# Cross-Sectional Momentum (US S&P 500)

- **Slug**: `momentum-cross-sectional-us-sp500`
- **Verdict**: marginal (no_edge)
- **Asset class**: equity
- **Categories**: cross-sectional, factor, momentum
- **Source**: qbuntu-analysis (computed asof 2026-07-27T03:36:14)
- **Reproducibility**: analysis-engine@bfafe7d, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/momentum-cross-sectional-us-sp500
- **JSON**: https://qbuntu.ai/v1/strategies/momentum-cross-sectional-us-sp500
- **License**: CC-BY-4.0

## Hypothesis

Jegadeesh & Titman (1993): stocks with high past returns continue to outperform over intermediate horizons. LONG winners, SHORT losers. Applied to S&P 500 constituents.

## Why it didn't work

Across 960 grid combinations, median Sharpe=0.76, best=2.28. Primary failure mode: no_edge.

## Performance summary

Headline figures are the **median across the parameter grid**, not the best run.

| Metric | Value |
|---|---|
| Sharpe (median) | 0.7553 |
| Max drawdown | -14.8% |
| p-value | 0.13 |
| Backtest period | 2022-04-01 to 2026-06-01 |

Sharpe distribution across 960 grid runs: median 0.76, best 2.28 (best-case — not representative), worst -0.67, p25 0.42, p75 1.05.

## Methodology

- Notes: {"walk_forward_definition": {"type": "single_pass", "description": "Full period backtest without walk-forward split", "verdict_basis": "full_period"}}
- 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

## Target universe

S&P 500 constituents, ~503 stocks

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-momentum-cross-sectional-us-sp500-0000` | cost_bps=5, n_stocks=5, skip_days=0, regime_gate=false | 0.58 | 1.7 | -0.38 | 0.29 |
| `r-momentum-cross-sectional-us-sp500-0001` | cost_bps=5, n_stocks=5, skip_days=0, regime_gate=true | 0.2 | 0.81 | -0.38 | 0.29 |
| `r-momentum-cross-sectional-us-sp500-0002` | cost_bps=10, n_stocks=5, skip_days=0, regime_gate=false | 0.43 | 1.51 | -0.51 | 0.17 |
| `r-momentum-cross-sectional-us-sp500-0003` | cost_bps=10, n_stocks=5, skip_days=0, regime_gate=true | 0.09 | 0.7 | -0.51 | 0.17 |
| `r-momentum-cross-sectional-us-sp500-0008` | cost_bps=5, n_stocks=5, skip_days=21, regime_gate=false | -0.44 | 0.65 | -1.27 | -0.89 |
| `r-momentum-cross-sectional-us-sp500-0011` | cost_bps=10, n_stocks=5, skip_days=21, regime_gate=true | -0.67 | 0.35 | -1.38 | -1.01 |
| `r-momentum-cross-sectional-us-sp500-0036` | cost_bps=5, n_stocks=50, skip_days=0, regime_gate=false | 0.14 | 1.16 | -0.67 | -0.26 |
| `r-momentum-cross-sectional-us-sp500-0051` | cost_bps=10, n_stocks=5, skip_days=0, regime_gate=true | 0.61 | 0.82 | 0.16 | 1.39 |
| `r-momentum-cross-sectional-us-sp500-0096` | cost_bps=5, n_stocks=5, skip_days=0, regime_gate=false | 0.21 | 0.88 | -0.32 | -0.2 |
| `r-momentum-cross-sectional-us-sp500-0141` | cost_bps=5, n_stocks=50, skip_days=21, regime_gate=true | 0.03 | 1.13 | -0.79 | -0.06 |
| `r-momentum-cross-sectional-us-sp500-0186` | cost_bps=10, n_stocks=50, skip_days=5, regime_gate=false | -0.02 | 0.53 | -0.35 | -0.55 |
| `r-momentum-cross-sectional-us-sp500-0192` | cost_bps=5, n_stocks=5, skip_days=0, regime_gate=false | 0.56 | 0.99 | 0.41 | -1.61 |
| `r-momentum-cross-sectional-us-sp500-0232` | cost_bps=5, n_stocks=50, skip_days=5, regime_gate=false | 0.24 | 0.94 | 0.2 | -2.82 |
| `r-momentum-cross-sectional-us-sp500-0277` | cost_bps=5, n_stocks=50, skip_days=0, regime_gate=true | -0.04 | 0.73 | -0.56 | -0.61 |
| `r-momentum-cross-sectional-us-sp500-0322` | cost_bps=10, n_stocks=20, skip_days=21, regime_gate=false | 0.36 | 0.09 | -0.35 | 2.48 |
| `r-momentum-cross-sectional-us-sp500-0367` | cost_bps=10, n_stocks=20, skip_days=5, regime_gate=true | 0.6 | 1.46 | -0.47 | 1.46 |
| `r-momentum-cross-sectional-us-sp500-0412` | cost_bps=5, n_stocks=20, skip_days=5, regime_gate=false | 0.9 | 1.21 | 0.3 | 1.47 |
| `r-momentum-cross-sectional-us-sp500-0457` | cost_bps=5, n_stocks=20, skip_days=0, regime_gate=true | 1.25 | 1.67 | 1.09 | -0.48 |
| `r-momentum-cross-sectional-us-sp500-0502` | cost_bps=10, n_stocks=10, skip_days=21, regime_gate=false | 0.21 | 0.45 | -0.06 | -0.22 |
| `r-momentum-cross-sectional-us-sp500-0547` | cost_bps=10, n_stocks=10, skip_days=5, regime_gate=true | 1.13 | 1.17 | 0.45 | 2.43 |
| `r-momentum-cross-sectional-us-sp500-0592` | cost_bps=5, n_stocks=10, skip_days=5, regime_gate=false | 1.01 | 1.02 | 0.48 | 2.03 |
| `r-momentum-cross-sectional-us-sp500-0637` | cost_bps=5, n_stocks=10, skip_days=0, regime_gate=true | 1.08 | 2.1 | -0.18 | 1.36 |
| `r-momentum-cross-sectional-us-sp500-0682` | cost_bps=10, n_stocks=5, skip_days=21, regime_gate=false | 0.75 | 0.88 | 0.47 | 0.84 |
| `r-momentum-cross-sectional-us-sp500-0720` | cost_bps=5, n_stocks=5, skip_days=0, regime_gate=false | 0.94 | 1.51 | 0.32 | -0.14 |
| `r-momentum-cross-sectional-us-sp500-0728` | cost_bps=5, n_stocks=5, skip_days=21, regime_gate=false | 1.04 | 1.62 | 0.01 | 0.2 |
| `r-momentum-cross-sectional-us-sp500-0773` | cost_bps=5, n_stocks=5, skip_days=5, regime_gate=true | 1.63 | 1.55 | 1.58 | 2.15 |
| `r-momentum-cross-sectional-us-sp500-0818` | cost_bps=10, n_stocks=5, skip_days=0, regime_gate=false | 0.96 | 0.92 | 0.78 | 1.32 |
| `r-momentum-cross-sectional-us-sp500-0863` | cost_bps=10, n_stocks=50, skip_days=21, regime_gate=true | 1.31 | 1.64 | 0.71 | 1.67 |
| `r-momentum-cross-sectional-us-sp500-0869` | cost_bps=5, n_stocks=5, skip_days=5, regime_gate=true | 2.28 | 2.43 | 2.26 | 1.65 |
| `r-momentum-cross-sectional-us-sp500-0909` | cost_bps=5, n_stocks=50, skip_days=21, regime_gate=true | 1.74 | 1.84 | 1.73 | 1.25 |

