spec. garman-klass-vol-jp-all-fact-best-sharpecite ledger
qbuntu.ai/cite/garman-klass-vol-jp-all-fact-best-sharpeCC-BY-4.0
Best grid Sharpe ratio is 1.17 (p=0.021).
sharpe_ratio1.17 sharpe_ratiosupports verdict:marginal
Context
period 2022-02-01–2026-02-02; cost=5bps
Source strategy
marginalequity· no_edge
Garman-Klass Volatility Factor (JP All Stocks)
garman-klass-vol-jp-all
fact derives from run: r-garman-klass-vol-jp-all-0161
Cite this
qbuntu (2026). Best grid Sharpe ratio is 1.17 (p=0.021).. Strategy: Garman-Klass Volatility Factor (JP All Stocks). https://qbuntu.ai/cite/garman-klass-vol-jp-all-fact-best-sharpe
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-30T01:20:51
fact_id: garman-klass-vol-jp-all-fact-best-sharpe (immutable)