spec. momentum-volume-us-sp500-fact-best-sharpecite ledger
qbuntu.ai/cite/momentum-volume-us-sp500-fact-best-sharpeCC-BY-4.0
Best grid Sharpe ratio is 1.32 (p=0.007).
sharpe_ratio1.32 sharpe_ratiosupports verdict:rejected
Context
period 2022-05-02–2026-09-01; cost=5bps
Source strategy
rejectedequity· regime_dependent
Momentum × Volume Interaction (US S&P 500)
momentum-volume-us-sp500
fact derives from run: r-momentum-volume-us-sp500-0032
Cite this
qbuntu (2026). Best grid Sharpe ratio is 1.32 (p=0.007).. Strategy: Momentum × Volume Interaction (US S&P 500). https://qbuntu.ai/cite/momentum-volume-us-sp500-fact-best-sharpe
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:18
fact_id: momentum-volume-us-sp500-fact-best-sharpe (immutable)