spec. ts-momentum-jp-all-fact-regime-flatcite ledger
qbuntu.ai/cite/ts-momentum-jp-all-fact-regime-flatCC-BY-4.0
Median Sharpe in FLAT regime is -0.28 across 120 runs.
sharpe_ratio-0.28 sharpe_ratiosupports verdict:rejected
Context
Regime=FLAT, N225 SMA20/SMA60 classification.
Source strategy
rejectedequity· no_edge
Time-Series Momentum (JP All Stocks)
ts-momentum-jp-all
Cite this
qbuntu (2026). Median Sharpe in FLAT regime is -0.28 across 120 runs.. Strategy: Time-Series Momentum (JP All Stocks). https://qbuntu.ai/cite/ts-momentum-jp-all-fact-regime-flat
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-28T01:10:24
fact_id: ts-momentum-jp-all-fact-regime-flat (immutable)