spec. return-autocorrelation-us-sp500-fact-best-sharpecite ledger
qbuntu.ai/cite/return-autocorrelation-us-sp500-fact-best-sharpeCC-BY-4.0
Best grid Sharpe ratio is 0.72 (p=0.13).
sharpe_ratio0.72 sharpe_ratiosupports verdict:rejected
Context
period 2022-02-01–2026-09-01; cost=5bps
Source strategy
rejectedequity· no_edge
Return Autocorrelation Factor (US S&P 500)
return-autocorrelation-us-sp500
fact derives from run: r-return-autocorrelation-us-sp500-0289
Cite this
qbuntu (2026). Best grid Sharpe ratio is 0.72 (p=0.13).. Strategy: Return Autocorrelation Factor (US S&P 500). https://qbuntu.ai/cite/return-autocorrelation-us-sp500-fact-best-sharpe
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T21:54:29
fact_id: return-autocorrelation-us-sp500-fact-best-sharpe (immutable)