spec. idiosyncratic-vol-us-sp500-fact-best-sharpecite ledger
qbuntu.ai/cite/idiosyncratic-vol-us-sp500-fact-best-sharpeCC-BY-4.0
Best grid Sharpe ratio is -0.18 (p=0.52).
sharpe_ratio-0.18 sharpe_ratiosupports verdict:rejected
Context
period 2022-02-01–2026-06-01; cost=5bps
Source strategy
rejectedequity· no_edge
Idiosyncratic Volatility (US S&P 500)
idiosyncratic-vol-us-sp500
fact derives from run: r-idiosyncratic-vol-us-sp500-0065
Cite this
qbuntu (2026). Best grid Sharpe ratio is -0.18 (p=0.52).. Strategy: Idiosyncratic Volatility (US S&P 500). https://qbuntu.ai/cite/idiosyncratic-vol-us-sp500-fact-best-sharpe
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:19
fact_id: idiosyncratic-vol-us-sp500-fact-best-sharpe (immutable)