# Time-Series Momentum (US S&P 500)

- **Slug**: `ts-momentum-us-sp500`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: factor, momentum, time-series
- **Source**: qbuntu-analysis (computed asof 2026-07-28T01:10:28)
- **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/ts-momentum-us-sp500
- **JSON**: https://qbuntu.ai/v1/strategies/ts-momentum-us-sp500
- **License**: CC-BY-4.0

## Hypothesis

Moskowitz, Ooi, Pedersen (2012): each stock's own past return predicts its future return. Applied to S&P 500 constituents.

## Why it didn't work

Across 120 grid combinations, median Sharpe=-0.23, best=0.99. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.2275 |
| Max drawdown | -8.7% |
| p-value | 0.46 |
| Backtest period | 2022-02-01 to 2026-06-01 |

Sharpe distribution across 120 grid runs: median -0.23, best 0.99 (best-case — not representative), worst -1.33, p25 -0.49, p75 0.07.

## 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-ts-momentum-us-sp500-0000` | cost_bps=5, holding_days=1, threshold_pct=0, formation_days=20 | 0.41 | 0.45 | 0.28 | 0.53 |
| `r-ts-momentum-us-sp500-0001` | cost_bps=10, holding_days=1, threshold_pct=0, formation_days=20 | -0.33 | -0.53 | -0.39 | 0.02 |
| `r-ts-momentum-us-sp500-0002` | cost_bps=5, holding_days=1, threshold_pct=0.05, formation_days=20 | 0.69 | 0.89 | 0.45 | 0.7 |
| `r-ts-momentum-us-sp500-0004` | cost_bps=5, holding_days=1, threshold_pct=0.1, formation_days=20 | 0.99 | 1.38 | 0.4 | 1.07 |
| `r-ts-momentum-us-sp500-0007` | cost_bps=10, holding_days=5, threshold_pct=0, formation_days=20 | -0.3 | -0.2 | -0.73 | 0.24 |
| `r-ts-momentum-us-sp500-0011` | cost_bps=10, holding_days=5, threshold_pct=0.1, formation_days=20 | -0.16 | -0.18 | -0.22 | 0.05 |
| `r-ts-momentum-us-sp500-0015` | cost_bps=10, holding_days=10, threshold_pct=0.05, formation_days=20 | -0.55 | 0.15 | -1.24 | -0.83 |
| `r-ts-momentum-us-sp500-0019` | cost_bps=10, holding_days=20, threshold_pct=0, formation_days=20 | -0.18 | 0.14 | -0.77 | -0.04 |
| `r-ts-momentum-us-sp500-0023` | cost_bps=10, holding_days=20, threshold_pct=0.1, formation_days=20 | 0.06 | 0.47 | -0.49 | 0.16 |
| `r-ts-momentum-us-sp500-0024` | cost_bps=5, holding_days=60, threshold_pct=0, formation_days=20 | -0.22 | 0.18 | -0.41 | -0.81 |
| `r-ts-momentum-us-sp500-0028` | cost_bps=5, holding_days=60, threshold_pct=0.1, formation_days=20 | -0.19 | 0.1 | -0.33 | -0.64 |
| `r-ts-momentum-us-sp500-0032` | cost_bps=5, holding_days=1, threshold_pct=0.05, formation_days=60 | 0.07 | 1.22 | -0.73 | -0.62 |
| `r-ts-momentum-us-sp500-0036` | cost_bps=5, holding_days=5, threshold_pct=0, formation_days=60 | -0.28 | -0.35 | -0.52 | 0.74 |
| `r-ts-momentum-us-sp500-0040` | cost_bps=5, holding_days=5, threshold_pct=0.1, formation_days=60 | -0.04 | -0.18 | -0.1 | 0.6 |
| `r-ts-momentum-us-sp500-0044` | cost_bps=5, holding_days=10, threshold_pct=0.05, formation_days=60 | -0.43 | 0.44 | -1.03 | -0.78 |
| `r-ts-momentum-us-sp500-0048` | cost_bps=5, holding_days=20, threshold_pct=0, formation_days=60 | -0.3 | 0.08 | -0.43 | -0.7 |
