# Momentum × Volume Interaction (US S&P 500)

- **Slug**: `momentum-volume-us-sp500`
- **Verdict**: marginal (regime_dependent)
- **Asset class**: equity
- **Categories**: factor, interaction, momentum, volume
- **Source**: qbuntu-analysis (computed asof 2026-07-30T01:20:50)
- **Reproducibility**: analysis-engine@18193e9, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/momentum-volume-us-sp500
- **JSON**: https://qbuntu.ai/v1/strategies/momentum-volume-us-sp500
- **License**: CC-BY-4.0

## Hypothesis

Lee & Swaminathan (2000): volume confirms momentum quality. Applied to S&P 500 constituents.

## Why it didn't work

Across 320 grid combinations, median Sharpe=0.05, best=1.34. Primary failure mode: regime_dependent.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | 0.0545 |
| Max drawdown | -14% |
| p-value | 0.59 |
| Backtest period | 2022-05-02 to 2026-06-01 |

Sharpe distribution across 320 grid runs: median 0.05, best 1.34 (best-case — not representative), worst -0.84, p25 -0.17, p75 0.32.

## 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-volume-us-sp500-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.9 | 2.18 | 0.03 | 0.44 |
| `r-momentum-volume-us-sp500-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.54 | 1.16 | 0.03 | 0.44 |
| `r-momentum-volume-us-sp500-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | 0.65 | 1.82 | -0.16 | 0.25 |
| `r-momentum-volume-us-sp500-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | 0.35 | 0.98 | -0.16 | 0.25 |
| `r-momentum-volume-us-sp500-0012` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | 0.19 | 0.47 | -0.07 | 0.31 |
| `r-momentum-volume-us-sp500-0016` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 1.34 | 2.4 | -0.27 | 1.96 |
| `r-momentum-volume-us-sp500-0019` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | 1.17 | 2.45 | -0.41 | 1.86 |
| `r-momentum-volume-us-sp500-0033` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=10 | 1.07 | 2.26 | -0.05 | 0.87 |
| `r-momentum-volume-us-sp500-0047` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=10 | -0.04 | 0.85 | -1.15 | -0.18 |
| `r-momentum-volume-us-sp500-0061` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=20 | 0.31 | 1.25 | -0.6 | 0.09 |
| `r-momentum-volume-us-sp500-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | 0.05 | 0.53 | -0.11 | -1.01 |
| `r-momentum-volume-us-sp500-0076` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=60 | -0.03 | 0.66 | -0.39 | -1.62 |
| `r-momentum-volume-us-sp500-0090` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=1 | -0.13 | 0.54 | -0.68 | -0.57 |
| `r-momentum-volume-us-sp500-0104` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=5 | 0.08 | 0.06 | -0.43 | 1.08 |
| `r-momentum-volume-us-sp500-0118` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=10 | -0.32 | 0.78 | -1.35 | -0.03 |
| `r-momentum-volume-us-sp500-0132` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | -0.1 | 0.67 | -0.59 | -0.36 |
| `r-momentum-volume-us-sp500-0146` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=60 | -0.13 | 0.46 | -0.28 | -3.62 |
| `r-momentum-volume-us-sp500-0160` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.21 | 0.36 | -0.16 | -1.55 |
| `r-momentum-volume-us-sp500-0171` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=1 | -0.84 | -0.7 | -1.09 | -0.74 |
| `r-momentum-volume-us-sp500-0175` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=1 | -0.8 | 0 | -1.6 | -1.14 |
| `r-momentum-volume-us-sp500-0189` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=5 | 0.28 | 1.09 | -0.63 | 1.09 |
| `r-momentum-volume-us-sp500-0203` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=10 | -0.45 | 0.42 | -0.95 | -1.26 |
| `r-momentum-volume-us-sp500-0217` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=20 | 0.1 | 0.8 | 0.03 | -0.94 |
| `r-momentum-volume-us-sp500-0231` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=60 | 0.57 | 0.93 | 0.19 | 0.11 |
| `r-momentum-volume-us-sp500-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.15 | 0.55 | -0.05 | -1.49 |
| `r-momentum-volume-us-sp500-0246` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=1 | -0.1 | 0.09 | -0.07 | -1.12 |
| `r-momentum-volume-us-sp500-0260` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=5 | 0.39 | 0.22 | 0.26 | 1.8 |
| `r-momentum-volume-us-sp500-0274` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=10 | -0.59 | -0.39 | -1.46 | 0.51 |
| `r-momentum-volume-us-sp500-0288` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | -0.41 | -0.1 | -0.98 | 1.06 |
| `r-momentum-volume-us-sp500-0302` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=20 | 0.06 | 0.25 | -0.35 | 0.81 |

## Facts (5)

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

- **Best grid Sharpe ratio is 1.34 (p=0.0079).**
  - Value: 1.34 sharpe_ratio
  - Context: period 2022-05-02–2026-06-01; cost=5bps
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/momentum-volume-us-sp500-fact-best-sharpe

- **Median Sharpe across 320 grid runs is 0.05.**
  - Value: 0.05 sharpe_ratio
  - Context: Full grid of 320 parameter combinations.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/momentum-volume-us-sp500-fact-median-sharpe

- **Median Sharpe in DOWN regime is -0.03 across 320 runs.**
  - Value: -0.03 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/momentum-volume-us-sp500-fact-regime-down

- **Median Sharpe in FLAT regime is -0.46 across 320 runs.**
  - Value: -0.46 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/momentum-volume-us-sp500-fact-regime-flat

- **Median Sharpe in UP regime is 0.79 across 320 runs.**
  - Value: 0.79 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/momentum-volume-us-sp500-fact-regime-up

## Related strategies

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

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Cite as: qbuntu (2026). Momentum × Volume Interaction (US S&P 500). https://qbuntu.ai/strategies/momentum-volume-us-sp500

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