# Volume Anomaly (US S&P 500)

- **Slug**: `volume-anomaly-us-sp500`
- **Verdict**: marginal (no_edge)
- **Asset class**: equity
- **Categories**: anomaly, factor, volume
- **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/volume-anomaly-us-sp500
- **JSON**: https://qbuntu.ai/v1/strategies/volume-anomaly-us-sp500
- **License**: CC-BY-4.0

## Hypothesis

Campbell, Grossman, Wang (1993): abnormal volume spikes predict subsequent price drift or reversal. Applied to S&P 500 constituents.

## Why it didn't work

Across 768 grid combinations, median Sharpe=0.08, best=3.07. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | 0.0806 |
| Max drawdown | -14.7% |
| p-value | 0.4 |
| Backtest period | 2022-02-01 to 2026-06-01 |

Sharpe distribution across 768 grid runs: median 0.08, best 3.07 (best-case — not representative), worst -2.98, p25 -0.54, p75 0.49.

## 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-volume-anomaly-us-sp500-0000` | cost_bps=5, direction="momentum", regime_gate=false, holding_days=1 | 0.15 | 0.87 | -0.02 | -1.28 |
| `r-volume-anomaly-us-sp500-0001` | cost_bps=5, direction="momentum", regime_gate=true, holding_days=1 | 0.3 | 0.72 | -0.02 | -1.28 |
| `r-volume-anomaly-us-sp500-0002` | cost_bps=10, direction="momentum", regime_gate=false, holding_days=1 | -0.3 | 0.42 | -0.52 | -1.69 |
| `r-volume-anomaly-us-sp500-0003` | cost_bps=10, direction="momentum", regime_gate=true, holding_days=1 | 0.04 | 0.52 | -0.52 | -1.69 |
| `r-volume-anomaly-us-sp500-0008` | cost_bps=5, direction="vol_only", regime_gate=false, holding_days=1 | 0.23 | 0.16 | -0.56 | 1.64 |
| `r-volume-anomaly-us-sp500-0036` | cost_bps=5, direction="momentum", regime_gate=false, holding_days=20 | 0.33 | 0.95 | -0.97 | 0.55 |
| `r-volume-anomaly-us-sp500-0041` | cost_bps=5, direction="reversal", regime_gate=true, holding_days=20 | 0.01 | 0.09 | 0.67 | -0.65 |
| `r-volume-anomaly-us-sp500-0077` | cost_bps=5, direction="reversal", regime_gate=true, holding_days=10 | 0.42 | -0.18 | 0.58 | 1.59 |
| `r-volume-anomaly-us-sp500-0113` | cost_bps=5, direction="reversal", regime_gate=true, holding_days=5 | 0.25 | 0.17 | -0.09 | 3.02 |
| `r-volume-anomaly-us-sp500-0144` | cost_bps=5, direction="momentum", regime_gate=false, holding_days=1 | 0.19 | -1.33 | 0.58 | — |
| `r-volume-anomaly-us-sp500-0150` | cost_bps=10, direction="reversal", regime_gate=false, holding_days=1 | -0.46 | 0.96 | -0.78 | — |
| `r-volume-anomaly-us-sp500-0170` | cost_bps=10, direction="momentum", regime_gate=false, holding_days=10 | -2.98 | -2.28 | -3.12 | — |
| `r-volume-anomaly-us-sp500-0187` | cost_bps=10, direction="reversal", regime_gate=true, holding_days=20 | 2.1 | 3.24 | 1.01 | — |
| `r-volume-anomaly-us-sp500-0223` | cost_bps=10, direction="reversal", regime_gate=true, holding_days=10 | -0.34 | -0.64 | -0.69 | 2.01 |
| `r-volume-anomaly-us-sp500-0259` | cost_bps=10, direction="reversal", regime_gate=true, holding_days=5 | 0.46 | 0.08 | 0.32 | 1.55 |
| `r-volume-anomaly-us-sp500-0295` | cost_bps=10, direction="reversal", regime_gate=true, holding_days=1 | -0.02 | -0.69 | 0.01 | 1.71 |
| `r-volume-anomaly-us-sp500-0331` | cost_bps=10, direction="reversal", regime_gate=true, holding_days=20 | 1.03 | 0.73 | 1.09 | 1.87 |