| `r-ts-momentum-us-sp500-0052` | cost_bps=5, holding_days=20, threshold_pct=0.1, formation_days=60 | -0.23 | 0.16 | -0.5 | -0.43 |
| `r-ts-momentum-us-sp500-0056` | cost_bps=5, holding_days=60, threshold_pct=0.05, formation_days=60 | -0.09 | 0.31 | -0 | -2.09 |
| `r-ts-momentum-us-sp500-0060` | cost_bps=5, holding_days=1, threshold_pct=0, formation_days=120 | -0.59 | 0.11 | -1.21 | -1.12 |
| `r-ts-momentum-us-sp500-0061` | cost_bps=10, holding_days=1, threshold_pct=0, formation_days=120 | -1.33 | -0.84 | -1.96 | -1.58 |
| `r-ts-momentum-us-sp500-0065` | cost_bps=10, holding_days=1, threshold_pct=0.1, formation_days=120 | -0.73 | -0.03 | -1.53 | -0.99 |
| `r-ts-momentum-us-sp500-0069` | cost_bps=10, holding_days=5, threshold_pct=0.05, formation_days=120 | -0.73 | -0.62 | -1.34 | 0.46 |
| `r-ts-momentum-us-sp500-0073` | cost_bps=10, holding_days=10, threshold_pct=0, formation_days=120 | -1.24 | -0.51 | -2.23 | -1.29 |
| `r-ts-momentum-us-sp500-0077` | cost_bps=10, holding_days=10, threshold_pct=0.1, formation_days=120 | -0.75 | 0.01 | -1.56 | -0.84 |
| `r-ts-momentum-us-sp500-0081` | cost_bps=10, holding_days=20, threshold_pct=0.05, formation_days=120 | -0.37 | -0.28 | -0.33 | -0.74 |
| `r-ts-momentum-us-sp500-0085` | cost_bps=10, holding_days=60, threshold_pct=0, formation_days=120 | 0.31 | 0.53 | 0.16 | -0.83 |
| `r-ts-momentum-us-sp500-0089` | cost_bps=10, holding_days=60, threshold_pct=0.1, formation_days=120 | 0.25 | 0.4 | 0.24 | -1.31 |
| `r-ts-momentum-us-sp500-0090` | cost_bps=5, holding_days=1, threshold_pct=0, formation_days=250 | -0.39 | -0.07 | -1.38 | 0.03 |
| `r-ts-momentum-us-sp500-0094` | cost_bps=5, holding_days=1, threshold_pct=0.1, formation_days=250 | -0.38 | -0.11 | -0.87 | -0.34 |
| `r-ts-momentum-us-sp500-0098` | cost_bps=5, holding_days=5, threshold_pct=0.05, formation_days=250 | -0.1 | -0.26 | -0.45 | 1.93 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.99 (p=0.039).**
  - Value: 0.99 sharpe_ratio
  - Context: period 2022-02-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/ts-momentum-us-sp500-fact-best-sharpe

- **Median Sharpe across 120 grid runs is -0.23.**
  - Value: -0.23 sharpe_ratio
  - Context: Full grid of 120 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/ts-momentum-us-sp500-fact-median-sharpe

- **Median Sharpe in DOWN regime is -0.38 across 120 runs.**
  - Value: -0.38 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/ts-momentum-us-sp500-fact-regime-down

- **Median Sharpe in FLAT regime is -0.50 across 120 runs.**
  - Value: -0.5 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/ts-momentum-us-sp500-fact-regime-flat

- **Median Sharpe in UP regime is 0.09 across 120 runs.**
  - Value: 0.09 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/ts-momentum-us-sp500-fact-regime-up

## Related strategies

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

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Cite as: qbuntu (2026). Time-Series Momentum (US S&P 500). https://qbuntu.ai/strategies/ts-momentum-us-sp500

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