spec. garman-klass-vol-jp-all-fact-regime-upcite ledger
qbuntu.ai/cite/garman-klass-vol-jp-all-fact-regime-upCC-BY-4.0
Median Sharpe in UP regime is 1.14 across 320 runs.
sharpe_ratio1.14 sharpe_ratiosupports verdict:marginal
Context
Regime=UP, N225 SMA20/SMA60 classification.
Source strategy
marginalequity· no_edge
Garman-Klass Volatility Factor (JP All Stocks)
garman-klass-vol-jp-all
Cite this
qbuntu (2026). Median Sharpe in UP regime is 1.14 across 320 runs.. Strategy: Garman-Klass Volatility Factor (JP All Stocks). https://qbuntu.ai/cite/garman-klass-vol-jp-all-fact-regime-up
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-regime-up (immutable)