{"schema_version":"v1","slug":"max-return-lottery-us-sp500","name":"Max Return / Lottery Effect (US S&P 500)","name_i18n":{},"verdict":"rejected","asset_class":"equity","categories":["anomaly","factor","lottery","max-return"],"hypothesis":"Bali, Cakici, Whitelaw (2011): stocks with extreme positive daily returns subsequently underperform. Applied to S&P 500 constituents.","rejection_reason":{"primary":"no_edge","secondary":[],"narrative":"Across 320 grid combinations, median Sharpe=-0.91, best=0.04. Primary failure mode: no_edge."},"target_universe":{"description":"S&P 500 constituents, ~503 stocks","symbols":[]},"performance_summary":{"sharpe_median":-0.9135,"max_drawdown_pct":-46.1,"win_rate":null,"alpha_annualized_pct":null,"p_value":0.052,"backtest_period":{"start":"2022-02-01","end":"2026-06-01"}},"grid_summary":{"sharpe":{"p25":-1.16,"p75":-0.62,"best":0.04,"worst":-1.76,"median":-0.91},"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":"GSPC SMA20/SMA60 three-class: UP (close>SMA20 AND SMA20>SMA60), DOWN (close<SMA20 AND SMA20<SMA60), FLAT (else)","transaction_cost_bps":5},"provenance":{"data_source":"kabu STATION REST API + J-Quants daily bars","source_project":"qbuntu-analysis","computed_asof":"2026-08-01T07:31:00","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-max-return-lottery-us-sp500-0000","name":"formation_days=5, 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":5},"performance":{"sharpe":-0.41,"max_drawdown_pct":-17.9,"alpha_annualized_pct":-2.3,"p_value":0.39,"regime_breakdown":{"UP":-0.788228,"DOWN":0.477824,"FLAT":-1.306122}},"executed_at":"2026-08-01T01:03:02","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0001","name":"formation_days=5, 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":5},"performance":{"sharpe":-0.11,"max_drawdown_pct":-10.2,"alpha_annualized_pct":-0.6,"p_value":0.81,"regime_breakdown":{"UP":0.006241,"DOWN":0.477824,"FLAT":-1.306122}},"executed_at":"2026-08-01T01:03:02","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0002","name":"formation_days=5, 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":5},"performance":{"sharpe":-0.63,"max_drawdown_pct":-20.6,"alpha_annualized_pct":-3.5,"p_value":0.18,"regime_breakdown":{"UP":-1.072237,"DOWN":0.352671,"FLAT":-1.656075}},"executed_at":"2026-08-01T01:03:02","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0003","name":"formation_days=5, 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":5},"performance":{"sharpe":-0.3,"max_drawdown_pct":-13.2,"alpha_annualized_pct":-1.5,"p_value":0.53,"regime_breakdown":{"UP":-0.201885,"DOWN":0.352671,"FLAT":-1.656075}},"executed_at":"2026-08-01T01:03:02","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0012","name":"formation_days=5, 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":5},"performance":{"sharpe":-1.05,"max_drawdown_pct":-17.5,"alpha_annualized_pct":-3.2,"p_value":0.03,"regime_breakdown":{"UP":-1.154594,"DOWN":-0.050576,"FLAT":-2.335871}},"executed_at":"2026-08-01T01:03:03","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0017","name":"formation_days=5, 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,"formation_days":5},"performance":{"sharpe":0.04,"max_drawdown_pct":-12.6,"alpha_annualized_pct":0.4,"p_value":0.92,"regime_breakdown":{"UP":0.926236,"DOWN":-0.00792,"FLAT":-0.971048}},"executed_at":"2026-08-01T01:03:03","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0019","name":"formation_days=5, 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":5},"performance":{"sharpe":-0.06,"max_drawdown_pct":-14.3,"alpha_annualized_pct":-0.5,"p_value":0.91,"regime_breakdown":{"UP":0.835816,"DOWN":-0.091006,"FLAT":-1.115443}},"executed_at":"2026-08-01T01:03:03","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0033","name":"formation_days=5, 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":5},"performance":{"sharpe":-0.27,"max_drawdown_pct":-29.6,"alpha_annualized_pct":-3.2,"p_value":0.57,"regime_breakdown":{"UP":0.444614,"DOWN":-0.501411,"FLAT":-0.740604}},"executed_at":"2026-08-01T01:03:04","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0047","name":"formation_days=5, 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":5},"performance":{"sharpe":-0.56,"max_drawdown_pct":-25.9,"alpha_annualized_pct":-4.4,"p_value":0.24,"regime_breakdown":{"UP":0.420568,"DOWN":-0.875331,"FLAT":-1.227737}},"executed_at":"2026-08-01T01:03:05","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0061","name":"formation_days=5, 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":5},"performance":{"sharpe":-0.39,"max_drawdown_pct":-33.8,"alpha_annualized_pct":-5.2,"p_value":0.41,"regime_breakdown":{"UP":0.69813,"DOWN":-0.761629,"FLAT":-0.834504}},"executed_at":"2026-08-01T01:03:05","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0064","name":"formation_days=5, 