{"schema_version":"v1","slug":"skewness-anomaly-jp-all","name":"Skewness Anomaly (JP All Stocks)","name_i18n":{},"verdict":"rejected","asset_class":"equity","categories":["anomaly","factor","lottery","skewness"],"hypothesis":"Boyer, Mitton, Vorkink (2010): stocks with high expected skewness earn lower returns. Testing on the full Japanese stock universe.","rejection_reason":{"primary":"no_edge","secondary":[],"narrative":"Across 160 grid combinations, median Sharpe=-0.56, best=0.27. Primary failure mode: no_edge."},"target_universe":{"description":"Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks","symbols":[]},"performance_summary":{"sharpe_median":-0.5599,"max_drawdown_pct":-32.5,"win_rate":null,"alpha_annualized_pct":null,"p_value":0.22,"backtest_period":{"start":"2022-02-01","end":"2026-09-01"}},"grid_summary":{"sharpe":{"p25":-0.96,"p75":-0.17,"best":0.27,"worst":-1.5,"median":-0.56},"n_combinations":160},"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":"2026-09-24T02:22:21","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-skewness-anomaly-jp-all-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":-0.49,"max_drawdown_pct":-18.5,"alpha_annualized_pct":-2.3,"p_value":0.29,"regime_breakdown":{"UP":-1.460397,"DOWN":-1.243288,"FLAT":0.029198}},"executed_at":"2026-09-23T22:20:36","notes":null},{"run_id":"r-skewness-anomaly-jp-all-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":-0.36,"max_drawdown_pct":-14.4,"alpha_annualized_pct":-1.5,"p_value":0.43,"regime_breakdown":{"UP":-1.18553,"DOWN":-1.243288,"FLAT":0.029198}},"executed_at":"2026-09-23T22:20:36","notes":null},{"run_id":"r-skewness-anomaly-jp-all-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":-0.75,"max_drawdown_pct":-21.9,"alpha_annualized_pct":-3.6,"p_value":0.11,"regime_breakdown":{"UP":-1.652182,"DOWN":-1.540643,"FLAT":-0.268652}},"executed_at":"2026-09-23T22:20:36","notes":null},{"run_id":"r-skewness-anomaly-jp-all-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":-0.61,"max_drawdown_pct":-17.8,"alpha_annualized_pct":-2.6,"p_value":0.19,"regime_breakdown":{"UP":-1.309507,"DOWN":-1.540643,"FLAT":-0.268652}},"executed_at":"2026-09-23T22:20:36","notes":null},{"run_id":"r-skewness-anomaly-jp-all-0004","name":"formation_days=20, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"n_stocks":10,"regime_gate":false,"holding_days":1,"formation_days":20},"performance":{"sharpe":-0.31,"max_drawdown_pct":-13.2,"alpha_annualized_pct":-1.3,"p_value":0.5,"regime_breakdown":{"UP":-0.902015,"DOWN":2.328049,"FLAT":-0.254926}},"executed_at":"2026-09-23T22:20:36","notes":null},{"run_id":"r-skewness-anomaly-jp-all-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":-1.17,"max_drawdown_pct":-49.3,"alpha_annualized_pct":-11.5,"p_value":0.013,"regime_breakdown":{"UP":-1.972882,"DOWN":-0.42295,"FLAT":-0.861553}},"executed_at":"2026-09-23T22:20:37","notes":null},{"run_id":"r-skewness-anomaly-jp-all-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":-1.24,"max_drawdown_pct":-50.5,"alpha_annualized_pct":-12.5,"p_value":0.009,"regime_breakdown":{"UP":-2.422449,"DOWN":-2.509931,"FLAT":-0.717245}},"executed_at":"2026-09-23T22:20:38","notes":null},{"run_id":"r-skewness-anomaly-jp-all-0038","name":"formation_days=20, 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":20},"performance":{"sharpe":-1.08,"max_drawdown_pct":-40.1,"alpha_annualized_pct":-10.3,"p_value":0.022,"regime_breakdown":{"UP":-2.350561,"DOWN":-1.257986,"FLAT":-0.607238}},"executed_at":"2026-09-23T22:20:38","notes":null},{"run_id":"r-skewness-anomaly-jp-all-0052","name":"formation_days=20, 