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 1.34 (p=0.0079).
sharpe_ratio1.34 sharpe_ratiosupports verdict:marginal
Context
period 2022-05-02–2026-06-01; cost=5bps
Source strategy
marginalequity· regime_dependent
Momentum × Volume Interaction (US S&P 500)
momentum-volume-us-sp500
fact derives from run: r-momentum-volume-us-sp500-0016
Cite this
qbuntu (2026). Best grid Sharpe ratio is 1.34 (p=0.0079).. 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: 2026-07-30T01:20:50
fact_id: momentum-volume-us-sp500-fact-best-sharpe (immutable)