spec. vol-of-vol-stability-us-sp500-fact-regime-upcite ledger
qbuntu.ai/cite/vol-of-vol-stability-us-sp500-fact-regime-upCC-BY-4.0
Median Sharpe in UP regime is 0.15 across 432 runs.
sharpe_ratio0.15 sharpe_ratiosupports verdict:rejected
Context
Regime=UP, N225 SMA20/SMA60 classification.
Source strategy
rejectedequity· regime_dependent
Vol-of-Vol Stability (US S&P 500)
vol-of-vol-stability-us-sp500
Cite this
qbuntu (2026). Median Sharpe in UP regime is 0.15 across 432 runs.. Strategy: Vol-of-Vol Stability (US S&P 500). https://qbuntu.ai/cite/vol-of-vol-stability-us-sp500-fact-regime-up
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-02T16:25:54
fact_id: vol-of-vol-stability-us-sp500-fact-regime-up (immutable)