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":20},"performance":{"sharpe":-0.86,"max_drawdown_pct":-40.5,"alpha_annualized_pct":-10.4,"p_value":0.069,"regime_breakdown":{"UP":-2.538523,"DOWN":-0.448831,"FLAT":-0.426619}},"executed_at":"2026-09-23T22:20:39","notes":null},{"run_id":"r-skewness-anomaly-jp-all-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":-0.13,"max_drawdown_pct":-45.3,"alpha_annualized_pct":-5,"p_value":0.65,"regime_breakdown":{"UP":0.096907,"DOWN":1.173357,"FLAT":-0.468872}},"executed_at":"2026-09-23T22:20:40","notes":null},{"run_id":"r-skewness-anomaly-jp-all-0067","name":"formation_days=20, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":5,"regime_gate":true,"holding_days":60,"formation_days":20},"performance":{"sharpe":-0.2,"max_drawdown_pct":-50,"alpha_annualized_pct":-7.9,"p_value":0.47,"regime_breakdown":{"UP":-0.06199,"DOWN":1.154041,"FLAT":-0.50719}},"executed_at":"2026-09-23T22:20:40","notes":null},{"run_id":"r-skewness-anomaly-jp-all-0081","name":"formation_days=40, 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":40},"performance":{"sharpe":-0.68,"max_drawdown_pct":-20.2,"alpha_annualized_pct":-3,"p_value":0.15,"regime_breakdown":{"UP":-1.248795,"DOWN":8.918383,"FLAT":-0.706774}},"executed_at":"2026-09-23T22:20:41","notes":null},{"run_id":"r-skewness-anomaly-jp-all-0087","name":"formation_days=40, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":10,"regime_gate":true,"holding_days":1,"formation_days":40},"performance":{"sharpe":-0.22,"max_drawdown_pct":-12.5,"alpha_annualized_pct":-0.8,"p_value":0.63,"regime_breakdown":{"UP":-0.953381,"DOWN":0.906181,"FLAT":0.037376}},"executed_at":"2026-09-23T22:20:42","notes":null},{"run_id":"r-skewness-anomaly-jp-all-0101","name":"formation_days=40, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":10,"regime_gate":true,"holding_days":5,"formation_days":40},"performance":{"sharpe":-0.43,"max_drawdown_pct":-17.1,"alpha_annualized_pct":-2.2,"p_value":0.35,"regime_breakdown":{"UP":-0.547157,"DOWN":1.335429,"FLAT":-0.559133}},"executed_at":"2026-09-23T22:20:43","notes":null},{"run_id":"r-skewness-anomaly-jp-all-0115","name":"formation_days=40, 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,"formation_days":40},"performance":{"sharpe":-0.56,"max_drawdown_pct":-24.5,"alpha_annualized_pct":-4.6,"p_value":0.23,"regime_breakdown":{"UP":-0.81839,"DOWN":-0.423866,"FLAT":-0.462121}},"executed_at":"2026-09-23T22:20:44","notes":null},{"run_id":"r-skewness-anomaly-jp-all-0129","name":"formation_days=40, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":5,"regime_gate":true,"holding_days":20,"formation_days":40},"performance":{"sharpe":-0.04,"max_drawdown_pct":-31,"alpha_annualized_pct":-0.5,"p_value":0.93,"regime_breakdown":{"UP":-0.953849,"DOWN":1.16654,"FLAT":0.173021}},"executed_at":"2026-09-23T22:20:45","notes":null},{"run_id":"r-skewness-anomaly-jp-all-0135","name":"formation_days=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,"formation_days":40},"performance":{"sharpe":-0.46,"max_drawdown_pct":-35.2,"alpha_annualized_pct":-5,"p_value":0.33,"regime_breakdown":{"UP":-0.36099,"DOWN":-1.82143,"FLAT":-0.416761}},"executed_at":"2026-09-23T22:20:45","notes":null},{"run_id":"r-skewness-anomaly-jp-all-0149","name":"formation_days=40, holding_days=60, n_stocks=10, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"n_stocks":10,"regime_gate":true,"holding_days":60,"formation_days":40},"performance":{"sharpe":-0.02,"max_drawdown_pct":-42.6,"alpha_annualized_pct":-0.7,"p_value":0.94,"regime_breakdown":{"UP":0.31437,"DOWN":-0.460678,"FLAT":-0.168042}},"executed_at":"2026-09-23T22:20:46","notes":null},{"run_id":"r-skewness-anomaly-jp-all-0163","name":"formation_days=60, 