spec. momentum-cross-sectional-us-sp500-fact-regime-downcite ledger
qbuntu.ai/cite/momentum-cross-sectional-us-sp500-fact-regime-downCC-BY-4.0
Median Sharpe in DOWN regime is 0.90 across 960 runs.
sharpe_ratio0.9 sharpe_ratiosupports verdict:marginal
Context
Regime=DOWN, N225 SMA20/SMA60 classification.
Source strategy
marginalequity· no_edge
Cross-Sectional Momentum (US S&P 500)
momentum-cross-sectional-us-sp500
Cite this
qbuntu (2026). Median Sharpe in DOWN regime is 0.90 across 960 runs.. Strategy: Cross-Sectional Momentum (US S&P 500). https://qbuntu.ai/cite/momentum-cross-sectional-us-sp500-fact-regime-down
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-regime-down (immutable)