spec. trend-following-jp-all-fact-avg-corr-downcite ledger
qbuntu.ai/cite/trend-following-jp-all-fact-avg-corr-downCC-BY-4.0
Average monthly return correlation with other strategies in DOWN regime: -0.17
correlation-0.1721 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
Trend Following / Donchian Breakout (JP All Stocks)
trend-following-jp-all
Cite this
qbuntu (2026). Average monthly return correlation with other strategies in DOWN regime: -0.17. Strategy: Trend Following / Donchian Breakout (JP All Stocks). https://qbuntu.ai/cite/trend-following-jp-all-fact-avg-corr-down
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-28T01:10:02
fact_id: trend-following-jp-all-fact-avg-corr-down (immutable)