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":60},"performance":{"sharpe":-1.08,"max_drawdown_pct":-20.2,"alpha_annualized_pct":-4.1,"p_value":0.022,"regime_breakdown":{"UP":-1.472414,"DOWN":-0.141724,"FLAT":-0.981139}},"executed_at":"2026-09-23T22:20:47","notes":null},{"run_id":"r-skewness-anomaly-jp-all-0177","name":"formation_days=60, 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":60},"performance":{"sharpe":-0.49,"max_drawdown_pct":-26.1,"alpha_annualized_pct":-3.4,"p_value":0.3,"regime_breakdown":{"UP":-0.377319,"DOWN":-0.698359,"FLAT":-0.485226}},"executed_at":"2026-09-23T22:20:48","notes":null},{"run_id":"r-skewness-anomaly-jp-all-0183","name":"formation_days=60, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":10,"regime_gate":true,"holding_days":5,"formation_days":60},"performance":{"sharpe":-0.54,"max_drawdown_pct":-20.5,"alpha_annualized_pct":-3,"p_value":0.25,"regime_breakdown":{"UP":-0.537694,"DOWN":1.079146,"FLAT":-0.667681}},"executed_at":"2026-09-23T22:20:49","notes":null},{"run_id":"r-skewness-anomaly-jp-all-0193","name":"formation_days=60, 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":60},"performance":{"sharpe":0.27,"max_drawdown_pct":-19.1,"alpha_annualized_pct":3.3,"p_value":0.56,"regime_breakdown":{"UP":0.15104,"DOWN":-2.279271,"FLAT":0.564331}},"executed_at":"2026-09-23T22:20:49","notes":null},{"run_id":"r-skewness-anomaly-jp-all-0198","name":"formation_days=60, 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":60},"performance":{"sharpe":-0.39,"max_drawdown_pct":-30.5,"alpha_annualized_pct":-4,"p_value":0.4,"regime_breakdown":{"UP":-1.299909,"DOWN":-1.41534,"FLAT":0.080042}},"executed_at":"2026-09-23T22:20:50","notes":null},{"run_id":"r-skewness-anomaly-jp-all-0212","name":"formation_days=60, 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":60},"performance":{"sharpe":-0.32,"max_drawdown_pct":-29.4,"alpha_annualized_pct":-4,"p_value":0.5,"regime_breakdown":{"UP":-1.244669,"DOWN":-0.738534,"FLAT":0.09893}},"executed_at":"2026-09-23T22:20:51","notes":null},{"run_id":"r-skewness-anomaly-jp-all-0226","name":"formation_days=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,"formation_days":60},"performance":{"sharpe":-0.17,"max_drawdown_pct":-53.7,"alpha_annualized_pct":-6.5,"p_value":0.54,"regime_breakdown":{"UP":-0.299343,"DOWN":-0.135284,"FLAT":-0.115017}},"executed_at":"2026-09-23T22:20:51","notes":null},{"run_id":"r-skewness-anomaly-jp-all-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":-0.98,"max_drawdown_pct":-21.4,"alpha_annualized_pct":-4.4,"p_value":0.041,"regime_breakdown":{"UP":-1.399534,"DOWN":-9.906213,"FLAT":-0.630176}},"executed_at":"2026-09-23T22:20:52","notes":null},{"run_id":"r-skewness-anomaly-jp-all-0241","name":"formation_days=120, 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":120},"performance":{"sharpe":-0.81,"max_drawdown_pct":-17.9,"alpha_annualized_pct":-3.4,"p_value":0.091,"regime_breakdown":{"UP":-0.716226,"DOWN":-9.906213,"FLAT":-0.630176}},"executed_at":"2026-09-23T22:20:52","notes":null},{"run_id":"r-skewness-anomaly-jp-all-0247","name":"formation_days=120, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"n_stocks":10,"regime_gate":true,"holding_days":1,"formation_days":120},"performance":{"sharpe":-0.76,"max_drawdown_pct":-13.4,"alpha_annualized_pct":-2.5,"p_value":0.11,"regime_breakdown":{"UP":-0.627692,"DOWN":-0.103806,"FLAT":-0.878996}},"executed_at":"2026-09-23T22:20:53","notes":null},{"run_id":"r-skewness-anomaly-jp-all-0258","name":"formation_days=120, 