spec. turnover-us-sp500-fact-best-sharpecite ledger
qbuntu.ai/cite/turnover-us-sp500-fact-best-sharpeCC-BY-4.0
Best grid Sharpe ratio is 0.62 (p=0.034).
sharpe_ratio0.62 sharpe_ratiosupports verdict:rejected
Context
period 2022-05-02–2026-09-01; cost=5bps
Source strategy
rejectedequity· regime_dependent
Turnover Factor (US S&P 500)
turnover-us-sp500
fact derives from run: r-turnover-us-sp500-0237
Cite this
qbuntu (2026). Best grid Sharpe ratio is 0.62 (p=0.034).. Strategy: Turnover Factor (US S&P 500). https://qbuntu.ai/cite/turnover-us-sp500-fact-best-sharpe
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T21:54:27
fact_id: turnover-us-sp500-fact-best-sharpe (immutable)