spec. ts-momentum-jp-growth-fact-avg-corr-downcite ledger
qbuntu.ai/cite/ts-momentum-jp-growth-fact-avg-corr-downCC-BY-4.0
Average monthly return correlation with other strategies in DOWN regime: 0.12
correlation0.1218 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· no_edge
Time-Series Momentum (JP Growth Stocks)
ts-momentum-jp-growth
Cite this
qbuntu (2026). Average monthly return correlation with other strategies in DOWN regime: 0.12. Strategy: Time-Series Momentum (JP Growth Stocks). https://qbuntu.ai/cite/ts-momentum-jp-growth-fact-avg-corr-down
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-28T01:10:02
fact_id: ts-momentum-jp-growth-fact-avg-corr-down (immutable)