spec. dispersion-us-sp500-fact-regime-downcite ledger
qbuntu.ai/cite/dispersion-us-sp500-fact-regime-downCC-BY-4.0
Median Sharpe in DOWN regime is -0.06 across 384 runs.
sharpe_ratio-0.06 sharpe_ratiosupports verdict:marginal
Context
Regime=DOWN, N225 SMA20/SMA60 classification.
Source strategy
marginalequity· no_edge
Cross-Sectional Dispersion Trading (US S&P 500)
dispersion-us-sp500
Cite this
qbuntu (2026). Median Sharpe in DOWN regime is -0.06 across 384 runs.. Strategy: Cross-Sectional Dispersion Trading (US S&P 500). https://qbuntu.ai/cite/dispersion-us-sp500-fact-regime-down
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-31T01:31:48
fact_id: dispersion-us-sp500-fact-regime-down (immutable)