{"schema_version":"v1","slug":"volume-anomaly-jp-all","name":"Volume Anomaly (JP All Stocks)","name_i18n":{},"verdict":"rejected","asset_class":"equity","categories":["anomaly","factor","volume"],"hypothesis":"Campbell, Grossman, Wang (1993): abnormal volume spikes predict subsequent price drift or reversal. Testing on the full Japanese stock universe.","rejection_reason":{"primary":"no_edge","secondary":[],"narrative":"Across 564 grid combinations, median Sharpe=-0.24, best=2.25. Primary failure mode: no_edge."},"target_universe":{"description":"Tokyo Stock Exchange all listed (Prime/Standard/Growth), ~3747 stocks","symbols":[]},"performance_summary":{"sharpe_median":-0.242,"max_drawdown_pct":-23.2,"win_rate":null,"alpha_annualized_pct":null,"p_value":0.5,"backtest_period":{"start":"2022-02-01","end":"2026-06-01"}},"grid_summary":{"sharpe":{"p25":-0.64,"p75":0.27,"best":2.25,"worst":-5.2,"median":-0.24},"n_combinations":564},"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":"2026-07-28T01:10:38","git_sha_z":"bfafe7d","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-volume-anomaly-jp-all-0000","name":"volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"direction":"momentum","regime_gate":false,"holding_days":1,"volume_lookback":5,"volume_threshold":1.5},"performance":{"sharpe":-1.31,"max_drawdown_pct":-37,"alpha_annualized_pct":-8.5,"p_value":0.024,"regime_breakdown":{"UP":-0.621086,"FLAT":-1.323711}},"executed_at":"2026-07-28T01:08:09","notes":null},{"run_id":"r-volume-anomaly-jp-all-0001","name":"volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"direction":"momentum","regime_gate":true,"holding_days":1,"volume_lookback":5,"volume_threshold":1.5},"performance":{"sharpe":-1.17,"max_drawdown_pct":-42.7,"alpha_annualized_pct":-9.1,"p_value":0.045,"regime_breakdown":{"UP":-0.524508,"FLAT":-1.323711}},"executed_at":"2026-07-28T01:08:09","notes":null},{"run_id":"r-volume-anomaly-jp-all-0002","name":"volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"direction":"momentum","regime_gate":false,"holding_days":1,"volume_lookback":5,"volume_threshold":1.5},"performance":{"sharpe":-1.44,"max_drawdown_pct":-40.7,"alpha_annualized_pct":-9.4,"p_value":0.013,"regime_breakdown":{"UP":-0.805028,"FLAT":-1.452467}},"executed_at":"2026-07-28T01:08:09","notes":null},{"run_id":"r-volume-anomaly-jp-all-0003","name":"volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"direction":"momentum","regime_gate":true,"holding_days":1,"volume_lookback":5,"volume_threshold":1.5},"performance":{"sharpe":-1.27,"max_drawdown_pct":-45.4,"alpha_annualized_pct":-10,"p_value":0.029,"regime_breakdown":{"UP":-0.599394,"FLAT":-1.452467}},"executed_at":"2026-07-28T01:08:09","notes":null},{"run_id":"r-volume-anomaly-jp-all-0008","name":"volume_lookback=5, volume_threshold=1.5, holding_days=1, direction=vol_only, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"direction":"vol_only","regime_gate":false,"holding_days":1,"volume_lookback":5,"volume_threshold":1.5},"performance":{"sharpe":-1.11,"max_drawdown_pct":-52.6,"alpha_annualized_pct":-11.5,"p_value":0.053,"regime_breakdown":{"UP":-0.62372,"FLAT":-1.438652}},"executed_at":"2026-07-28T01:08:09","notes":null},{"run_id":"r-volume-anomaly-jp-all-0030","name":"volume_lookback=5, volume_threshold=1.5, holding_days=10, direction=reversal, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"direction":"reversal","regime_gate":false,"holding_days":10,"volume_lookback":5,"volume_threshold":1.5},"performance":{"sharpe":-0.71,"max_drawdown_pct":-80.8,"alpha_annualized_pct":-18,"p_value":0.22,"regime_breakdown":{"UP":-1.652891,"FLAT":-0.585325}},"executed_at":"2026-07-28T01:08:10","notes":null},{"run_id":"r-volume-anomaly-jp-all-0036","name":"volume_lookback=5, volume_threshold=1.5, holding_days=20, direction=momentum, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"direction":"momentum","regime_gate":false,"holding_days":20,"volume_lookback":5,"volume_threshold":1.5},"performance":{"sharpe":0.39,"max_drawdown_pct":-43.6,"alpha_annualized_pct":8.9,"p_value":0.5,"regime_breakdown":{"UP":1.722901,"FLAT":-0.125675}},"executed_at":"2026-07-28T01:08:10","notes":null},{"run_id":"r-volume-anomaly-jp-all-0057","name":"volume_lookback=5, volume_threshold=2, holding_days=1, direction=vol_only, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"direction":"vol_only","regime_gate":true,"holding_days":1,"volume_lookback":5,"volume_threshold":2},"performance":{"sharpe":-1.34,"max_drawdown_pct":-43.5,"alpha_annualized_pct":-9.1,"p_value":0.073,"regime_breakdown":{"UP":0.067614,"FLAT":-1.696418}},"executed_at":"2026-07-28T01:08:11","notes":null},{"run_id":"r-volume-anomaly-jp-all-0083","name":"volume_lookback=5, volume_threshold=2, holding_days=10, direction=vol_only, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"direction":"vol_only","regime_gate":true,"holding_days":10,"volume_lookback":5,"volume_threshold":2},"performance":{"sharpe":-0.54,"max_drawdown_pct":-28,"alpha_annualized_pct":-5.8,"p_value":0.46,"regime_breakdown":{"UP":-2.561509,"FLAT":-0.297706}},"executed_at":"2026-07-28T01:08:12","notes":null},{"run_id":"r-volume-anomaly-jp-all-0096","name":"volume_lookback=5, volume_threshold=3, holding_days=1, direction=momentum, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"direction":"momentum","regime_gate":false,"holding_days":1,"volume_lookback":5,"volume_threshold":3},"performance":{"sharpe":-0.19,"max_drawdown_pct":-5.3,"alpha_annualized_pct":-0.6,"p_value":0.87,"regime_breakdown":{"UP":-1.716599,"FLAT":0.442822}},"executed_at":"2026-07-28T01:08:13","notes":null},{"run_id":"r-volume-anomaly-jp-all-0110","name":"volume_lookback=5, volume_threshold=3, holding_days=5, direction=momentum, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"direction":"momentum","regime_gate":false,"holding_days":5,"volume_lookback":5,"volume_threshold":3},"performance":{"sharpe":-1.15,"max_drawdown_pct":-10.5,"alpha_annualized_pct":-3.5,"p_value":0.34,"regime_breakdown":{"UP":-0.815692,"FLAT":-1.265943}},"executed_at":"2026-07-28T01:08:13","notes":null},{"run_id":"r-volume-anomaly-jp-all-0136","name":"volume_lookback=5, volume_threshold=3, holding_days=20, direction=reversal, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"direction":"reversal","regime_gate":false,"holding_days":20,"volume_lookback":5,"volume_threshold":3},"performance":{"sharpe":-2.12,"max_drawdown_pct":-43,"alpha_annualized_pct":-13.4,"p_value":0.099,"regime_breakdown":{"UP":-1.767323,"FLAT":-2.279236}},"executed_at":"2026-07-28T01:08:14","notes":null},{"run_id":"r-volume-anomaly-jp-all-0210","name":"volume_lookback=10, volume_threshold=1.5, holding_days=5, direction=reversal, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"direction":"reversal","regime_gate":false,"holding_days":5,"volume_lookback":10,"volume_threshold":1.5},"performance":{"sharpe":-0.18,"max_drawdown_pct":-41.6,"alpha_annualized_pct":-3,"p_value":0.74,"regime_breakdown":{"UP":0.31053,"FLAT":-0.347517}},"executed_at":"2026-07-28T01:08:16","notes":null},{"run_id":"r-volume-anomaly-jp-all-0240","name":"volume_lookback=10