# VPT Divergence (US S&P 500)

- **Slug**: `vpt-divergence-us-sp500`
- **Verdict**: rejected (no_edge)
- **Asset class**: equity
- **Categories**: divergence, technical, volume
- **Source**: qbuntu-analysis (computed asof 2026-08-02T16:26:14)
- **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/vpt-divergence-us-sp500
- **JSON**: https://qbuntu.ai/v1/strategies/vpt-divergence-us-sp500
- **License**: CC-BY-4.0

## Hypothesis

Volume-Price-Trend (VPT) accumulates volume signed by returns; a divergence between the VPT path and the price path is read as hidden accumulation/distribution. Ranking on VPT-price divergence tests whether price subsequently closes the gap.

## Why it didn't work

Across 144 grid combinations, median Sharpe=-0.07, best=0.94. Primary failure mode: no_edge.

## Performance summary

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

| Metric | Value |
|---|---|
| Sharpe (median) | -0.0694 |
| Max drawdown | -7.4% |
| p-value | 0.6 |
| Backtest period | 2022-03-01 to 2026-06-01 |

Sharpe distribution across 144 grid runs: median -0.07, best 0.94 (best-case — not representative), worst -0.8, p25 -0.31, 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-vpt-divergence-us-sp500-0000` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.87 | 0.64 | 1.42 | 0.6 |
| `r-vpt-divergence-us-sp500-0001` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=5 | 0.41 | -0.14 | 1.49 | 0.33 |
| `r-vpt-divergence-us-sp500-0002` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | 0 | -1.19 | 2.01 | -0.67 |
| `r-vpt-divergence-us-sp500-0003` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=1 | 0.94 | 0.74 | 1.42 | 0.6 |
| `r-vpt-divergence-us-sp500-0006` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=1 | 0.57 | 0.35 | 1.08 | 0.34 |
| `r-vpt-divergence-us-sp500-0009` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=1 | 0.67 | 0.51 | 1.08 | 0.34 |
| `r-vpt-divergence-us-sp500-0014` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=20 | 0.24 | -0.44 | 2.05 | -0.34 |
| `r-vpt-divergence-us-sp500-0019` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=5 | -0.01 | -0.38 | 0.52 | 0.12 |
| `r-vpt-divergence-us-sp500-0024` | cost_bps=5, n_stocks=20, regime_gate=false, holding_days=1 | 0.53 | 0.31 | 0.34 | 1.29 |
| `r-vpt-divergence-us-sp500-0029` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=20 | 0.49 | 0.6 | 0.89 | -0.19 |
| `r-vpt-divergence-us-sp500-0034` | cost_bps=10, n_stocks=20, regime_gate=true, holding_days=5 | -0.22 | -0.35 | -0.16 | -0.12 |
| `r-vpt-divergence-us-sp500-0036` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=1 | -0.07 | -0.18 | -0.03 | 0.13 |
| `r-vpt-divergence-us-sp500-0040` | cost_bps=5, n_stocks=50, regime_gate=true, holding_days=5 | 0.15 | 0.43 | 0.1 | -0.44 |
| `r-vpt-divergence-us-sp500-0045` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=1 | -0.46 | -0.39 | -0.52 | -0.49 |
| `r-vpt-divergence-us-sp500-0050` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=20 | -0.1 | -0.04 | 0.46 | -1.16 |
| `r-vpt-divergence-us-sp500-0055` | cost_bps=10, n_stocks=5, regime_gate=false, holding_days=5 | -0.53 | -0.61 | 0.33 | -1.71 |
| `r-vpt-divergence-us-sp500-0060` | cost_bps=5, n_stocks=10, regime_gate=false, holding_days=1 | -0.01 | 0.13 | 0.17 | -0.79 |
| `r-vpt-divergence-us-sp500-0065` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=20 | 0.33 | 0.6 | 0.44 | -0.73 |
| `r-vpt-divergence-us-sp500-0070` | cost_bps=10, n_stocks=10, regime_gate=true, holding_days=5 | -0.22 | -0.38 | 0.54 | -0.96 |
| `r-vpt-divergence-us-sp500-0075` | cost_bps=5, n_stocks=20, regime_gate=true, holding_days=1 | 0.05 | 0.25 | -0.03 | -0.25 |
| `r-vpt-divergence-us-sp500-0080` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=20 | -0.36 | -0.22 | -0.43 | -0.49 |
| `r-vpt-divergence-us-sp500-0085` | cost_bps=5, n_stocks=50, regime_gate=false, holding_days=5 | -0.06 | -0.19 | 0.25 | -0.26 |
| `r-vpt-divergence-us-sp500-0090` | cost_bps=10, n_stocks=50, regime_gate=false, holding_days=1 | -0.77 | -0.5 | -1.3 | -0.24 |
| `r-vpt-divergence-us-sp500-0095` | cost_bps=10, n_stocks=50, regime_gate=true, holding_days=20 | 0.26 | 1.01 | -0.53 | -0.7 |
| `r-vpt-divergence-us-sp500-0096` | cost_bps=5, n_stocks=5, regime_gate=false, holding_days=1 | 0.26 | 0.44 | -0.13 | 0.37 |
| `r-vpt-divergence-us-sp500-0101` | cost_bps=5, n_stocks=5, regime_gate=true, holding_days=20 | -0.32 | 1.12 | -1.29 | -0.61 |
| `r-vpt-divergence-us-sp500-0106` | cost_bps=10, n_stocks=5, regime_gate=true, holding_days=5 | 0.11 | 0.69 | -0.66 | 0.21 |
| `r-vpt-divergence-us-sp500-0111` | cost_bps=5, n_stocks=10, regime_gate=true, holding_days=1 | -0.08 | 0 | 0.02 | -0.58 |
| `r-vpt-divergence-us-sp500-0116` | cost_bps=10, n_stocks=10, regime_gate=false, holding_days=20 | -0.69 | -0.29 | -0.74 | -2.43 |
| `r-vpt-divergence-us-sp500-0126` | cost_bps=10, n_stocks=20, regime_gate=false, holding_days=1 | -0.8 | -0.31 | -1.17 | -1.45 |

## Facts (5)

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

- **Best grid Sharpe ratio is 0.94 (p=0.052).**
  - Value: 0.94 sharpe_ratio
  - Context: period 2022-03-01–2026-06-01; cost=5bps
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vpt-divergence-us-sp500-fact-best-sharpe

- **Median Sharpe across 144 grid runs is -0.07.**
  - Value: -0.07 sharpe_ratio
  - Context: Full grid of 144 parameter combinations.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vpt-divergence-us-sp500-fact-median-sharpe

- **Median Sharpe in DOWN regime is -0.50 across 144 runs.**
  - Value: -0.5 sharpe_ratio
  - Context: Regime=DOWN, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vpt-divergence-us-sp500-fact-regime-down

- **Median Sharpe in FLAT regime is -0.10 across 144 runs.**
  - Value: -0.1 sharpe_ratio
  - Context: Regime=FLAT, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vpt-divergence-us-sp500-fact-regime-flat

- **Median Sharpe in UP regime is 0.07 across 144 runs.**
  - Value: 0.07 sharpe_ratio
  - Context: Regime=UP, N225 SMA20/SMA60 classification.
  - Supports verdict: `rejected`
  - Cite: https://qbuntu.ai/cite/vpt-divergence-us-sp500-fact-regime-up

## Related strategies

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

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Cite as: qbuntu (2026). VPT Divergence (US S&P 500). https://qbuntu.ai/strategies/vpt-divergence-us-sp500

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