# Volatility Ratio Reversal (US S&P 500)

- **Slug**: `volatility-ratio-reversal-us-sp500`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: reversal, technical, volatility
- **Source**: qbuntu-analysis (computed asof 2026-08-02T16:26:03)
- **Reproducibility**: analysis-engine@2f23bb7, backtest-lib@711b855, grid tier=shallow (python 3.10.11, numpy 2.2.6, pandas 2.3.3)
- **HTML**: https://qbuntu.ai/strategies/volatility-ratio-reversal-us-sp500
- **JSON**: https://qbuntu.ai/v1/strategies/volatility-ratio-reversal-us-sp500
- **License**: CC-BY-4.0

## Hypothesis

When short-window realized volatility spikes relative to the long-window baseline (high vol ratio), prices have typically overreacted; buying the dislocated side tests whether the spike mean-reverts within the holding period.

## Why it didn't work

Across 432 grid combinations, median Sharpe=-0.44, best=0.70. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.4395 |
| Max drawdown | -10.9% |
| p-value | 0.34 |
| Backtest period | 2022-02-01 to 2026-06-01 |

Sharpe distribution across 432 grid runs: median -0.44, best 0.7 (best-case — not representative), worst -2.02, p25 -0.74, p75 -0.16.

## 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
- Transaction cost bps: 5

## Target universe

S&P 500 constituents, ~503 stocks

## Runs (30)

| run_id | params | sharpe | UP | FLAT | DOWN |
|---|---|---:|---:|---:|---:|
| `r-volatility-ratio-reversal-us-sp500-0000` | cost_bps=5, n_stocks=5, long_window=15, regime_gate=false | -0.19 | -0.52 | 0.67 | -1.04 |
| `r-volatility-ratio-reversal-us-sp500-0001` | cost_bps=5, n_stocks=5, long_window=15, regime_gate=false | 0.14 | 0.23 | 0.74 | -1.51 |
| `r-volatility-ratio-reversal-us-sp500-0002` | cost_bps=5, n_stocks=5, long_window=15, regime_gate=false | -0.36 | 0.18 | -1.02 | -0.67 |
| `r-volatility-ratio-reversal-us-sp500-0003` | cost_bps=5, n_stocks=5, long_window=15, regime_gate=true | -0.12 | -0.4 | 0.67 | -1.04 |
| `r-volatility-ratio-reversal-us-sp500-0006` | cost_bps=10, n_stocks=5, long_window=15, regime_gate=false | -0.53 | -0.97 | 0.38 | -1.31 |
| `r-volatility-ratio-reversal-us-sp500-0024` | cost_bps=5, n_stocks=20, long_window=15, regime_gate=false | -0.54 | -0.67 | 0.08 | -1.19 |
| `r-volatility-ratio-reversal-us-sp500-0036` | cost_bps=5, n_stocks=50, long_window=15, regime_gate=false | -0.7 | -0.8 | -0.49 | -0.78 |
| `r-volatility-ratio-reversal-us-sp500-0045` | cost_bps=10, n_stocks=50, long_window=15, regime_gate=true | -0.96 | -0.59 | -1.33 | -1.26 |
| `r-volatility-ratio-reversal-us-sp500-0065` | cost_bps=5, n_stocks=10, long_window=20, regime_gate=true | -0.17 | 0.67 | -0.89 | -0.53 |
| `r-volatility-ratio-reversal-us-sp500-0085` | cost_bps=5, n_stocks=50, long_window=20, regime_gate=false | -0.66 | -0.23 | -1 | -0.81 |
| `r-volatility-ratio-reversal-us-sp500-0096` | cost_bps=5, n_stocks=5, long_window=40, regime_gate=false | -0.12 | 0.29 | -0.04 | -0.98 |
| `r-volatility-ratio-reversal-us-sp500-0106` | cost_bps=10, n_stocks=5, long_window=40, regime_gate=true | -0.04 | 0.84 | -0.8 | -0.85 |
| `r-volatility-ratio-reversal-us-sp500-0126` | cost_bps=10, n_stocks=20, long_window=40, regime_gate=false | -1.45 | -1.37 | -1.63 | -1.49 |
| `r-volatility-ratio-reversal-us-sp500-0146` | cost_bps=5, n_stocks=5, long_window=15, regime_gate=false | -1.07 | -0.6 | -1.41 | -1.31 |
| `r-volatility-ratio-reversal-us-sp500-0166` | cost_bps=10, n_stocks=10, long_window=15, regime_gate=true | -0.29 | 0.29 | -0.23 | -1.63 |