, volume_threshold=2, holding_days=1, direction=momentum, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"direction":"momentum","regime_gate":false,"holding_days":1,"volume_lookback":10,"volume_threshold":2},"performance":{"sharpe":0.16,"max_drawdown_pct":-15.4,"alpha_annualized_pct":1,"p_value":0.82,"regime_breakdown":{"UP":-1.870553,"FLAT":0.708549}},"executed_at":"2026-07-28T01:08:17","notes":null},{"run_id":"r-volume-anomaly-jp-all-0266","name":"volume_lookback=10, volume_threshold=2, holding_days=10, direction=momentum, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"direction":"momentum","regime_gate":false,"holding_days":10,"volume_lookback":10,"volume_threshold":2},"performance":{"sharpe":0.66,"max_drawdown_pct":-12.5,"alpha_annualized_pct":10.1,"p_value":0.36,"regime_breakdown":{"UP":-0.753009,"FLAT":0.884508}},"executed_at":"2026-07-28T01:08:18","notes":null},{"run_id":"r-volume-anomaly-jp-all-0292","name":"volume_lookback=10, volume_threshold=3, holding_days=1, direction=reversal, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"direction":"reversal","regime_gate":false,"holding_days":1,"volume_lookback":10,"volume_threshold":3},"performance":{"sharpe":0.89,"max_drawdown_pct":-3,"alpha_annualized_pct":1.4,"p_value":0.55,"regime_breakdown":{"UP":1.525503,"FLAT":0.228522}},"executed_at":"2026-07-28T01:08:19","notes":null},{"run_id":"r-volume-anomaly-jp-all-0318","name":"volume_lookback=10, volume_threshold=3, holding_days=10, direction=reversal, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"direction":"reversal","regime_gate":false,"holding_days":10,"volume_lookback":10,"volume_threshold":3},"performance":{"sharpe":-0.29,"max_drawdown_pct":-8.1,"alpha_annualized_pct":-1,"p_value":0.85,"regime_breakdown":{"UP":2.532607,"FLAT":-4.840457}},"executed_at":"2026-07-28T01:08:20","notes":null},{"run_id":"r-volume-anomaly-jp-all-0392","name":"volume_lookback=20, volume_threshold=1.5, holding_days=1, direction=vol_only, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"direction":"vol_only","regime_gate":false,"holding_days":1,"volume_lookback":20,"volume_threshold":1.5},"performance":{"sharpe":-0.82,"max_drawdown_pct":-40,"alpha_annualized_pct":-8.6,"p_value":0.15,"regime_breakdown":{"UP":-0.491748,"FLAT":-1.075009}},"executed_at":"2026-07-28T01:08:22","notes":null},{"run_id":"r-volume-anomaly-jp-all-0422","name":"volume_lookback=20, volume_threshold=1.5, holding_days=20, direction=momentum, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"direction":"momentum","regime_gate":false,"holding_days":20,"volume_lookback":20,"volume_threshold":1.5},"performance":{"sharpe":1.6,"max_drawdown_pct":-17.1,"alpha_annualized_pct":37.2,"p_value":0.007,"regime_breakdown":{"UP":1.913976,"FLAT":1.412932}},"executed_at":"2026-07-28T01:08:23","notes":null},{"run_id":"r-volume-anomaly-jp-all-0452","name":"volume_lookback=20, volume_threshold=2, holding_days=5, direction=vol_only, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"direction":"vol_only","regime_gate":false,"holding_days":5,"volume_lookback":20,"volume_threshold":2},"performance":{"sharpe":-0.7,"max_drawdown_pct":-24.5,"alpha_annualized_pct":-9.6,"p_value":0.35,"regime_breakdown":{"UP":-0.454859,"FLAT":-0.66786}},"executed_at":"2026-07-28T01:08:25","notes":null},{"run_id":"r-volume-anomaly-jp-all-0478","name":"volume_lookback=20, volume_threshold=2, holding_days=20, direction=vol_only, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"direction":"vol_only","regime_gate":false,"holding_days":20,"volume_lookback":20,"volume