spec. volatility-ratio-reversal-us-sp500-fact-best-sharpecite ledger
qbuntu.ai/cite/volatility-ratio-reversal-us-sp500-fact-best-sharpeCC-BY-4.0
Best grid Sharpe ratio is 0.70 (p=0.14).
sharpe_ratio0.7 sharpe_ratiosupports verdict:rejected
Context
period 2022-02-01–2026-06-01; cost=5bps
Source strategy
rejectedequity· no_edge
Volatility Ratio Reversal (US S&P 500)
volatility-ratio-reversal-us-sp500
fact derives from run: r-volatility-ratio-reversal-us-sp500-0386
Cite this
qbuntu (2026). Best grid Sharpe ratio is 0.70 (p=0.14).. Strategy: Volatility Ratio Reversal (US S&P 500). https://qbuntu.ai/cite/volatility-ratio-reversal-us-sp500-fact-best-sharpe
data source: kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-02T16:26:03
fact_id: volatility-ratio-reversal-us-sp500-fact-best-sharpe (immutable)