spec. garman-klass-vol-us-sp500-fact-median-sharpecite ledger
qbuntu.ai/cite/garman-klass-vol-us-sp500-fact-median-sharpeCC-BY-4.0
Median Sharpe across 222 grid runs is -0.83.
sharpe_ratio-0.83 sharpe_ratiosupports verdict:rejected
Context
Full grid of 222 parameter combinations.
Source strategy
rejectedequity· no_edge
Garman-Klass Volatility Factor (US S&P 500)
garman-klass-vol-us-sp500
Cite this
qbuntu (2026). Median Sharpe across 222 grid runs is -0.83.. Strategy: Garman-Klass Volatility Factor (US S&P 500). https://qbuntu.ai/cite/garman-klass-vol-us-sp500-fact-median-sharpe
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-30T01:20:51
fact_id: garman-klass-vol-us-sp500-fact-median-sharpe (immutable)