spec. short-term-reversal-us-sp500-fact-avg-corr-downcite ledger
qbuntu.ai/cite/short-term-reversal-us-sp500-fact-avg-corr-downCC-BY-4.0
Average monthly return correlation with other strategies in DOWN regime: -0.22
correlation-0.2179 correlationsupports verdict:rejected
Context
Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
Source strategy
rejectedequity· regime_dependent
Short-Term Reversal (US S&P 500)
short-term-reversal-us-sp500
Cite this
qbuntu (2026). Average monthly return correlation with other strategies in DOWN regime: -0.22. Strategy: Short-Term Reversal (US S&P 500). https://qbuntu.ai/cite/short-term-reversal-us-sp500-fact-avg-corr-down
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-28T01:10:01
fact_id: short-term-reversal-us-sp500-fact-avg-corr-down (immutable)