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 -0.79 across 72 runs.
sharpe_ratio-0.79 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 -0.79 across 72 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: 2026-08-05T03:19:17
fact_id: earnings-yield-momentum-jp-all-fact-regime-down (immutable)