spec. volatility-ratio-reversal-us-sp500-fact-regime-downcite ledger
qbuntu.ai/cite/volatility-ratio-reversal-us-sp500-fact-regime-downCC-BY-4.0
Median Sharpe in DOWN regime is -1.04 across 432 runs.
sharpe_ratio-1.04 sharpe_ratiosupports verdict:rejected
Context
Regime=DOWN, N225 SMA20/SMA60 classification.
Source strategy
rejectedequity· no_edge
Volatility Ratio Reversal (US S&P 500)
volatility-ratio-reversal-us-sp500
Cite this
qbuntu (2026). Median Sharpe in DOWN regime is -1.04 across 432 runs.. Strategy: Volatility Ratio Reversal (US S&P 500). https://qbuntu.ai/cite/volatility-ratio-reversal-us-sp500-fact-regime-down
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-regime-down (immutable)