spec. momentum-cross-sectional-us-sp500-fact-regime-upcite ledger
qbuntu.ai/cite/momentum-cross-sectional-us-sp500-fact-regime-upCC-BY-4.0
Median Sharpe in UP regime is 1.11 across 960 runs.
sharpe_ratio1.11 sharpe_ratiosupports verdict:marginal
Context
Regime=UP, 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 UP regime is 1.11 across 960 runs.. Strategy: Cross-Sectional Momentum (US S&P 500). https://qbuntu.ai/cite/momentum-cross-sectional-us-sp500-fact-regime-up
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-up (immutable)