# Volatility Breakout (US S&P 500)

- **Slug**: `volatility-breakout-us-sp500`
- **Verdict**: marginal (no_edge)
- **Asset class**: equity
- **Categories**: breakout, momentum, volatility
- **Source**: qbuntu-analysis (computed asof 2026-07-28T01:10:02)
- **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/volatility-breakout-us-sp500
- **JSON**: https://qbuntu.ai/v1/strategies/volatility-breakout-us-sp500
- **License**: CC-BY-4.0

## Hypothesis

Stocks with rising short-term ATR relative to long-term ATR are experiencing volatility expansion, signaling breakout opportunities. Applied to S&P 500 constituents.

## Why it didn't work

Across 720 grid combinations, median Sharpe=0.50, best=1.43. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | 0.5032 |
| Max drawdown | -8.4% |
| p-value | 0.3 |
| Backtest period | 2022-02-01 to 2026-06-01 |

Sharpe distribution across 720 grid runs: median 0.5, best 1.43 (best-case — not representative), worst -0.45, p25 0.28, p75 0.71.

## 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-volatility-breakout-us-sp500-0000` | atr_long=20, cost_bps=5, n_stocks=5, atr_short=5 | 0.14 | -0.88 | 1.64 | -0.33 |
| `r-volatility-breakout-us-sp500-0001` | atr_long=20, cost_bps=5, n_stocks=5, atr_short=5 | 0.27 | -0.64 | 1.64 | -0.33 |
| `r-volatility-breakout-us-sp500-0002` | atr_long=20, cost_bps=10, n_stocks=5, atr_short=5 | -0.18 | -1.23 | 1.35 | -0.7 |
| `r-volatility-breakout-us-sp500-0003` | atr_long=20, cost_bps=10, n_stocks=5, atr_short=5 | 0.02 | -0.84 | 1.35 | -0.7 |
| `r-volatility-breakout-us-sp500-0008` | atr_long=20, cost_bps=5, n_stocks=20, atr_short=5 | 0.08 | -0.55 | 1.18 | 0.11 |
| `r-volatility-breakout-us-sp500-0036` | atr_long=20, cost_bps=5, n_stocks=5, atr_short=5 | -0.28 | 0.29 | -0.39 | -2.46 |
| `r-volatility-breakout-us-sp500-0038` | atr_long=20, cost_bps=10, n_stocks=5, atr_short=5 | -0.36 | 0.2 | -0.46 | -2.63 |
| `r-volatility-breakout-us-sp500-0046` | atr_long=20, cost_bps=10, n_stocks=20, atr_short=5 | -0.45 | -0.03 | -0.59 | -1.15 |
| `r-volatility-breakout-us-sp500-0072` | atr_long=40, cost_bps=5, n_stocks=5, atr_short=5 | 0.21 | 0.75 | 0.5 | -1.91 |
| `r-volatility-breakout-us-sp500-0105` | atr_long=60, cost_bps=5, n_stocks=20, atr_short=5 | 0.5 | 0.18 | 1.02 | 0.4 |
| `r-volatility-breakout-us-sp500-0138` | atr_long=60, cost_bps=10, n_stocks=10, atr_short=5 | 0.4 | 0.55 | 0.41 | -0.06 |
| `r-volatility-breakout-us-sp500-0144` | atr_long=120, cost_bps=5, n_stocks=5, atr_short=5 | 0.36 | -0.02 | 1.31 | -0.13 |
| `r-volatility-breakout-us-sp500-0172` | atr_long=120, cost_bps=5, n_stocks=10, atr_short=5 | 1.17 | 1.72 | 0.08 | 1.27 |
| `r-volatility-breakout-us-sp500-0205` | atr_long=20, cost_bps=5, n_stocks=5, atr_short=10 | 0.36 | 0.61 | -0.02 | 0.1 |
| `r-volatility-breakout-us-sp500-0238` | atr_long=20, cost_bps=10, n_stocks=20, atr_short=10 | -0.01 | 0.67 | -0.1 | -1.72 |
| `r-volatility-breakout-us-sp500-0271` | atr_long=40, cost_bps=10, n_stocks=10, atr_short=10 | 0.1 | 0.81 | 0.54 | -1.53 |
| `r-volatility-breakout-us-sp500-0304` | atr_long=60, cost_bps=5, n_stocks=10, atr_short=10 | 0.26 | 0.3 | 0.69 | -0.3 |
| `r-volatility-breakout-us-sp500-0337` | atr_long=120, cost_bps=5, n_stocks=5, atr_short=10 | 0.47 | 0.84 | -0.47 | 0.85 |
| `r-volatility-breakout-us-sp500-0370` | atr_long=120, cost_bps=10, n_stocks=20, atr_short=10 | 0.52 | 1.7 | -0.16 | -0.38 |
| `r-volatility-breakout-us-sp500-0403` | atr_long=20, cost_bps=10, n_stocks=10, atr_short=14 | 0.58 | 0.24 | 1.01 | 1.25 |
| `r-volatility-breakout-us-sp500-0436` | atr_long=40, cost_bps=5, n_stocks=10, atr_short=14 | 0.76 | 0.75 | 0.63 | 0.94 |
| `r-volatility-breakout-us-sp500-0469` | atr_long=40, cost_bps=5, n_stocks=5, atr_short=14 | 0.63 | 0.54 | 1.91 | -0.45 |
| `r-volatility-breakout-us-sp500-0502` | atr_long=60, cost_bps=10, n_stocks=20, atr_short=14 | 0.2 | 0.22 | -0.42 | 0.93 |
| `r-volatility-breakout-us-sp500-0535` | atr_long=120, cost_bps=10, n_stocks=10, atr_short=14 | 0.67 | 0.7 | 0 | 1.8 |
| `r-volatility-breakout-us-sp500-0568` | atr_long=120, cost_bps=5, n_stocks=10, atr_short=14 | 1.05 | 1.25 | 0.81 | 0.8 |
| `r-volatility-breakout-us-sp500-0576` | atr_long=40, cost_bps=5, n_stocks=5, atr_short=20 | 0.99 | 1.1 | 1.08 | 0.47 |
| `r-volatility-breakout-us-sp500-0602` | atr_long=40, cost_bps=10, n_stocks=5, atr_short=20 | 0.22 | 0.7 | 0.12 | -1.22 |
| `r-volatility-breakout-us-sp500-0624` | atr_long=60, cost_bps=5, n_stocks=5, atr_short=20 | 1.43 | 1.6 | 1.31 | 1.23 |
| `r-volatility-breakout-us-sp500-0636` | atr_long=60, cost_bps=5, n_stocks=5, atr_short=20 | 0.69 | 1.19 | 1.04 | -2.74 |
| `r-volatility-breakout-us-sp500-0669` | atr_long=60, cost_bps=5, n_stocks=20, atr_short=20 | 0.6 | 1.28 | 0.16 | -1.3 |

