spec. ts-momentum-jp-all-fact-best-sharpecite ledger
qbuntu.ai/cite/ts-momentum-jp-all-fact-best-sharpeCC-BY-4.0
Best grid Sharpe ratio is 1.09 (p=0.032).
sharpe_ratio1.09 sharpe_ratiosupports verdict:rejected
Context
period 2022-03-01–2026-02-02; cost=5bps
Source strategy
rejectedequity· no_edge
Time-Series Momentum (JP All Stocks)
ts-momentum-jp-all
fact derives from run: r-ts-momentum-jp-all-0006
Cite this
qbuntu (2026). Best grid Sharpe ratio is 1.09 (p=0.032).. Strategy: Time-Series Momentum (JP All Stocks). https://qbuntu.ai/cite/ts-momentum-jp-all-fact-best-sharpe
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-28T01:10:24
fact_id: ts-momentum-jp-all-fact-best-sharpe (immutable)