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rejectedno_edge· equity· anomaly· factor· volatility

Garman-Klass Volatility Factor (US S&P 500)

slug: garman-klass-vol-us-sp500

Garman-Klass Volatility Factor (US S&P 500) backtest. Median Sharpe across 212 parameter sets is -0.78. p-value is 0.09. Max DD is -50.1%. Period: 2022-02-01 to 2026-09-01. Best Sharpe -0.39 is not the representative figure.

Verdict: rejected. The median reaches neither promising (Sharpe > 0.5 and p-value < 0.05) nor marginal (Sharpe > 0.05 and best p-value < 0.10). Primary reason: no_edge. It is not regime, frequency, or cost, and the median does not clear the bar.

Performance summary

Sharpe (median)
-0.78
Max DD
-50.1%
Win rate
—
Alpha (ann.)
—
p-value
0.09
backtest period: 2022-02-01 → 2026-09-01
Sharpe across 212 grid runs:median -0.78best -0.39 (not representative)worst -1.53p25–p75 -0.99–-0.59

Hypothesis

Garman & Klass (1980): OHLC-based volatility estimator. Testing low-volatility anomaly using GK vol on S&P 500 constituents.

Why it didn't work

Across 212 grid combinations, median Sharpe=-0.78, best=-0.39. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is -0.39 (p=0.39).
period 2022-02-01–2026-09-01; cost=5bps
sharpe_ratio-0.39
cite ↗ /cite/garman-klass-vol-us-sp500-fact-best-sharpevia r-garman-klass-vol-us-sp500-0025
Median Sharpe across 212 grid runs is -0.78.
Full grid of 212 parameter combinations.
sharpe_ratio-0.78
cite ↗ /cite/garman-klass-vol-us-sp500-fact-median-sharpe
Median Sharpe in DOWN regime is -0.58 across 212 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.58
cite ↗ /cite/garman-klass-vol-us-sp500-fact-regime-down
Median Sharpe in FLAT regime is -1.11 across 212 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-1.11
cite ↗ /cite/garman-klass-vol-us-sp500-fact-regime-flat
Median Sharpe in UP regime is -0.55 across 212 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.55
cite ↗ /cite/garman-klass-vol-us-sp500-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-garman-klass-vol-us-sp500-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.91-1.28-1.08-0.11
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-garman-klass-vol-us-sp500-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.54-0.48-1.08-0.11
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-garman-klass-vol-us-sp500-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.04-1.44-1.21-0.21
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-garman-klass-vol-us-sp500-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.66-0.96-1.21-0.21
formation_days=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-garman-klass-vol-us-sp500-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.82-0.82-1.48-0.01
formation_days=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=True
r-garman-klass-vol-us-sp500-0013
cost_bps: 5
n_stocks: 50
regime_gate: true
-0.67-0.48-1.48-0.01
formation_days=10, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True
r-garman-klass-vol-us-sp500-0023
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.58-0.73-1.02-0.29
formation_days=10, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=True
r-garman-klass-vol-us-sp500-0025
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.39+0.14-0.75-0.34
formation_days=10, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=True
r-garman-klass-vol-us-sp500-0035
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.76+0.30-1.15-0.98
formation_days=10, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False
r-garman-klass-vol-us-sp500-0046
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.53-1.28-1.89-1.31
formation_days=10, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True
r-garman-klass-vol-us-sp500-0049
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.47+0.57-0.49-1.19
formation_days=10, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=True
r-garman-klass-vol-us-sp500-0063
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.65+0.71-0.92-1.60
formation_days=10, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=True
r-garman-klass-vol-us-sp500-0077
cost_bps: 5
n_stocks: 50
regime_gate: true
-0.44+1.13-1.32-0.63
formation_days=20, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True
r-garman-klass-vol-us-sp500-0087
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.64-1.11-1.20-0.08
formation_days=20, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True
r-garman-klass-vol-us-sp500-0097
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.67-0.14-1.24-0.36
formation_days=20, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=True
r-garman-klass-vol-us-sp500-0107
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.59-0.16-1.15-0.28
formation_days=20, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=False
r-garman-klass-vol-us-sp500-0120
cost_bps: 5
n_stocks: 20
regime_gate: false
-1.36-1.50-1.40-0.96
formation_days=20, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=True
r-garman-klass-vol-us-sp500-0133
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.47+0.74-0.53-1.23
formation_days=20, holding_days=60, n_stocks=50, cost_bps=10, regime_gate=True
r-garman-klass-vol-us-sp500-0159
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.46+1.05-1.31-0.55
formation_days=40, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=False
r-garman-klass-vol-us-sp500-0168
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.77-0.76-1.18-0.26
formation_days=40, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-garman-klass-vol-us-sp500-0179
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.73-0.61-0.99-0.82
formation_days=40, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False
r-garman-klass-vol-us-sp500-0188
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.03-1.50-1.00-0.15
formation_days=40, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=True
r-garman-klass-vol-us-sp500-0201
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.82+0.52-1.41-1.06
formation_days=40, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=True
r-garman-klass-vol-us-sp500-0215
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.58+0.13-0.56-1.34
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-garman-klass-vol-us-sp500-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.85-1.02-0.69-0.89
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-garman-klass-vol-us-sp500-0241
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.60-0.60-0.69-0.89
formation_days=60, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False
r-garman-klass-vol-us-sp500-0250
cost_bps: 10
n_stocks: 20
regime_gate: false
-1.17-1.02-1.38-1.11
formation_days=60, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False
r-garman-klass-vol-us-sp500-0260
cost_bps: 5
n_stocks: 10
regime_gate: false
-1.03-1.45-0.97-0.38
formation_days=60, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=True
r-garman-klass-vol-us-sp500-0269
cost_bps: 5
n_stocks: 50
regime_gate: true
-0.52-0.09-1.01-0.22
formation_days=60, holding_days=10, n_stocks=50, cost_bps=5, regime_gate=False
r-garman-klass-vol-us-sp500-0284
cost_bps: 5
n_stocks: 50
regime_gate: false
-1.36-1.28-1.52-1.16

Target universe

S&P 500 constituents, ~503 stocks

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same_strategy:garman-klass-vol-jp-allsame_strategy:garman-klass-vol-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:18
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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