spec. liquidity-premium-us-sp500-fact-best-sharpecite ledger
qbuntu.ai/cite/liquidity-premium-us-sp500-fact-best-sharpeCC-BY-4.0
Best grid Sharpe ratio is 1.34 (p=0.0053).
sharpe_ratio1.34 sharpe_ratiosupports verdict:marginal
Context
period 2022-02-01–2026-09-01; cost=5bps
Source strategy
marginalequity· regime_dependent
Liquidity Premium / Amihud Illiquidity (US S&P 500)
liquidity-premium-us-sp500
fact derives from run: r-liquidity-premium-us-sp500-0053
Cite this
qbuntu (2026). Best grid Sharpe ratio is 1.34 (p=0.0053).. Strategy: Liquidity Premium / Amihud Illiquidity (US S&P 500). https://qbuntu.ai/cite/liquidity-premium-us-sp500-fact-best-sharpe
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:20
fact_id: liquidity-premium-us-sp500-fact-best-sharpe (immutable)