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 1.32 (p=1.5e-05).
sharpe_ratio1.32 sharpe_ratiosupports verdict:marginal
Context
period 2022-02-01–2026-09-01; 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-0076
Cite this
qbuntu (2026). Best grid Sharpe ratio is 1.32 (p=1.5e-05).. 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: 2026-09-26T05:46:57
fact_id: garman-klass-vol-jp-all-fact-best-sharpe (immutable)