spec. mean-reversion-us-sp500-fact-avg-corr-downcite ledger
qbuntu.ai/cite/mean-reversion-us-sp500-fact-avg-corr-downCC-BY-4.0
Average monthly return correlation with other strategies in DOWN regime: 0.14
correlation0.1368 correlationsupports verdict:rejected
Context
Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
Source strategy
rejectedequity· no_edge
Mean Reversion (US S&P 500)
mean-reversion-us-sp500
Cite this
qbuntu (2026). Average monthly return correlation with other strategies in DOWN regime: 0.14. Strategy: Mean Reversion (US S&P 500). https://qbuntu.ai/cite/mean-reversion-us-sp500-fact-avg-corr-down
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-27T03:37:13
fact_id: mean-reversion-us-sp500-fact-avg-corr-down (immutable)