spec. trend-following-us-sp500-fact-best-sharpecite ledger
qbuntu.ai/cite/trend-following-us-sp500-fact-best-sharpeCC-BY-4.0
Best grid Sharpe ratio is 0.83 (p=0.085).
sharpe_ratio0.83 sharpe_ratiosupports verdict:marginal
Context
period 2022-02-01–2026-06-01; cost=5bps
Source strategy
marginalequity· regime_dependent
Trend Following / Donchian Breakout (US S&P 500)
trend-following-us-sp500
fact derives from run: r-trend-following-us-sp500-0385
Cite this
qbuntu (2026). Best grid Sharpe ratio is 0.83 (p=0.085).. Strategy: Trend Following / Donchian Breakout (US S&P 500). https://qbuntu.ai/cite/trend-following-us-sp500-fact-best-sharpe
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-28T01:10:02
fact_id: trend-following-us-sp500-fact-best-sharpe (immutable)