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":5},"performance":{"sharpe":-0.56,"max_drawdown_pct":-93.8,"alpha_annualized_pct":-46.5,"p_value":0.055,"regime_breakdown":{"UP":-0.5857,"DOWN":0.919763,"FLAT":-1.264172}},"executed_at":"2026-08-01T01:03:06","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0076","name":"formation_days=5, 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":5},"performance":{"sharpe":-0.95,"max_drawdown_pct":-77,"alpha_annualized_pct":-28.2,"p_value":0.0016,"regime_breakdown":{"UP":-1.194935,"DOWN":0.44071,"FLAT":-1.2896}},"executed_at":"2026-08-01T01:03:06","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0090","name":"formation_days=10, 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":10},"performance":{"sharpe":-1.55,"max_drawdown_pct":-28.3,"alpha_annualized_pct":-6.2,"p_value":0.0017,"regime_breakdown":{"UP":-2.36595,"DOWN":-0.192762,"FLAT":-2.148887}},"executed_at":"2026-08-01T01:03:07","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0104","name":"formation_days=10, 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":10},"performance":{"sharpe":-1.36,"max_drawdown_pct":-46.1,"alpha_annualized_pct":-10.7,"p_value":0.0053,"regime_breakdown":{"UP":-1.253371,"DOWN":-1.176479,"FLAT":-1.750522}},"executed_at":"2026-08-01T01:03:08","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0118","name":"formation_days=10, 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":10},"performance":{"sharpe":-1.63,"max_drawdown_pct":-65.6,"alpha_annualized_pct":-22,"p_value":0.0012,"regime_breakdown":{"UP":-1.533939,"DOWN":-0.961045,"FLAT":-2.486528}},"executed_at":"2026-08-01T01:03:09","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0132","name":"formation_days=10, 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":10},"performance":{"sharpe":-1.19,"max_drawdown_pct":-77.6,"alpha_annualized_pct":-28,"p_value":0.015,"regime_breakdown":{"UP":-1.551895,"DOWN":-1.007,"FLAT":-1.161752}},"executed_at":"2026-08-01T01:03:10","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0146","name":"formation_days=10, 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":10},"performance":{"sharpe":-1.1,"max_drawdown_pct":-98.6,"alpha_annualized_pct":-80.9,"p_value":0.00033,"regime_breakdown":{"UP":-1.204462,"DOWN":-0.323202,"FLAT":-1.579842}},"executed_at":"2026-08-01T01:03:10","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0160","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":-0.73,"max_drawdown_pct":-24.8,"alpha_annualized_pct":-4.7,"p_value":0.13,"regime_breakdown":{"UP":-1.042602,"DOWN":0.271548,"FLAT":-0.948863}},"executed_at":"2026-08-01T01:03:11","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0174","name":"formation_days=20, 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":20},"performance":{"sharpe":-1.74,"max_drawdown_pct":-24.9,"alpha_annualized_pct":-5.6,"p_value":0.00052,"regime_breakdown":{"UP":-2.348009,"DOWN":-0.260958,"FLAT":-2.585246}},"executed_at":"2026-08-01T01:03:12","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0188","name":"formation_days=20, 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":20},"performance":{"sharpe":-1.33,"max_drawdown_pct":-39.3,"alpha_annualized_pct":-8.5,"p_value":0.0065,"regime_breakdown":{"UP":-1.384504,"DOWN":-0.780603,"FLAT":-1.638479}},"executed_at":"2026-08-01T01:03:13","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0202","name":"formation_days=20, 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":20},"performance":{"sharpe":-1.66,"max_drawdown_pct":-60,"alpha_annualized_pct":-18,"p_value":0.00097,"regime_breakdown":{"UP":-1.77755,"DOWN":-0.745677,"FLAT":-2.169093}},"executed_at":"2026-08-01T01:03:14","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0206","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":-1.76,"max_drawdown_pct":-50.6,"alpha_annualized_pct":-14.5,"p_value":0.00051,"regime_breakdown":{"UP":-1.847816,"DOWN":-1.176253,"FLAT":-2.219614}},"executed_at":"2026-08-01T01:03:14","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0217","name":"formation_days=20, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":20,"regime_gate":true,"holding_days":20,"formation_days":20},"performance":{"sharpe":-0.65,"max_drawdown_pct":-47.9,"alpha_annualized_pct":-10,"p_value":0.17,"regime_breakdown":{"UP":0.670784,"DOWN":-1.218868,"FLAT":-1.090678}},"executed_at":"2026-08-01T01:03:15","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0231","name":"formation_days=20, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":10,"regime_gate":true,"holding_days":60,"formation_days":20},"performance":{"sharpe":-0.22,"max_drawdown_pct":-66.9,"alpha_annualized_pct":-10.8,"p_value":0.44,"regime_breakdown":{"UP":0.787122,"DOWN":0.309397,"FLAT":-1.049285}},"executed_at":"2026-08-01T01:03:15","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