spec. dispersion-us-sp500-fact-best-sharpecite ledger
qbuntu.ai/cite/dispersion-us-sp500-fact-best-sharpeCC-BY-4.0
Best grid Sharpe ratio is 0.64 (p=0.18).
sharpe_ratio0.64 sharpe_ratiosupports verdict:marginal
Context
period 2022-02-01–2026-06-01; cost=5bps
Source strategy
marginalequity· no_edge
Cross-Sectional Dispersion Trading (US S&P 500)
dispersion-us-sp500
fact derives from run: r-dispersion-us-sp500-0050
Cite this
qbuntu (2026). Best grid Sharpe ratio is 0.64 (p=0.18).. Strategy: Cross-Sectional Dispersion Trading (US S&P 500). https://qbuntu.ai/cite/dispersion-us-sp500-fact-best-sharpe
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-31T01:31:48
fact_id: dispersion-us-sp500-fact-best-sharpe (immutable)