spec. momentum-cross-sectional-jp-all-fact-best-sharpecite ledger
qbuntu.ai/cite/momentum-cross-sectional-jp-all-fact-best-sharpeCC-BY-4.0
Best grid Sharpe ratio is 0.78 (p=0.14).
sharpe_ratio0.78 sharpe_ratiosupports verdict:rejected
Context
period 2022-05-02–2026-09-01; cost=5bps
Source strategy
rejectedequity· no_edge
Cross-Sectional Momentum (JP All Stocks)
momentum-cross-sectional-jp-all
fact derives from run: r-momentum-cross-sectional-jp-all-0797
Cite this
qbuntu (2026). Best grid Sharpe ratio is 0.78 (p=0.14).. Strategy: Cross-Sectional Momentum (JP All Stocks). https://qbuntu.ai/cite/momentum-cross-sectional-jp-all-fact-best-sharpe
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-26T05:51:29
fact_id: momentum-cross-sectional-jp-all-fact-best-sharpe (immutable)