cite/vol-of-vol-stability-jp-all-fact-regime-down

spec. vol-of-vol-stability-jp-all-fact-regime-downcite ledger

qbuntu.ai/cite/vol-of-vol-stability-jp-all-fact-regime-downCC-BY-4.0

Median Sharpe in DOWN regime is -0.84 across 216 runs.

sharpe_ratio-0.84 sharpe_ratiosupports verdict:rejected

Context

Regime=DOWN, N225 SMA20/SMA60 classification.

Source strategy

rejectedequity· no_edge

Vol-of-Vol Stability (JP All Stocks)

vol-of-vol-stability-jp-all

Cite this

qbuntu (2026). Median Sharpe in DOWN regime is -0.84 across 216 runs.. Strategy: Vol-of-Vol Stability (JP All Stocks). https://qbuntu.ai/cite/vol-of-vol-stability-jp-all-fact-regime-down

JSON ↗source JSON ↗source Markdown ↗license: CC-BY-4.0

data source: kabu STATION REST API + J-Quants daily bars

computed asof: 2026-08-02T16:25:50

fact_id: vol-of-vol-stability-jp-all-fact-regime-down (immutable)