{"schema_version":"v1","slug":"info-discreteness-jp-growth","name":"Information Discreteness (JP Growth Stocks)","name_i18n":{},"verdict":"rejected","asset_class":"equity","categories":["factor","information","momentum-quality"],"hypothesis":"Da, Gurun, Warachka (2014): information discreteness measures whether a stock's return is from few large moves (discrete, less persistent) or many small moves (continuous, momentum continues). LONG lowest ID (continuous momentum), SHORT highest ID.","rejection_reason":{"primary":"no_edge","secondary":[],"narrative":"Across 320 grid combinations, median Sharpe=0.02, best=1.03. Primary failure mode: no_edge."},"target_universe":{"description":"Tokyo Stock Exchange Growth Market, ~495 stocks, tv >= 30M JPY","symbols":[]},"performance_summary":{"sharpe_median":0.019,"max_drawdown_pct":-16.8,"win_rate":null,"alpha_annualized_pct":null,"p_value":0.51,"backtest_period":{"start":"2022-03-01","end":"2026-06-01"}},"grid_summary":{"sharpe":{"p25":-0.31,"p75":0.26,"best":1.03,"worst":-1.26,"median":0.02},"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":"2026-07-31T01:31:49","git_sha_z":"18193e9","git_sha_genkidama":"711b855","python_version":"3.10.11","numpy_version":"2.2.6","pandas_version":"2.3.3","tier":"shallow"},"runs":[{"run_id":"r-info-discreteness-jp-growth-0000","name":"formation_days=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,"formation_days":20},"performance":{"sharpe":0.13,"max_drawdown_pct":-9.6,"alpha_annualized_pct":0.9,"p_value":0.79,"regime_breakdown":{"UP":-0.056163,"DOWN":-0.04377,"FLAT":0.22329}},"executed_at":"2026-07-31T01:31:30","notes":null},{"run_id":"r-info-discreteness-jp-growth-0001","name":"formation_days=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,"formation_days":20},"performance":{"sharpe":0.14,"max_drawdown_pct":-9.6,"alpha_annualized_pct":0.9,"p_value":0.77,"regime_breakdown":{"UP":-0.016344,"DOWN":-0.04377,"FLAT":0.22329}},"executed_at":"2026-07-31T01:31:30","notes":null},{"run_id":"r-info-discreteness-jp-growth-0002","name":"formation_days=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,"formation_days":20},"performance":{"sharpe":-0.05,"max_drawdown_pct":-10.3,"alpha_annualized_pct":-0.4,"p_value":0.91,"regime_breakdown":{"UP":-0.243176,"DOWN":-0.141124,"FLAT":0.032003}},"executed_at":"2026-07-31T01:31:30","notes":null},{"run_id":"r-info-discreteness-jp-growth-0003","name":"formation_days=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,"formation_days":20},"performance":{"sharpe":-0.02,"max_drawdown_pct":-10.3,"alpha_annualized_pct":-0.1,"p_value":0.96,"regime_breakdown":{"UP":-0.103273,"DOWN":-0.141124,"FLAT":0.032003}},"executed_at":"2026-07-31T01:31:30","notes":null},{"run_id":"r-info-discreteness-jp-growth-0012","name":"formation_days=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,"formation_days":20},"performance":{"sharpe":-0.41,"max_drawdown_pct":-5.1,"alpha_annualized_pct":-1,"p_value":0.39,"regime_breakdown":{"UP":-1.198051,"DOWN":0.374648,"FLAT":-0.359146}},"executed_at":"2026-07-31T01:31:30","notes":null},{"run_id":"r-info-discreteness-jp-growth-0018","name":"formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":5,"regime_gate":false,"holding_days":5,"formation_days":20},"performance":{"sharpe":0.23,"max_drawdown_pct":-21.9,"alpha_annualized_pct":3,"p_value":0.63,"regime_breakdown":{"UP":-0.846979,"DOWN":0.504251,"FLAT":0.564572}},"executed_at":"2026-07-31T01:31:31","notes":null},{"run_id":"r-info-discreteness-jp-growth-0032","name":"formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"regime_gate":false,"holding_days":10,"formation_days":20},"performance":{"sharpe":-0.04,"max_drawdown_pct":-41.9,"alpha_annualized_pct":-0.8,"p_value":0.93,"regime_breakdown":{"UP":-1.612503,"DOWN":-0.588074,"FLAT":0.590897}},"executed_at":"2026-07-31T01:31:31","notes":null},{"run_id":"r-info-discreteness-jp-growth-0046","name":"formation_days=20, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":50,"regime_gate":false,"holding_days":10,"formation_days":20},"performance":{"sharpe":-0.57,"max_drawdown_pct":-13.5,"alpha_annualized