spec. earnings-yield-momentum-jp-all-fact-regime-downcite ledger
qbuntu.ai/cite/earnings-yield-momentum-jp-all-fact-regime-downCC-BY-4.0
Median Sharpe in DOWN regime is -1.23 across 144 runs.
sharpe_ratio-1.23 sharpe_ratiosupports verdict:marginal
Context
Regime=DOWN, N225 SMA20/SMA60 classification.
Source strategy
marginalequity· regime_dependent
Earnings Yield x Momentum (JP All Stocks)
earnings-yield-momentum-jp-all
Cite this
qbuntu (2026). Median Sharpe in DOWN regime is -1.23 across 144 runs.. Strategy: Earnings Yield x Momentum (JP All Stocks). https://qbuntu.ai/cite/earnings-yield-momentum-jp-all-fact-regime-down
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-26T05:46:58
fact_id: earnings-yield-momentum-jp-all-fact-regime-down (immutable)