## Facts (7)

Each fact has a permanent citation URL. AI agents quoting qbuntu should use these.

- **Average monthly return correlation with other strategies in DOWN regime: 0.15**
  - Value: 0.1457 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/momentum-cross-sectional-us-sp500-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): 0.04**
  - Value: 0.0399 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/momentum-cross-sectional-us-sp500-fact-avg-corr-full

- **Best grid Sharpe ratio is 2.28 (p=0.00014).**
  - Value: 2.28 sharpe_ratio
  - Context: period 2022-04-01–2026-06-01; cost=5bps
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/momentum-cross-sectional-us-sp500-fact-best-sharpe

- **Median Sharpe across 960 grid runs is 0.76.**
  - Value: 0.76 sharpe_ratio
  - Context: Full grid of 960 parameter combinations.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/momentum-cross-sectional-us-sp500-fact-median-sharpe

- **Median Sharpe in DOWN regime is 0.90 across 960 runs.**
  - Value: 0.9 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/momentum-cross-sectional-us-sp500-fact-regime-down

- **Median Sharpe in FLAT regime is 0.23 across 960 runs.**
  - Value: 0.23 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/momentum-cross-sectional-us-sp500-fact-regime-flat

- **Median Sharpe in UP regime is 1.11 across 960 runs.**
  - Value: 1.11 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/momentum-cross-sectional-us-sp500-fact-regime-up

## Related strategies

- same_strategy: [momentum-cross-sectional-jp-all](https://qbuntu.ai/strategies/momentum-cross-sectional-jp-all)
- same_strategy: [momentum-cross-sectional-jp-growth](https://qbuntu.ai/strategies/momentum-cross-sectional-jp-growth)

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Cite as: qbuntu (2026). Cross-Sectional Momentum (US S&P 500). https://qbuntu.ai/strategies/momentum-cross-sectional-us-sp500

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