_pct":-2.9,"p_value":0.24,"regime_breakdown":{"UP":-2.870032,"DOWN":0.405402,"FLAT":-0.04788}},"executed_at":"2026-07-31T01:31:32","notes":null},{"run_id":"r-info-discreteness-jp-growth-0054","name":"formation_days=20, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":10,"regime_gate":false,"holding_days":20,"formation_days":20},"performance":{"sharpe":-1.26,"max_drawdown_pct":-64.6,"alpha_annualized_pct":-21.1,"p_value":0.011,"regime_breakdown":{"UP":-4.287231,"DOWN":-2.640615,"FLAT":-0.294758}},"executed_at":"2026-07-31T01:31:33","notes":null},{"run_id":"r-info-discreteness-jp-growth-0061","name":"formation_days=20, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":50,"regime_gate":true,"holding_days":20,"formation_days":20},"performance":{"sharpe":-0.05,"max_drawdown_pct":-14.8,"alpha_annualized_pct":-0.4,"p_value":0.92,"regime_breakdown":{"UP":-0.176739,"DOWN":1.573362,"FLAT":-0.051979}},"executed_at":"2026-07-31T01:31:33","notes":null},{"run_id":"r-info-discreteness-jp-growth-0064","name":"formation_days=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,"formation_days":20},"performance":{"sharpe":-0.26,"max_drawdown_pct":-79.6,"alpha_annualized_pct":-18.8,"p_value":0.37,"regime_breakdown":{"UP":-0.771851,"DOWN":0.383912,"FLAT":-0.179575}},"executed_at":"2026-07-31T01:31:33","notes":null},{"run_id":"r-info-discreteness-jp-growth-0076","name":"formation_days=20, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":50,"regime_gate":false,"holding_days":60,"formation_days":20},"performance":{"sharpe":-0.06,"max_drawdown_pct":-15.5,"alpha_annualized_pct":-1.1,"p_value":0.83,"regime_breakdown":{"UP":-1.168203,"DOWN":0.565645,"FLAT":0.091092}},"executed_at":"2026-07-31T01:31:34","notes":null},{"run_id":"r-info-discreteness-jp-growth-0090","name":"formation_days=40, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":20,"regime_gate":false,"holding_days":1,"formation_days":40},"performance":{"sharpe":-0.34,"max_drawdown_pct":-8.8,"alpha_annualized_pct":-1.2,"p_value":0.47,"regime_breakdown":{"UP":-1.342004,"DOWN":-1.051946,"FLAT":0.180565}},"executed_at":"2026-07-31T01:31:35","notes":null},{"run_id":"r-info-discreteness-jp-growth-0104","name":"formation_days=40, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":20,"regime_gate":false,"holding_days":5,"formation_days":40},"performance":{"sharpe":0.49,"max_drawdown_pct":-8.5,"alpha_annualized_pct":3.3,"p_value":0.31,"regime_breakdown":{"UP":0.535538,"DOWN":-0.486389,"FLAT":0.624521}},"executed_at":"2026-07-31T01:31:36","notes":null},{"run_id":"r-info-discreteness-jp-growth-0118","name":"formation_days=40, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":10,"regime_gate":false,"holding_days":10,"formation_days":40},"performance":{"sharpe":-0.04,"max_drawdown_pct":-31.1,"alpha_annualized_pct":-0.6,"p_value":0.94,"regime_breakdown":{"UP":0.166178,"DOWN":-6.053292,"FLAT":0.109434}},"executed_at":"2026-07-31T01:31:36","notes":null},{"run_id":"r-info-discreteness-jp-growth-0132","name":"formation_days=40, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":10,"regime_gate":false,"holding_days":20,"formation_days":40},"performance":{"sharpe":0.09,"max_drawdown_pct":-27.8,"alpha_annualized_pct":1.6,"p_value":0.86,"regime_breakdown":{"UP":0.349089,"DOWN":-1.446611,"FLAT":0.166287}},"executed_at":"2026-07-31T01:31:37","notes":null},{"run_id":"r-info-discreteness-jp-growth-0146","name":"formation_days=40, 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,"formation_days":40},"performance":{"sharpe":0.55,"max_drawdown_pct":-20.9,"alpha_annualized_pct":29.5,"p_value":0.065,"regime_breakdown":{"UP":0.947925,"DOWN":0.077544,"FLAT":0.523875}},"executed_at":"2026-07-31T01:31:38","notes":null},{"run_id":"r-info-discreteness-jp-growth-0160","name":"formation_days=60, 