## 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: -0.09**
  - Value: -0.0906 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volatility-breakout-us-sp500-fact-avg-corr-down

- **Average monthly return correlation with other strategies (full period): 0.00**
  - Value: 0.0037 correlation
  - Context: Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volatility-breakout-us-sp500-fact-avg-corr-full

- **Best grid Sharpe ratio is 1.43 (p=0.0039).**
  - Value: 1.43 sharpe_ratio
  - Context: period 2022-02-01–2026-06-01; cost=5bps
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volatility-breakout-us-sp500-fact-best-sharpe

- **Median Sharpe across 720 grid runs is 0.50.**
  - Value: 0.5 sharpe_ratio
  - Context: Full grid of 720 parameter combinations.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volatility-breakout-us-sp500-fact-median-sharpe

- **Median Sharpe in DOWN regime is -0.14 across 720 runs.**
  - Value: -0.14 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volatility-breakout-us-sp500-fact-regime-down

- **Median Sharpe in FLAT regime is 0.55 across 720 runs.**
  - Value: 0.55 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volatility-breakout-us-sp500-fact-regime-flat

- **Median Sharpe in UP regime is 0.74 across 720 runs.**
  - Value: 0.74 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volatility-breakout-us-sp500-fact-regime-up

## Related strategies

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

---

Cite as: qbuntu (2026). Volatility Breakout (US S&P 500). https://qbuntu.ai/strategies/volatility-breakout-us-sp500

Visit qbuntu.ai — the honest scorecard for quant strategies (live, promising, marginal, rejected).