-09-25T23:04:10","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0280","name":"estimation_window=120, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":20,"regime_gate":false,"holding_days":10,"estimation_window":120},"performance":{"sharpe":0.17,"max_drawdown_pct":-22.7,"alpha_annualized_pct":2.6,"p_value":0.73,"regime_breakdown":{"UP":1.567574,"DOWN":-1.452198,"FLAT":-0.355237}},"executed_at":"2026-09-25T23:04:14","notes":null},{"run_id":"r-idiosyncratic-vol-jp-all-0293","name":"estimation_window=120, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":10,"regime_gate":true,"holding_days":20,"estimation_window":120},"performance":{"sharpe":-0.12,"max_drawdown_pct":-31.4,"alpha_annualized_pct":-2.4,"p_value":0.81,"regime_breakdown":{"UP":0.974837,"DOWN":-1.80757,"FLAT":0.089645}},"executed_at":"2026-09-25T23:04:26","notes":null}],"facts":[{"fact_id":"idiosyncratic-vol-jp-all-fact-best-sharpe","strategy_slug":"idiosyncratic-vol-jp-all","claim":"Best grid Sharpe ratio is 1.81 (p=0.00022).","value":1.81,"value_text":null,"unit":"sharpe_ratio","context":"period 2022-02-01–2026-09-01; cost=5bps","supports_verdict":"marginal","source_run_id":"r-idiosyncratic-vol-jp-all-0000","search_tsv":"'-01':12,15 '-02':11 '-09':14 '0.00022':8 '1.81':6 '2022':10 '2026':13 '5bps':17 'best':1 'cost':16 'grid':2 'p':7 'period':9 'ratio':4 'sharp':3","cite_url":"https://qbuntu.ai/cite/idiosyncratic-vol-jp-all-fact-best-sharpe"},{"fact_id":"idiosyncratic-vol-jp-all-fact-median-sharpe","strategy_slug":"idiosyncratic-vol-jp-all","claim":"Median Sharpe across 320 grid runs is 0.38.","value":0.38,"value_text":null,"unit":"sharpe_ratio","context":"Full grid of 320 parameter combinations.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'0.38':8 '320':4,12 'across':3 'combin':14 'full':9 'grid':5,10 'median':1 'paramet':13 'run':6 'sharp':2","cite_url":"https://qbuntu.ai/cite/idiosyncratic-vol-jp-all-fact-median-sharpe"},{"fact_id":"idiosyncratic-vol-jp-all-fact-regime-down","strategy_slug":"idiosyncratic-vol-jp-all","claim":"Median Sharpe in DOWN regime is -0.41 across 320 runs.","value":-0.41,"value_text":null,"unit":"sharpe_ratio","context":"Regime=DOWN, N225 SMA20/SMA60 classification.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'-0.41':7 '320':9 'across':8 'classif':15 'median':1 'n225':13 'regim':5,11 'run':10 'sharp':2 'sma20/sma60':14","cite_url":"https://qbuntu.ai/cite/idiosyncratic-vol-jp-all-fact-regime-down"},{"fact_id":"idiosyncratic-vol-jp-all-fact-regime-flat","strategy_slug":"idiosyncratic-vol-jp-all","claim":"Median Sharpe in FLAT regime is 0.30 across 320 runs.","value":0.3,"value_text":null,"unit":"sharpe_ratio","context":"Regime=FLAT, N225 SMA20/SMA60 classification.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'0.30':7 '320':9 'across':8 'classif':15 'flat':4,12 'median':1 'n225':13 'regim':5,11 'run':10 'sharp':2 'sma20/sma60':14","cite_url":"https://qbuntu.ai/cite/idiosyncratic-vol-jp-all-fact-regime-flat"},{"fact_id":"idiosyncratic-vol-jp-all-fact-regime-up","strategy_slug":"idiosyncratic-vol-jp-all","claim":"Median Sharpe in UP regime is 1.03 across 320 runs.","value":1.03,"value_text":null,"unit":"sharpe_ratio","context":"Regime=UP, N225 SMA20/SMA60 classification.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'1.03':7 '320':9 'across':8 'classif':15 'median':1 'n225':13 'regim':5,11 'run':10 'sharp':2 'sma20/sma60':14","cite_url":"https://qbuntu.ai/cite/idiosyncratic-vol-jp-all-fact-regime-up"}],"related_strategies":[{"related_slug":"idiosyncratic-vol-jp-growth","relation":"same_strategy"}],"tags":["idiosyncratic-volatility","factor","anomaly","all-market","grid-search"],"_links":{"self":"https://qbuntu.ai/v1/strategies/idiosyncratic-vol-jp-all","html":"https://qbuntu.ai/strategies/idiosyncratic-vol-jp-all","markdown":"https://qbuntu.ai/ai/strategies/idiosyncratic-vol-jp-all.md"}}