| `r-volume-anomaly-us-sp500-0367` | cost_bps=10, direction="reversal", regime_gate=true, holding_days=10 | 1.82 | 92.61 | 1.92 | — |
| `r-volume-anomaly-us-sp500-0403` | cost_bps=10, direction="reversal", regime_gate=true, holding_days=5 | -0.43 | -0.2 | -1.29 | -0.15 |
| `r-volume-anomaly-us-sp500-0439` | cost_bps=10, direction="reversal", regime_gate=true, holding_days=1 | -0.09 | -0.65 | 0.04 | 2.02 |
| `r-volume-anomaly-us-sp500-0475` | cost_bps=10, direction="reversal", regime_gate=true, holding_days=20 | 0.21 | -0.23 | 0.81 | 0.93 |
| `r-volume-anomaly-us-sp500-0511` | cost_bps=10, direction="reversal", regime_gate=true, holding_days=10 | 0.23 | -0.01 | 0.55 | 0.41 |
| `r-volume-anomaly-us-sp500-0547` | cost_bps=10, direction="reversal", regime_gate=true, holding_days=5 | 1.26 | 5.24 | 0.52 | 2.45 |
| `r-volume-anomaly-us-sp500-0576` | cost_bps=5, direction="momentum", regime_gate=false, holding_days=1 | -0.29 | -0.05 | 0.19 | -1.84 |
| `r-volume-anomaly-us-sp500-0584` | cost_bps=5, direction="vol_only", regime_gate=false, holding_days=1 | 0.2 | -0.03 | -0.55 | 2.15 |
| `r-volume-anomaly-us-sp500-0620` | cost_bps=5, direction="vol_only", regime_gate=false, holding_days=20 | 1.21 | 1 | 0.63 | 2.99 |
| `r-volume-anomaly-us-sp500-0656` | cost_bps=5, direction="vol_only", regime_gate=false, holding_days=10 | 0.29 | -0.69 | 0.18 | 2.24 |
| `r-volume-anomaly-us-sp500-0692` | cost_bps=5, direction="vol_only", regime_gate=false, holding_days=5 | -0.7 | -1.62 | 0.61 | 0.2 |
| `r-volume-anomaly-us-sp500-0728` | cost_bps=5, direction="vol_only", regime_gate=false, holding_days=1 | 0.03 | -3.57 | 2.83 | 1.04 |
| `r-volume-anomaly-us-sp500-0764` | cost_bps=5, direction="vol_only", regime_gate=false, holding_days=20 | 3.07 | 2.64 | 1.8 | 6.64 |

## Facts (5)

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

- **Best grid Sharpe ratio is 3.07 (p=0.039).**
  - Value: 3.07 sharpe_ratio
  - Context: period 2022-02-01–2026-06-01; cost=5bps
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volume-anomaly-us-sp500-fact-best-sharpe

- **Median Sharpe across 768 grid runs is 0.08.**
  - Value: 0.08 sharpe_ratio
  - Context: Full grid of 768 parameter combinations.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volume-anomaly-us-sp500-fact-median-sharpe

- **Median Sharpe in DOWN regime is 0.48 across 768 runs.**
  - Value: 0.48 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volume-anomaly-us-sp500-fact-regime-down

- **Median Sharpe in FLAT regime is -0.02 across 768 runs.**
  - Value: -0.02 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volume-anomaly-us-sp500-fact-regime-flat

- **Median Sharpe in UP regime is -0.21 across 768 runs.**
  - Value: -0.21 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `marginal`
  - Cite: https://qbuntu.ai/cite/volume-anomaly-us-sp500-fact-regime-up

## Related strategies

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

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Cite as: qbuntu (2026). Volume Anomaly (US S&P 500). https://qbuntu.ai/strategies/volume-anomaly-us-sp500

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