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,"formation_days":60},"performance":{"sharpe":0.14,"max_drawdown_pct":-8.8,"alpha_annualized_pct":1.1,"p_value":0.78,"regime_breakdown":{"UP":-0.395634,"DOWN":1.300905,"FLAT":0.224161}},"executed_at":"2026-07-31T01:31:39","notes":null},{"run_id":"r-info-discreteness-jp-growth-0174","name":"formation_days=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,"formation_days":60},"performance":{"sharpe":-0.34,"max_drawdown_pct":-6,"alpha_annualized_pct":-0.8,"p_value":0.48,"regime_breakdown":{"UP":-0.292718,"DOWN":-1.320437,"FLAT":-0.279115}},"executed_at":"2026-07-31T01:31:40","notes":null},{"run_id":"r-info-discreteness-jp-growth-0188","name":"formation_days=60, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":50,"regime_gate":false,"holding_days":5,"formation_days":60},"performance":{"sharpe":0.25,"max_drawdown_pct":-6.8,"alpha_annualized_pct":1.4,"p_value":0.61,"regime_breakdown":{"UP":0.062226,"DOWN":-0.668103,"FLAT":0.46908}},"executed_at":"2026-07-31T01:31:40","notes":null},{"run_id":"r-info-discreteness-jp-growth-0202","name":"formation_days=60, 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,"formation_days":60},"performance":{"sharpe":-0.47,"max_drawdown_pct":-26.3,"alpha_annualized_pct":-5.9,"p_value":0.34,"regime_breakdown":{"UP":-0.700525,"DOWN":-0.275829,"FLAT":-0.364426}},"executed_at":"2026-07-31T01:31:41","notes":null},{"run_id":"r-info-discreteness-jp-growth-0216","name":"formation_days=60, 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,"formation_days":60},"performance":{"sharpe":-0.15,"max_drawdown_pct":-29,"alpha_annualized_pct":-2.3,"p_value":0.76,"regime_breakdown":{"UP":-0.367989,"DOWN":1.760739,"FLAT":-0.260592}},"executed_at":"2026-07-31T01:31:42","notes":null},{"run_id":"r-info-discreteness-jp-growth-0230","name":"formation_days=60, 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,"formation_days":60},"performance":{"sharpe":0.2,"max_drawdown_pct":-62.6,"alpha_annualized_pct":11.9,"p_value":0.51,"regime_breakdown":{"UP":-0.357053,"DOWN":2.8413,"FLAT":0.107399}},"executed_at":"2026-07-31T01:31:43","notes":null},{"run_id":"r-info-discreteness-jp-growth-0240","name":"formation_days=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,"formation_days":120},"performance":{"sharpe":0.72,"max_drawdown_pct":-7.1,"alpha_annualized_pct":4.4,"p_value":0.15,"regime_breakdown":{"UP":2.000819,"DOWN":0.062639,"FLAT":0.390493}},"executed_at":"2026-07-31T01:31:43","notes":null},{"run_id":"r-info-discreteness-jp-growth-0245","name":"formation_days=120, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":10,"regime_gate":true,"holding_days":1,"formation_days":120},"performance":{"sharpe":0.22,"max_drawdown_pct":-5.3,"alpha_annualized_pct":1.1,"p_value":0.66,"regime_breakdown":{"UP":0.248999,"DOWN":0.096637,"FLAT":0.210706}},"executed_at":"2026-07-31T01:31:44","notes":null},{"run_id":"r-info-discreteness-jp-growth-0259","name":"formation_days=120, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":5,"regime_gate":true,"holding_days":5,"formation_days":120},"performance":{"sharpe":-0.49,"max_drawdown_pct":-36.4,"alpha_annualized_pct":-9,"p_value":0.32,"regime_breakdown":{"UP":-0.054096,"DOWN":-0.840442,"FLAT":-0.558627}},"executed_at":"2026-07-31T01:31:44","notes":null},{"run_id":"r-info-discreteness-jp-growth-0273","name":"formation_days=120, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":5,"regime_gate":true,"holding_days":10,"formation_days":120},"performance":{"sharpe":-0.6,"max_drawdown_pct":-58.8,"alpha_annualized_pct":-15.2,"p_value":0.24,"regime_breakdown":{"UP":0.349224,"DOWN":-1.071408,"FLAT":-0.755486}},"executed_at":"2026-07-31T01:31:45","notes":null},{"run_id":"r-info-discreteness-jp-growth-0287","name":"formation_days=120, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":50,"regime_gate":true,"holding_days":10,"formation_days":120},"performance":{"sharpe":-0.34,"max_drawdown_pct":-14.6,"alpha_annualized_pct":-2.6,"p_value":0.49,"regime_breakdown":{"UP":0.474835,"DOWN":-1.699494,"FLAT":-0.85951}},"executed_at":"2026-07-31T01:31:46","notes":null},{"run_id":"r-info-discreteness-jp-growth-0296","name":"formation_days=120, 