spec. return-autocorrelation-jp-all-fact-regime-upcite ledger
qbuntu.ai/cite/return-autocorrelation-jp-all-fact-regime-upCC-BY-4.0
Median Sharpe in UP regime is -0.27 across 160 runs.
sharpe_ratio-0.27 sharpe_ratiosupports verdict:marginal
Context
Regime=UP, N225 SMA20/SMA60 classification.
Source strategy
marginalequity· no_edge
Return Autocorrelation Factor (JP All Stocks)
return-autocorrelation-jp-all
Cite this
qbuntu (2026). Median Sharpe in UP regime is -0.27 across 160 runs.. Strategy: Return Autocorrelation Factor (JP All Stocks). https://qbuntu.ai/cite/return-autocorrelation-jp-all-fact-regime-up
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-31T01:31:48
fact_id: return-autocorrelation-jp-all-fact-regime-up (immutable)