_threshold":2},"performance":{"sharpe":-0.72,"max_drawdown_pct":-54.4,"alpha_annualized_pct":-12.5,"p_value":0.34,"regime_breakdown":{"UP":-0.540922,"FLAT":-0.563792}},"executed_at":"2026-07-28T01:08:26","notes":null},{"run_id":"r-volume-anomaly-jp-all-0504","name":"volume_lookback=20, volume_threshold=3, holding_days=10, direction=momentum, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"direction":"momentum","regime_gate":false,"holding_days":10,"volume_lookback":20,"volume_threshold":3},"performance":{"sharpe":1.42,"max_drawdown_pct":-2.9,"alpha_annualized_pct":2.7,"p_value":0.36,"regime_breakdown":{"UP":0.720429,"FLAT":3.34982}},"executed_at":"2026-07-28T01:08:26","notes":null},{"run_id":"r-volume-anomaly-jp-all-0511","name":"volume_lookback=20, volume_threshold=3, holding_days=10, direction=reversal, cost_bps=10, regime_gate=True","params":{"cost_bps":10,"direction":"reversal","regime_gate":true,"holding_days":10,"volume_lookback":20,"volume_threshold":3},"performance":{"sharpe":-5.2,"max_drawdown_pct":-8.2,"alpha_annualized_pct":-3.3,"p_value":0.014,"regime_breakdown":{"UP":-8.38356,"FLAT":-4.189829}},"executed_at":"2026-07-28T01:08:27","notes":null},{"run_id":"r-volume-anomaly-jp-all-0576","name":"volume_lookback=60, volume_threshold=1.5, holding_days=1, direction=momentum, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"direction":"momentum","regime_gate":false,"holding_days":1,"volume_lookback":60,"volume_threshold":1.5},"performance":{"sharpe":-0.09,"max_drawdown_pct":-23.8,"alpha_annualized_pct":-0.9,"p_value":0.88,"regime_breakdown":{"UP":-1.085911,"FLAT":0.409522}},"executed_at":"2026-07-28T01:08:28","notes":null},{"run_id":"r-volume-anomaly-jp-all-0580","name":"volume_lookback=60, volume_threshold=1.5, holding_days=1, direction=reversal, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"direction":"reversal","regime_gate":false,"holding_days":1,"volume_lookback":60,"volume_threshold":1.5},"performance":{"sharpe":-0.1,"max_drawdown_pct":-21,"alpha_annualized_pct":-1,"p_value":0.86,"regime_breakdown":{"UP":0.893503,"FLAT":-0.591939}},"executed_at":"2026-07-28T01:08:28","notes":null},{"run_id":"r-volume-anomaly-jp-all-0606","name":"volume_lookback=60, volume_threshold=1.5, holding_days=10, direction=reversal, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"direction":"reversal","regime_gate":false,"holding_days":10,"volume_lookback":60,"volume_threshold":1.5},"performance":{"sharpe":0,"max_drawdown_pct":-32.1,"alpha_annualized_pct":0.1,"p_value":1,"regime_breakdown":{"UP":0.760211,"FLAT":-0.338962}},"executed_at":"2026-07-28T01:08:30","notes":null},{"run_id":"r-volume-anomaly-jp-all-0632","name":"volume_lookback=60, volume_threshold=2, holding_days=1, direction=vol_only, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"direction":"vol_only","regime_gate":false,"holding_days":1,"volume_lookback":60,"volume_threshold":2},"performance":{"sharpe":-1.63,"max_drawdown_pct":-43.7,"alpha_annualized_pct":-12.4,"p_value":0.032,"regime_breakdown":{"UP":-3.183606,"FLAT":-1.500233}},"executed_at":"2026-07-28T01:08:31","notes":null},{"run_id":"r-volume-anomaly-jp-all-0658","name":"volume_lookback=60, volume_threshold=2, holding_days=10, direction=vol_only, cost_bps=10, regime_gate=False","params":{"cost_bps":10,"direction":"vol_only","regime_gate":false,"holding_days":10,"volume_lookback":60,"volume_threshold":2},"performance":{"sharpe":-0.76,"max_drawdown_pct":-39.5,"alpha_annualized_pct":-12.1,"p_value":0.3,"regime_breakdown":{"UP":-1.644907,"FLAT":-0.501039}},"executed_at":"2