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,"formation_days":120},"performance":{"sharpe":1.03,"max_drawdown_pct":-15.3,"alpha_annualized_pct":14.7,"p_value":0.044,"regime_breakdown":{"UP":3.371647,"DOWN":1.032862,"FLAT":0.521258}},"executed_at":"2026-07-31T01:31:46","notes":null},{"run_id":"r-info-discreteness-jp-growth-0302","name":"formation_days=120, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":50,"regime_gate":false,"holding_days":20,"formation_days":120},"performance":{"sharpe":0.11,"max_drawdown_pct":-11.6,"alpha_annualized_pct":0.8,"p_value":0.83,"regime_breakdown":{"UP":1.710984,"DOWN":2.722815,"FLAT":-0.53952}},"executed_at":"2026-07-31T01:31:47","notes":null}],"facts":[{"fact_id":"info-discreteness-jp-growth-fact-avg-corr-down","strategy_slug":"info-discreteness-jp-growth","claim":"Average monthly return correlation with other strategies in DOWN regime: 0.19","value":0.1929,"value_text":null,"unit":"correlation","context":"Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'0.19':11 '3':27 '42':19 'across':18 'averag':1 'correl':4,14 'filter':21 'month':2,16,25 'n':26 'n225':28 'pairwis':12 'pearson':13 'regim':10,24 'return':3,17 'sma20':29 'sma60':30 'strategi':7,20","cite_url":"https://qbuntu.ai/cite/info-discreteness-jp-growth-fact-avg-corr-down"},{"fact_id":"info-discreteness-jp-growth-fact-avg-corr-full","strategy_slug":"info-discreteness-jp-growth","claim":"Average monthly return correlation with other strategies (full period): 0.02","value":0.0238,"value_text":null,"unit":"correlation","context":"Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'0.02':10 '42':18 'across':17 'averag':1 'backtest':21 'correl':4,13 'full':8,20 'month':2,15 'pairwis':11 'pearson':12 'period':9,22 'return':3,16 'strategi':7,19","cite_url":"https://qbuntu.ai/cite/info-discreteness-jp-growth-fact-avg-corr-full"},{"fact_id":"info-discreteness-jp-growth-fact-best-sharpe","strategy_slug":"info-discreteness-jp-growth","claim":"Best grid Sharpe ratio is 1.03 (p=0.044).","value":1.03,"value_text":null,"unit":"sharpe_ratio","context":"period 2022-03-01–2026-06-01; cost=5bps","supports_verdict":"rejected","source_run_id":"r-info-discreteness-jp-growth-0296","search_tsv":"'-01':12,15 '-03':11 '-06':14 '0.044':8 '1.03':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/info-discreteness-jp-growth-fact-best-sharpe"},{"fact_id":"info-discreteness-jp-growth-fact-median-sharpe","strategy_slug":"info-discreteness-jp-growth","claim":"Median Sharpe across 320 grid runs is 0.02.","value":0.02,"value_text":null,"unit":"sharpe_ratio","context":"Full grid of 320 parameter combinations.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'0.02':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/info-discreteness-jp-growth-fact-median-sharpe"},{"fact_id":"info-discreteness-jp-growth-fact-regime-down","strategy_slug":"info-discreteness-jp-growth","claim":"Median Sharpe in DOWN regime is -0.27 across 320 runs.","value":-0.27,"value_text":null,"unit":"sharpe_ratio","context":"Regime=DOWN, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.27':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/info-discreteness-jp-growth-fact-regime-down"},{"fact_id":"info-discreteness-jp-growth-fact-regime-flat","strategy_slug":"info-discreteness-jp-growth","claim":"Median Sharpe in FLAT regime is 0.09 across 320 runs.","value":0.09,"value_text":null,"unit":"sharpe_ratio","context":"Regime=FLAT, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'0.09':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/info-discreteness-jp-growth-fact-regime-flat"},{"fact_id":"info-discreteness-jp-growth-fact-regime-up","strategy_slug":"info-discreteness-jp-growth","claim":"Median Sharpe in UP regime is -0.04 across 320 runs.","value":-0.04,"value_text":null,"unit":"sharpe_ratio","context":"Regime=UP, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.04':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/info-discreteness-jp-growth-fact-regime-up"}],"related_strategies":[],"tags":["momentum-quality","information","discreteness","factor","growth-market","grid-search"],"_links":{"self":"https://qbuntu.ai/v1/strategies/info-discreteness-jp-growth","html":"https://qbuntu.ai/strategies/info-discreteness-jp-growth","markdown":"https://qbuntu.ai/ai/strategies/info-discreteness-jp-growth.md"}}