spec. liquidity-premium-jp-all-fact-regime-downcite ledger
qbuntu.ai/cite/liquidity-premium-jp-all-fact-regime-downCC-BY-4.0
Median Sharpe in DOWN regime is 2.02 across 160 runs.
sharpe_ratio2.02 sharpe_ratiosupports verdict:rejected
Context
Regime=DOWN, N225 SMA20/SMA60 classification.
Source strategy
rejectedequity· regime_dependent
Liquidity Premium / Amihud Illiquidity (JP All Stocks)
liquidity-premium-jp-all
Cite this
qbuntu (2026). Median Sharpe in DOWN regime is 2.02 across 160 runs.. Strategy: Liquidity Premium / Amihud Illiquidity (JP All Stocks). https://qbuntu.ai/cite/liquidity-premium-jp-all-fact-regime-down
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-01T07:31:26
fact_id: liquidity-premium-jp-all-fact-regime-down (immutable)