spec. amihud-illiquidity-premium-us-sp500-fact-regime-flatcite ledger
qbuntu.ai/cite/amihud-illiquidity-premium-us-sp500-fact-regime-flatCC-BY-4.0
Median Sharpe in FLAT regime is -0.10 across 144 runs.
sharpe_ratio-0.1 sharpe_ratiosupports verdict:marginal
Context
Regime=FLAT, N225 SMA20/SMA60 classification.
Source strategy
marginalequity· regime_dependent
Amihud Illiquidity Premium (US S&P 500)
amihud-illiquidity-premium-us-sp500
Cite this
qbuntu (2026). Median Sharpe in FLAT regime is -0.10 across 144 runs.. Strategy: Amihud Illiquidity Premium (US S&P 500). https://qbuntu.ai/cite/amihud-illiquidity-premium-us-sp500-fact-regime-flat
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-regime-flat (immutable)