| `r-volatility-ratio-reversal-us-sp500-0186` | cost_bps=10, n_stocks=50, long_window=15, regime_gate=false | -1.2 | -0.94 | -1.7 | -1.21 |
| `r-volatility-ratio-reversal-us-sp500-0206` | cost_bps=5, n_stocks=10, long_window=20, regime_gate=false | -0.77 | -0.27 | -0.8 | -1.79 |
| `r-volatility-ratio-reversal-us-sp500-0226` | cost_bps=10, n_stocks=20, long_window=20, regime_gate=true | -0.18 | 0.32 | -0.19 | -1.25 |
| `r-volatility-ratio-reversal-us-sp500-0246` | cost_bps=10, n_stocks=5, long_window=40, regime_gate=false | -0.43 | 0.05 | -3.05 | 1.01 |
| `r-volatility-ratio-reversal-us-sp500-0266` | cost_bps=5, n_stocks=20, long_window=40, regime_gate=false | -0.79 | -0.52 | -0.86 | -1.11 |
| `r-volatility-ratio-reversal-us-sp500-0286` | cost_bps=10, n_stocks=50, long_window=40, regime_gate=true | -0.27 | 0.65 | -0.71 | -1.11 |
| `r-volatility-ratio-reversal-us-sp500-0288` | cost_bps=5, n_stocks=5, long_window=15, regime_gate=false | -0.46 | -0.23 | -1.86 | 0.59 |
| `r-volatility-ratio-reversal-us-sp500-0307` | cost_bps=10, n_stocks=10, long_window=15, regime_gate=false | -0.64 | 0.04 | -1.58 | -1.04 |
| `r-volatility-ratio-reversal-us-sp500-0327` | cost_bps=5, n_stocks=50, long_window=15, regime_gate=true | -0.48 | 0.08 | -1.89 | 0.86 |
| `r-volatility-ratio-reversal-us-sp500-0330` | cost_bps=10, n_stocks=50, long_window=15, regime_gate=false | -2.02 | -2.23 | -2.64 | -0.42 |
| `r-volatility-ratio-reversal-us-sp500-0348` | cost_bps=5, n_stocks=10, long_window=20, regime_gate=false | -0.19 | 0.46 | -1.18 | 0.06 |
| `r-volatility-ratio-reversal-us-sp500-0368` | cost_bps=10, n_stocks=20, long_window=20, regime_gate=false | -0.86 | 0.38 | -1.43 | -2.12 |
| `r-volatility-ratio-reversal-us-sp500-0386` | cost_bps=5, n_stocks=5, long_window=40, regime_gate=false | 0.7 | 1.93 | 0.43 | -1.12 |
| `r-volatility-ratio-reversal-us-sp500-0389` | cost_bps=5, n_stocks=5, long_window=40, regime_gate=true | 0.39 | 1.06 | 0.43 | -1.12 |
| `r-volatility-ratio-reversal-us-sp500-0409` | cost_bps=5, n_stocks=20, long_window=40, regime_gate=false | -0.2 | 0.63 | -0.36 | -1.29 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.70 (p=0.14).**
  - Value: 0.7 sharpe_ratio
  - Context: period 2022-02-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/volatility-ratio-reversal-us-sp500-fact-best-sharpe

- **Median Sharpe across 432 grid runs is -0.44.**
  - Value: -0.44 sharpe_ratio
  - Context: Full grid of 432 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/volatility-ratio-reversal-us-sp500-fact-median-sharpe

- **Median Sharpe in DOWN regime is -1.04 across 432 runs.**
  - Value: -1.04 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/volatility-ratio-reversal-us-sp500-fact-regime-down

- **Median Sharpe in FLAT regime is -0.91 across 432 runs.**
  - Value: -0.91 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/volatility-ratio-reversal-us-sp500-fact-regime-flat

- **Median Sharpe in UP regime is 0.12 across 432 runs.**
  - Value: 0.12 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/volatility-ratio-reversal-us-sp500-fact-regime-up

## Related strategies

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

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Cite as: qbuntu (2026). Volatility Ratio Reversal (US S&P 500). https://qbuntu.ai/strategies/volatility-ratio-reversal-us-sp500

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