0240","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":-0.83,"max_drawdown_pct":-25.5,"alpha_annualized_pct":-5.7,"p_value":0.084,"regime_breakdown":{"UP":-0.562201,"DOWN":-0.770915,"FLAT":-1.18413}},"executed_at":"2026-08-01T01:03:16","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0246","name":"formation_days=60, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":10,"regime_gate":false,"holding_days":1,"formation_days":60},"performance":{"sharpe":-1.26,"max_drawdown_pct":-30,"alpha_annualized_pct":-7.6,"p_value":0.011,"regime_breakdown":{"UP":-1.173469,"DOWN":-1.387084,"FLAT":-1.261154}},"executed_at":"2026-08-01T01:03:16","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0260","name":"formation_days=60, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":10,"regime_gate":false,"holding_days":5,"formation_days":60},"performance":{"sharpe":-1.01,"max_drawdown_pct":-46.5,"alpha_annualized_pct":-10.8,"p_value":0.039,"regime_breakdown":{"UP":-1.089582,"DOWN":-0.818993,"FLAT":-0.949678}},"executed_at":"2026-08-01T01:03:17","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0274","name":"formation_days=60, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":5,"regime_gate":false,"holding_days":10,"formation_days":60},"performance":{"sharpe":-1.36,"max_drawdown_pct":-69.9,"alpha_annualized_pct":-23.1,"p_value":0.0063,"regime_breakdown":{"UP":-1.339841,"DOWN":-0.289551,"FLAT":-1.996245}},"executed_at":"2026-08-01T01:03:18","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0288","name":"formation_days=60, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":5,"regime_gate":false,"holding_days":20,"formation_days":60},"performance":{"sharpe":-1.1,"max_drawdown_pct":-80.4,"alpha_annualized_pct":-28.4,"p_value":0.026,"regime_breakdown":{"UP":-1.234482,"DOWN":-0.308226,"FLAT":-1.270028}},"executed_at":"2026-08-01T01:03:19","notes":null},{"run_id":"r-max-return-lottery-us-sp500-0302","name":"formation_days=60, 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":60},"performance":{"sharpe":-1.46,"max_drawdown_pct":-61.3,"alpha_annualized_pct":-19.3,"p_value":0.0037,"regime_breakdown":{"UP":-1.531749,"DOWN":-1.67961,"FLAT":-1.247251}},"executed_at":"2026-08-01T01:03:19","notes":null}],"facts":[{"fact_id":"max-return-lottery-us-sp500-fact-best-sharpe","strategy_slug":"max-return-lottery-us-sp500","claim":"Best grid Sharpe ratio is 0.04 (p=0.92).","value":0.04,"value_text":null,"unit":"sharpe_ratio","context":"period 2022-02-01–2026-06-01; cost=5bps","supports_verdict":"rejected","source_run_id":"r-max-return-lottery-us-sp500-0017","search_tsv":"'-01':12,15 '-02':11 '-06':14 '0.04':6 '0.92':8 '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/max-return-lottery-us-sp500-fact-best-sharpe"},{"fact_id":"max-return-lottery-us-sp500-fact-median-sharpe","strategy_slug":"max-return-lottery-us-sp500","claim":"Median Sharpe across 320 grid runs is -0.91.","value":-0.91,"value_text":null,"unit":"sharpe_ratio","context":"Full grid of 320 parameter combinations.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.91':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/max-return-lottery-us-sp500-fact-median-sharpe"},{"fact_id":"max-return-lottery-us-sp500-fact-regime-down","strategy_slug":"max-return-lottery-us-sp500","claim":"Median Sharpe in DOWN regime is -0.40 across 320 runs.","value":-0.4,"value_text":null,"unit":"sharpe_ratio","context":"Regime=DOWN, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.40':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/max-return-lottery-us-sp500-fact-regime-down"},{"fact_id":"max-return-lottery-us-sp500-fact-regime-flat","strategy_slug":"max-return-lottery-us-sp500","claim":"Median Sharpe in FLAT regime is -1.32 across 320 runs.","value":-1.32,"value_text":null,"unit":"sharpe_ratio","context":"Regime=FLAT, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-1.32':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/max-return-lottery-us-sp500-fact-regime-flat"},{"fact_id":"max-return-lottery-us-sp500-fact-regime-up","strategy_slug":"max-return-lottery-us-sp500","claim":"Median Sharpe in UP regime is -0.86 across 320 runs.","value":-0.86,"value_text":null,"unit":"sharpe_ratio","context":"Regime=UP, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.86':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/max-return-lottery-us-sp500-fact-regime-up"}],"related_strategies":[{"related_slug":"max-return-lottery-jp-all","relation":"same_strategy"},{"related_slug":"max-return-lottery-jp-growth","relation":"same_strategy"}],"tags":["max-return","lottery","factor","anomaly","us-market","sp500"],"_links":{"self":"https://qbuntu.ai/v1/strategies/max-return-lottery-us-sp500","html":"https://qbuntu.ai/strategies/max-return-lottery-us-sp500","markdown":"https://qbuntu.ai/ai/strategies/max-return-lottery-us-sp500.md"}}