# Return Autocorrelation Factor (US S&P 500)

- **Slug**: `return-autocorrelation-us-sp500`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: anomaly, autocorrelation, factor, momentum
- **Source**: qbuntu-analysis (computed asof 2026-07-31T01:32:09)
- **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/return-autocorrelation-us-sp500
- **JSON**: https://qbuntu.ai/v1/strategies/return-autocorrelation-us-sp500
- **License**: CC-BY-4.0

## Hypothesis

Jegadeesh (1990): serial correlation in stock returns. Applied to S&P 500 constituents.

## Why it didn't work

Across 320 grid combinations, median Sharpe=-0.57, best=0.79. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.5709 |
| Max drawdown | -16.1% |
| p-value | 0.16 |
| Backtest period | 2022-02-01 to 2026-06-01 |

Sharpe distribution across 320 grid runs: median -0.57, best 0.79 (best-case — not representative), worst -2.49, p25 -0.99, p75 -0.21.

## 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-return-autocorrelation-us-sp500-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.29 | -0.38 | -0.59 | 0.32 |
| `r-return-autocorrelation-us-sp500-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | -0.11 | -0.07 | -0.59 | 0.32 |
| `r-return-autocorrelation-us-sp500-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.66 | -0.7 | -1.13 | -0.04 |
| `r-return-autocorrelation-us-sp500-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | -0.44 | -0.27 | -1.13 | -0.04 |
| `r-return-autocorrelation-us-sp500-0012` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | -0.78 | -1.03 | -0.11 | -0.99 |
| `r-return-autocorrelation-us-sp500-0018` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -1.15 | -0.86 | -2.13 | -0.5 |
| `r-return-autocorrelation-us-sp500-0032` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | -0.59 | -0.92 | -0.39 | -0.22 |
| `r-return-autocorrelation-us-sp500-0046` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=10 | -0.98 | -0.58 | -0.78 | -2.35 |
| `r-return-autocorrelation-us-sp500-0060` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=20 | -0.56 | -0.81 | 0.51 | -1.77 |
| `r-return-autocorrelation-us-sp500-0064` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=60 | -0.43 | -0.18 | -0.18 | -1.49 |
| `r-return-autocorrelation-us-sp500-0075` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=60 | 0 | 0.71 | -0.47 | -1.71 |
| `r-return-autocorrelation-us-sp500-0089` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=1 | -0.53 | -0.1 | -0.4 | -2.09 |
| `r-return-autocorrelation-us-sp500-0103` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | -0.64 | 0.45 | -1.2 | -2.39 |
| `r-return-autocorrelation-us-sp500-0117` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=10 | -0.25 | 0.38 | -0.28 | -2.23 |
| `r-return-autocorrelation-us-sp500-0131` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=20 | 0.52 | 1.36 | -0.25 | 0.56 |
| `r-return-autocorrelation-us-sp500-0145` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=60 | 0.11 | 0.75 | -0.52 | -0.17 |
| `r-return-autocorrelation-us-sp500-0159` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=60 | -0.15 | 0.75 | -0.9 | -2.74 |
| `r-return-autocorrelation-us-sp500-0173` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=1 | -1.04 | -0.77 | -1.27 | -1.56 |
| `r-return-autocorrelation-us-sp500-0187` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=5 | -1.01 | 0.2 | -1.14 | -4.11 |
| `r-return-autocorrelation-us-sp500-0190` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=5 | -2.49 | -1.99 | -3.2 | -3.53 |
| `r-return-autocorrelation-us-sp500-0202` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=10 | -1.23 | -0.56 | -0.95 | -3.29 |
| `r-return-autocorrelation-us-sp500-0216` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=20 | -1.08 | -0.84 | -0.49 | -2.65 |
| `r-return-autocorrelation-us-sp500-0230` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=60 | -0.5 | -0.21 | -0.71 | -1.36 |
| `r-return-autocorrelation-us-sp500-0240` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -1 | -0.82 | -1.41 | -1.32 |
| `r-return-autocorrelation-us-sp500-0245` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | -0.81 | -0.72 | -0.24 | -1.7 |
| `r-return-autocorrelation-us-sp500-0259` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | -0.56 | -0.23 | -0.57 | -1.38 |
| `r-return-autocorrelation-us-sp500-0273` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=10 | -0.21 | 0.57 | -0.32 | -2.03 |
| `r-return-autocorrelation-us-sp500-0287` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=10 | -0.38 | 0.58 | -0.71 | -3.14 |
| `r-return-autocorrelation-us-sp500-0289` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=20 | 0.79 | 2.01 | 0.16 | -0.46 |
| `r-return-autocorrelation-us-sp500-0302` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=20 | -0.73 | -0.44 | 0.07 | -3.21 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.79 (p=0.11).**
  - Value: 0.79 sharpe_ratio
  - Context: period 2022-02-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/return-autocorrelation-us-sp500-fact-best-sharpe

- **Median Sharpe across 320 grid runs is -0.57.**
  - Value: -0.57 sharpe_ratio
  - Context: Full grid of 320 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/return-autocorrelation-us-sp500-fact-median-sharpe

- **Median Sharpe in DOWN regime is -1.82 across 320 runs.**
  - Value: -1.82 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/return-autocorrelation-us-sp500-fact-regime-down

- **Median Sharpe in FLAT regime is -0.58 across 320 runs.**
  - Value: -0.58 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/return-autocorrelation-us-sp500-fact-regime-flat

- **Median Sharpe in UP regime is -0.11 across 320 runs.**
  - Value: -0.11 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/return-autocorrelation-us-sp500-fact-regime-up

## Related strategies

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

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Cite as: qbuntu (2026). Return Autocorrelation Factor (US S&P 500). https://qbuntu.ai/strategies/return-autocorrelation-us-sp500

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