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 0.46 (p=0.32).
sharpe_ratio0.46 sharpe_ratiosupports verdict:rejected
Context
period 2022-03-01–2026-09-01; 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-0022
Cite this
qbuntu (2026). Best grid Sharpe ratio is 0.46 (p=0.32).. 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: 2026-09-24T02:22:16
fact_id: ts-momentum-jp-all-fact-best-sharpe (immutable)