spec. dispersion-jp-all-fact-regime-downcite ledger
qbuntu.ai/cite/dispersion-jp-all-fact-regime-downCC-BY-4.0
Median Sharpe in DOWN regime is -0.18 across 192 runs.
sharpe_ratio-0.18 sharpe_ratiosupports verdict:rejected
Context
Regime=DOWN, N225 SMA20/SMA60 classification.
Source strategy
rejectedequity· no_edge
Cross-Sectional Dispersion Trading (JP All Stocks)
dispersion-jp-all
Cite this
qbuntu (2026). Median Sharpe in DOWN regime is -0.18 across 192 runs.. Strategy: Cross-Sectional Dispersion Trading (JP All Stocks). https://qbuntu.ai/cite/dispersion-jp-all-fact-regime-down
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-31T01:32:26
fact_id: dispersion-jp-all-fact-regime-down (immutable)