# Short-Term Reversal (US S&P 500)

- **Slug**: `short-term-reversal-us-sp500`
- **Verdict**: rejected (regime_dependent)
- **Asset class**: equity
- **Categories**: cross-sectional, factor, reversal
- **Source**: qbuntu-analysis (computed asof 2026-07-28T01:10:01)
- **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/short-term-reversal-us-sp500
- **JSON**: https://qbuntu.ai/v1/strategies/short-term-reversal-us-sp500
- **License**: CC-BY-4.0

## Hypothesis

Jegadeesh (1990): stocks that dropped most over past N days tend to bounce back (and vice versa). LONG worst performers, SHORT best. Applied to S&P 500 constituents.

## Why it didn't work

Across 320 grid combinations, median Sharpe=0.01, best=1.59. Primary failure mode: regime_dependent.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | 0.0101 |
| Max drawdown | -24.7% |
| p-value | 0.38 |
| Backtest period | 2022-01-18 to 2026-06-08 |

Sharpe distribution across 320 grid runs: median 0.01, best 1.59 (best-case — not representative), worst -1.24, p25 -0.44, p75 0.38.

## 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-short-term-reversal-us-sp500-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.13 | -0.82 | 0.22 | 0.77 |
| `r-short-term-reversal-us-sp500-0001` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.48 | 0.56 | 0.22 | 0.77 |
| `r-short-term-reversal-us-sp500-0002` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | -0.51 | -1.23 | -0.16 | 0.48 |
| `r-short-term-reversal-us-sp500-0003` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | 0.18 | 0.32 | -0.16 | 0.48 |
| `r-short-term-reversal-us-sp500-0012` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | -0.11 | -0.54 | -0.28 | 0.76 |
| `r-short-term-reversal-us-sp500-0018` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=3 | -0.05 | -0.87 | 0.25 | 1.03 |
| `r-short-term-reversal-us-sp500-0032` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 0.06 | -0.56 | 0.14 | 1.23 |
| `r-short-term-reversal-us-sp500-0046` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=5 | -0.17 | -0.62 | -0.72 | 1.51 |
| `r-short-term-reversal-us-sp500-0048` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=10 | -0.59 | -0.43 | -1.18 | -0.58 |
| `r-short-term-reversal-us-sp500-0061` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=10 | 0.03 | 0.58 | 0.23 | -0.96 |
| `r-short-term-reversal-us-sp500-0075` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=1 | 0.33 | 0.43 | -0.3 | 1.03 |
| `r-short-term-reversal-us-sp500-0089` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=3 | 1.06 | 1.58 | 0.63 | 0.92 |
| `r-short-term-reversal-us-sp500-0101` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=5 | 1.59 | 1.86 | 1.07 | 2.04 |
| `r-short-term-reversal-us-sp500-0104` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=5 | 0.62 | 0.22 | 0.53 | 1.66 |
| `r-short-term-reversal-us-sp500-0118` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=10 | -0.48 | -0.6 | -0.09 | -0.63 |
| `r-short-term-reversal-us-sp500-0132` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -0.11 | -1.5 | -0.16 | 2.31 |
| `r-short-term-reversal-us-sp500-0146` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=3 | -0.18 | -0.99 | -0.24 | 1.84 |
| `r-short-term-reversal-us-sp500-0160` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 0.12 | -0.53 | -0.45 | 2.62 |
| `r-short-term-reversal-us-sp500-0174` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=5 | 0.08 | -0.68 | -0.1 | 1.75 |
| `r-short-term-reversal-us-sp500-0188` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=10 | -0.12 | -0.21 | 0.65 | -0.54 |
| `r-short-term-reversal-us-sp500-0202` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=1 | -0.82 | -2.18 | -0.59 | 0.8 |
| `r-short-term-reversal-us-sp500-0216` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=3 | -0.71 | -1.57 | -0.12 | 0.05 |
| `r-short-term-reversal-us-sp500-0230` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | -1.24 | -2.27 | -0.66 | 0.48 |
| `r-short-term-reversal-us-sp500-0231` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | -0.03 | 0.32 | -0.66 | 0.48 |
| `r-short-term-reversal-us-sp500-0245` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=10 | 0.78 | 1.19 | 0.09 | 1.06 |
| `r-short-term-reversal-us-sp500-0256` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | -0.74 | -2.88 | 0.05 | 1.68 |
| `r-short-term-reversal-us-sp500-0260` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -0.54 | -2.37 | -0.22 | 2.01 |
| `r-short-term-reversal-us-sp500-0274` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=3 | -0.75 | -1.87 | -0.21 | 0.97 |
| `r-short-term-reversal-us-sp500-0288` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | -1.01 | -2.01 | -0.43 | 0.8 |
| `r-short-term-reversal-us-sp500-0302` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=5 | -1.06 | -2.67 | -0.32 | 0.72 |

## 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: -0.22**
  - Value: -0.2179 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/short-term-reversal-us-sp500-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): -0.03**
  - Value: -0.0268 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/short-term-reversal-us-sp500-fact-avg-corr-full

- **Best grid Sharpe ratio is 1.59 (p=0.00096).**
  - Value: 1.59 sharpe_ratio
  - Context: period 2022-01-18–2026-06-08; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/short-term-reversal-us-sp500-fact-best-sharpe

- **Median Sharpe across 320 grid runs is 0.01.**
  - Value: 0.01 sharpe_ratio
  - Context: Full grid of 320 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/short-term-reversal-us-sp500-fact-median-sharpe

- **Median Sharpe in DOWN regime is 0.81 across 320 runs.**
  - Value: 0.81 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/short-term-reversal-us-sp500-fact-regime-down

- **Median Sharpe in FLAT regime is -0.23 across 320 runs.**
  - Value: -0.23 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/short-term-reversal-us-sp500-fact-regime-flat

- **Median Sharpe in UP regime is -0.13 across 320 runs.**
  - Value: -0.13 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/short-term-reversal-us-sp500-fact-regime-up

## Related strategies

- same_strategy: [short-term-reversal-jp-all](https://qbuntu.ai/strategies/short-term-reversal-jp-all)
- same_strategy: [short-term-reversal-jp-growth](https://qbuntu.ai/strategies/short-term-reversal-jp-growth)

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Cite as: qbuntu (2026). Short-Term Reversal (US S&P 500). https://qbuntu.ai/strategies/short-term-reversal-us-sp500

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