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rejectedregime_dependent· equity· factor· interaction· momentum· volume

Momentum × Volume Interaction (US S&P 500)

slug: momentum-volume-us-sp500

Momentum × Volume Interaction (US S&P 500) backtest. Median Sharpe across 320 parameter sets is +0.01. p-value is 0.56. Max DD is -14.2%. Period: 2022-05-02 to 2026-09-01. Best Sharpe +1.32 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). Results split across up, flat, and down markets, so the median is not stable.

Performance summary

Sharpe (median)
+0.01
Max DD
-14.2%
Win rate
—
Alpha (ann.)
—
p-value
0.56
backtest period: 2022-05-02 → 2026-09-01
Sharpe across 320 grid runs:median 0.01best 1.32 (not representative)worst -0.93p25–p75 -0.20–0.31

Hypothesis

Lee & Swaminathan (2000): volume confirms momentum quality. Applied to S&P 500 constituents.

Why it didn't work

Across 320 grid combinations, median Sharpe=0.01, best=1.32. Primary failure mode: regime_dependent.

Facts (5)

Best grid Sharpe ratio is 1.32 (p=0.007).
period 2022-05-02–2026-09-01; cost=5bps
sharpe_ratio1.32
cite ↗ /cite/momentum-volume-us-sp500-fact-best-sharpevia r-momentum-volume-us-sp500-0032
Median Sharpe across 320 grid runs is 0.01.
Full grid of 320 parameter combinations.
sharpe_ratio0.01
cite ↗ /cite/momentum-volume-us-sp500-fact-median-sharpe
Median Sharpe in DOWN regime is 0.06 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio0.06
cite ↗ /cite/momentum-volume-us-sp500-fact-regime-down
Median Sharpe in FLAT regime is -0.52 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.52
cite ↗ /cite/momentum-volume-us-sp500-fact-regime-flat
Median Sharpe in UP regime is 0.74 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.74
cite ↗ /cite/momentum-volume-us-sp500-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-momentum-volume-us-sp500-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.82+2.18-0.03+0.44
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-momentum-volume-us-sp500-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.48+1.16-0.03+0.44
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-momentum-volume-us-sp500-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.57+1.82-0.23+0.25
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-momentum-volume-us-sp500-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.29+0.98-0.23+0.25
formation_days=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-momentum-volume-us-sp500-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.08+0.47-0.30+0.31
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-momentum-volume-us-sp500-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
+1.12+2.22-0.45+1.86
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-momentum-volume-us-sp500-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
+1.32+3.06+0.05+0.87
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-momentum-volume-us-sp500-0033
cost_bps: 5
n_stocks: 5
regime_gate: true
+1.09+2.33+0.05+0.87
formation_days=20, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True
r-momentum-volume-us-sp500-0047
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.01+0.99-1.13-0.18
formation_days=20, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=True
r-momentum-volume-us-sp500-0061
cost_bps: 5
n_stocks: 50
regime_gate: true
+0.33+1.36-0.55+0.09
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-momentum-volume-us-sp500-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.19+0.56-0.11-0.04
formation_days=20, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False
r-momentum-volume-us-sp500-0076
cost_bps: 5
n_stocks: 50
regime_gate: false
+0.09+0.63-0.39-0.24
formation_days=60, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=False
r-momentum-volume-us-sp500-0090
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.16+0.54-0.72-0.57
formation_days=60, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False
r-momentum-volume-us-sp500-0104
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.14+0.06-0.94+1.08
formation_days=60, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False
r-momentum-volume-us-sp500-0118
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.44+0.86-1.61-0.03
formation_days=60, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False
r-momentum-volume-us-sp500-0132
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.21+0.71-0.82-0.36
formation_days=60, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False
r-momentum-volume-us-sp500-0146
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.03+0.49-0.28-0.76
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-momentum-volume-us-sp500-0160
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.10+0.36+0.05-1.55
formation_days=120, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False
r-momentum-volume-us-sp500-0174
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.82-0.02-1.85-1.14
formation_days=120, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=True
r-momentum-volume-us-sp500-0175
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.93+0.00-1.85-1.14
formation_days=120, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=True
r-momentum-volume-us-sp500-0189
cost_bps: 5
n_stocks: 50
regime_gate: true
+0.24+1.09-0.62+1.09
formation_days=120, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True
r-momentum-volume-us-sp500-0203
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.48+0.43-0.97-1.26
formation_days=120, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True
r-momentum-volume-us-sp500-0217
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.02+0.83-0.23-0.94
formation_days=120, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=True
r-momentum-volume-us-sp500-0231
cost_bps: 10
n_stocks: 10
regime_gate: true
+0.67+0.97+0.19+0.53
formation_days=250, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-momentum-volume-us-sp500-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.11+0.55-0.12-1.49
formation_days=250, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False
r-momentum-volume-us-sp500-0246
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.20+0.09-0.33-1.12
formation_days=250, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False
r-momentum-volume-us-sp500-0260
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.35+0.22+0.19+1.80
formation_days=250, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False
r-momentum-volume-us-sp500-0274
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.52-0.25-1.38+0.51
formation_days=250, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False
r-momentum-volume-us-sp500-0288
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.46-0.08-1.09+1.06
formation_days=250, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-momentum-volume-us-sp500-0302
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.05+0.32-0.65+0.81

Target universe

S&P 500 constituents, ~503 stocks

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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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