spec. volatility-breakout-jp-all-fact-avg-corr-downcite ledger
qbuntu.ai/cite/volatility-breakout-jp-all-fact-avg-corr-downCC-BY-4.0
Average monthly return correlation with other strategies in DOWN regime: 0.04
correlation0.0421 correlationsupports verdict:marginal
Context
Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)
Source strategy
marginalequity· regime_dependent
Volatility Breakout (JP All Stocks)
volatility-breakout-jp-all
Cite this
qbuntu (2026). Average monthly return correlation with other strategies in DOWN regime: 0.04. Strategy: Volatility Breakout (JP All Stocks). https://qbuntu.ai/cite/volatility-breakout-jp-all-fact-avg-corr-down
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-28T01:10:01
fact_id: volatility-breakout-jp-all-fact-avg-corr-down (immutable)