spec. amihud-illiquidity-premium-jp-all-fact-regime-downcite ledger
qbuntu.ai/cite/amihud-illiquidity-premium-jp-all-fact-regime-downCC-BY-4.0
Median Sharpe in DOWN regime is 2.06 across 72 runs.
sharpe_ratio2.06 sharpe_ratiosupports verdict:rejected
Context
Regime=DOWN, N225 SMA20/SMA60 classification.
Source strategy
rejectedequity· regime_dependent
Amihud Illiquidity Premium (JP All Stocks)
amihud-illiquidity-premium-jp-all
Cite this
qbuntu (2026). Median Sharpe in DOWN regime is 2.06 across 72 runs.. Strategy: Amihud Illiquidity Premium (JP All Stocks). https://qbuntu.ai/cite/amihud-illiquidity-premium-jp-all-fact-regime-down
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-02T16:25:57
fact_id: amihud-illiquidity-premium-jp-all-fact-regime-down (immutable)