spec. volatility-breakout-us-sp500-fact-best-sharpecite ledger
qbuntu.ai/cite/volatility-breakout-us-sp500-fact-best-sharpeCC-BY-4.0
Best grid Sharpe ratio is 1.43 (p=0.0039).
sharpe_ratio1.43 sharpe_ratiosupports verdict:marginal
Context
period 2022-02-01–2026-06-01; cost=5bps
Source strategy
marginalequity· no_edge
Volatility Breakout (US S&P 500)
volatility-breakout-us-sp500
fact derives from run: r-volatility-breakout-us-sp500-0624
Cite this
qbuntu (2026). Best grid Sharpe ratio is 1.43 (p=0.0039).. Strategy: Volatility Breakout (US S&P 500). https://qbuntu.ai/cite/volatility-breakout-us-sp500-fact-best-sharpe
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-28T01:10:02
fact_id: volatility-breakout-us-sp500-fact-best-sharpe (immutable)