spec. amihud-illiquidity-premium-us-sp500-fact-best-sharpecite ledger
qbuntu.ai/cite/amihud-illiquidity-premium-us-sp500-fact-best-sharpeCC-BY-4.0
Best grid Sharpe ratio is 1.36 (p=0.006).
sharpe_ratio1.36 sharpe_ratiosupports verdict:marginal
Context
period 2022-02-01–2026-06-01; cost=5bps
Source strategy
marginalequity· regime_dependent
Amihud Illiquidity Premium (US S&P 500)
amihud-illiquidity-premium-us-sp500
fact derives from run: r-amihud-illiquidity-premium-us-sp500-0101
Cite this
qbuntu (2026). Best grid Sharpe ratio is 1.36 (p=0.006).. Strategy: Amihud Illiquidity Premium (US S&P 500). https://qbuntu.ai/cite/amihud-illiquidity-premium-us-sp500-fact-best-sharpe
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-02T16:26:49
fact_id: amihud-illiquidity-premium-us-sp500-fact-best-sharpe (immutable)