spec. return-autocorrelation-jp-all-fact-best-sharpecite ledger
qbuntu.ai/cite/return-autocorrelation-jp-all-fact-best-sharpeCC-BY-4.0
Best grid Sharpe ratio is 0.82 (p=0.1).
sharpe_ratio0.82 sharpe_ratiosupports verdict:marginal
Context
period 2022-02-01–2026-02-02; cost=5bps
Source strategy
marginalequity· no_edge
Return Autocorrelation Factor (JP All Stocks)
return-autocorrelation-jp-all
fact derives from run: r-return-autocorrelation-jp-all-0193
Cite this
qbuntu (2026). Best grid Sharpe ratio is 0.82 (p=0.1).. Strategy: Return Autocorrelation Factor (JP All Stocks). https://qbuntu.ai/cite/return-autocorrelation-jp-all-fact-best-sharpe
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-31T01:31:48
fact_id: return-autocorrelation-jp-all-fact-best-sharpe (immutable)