spec. return-autocorrelation-jp-growth-fact-regime-downcite ledger
qbuntu.ai/cite/return-autocorrelation-jp-growth-fact-regime-downCC-BY-4.0
Median Sharpe in DOWN regime is -1.58 across 320 runs.
sharpe_ratio-1.58 sharpe_ratiosupports verdict:rejected
Context
Regime=DOWN, N225 SMA20/SMA60 classification.
Source strategy
rejectedequity· no_edge
Return Autocorrelation Factor (JP Growth Stocks)
return-autocorrelation-jp-growth
Cite this
qbuntu (2026). Median Sharpe in DOWN regime is -1.58 across 320 runs.. Strategy: Return Autocorrelation Factor (JP Growth Stocks). https://qbuntu.ai/cite/return-autocorrelation-jp-growth-fact-regime-down
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-31T01:32:04
fact_id: return-autocorrelation-jp-growth-fact-regime-down (immutable)