spec. ts-momentum-us-sp500-fact-regime-downcite ledger
qbuntu.ai/cite/ts-momentum-us-sp500-fact-regime-downCC-BY-4.0
Median Sharpe in DOWN regime is -0.38 across 120 runs.
sharpe_ratio-0.38 sharpe_ratiosupports verdict:rejected
Context
Regime=DOWN, N225 SMA20/SMA60 classification.
Source strategy
rejectedequity· no_edge
Time-Series Momentum (US S&P 500)
ts-momentum-us-sp500
Cite this
qbuntu (2026). Median Sharpe in DOWN regime is -0.38 across 120 runs.. Strategy: Time-Series Momentum (US S&P 500). https://qbuntu.ai/cite/ts-momentum-us-sp500-fact-regime-down
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-28T01:10:28
fact_id: ts-momentum-us-sp500-fact-regime-down (immutable)