026-07-28T01:08:32","notes":null},{"run_id":"r-volume-anomaly-jp-all-0676","name":"volume_lookback=60, volume_threshold=3, holding_days=1, direction=reversal, cost_bps=5, regime_gate=False","params":{"cost_bps":5,"direction":"reversal","regime_gate":false,"holding_days":1,"volume_lookback":60,"volume_threshold":3},"performance":{"sharpe":2.25,"max_drawdown_pct":-1.7,"alpha_annualized_pct":4.6,"p_value":0.1,"regime_breakdown":{"UP":4.08562,"FLAT":2.023628}},"executed_at":"2026-07-28T01:08:32","notes":null},{"run_id":"r-volume-anomaly-jp-all-0685","name":"volume_lookback=60, volume_threshold=3, holding_days=5, direction=momentum, cost_bps=5, regime_gate=True","params":{"cost_bps":5,"direction":"momentum","regime_gate":true,"holding_days":5,"volume_lookback":60,"volume_threshold":3},"performance":{"sharpe":-0.68,"max_drawdown_pct":-9.6,"alpha_annualized_pct":-5.5,"p_value":0.59,"regime_breakdown":{"UP":2.611358,"FLAT":-0.943153}},"executed_at":"2026-07-28T01:08:33","notes":null}],"facts":[{"fact_id":"volume-anomaly-jp-all-fact-best-sharpe","strategy_slug":"volume-anomaly-jp-all","claim":"Best grid Sharpe ratio is 2.25 (p=0.1).","value":2.25,"value_text":null,"unit":"sharpe_ratio","context":"period 2022-02-01–2026-06-01; cost=5bps","supports_verdict":"rejected","source_run_id":"r-volume-anomaly-jp-all-0676","search_tsv":"'-01':12,15 '-02':11 '-06':14 '0.1':8 '2.25':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/volume-anomaly-jp-all-fact-best-sharpe"},{"fact_id":"volume-anomaly-jp-all-fact-median-sharpe","strategy_slug":"volume-anomaly-jp-all","claim":"Median Sharpe across 564 grid runs is -0.24.","value":-0.24,"value_text":null,"unit":"sharpe_ratio","context":"Full grid of 564 parameter combinations.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.24':8 '564':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/volume-anomaly-jp-all-fact-median-sharpe"},{"fact_id":"volume-anomaly-jp-all-fact-regime-down","strategy_slug":"volume-anomaly-jp-all","claim":"Median Sharpe in DOWN regime is nan across 564 runs.","value":null,"value_text":null,"unit":"sharpe_ratio","context":"Regime=DOWN, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'564':9 'across':8 'classif':15 'median':1 'n225':13 'nan':7 'regim':5,11 'run':10 'sharp':2 'sma20/sma60':14","cite_url":"https://qbuntu.ai/cite/volume-anomaly-jp-all-fact-regime-down"},{"fact_id":"volume-anomaly-jp-all-fact-regime-flat","strategy_slug":"volume-anomaly-jp-all","claim":"Median Sharpe in FLAT regime is -0.23 across 564 runs.","value":-0.23,"value_text":null,"unit":"sharpe_ratio","context":"Regime=FLAT, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.23':7 '564':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/volume-anomaly-jp-all-fact-regime-flat"},{"fact_id":"volume-anomaly-jp-all-fact-regime-up","strategy_slug":"volume-anomaly-jp-all","claim":"Median Sharpe in UP regime is -0.28 across 564 runs.","value":-0.28,"value_text":null,"unit":"sharpe_ratio","context":"Regime=UP, N225 SMA20/SMA60 classification.","supports_verdict":"rejected","source_run_id":null,"search_tsv":"'-0.28':7 '564':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/volume-anomaly-jp-all-fact-regime-up"}],"related_strategies":[{"related_slug":"volume-anomaly-jp-growth","relation":"same_strategy"}],"tags":["volume","anomaly","factor","all-market","grid-search"],"_links":{"self":"https://qbuntu.ai/v1/strategies/volume-anomaly-jp-all","html":"https://qbuntu.ai/strategies/volume-anomaly-jp-all","markdown":"https://qbuntu.ai/ai/strategies/volume-anomaly-jp-all.md"}}