spec. idiosyncratic-vol-jp-all-fact-best-sharpecite ledger
qbuntu.ai/cite/idiosyncratic-vol-jp-all-fact-best-sharpeCC-BY-4.0
Best grid Sharpe ratio is 1.26 (p=0.046).
sharpe_ratio1.26 sharpe_ratiosupports verdict:rejected
Context
period 2023-07-03–2026-02-02; cost=5bps
Source strategy
rejectedequity· regime_dependent
Idiosyncratic Volatility (JP All Stocks)
idiosyncratic-vol-jp-all
fact derives from run: r-idiosyncratic-vol-jp-all-0097
Cite this
qbuntu (2026). Best grid Sharpe ratio is 1.26 (p=0.046).. Strategy: Idiosyncratic Volatility (JP All Stocks). https://qbuntu.ai/cite/idiosyncratic-vol-jp-all-fact-best-sharpe
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-30T01:21:28
fact_id: idiosyncratic-vol-jp-all-fact-best-sharpe (immutable)