spec. calendar-effects-us-sp500-fact-best-sharpecite ledger
qbuntu.ai/cite/calendar-effects-us-sp500-fact-best-sharpeCC-BY-4.0
Best grid Sharpe ratio is 6.18 (p=0.039).
sharpe_ratio6.18 sharpe_ratiosupports verdict:marginal
Context
period 2022-01-14–2026-06-09; cost=5bps
Source strategy
marginalequity· regime_dependent
Calendar Effects (US S&P 500)
calendar-effects-us-sp500
fact derives from run: r-calendar-effects-us-sp500-0088
Cite this
qbuntu (2026). Best grid Sharpe ratio is 6.18 (p=0.039).. Strategy: Calendar Effects (US S&P 500). https://qbuntu.ai/cite/calendar-effects-us-sp500-fact-best-sharpe
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-29T01:08:35
fact_id: calendar-effects-us-sp500-fact-best-sharpe (immutable)