# Multi-Factor Composite (US S&P 500)

- **Slug**: `multi-factor-us-sp500`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: composite, cross-sectional, multi-factor
- **Source**: qbuntu-analysis (computed asof 2026-07-29T01:08:35)
- **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/multi-factor-us-sp500
- **JSON**: https://qbuntu.ai/v1/strategies/multi-factor-us-sp500
- **License**: CC-BY-4.0

## Hypothesis

Combines signals from marginal/promising single factors into a z-scored composite. Applied to S&P 500 constituents.

## Why it didn't work

Across 240 grid combinations, median Sharpe=-0.85, best=0.25. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.853 |
| Max drawdown | -39.1% |
| p-value | 0.068 |
| Backtest period | 2022-02-01 to 2026-06-01 |

Sharpe distribution across 240 grid runs: median -0.85, best 0.25 (best-case — not representative), worst -2.07, p25 -1.16, p75 -0.52.

## 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-multi-factor-us-sp500-0000` | cost_bps=5, n_stocks=5, n_factors=2, regime_gate=false | -0.62 | -1.11 | -0.69 | 0.84 |
| `r-multi-factor-us-sp500-0001` | cost_bps=5, n_stocks=5, n_factors=2, regime_gate=true | -0.26 | -0.59 | -0.69 | 0.84 |
| `r-multi-factor-us-sp500-0002` | cost_bps=10, n_stocks=5, n_factors=2, regime_gate=false | -0.87 | -1.35 | -0.95 | 0.58 |
| `r-multi-factor-us-sp500-0003` | cost_bps=10, n_stocks=5, n_factors=2, regime_gate=true | -0.5 | -0.85 | -0.95 | 0.58 |
| `r-multi-factor-us-sp500-0012` | cost_bps=5, n_stocks=50, n_factors=2, regime_gate=false | -1.16 | -1.51 | -2.11 | 0.13 |
| `r-multi-factor-us-sp500-0014` | cost_bps=10, n_stocks=50, n_factors=2, regime_gate=false | -1.6 | -2.06 | -2.61 | -0.16 |
| `r-multi-factor-us-sp500-0024` | cost_bps=5, n_stocks=20, n_factors=2, regime_gate=false | -0.69 | -0.45 | -1.53 | -0.35 |
| `r-multi-factor-us-sp500-0034` | cost_bps=10, n_stocks=5, n_factors=2, regime_gate=false | -0.92 | -1.2 | -1.24 | 0.91 |
| `r-multi-factor-us-sp500-0044` | cost_bps=5, n_stocks=50, n_factors=2, regime_gate=false | -0.87 | -1.49 | -0.65 | 0.06 |
| `r-multi-factor-us-sp500-0054` | cost_bps=10, n_stocks=10, n_factors=2, regime_gate=false | -0.71 | -0.82 | -1.27 | 0.93 |
| `r-multi-factor-us-sp500-0064` | cost_bps=5, n_stocks=5, n_factors=2, regime_gate=false | -0.31 | -0.46 | -0.56 | 1.02 |
| `r-multi-factor-us-sp500-0065` | cost_bps=5, n_stocks=5, n_factors=2, regime_gate=true | 0.25 | 0.49 | -0.56 | 1.02 |
| `r-multi-factor-us-sp500-0066` | cost_bps=10, n_stocks=5, n_factors=2, regime_gate=false | -0.32 | -0.47 | -0.59 | 0.99 |
| `r-multi-factor-us-sp500-0076` | cost_bps=5, n_stocks=50, n_factors=2, regime_gate=false | -0.82 | -1.21 | -1.01 | 0.88 |
| `r-multi-factor-us-sp500-0086` | cost_bps=10, n_stocks=10, n_factors=3, regime_gate=false | -1.32 | -1.8 | -1.85 | 0.19 |
| `r-multi-factor-us-sp500-0096` | cost_bps=5, n_stocks=5, n_factors=3, regime_gate=false | -0.9 | -0.78 | -1.08 | -0.77 |
| `r-multi-factor-us-sp500-0106` | cost_bps=10, n_stocks=20, n_factors=3, regime_gate=false | -1.34 | -1.12 | -1.93 | -0.96 |
| `r-multi-factor-us-sp500-0116` | cost_bps=5, n_stocks=10, n_factors=3, regime_gate=false | -1.42 | -1.4 | -1.55 | -1.15 |
| `r-multi-factor-us-sp500-0126` | cost_bps=10, n_stocks=50, n_factors=3, regime_gate=false | -1.49 | -1.52 | -1.49 | -1.36 |
| `r-multi-factor-us-sp500-0136` | cost_bps=5, n_stocks=20, n_factors=3, regime_gate=false | -1.28 | -1.27 | -1.13 | -1.42 |
| `r-multi-factor-us-sp500-0146` | cost_bps=10, n_stocks=5, n_factors=3, regime_gate=false | -0.8 | -1.3 | -0.93 | 0.5 |
| `r-multi-factor-us-sp500-0156` | cost_bps=5, n_stocks=50, n_factors=3, regime_gate=false | -1.26 | -1.68 | -1.25 | -0.35 |
| `r-multi-factor-us-sp500-0160` | cost_bps=5, n_stocks=5, n_factors=4, regime_gate=false | -0.88 | -1.25 | -1.37 | 0.37 |
| `r-multi-factor-us-sp500-0167` | cost_bps=10, n_stocks=10, n_factors=4, regime_gate=true | -1.24 | -1.12 | -2.44 | -0.33 |
| `r-multi-factor-us-sp500-0174` | cost_bps=10, n_stocks=50, n_factors=4, regime_gate=false | -2.07 | -2.33 | -3.47 | -0.57 |
| `r-multi-factor-us-sp500-0178` | cost_bps=10, n_stocks=5, n_factors=4, regime_gate=false | -1.21 | -0.94 | -1.61 | -1.36 |
| `r-multi-factor-us-sp500-0188` | cost_bps=5, n_stocks=50, n_factors=4, regime_gate=false | -1.16 | -1.03 | -1.55 | -0.89 |
| `r-multi-factor-us-sp500-0198` | cost_bps=10, n_stocks=10, n_factors=4, regime_gate=false | -1.25 | -1.35 | -1.58 | -0.5 |
| `r-multi-factor-us-sp500-0208` | cost_bps=5, n_stocks=5, n_factors=4, regime_gate=false | -0.85 | -1.06 | -0.8 | -0.31 |
| `r-multi-factor-us-sp500-0218` | cost_bps=10, n_stocks=20, n_factors=4, regime_gate=false | -1.13 | -1.25 | -0.91 | -1.11 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.25 (p=0.39).**
  - Value: 0.25 sharpe_ratio
  - Context: period 2022-02-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/multi-factor-us-sp500-fact-best-sharpe

- **Median Sharpe across 240 grid runs is -0.85.**
  - Value: -0.85 sharpe_ratio
  - Context: Full grid of 240 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/multi-factor-us-sp500-fact-median-sharpe

- **Median Sharpe in DOWN regime is -0.34 across 240 runs.**
  - Value: -0.34 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/multi-factor-us-sp500-fact-regime-down

- **Median Sharpe in FLAT regime is -1.30 across 240 runs.**
  - Value: -1.3 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/multi-factor-us-sp500-fact-regime-flat

- **Median Sharpe in UP regime is -0.82 across 240 runs.**
  - Value: -0.82 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/multi-factor-us-sp500-fact-regime-up

## Related strategies

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

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Cite as: qbuntu (2026). Multi-Factor Composite (US S&P 500). https://qbuntu.ai/strategies/multi-factor-us-sp500

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