spec. liquidity-premium-us-sp500-fact-regime-downcite ledger
qbuntu.ai/cite/liquidity-premium-us-sp500-fact-regime-downCC-BY-4.0
Median Sharpe in DOWN regime is -0.82 across 320 runs.
sharpe_ratio-0.82 sharpe_ratiosupports verdict:marginal
Context
Regime=DOWN, N225 SMA20/SMA60 classification.
Source strategy
marginalequity· no_edge
Liquidity Premium / Amihud Illiquidity (US S&P 500)
liquidity-premium-us-sp500
Cite this
qbuntu (2026). Median Sharpe in DOWN regime is -0.82 across 320 runs.. Strategy: Liquidity Premium / Amihud Illiquidity (US S&P 500). https://qbuntu.ai/cite/liquidity-premium-us-sp500-fact-regime-down
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-01T07:30:59
fact_id: liquidity-premium-us-sp500-fact-regime-down (immutable)