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":120},"performance":{"sharpe":-1.5,"max_drawdown_pct":-52.5,"alpha_annualized_pct":-15.4,"p_value":0.0023,"regime_breakdown":{"UP":-1.475144,"DOWN":-2.925395,"FLAT":-1.649656}},"executed_at":"2026-09-23T22:20:54","notes":null},{"run_id":"r-skewness-anomaly-jp-all-0262","name":"formation_days=120, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"n_stocks":10,"regime_gate":false,"holding_days":5,"formation_days":120},"performance":{"sharpe":-0.99,"max_drawdown_pct":-28.7,"alpha_annualized_pct":-6.1,"p_value":0.039,"regime_breakdown":{"UP":-1.398321,"DOWN":0.415067,"FLAT":-0.941049}},"executed_at":"2026-09-23T22:20:54","notes":null}],"facts":[{"fact_id":"skewness-anomaly-jp-all-fact-best-sharpe","strategy_slug":"skewness-anomaly-jp-all","claim":"Best grid Sharpe ratio is 0.27 (p=0.56).","value":0.27,"value_text":null,"unit":"sharpe_ratio","context":"period 2022-02-01–2026-09-01; cost=5bps","supports_verdict":"rejected","source_run_id":"r-skewness-anomaly-jp-all-0193","search_tsv":"'-01':12,15 '-02':11 '-09':14 '0.27':6 '0.56':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/skewness-anomaly-jp-all-fact-best-sharpe"},{"fact_id":"skewness-anomaly-jp-all-fact-median-sharpe","strategy_slug":"skewness-anomaly-jp-all","claim":"Median Sharpe across 160 grid runs is -0.56.","value":-0.56,"value_text":null,"unit":"sharpe_ratio","context":"Full grid of 160 parameter combinations.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.56':8 '160':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/skewness-anomaly-jp-all-fact-median-sharpe"},{"fact_id":"skewness-anomaly-jp-all-fact-regime-down","strategy_slug":"skewness-anomaly-jp-all","claim":"Median Sharpe in DOWN regime is -0.44 across 160 runs.","value":-0.44,"value_text":null,"unit":"sharpe_ratio","context":"Regime=DOWN, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.44':7 '160':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/skewness-anomaly-jp-all-fact-regime-down"},{"fact_id":"skewness-anomaly-jp-all-fact-regime-flat","strategy_slug":"skewness-anomaly-jp-all","claim":"Median Sharpe in FLAT regime is -0.47 across 160 runs.","value":-0.47,"value_text":null,"unit":"sharpe_ratio","context":"Regime=FLAT, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.47':7 '160':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/skewness-anomaly-jp-all-fact-regime-flat"},{"fact_id":"skewness-anomaly-jp-all-fact-regime-up","strategy_slug":"skewness-anomaly-jp-all","claim":"Median Sharpe in UP regime is -0.94 across 160 runs.","value":-0.94,"value_text":null,"unit":"sharpe_ratio","context":"Regime=UP, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.94':7 '160':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/skewness-anomaly-jp-all-fact-regime-up"}],"related_strategies":[{"related_slug":"skewness-anomaly-jp-growth","relation":"same_strategy"}],"tags":["skewness","lottery","factor","anomaly","all-market"],"_links":{"self":"https://qbuntu.ai/v1/strategies/skewness-anomaly-jp-all","html":"https://qbuntu.ai/strategies/skewness-anomaly-jp-all","markdown":"https://qbuntu.ai/ai/strategies/skewness-anomaly-jp-all.md"}}