spec. momentum-cross-sectional-us-sp500-fact-best-sharpecite ledger
qbuntu.ai/cite/momentum-cross-sectional-us-sp500-fact-best-sharpeCC-BY-4.0
Best grid Sharpe ratio is 2.28 (p=0.00014).
sharpe_ratio2.28 sharpe_ratiosupports verdict:marginal
Context
period 2022-04-01–2026-06-01; cost=5bps
Source strategy
marginalequity· no_edge
Cross-Sectional Momentum (US S&P 500)
momentum-cross-sectional-us-sp500
fact derives from run: r-momentum-cross-sectional-us-sp500-0869
Cite this
qbuntu (2026). Best grid Sharpe ratio is 2.28 (p=0.00014).. Strategy: Cross-Sectional Momentum (US S&P 500). https://qbuntu.ai/cite/momentum-cross-sectional-us-sp500-fact-best-sharpe
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-27T03:36:14
fact_id: momentum-cross-sectional-us-sp500-fact-best-sharpe (immutable)