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 1.81 (p=0.00022).
sharpe_ratio1.81 sharpe_ratiosupports verdict:marginal
Context
period 2022-02-01–2026-09-01; cost=5bps
Source strategy
marginalequity· no_edge
Idiosyncratic Volatility (JP All Stocks)
idiosyncratic-vol-jp-all
fact derives from run: r-idiosyncratic-vol-jp-all-0000
Cite this
qbuntu (2026). Best grid Sharpe ratio is 1.81 (p=0.00022).. 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: 2026-09-26T05:46:57
fact_id: idiosyncratic-vol-jp-all-fact-best-sharpe (immutable)