spec. low-volatility-anomaly-us-sp500-fact-regime-upcite ledger
qbuntu.ai/cite/low-volatility-anomaly-us-sp500-fact-regime-upCC-BY-4.0
Median Sharpe in UP regime is -0.95 across 316 runs.
sharpe_ratio-0.95 sharpe_ratiosupports verdict:rejected
Context
Regime=UP, N225 SMA20/SMA60 classification.
Source strategy
rejectedequity· no_edge
Low Volatility Anomaly (US S&P 500)
low-volatility-anomaly-us-sp500
Cite this
qbuntu (2026). Median Sharpe in UP regime is -0.95 across 316 runs.. Strategy: Low Volatility Anomaly (US S&P 500). https://qbuntu.ai/cite/low-volatility-anomaly-us-sp500-fact-regime-up
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-31T01:31:48
fact_id: low-volatility-anomaly-us-sp500-fact-regime-up (immutable)