Multi-Factor Composite (US S&P 500)
slug: multi-factor-us-sp500
Multi-Factor Composite (US S&P 500) backtest. Median Sharpe across 240 parameter sets is -0.71. p-value is 0.11. Max DD is -39.5%. Period: 2022-02-01 to 2026-09-01. Best Sharpe +0.25 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)
-0.71
Max DD
-39.5%
Win rate
—
Alpha (ann.)
—
p-value
0.11
backtest period: 2022-02-01 → 2026-09-01
Sharpe across 240 grid runs:median -0.71best 0.25 (not representative)worst -2.01p25–p75 -0.94–-0.43
Hypothesis
Combines signals from marginal/promising single factors into a z-scored composite. Applied to S&P 500 constituents.
Why it didn't work
Across 240 grid combinations, median Sharpe=-0.71, best=0.25. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is 0.25 (p=0.36).
period 2022-02-01–2026-09-01; cost=5bps
cite ↗ /cite/multi-factor-us-sp500-fact-best-sharpevia r-multi-factor-us-sp500-0065
Median Sharpe across 240 grid runs is -0.71.
Full grid of 240 parameter combinations.
Median Sharpe in DOWN regime is -0.39 across 240 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -1.05 across 240 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.65 across 240 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
n_factors=2, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0000 | cost_bps: 5 n_stocks: 5 n_factors: 2 | -0.56 | -1.11 | -0.51 | +0.84 |
n_factors=2, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-multi-factor-us-sp500-0001 | cost_bps: 5 n_stocks: 5 n_factors: 2 | -0.21 | -0.59 | -0.51 | +0.84 |
n_factors=2, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0002 | cost_bps: 10 n_stocks: 5 n_factors: 2 | -0.81 | -1.35 | -0.76 | +0.58 |
n_factors=2, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-multi-factor-us-sp500-0003 | cost_bps: 10 n_stocks: 5 n_factors: 2 | -0.45 | -0.85 | -0.76 | +0.58 |
n_factors=2, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0012 | cost_bps: 5 n_stocks: 50 n_factors: 2 | -1.13 | -1.51 | -1.92 | +0.13 |
n_factors=2, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0014 | cost_bps: 10 n_stocks: 50 n_factors: 2 | -1.58 | -2.06 | -2.45 | -0.16 |
n_factors=2, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0024 | cost_bps: 5 n_stocks: 20 n_factors: 2 | -0.55 | -0.45 | -0.84 | -0.35 |
n_factors=2, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0034 | cost_bps: 10 n_stocks: 5 n_factors: 2 | -0.76 | -0.88 | -1.20 | +0.91 |
n_factors=2, holding_days=10, n_stocks=50, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0044 | cost_bps: 5 n_stocks: 50 n_factors: 2 | -0.60 | -0.88 | -0.55 | +0.06 |
n_factors=2, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0054 | cost_bps: 10 n_stocks: 10 n_factors: 2 | -0.55 | -0.63 | -1.03 | +0.93 |
n_factors=2, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0064 | cost_bps: 5 n_stocks: 5 n_factors: 2 | -0.26 | -0.36 | -0.56 | +0.84 |
n_factors=2, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True r-multi-factor-us-sp500-0065 | cost_bps: 5 n_stocks: 5 n_factors: 2 | +0.25 | +0.51 | -0.56 | +0.84 |
n_factors=2, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0066 | cost_bps: 10 n_stocks: 5 n_factors: 2 | -0.28 | -0.38 | -0.59 | +0.82 |
n_factors=2, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0076 | cost_bps: 5 n_stocks: 50 n_factors: 2 | -0.82 | -1.06 | -1.01 | -0.07 |
n_factors=3, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0086 | cost_bps: 10 n_stocks: 10 n_factors: 3 | -1.27 | -1.80 | -1.65 | +0.19 |
n_factors=3, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0096 | cost_bps: 5 n_stocks: 5 n_factors: 3 | -0.74 | -0.78 | -0.66 | -0.77 |
n_factors=3, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0106 | cost_bps: 10 n_stocks: 20 n_factors: 3 | -1.16 | -1.12 | -1.26 | -0.96 |
n_factors=3, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0116 | cost_bps: 5 n_stocks: 10 n_factors: 3 | -1.02 | -0.93 | -1.09 | -1.15 |
n_factors=3, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0126 | cost_bps: 10 n_stocks: 50 n_factors: 3 | -1.12 | -0.92 | -1.18 | -1.36 |
n_factors=3, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0136 | cost_bps: 5 n_stocks: 20 n_factors: 3 | -0.94 | -0.98 | -0.63 | -1.42 |
n_factors=3, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0146 | cost_bps: 10 n_stocks: 5 n_factors: 3 | -0.81 | -1.15 | -0.93 | -0.02 |
n_factors=3, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0156 | cost_bps: 5 n_stocks: 50 n_factors: 3 | -1.22 | -1.44 | -1.25 | -0.72 |
n_factors=4, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0160 | cost_bps: 5 n_stocks: 5 n_factors: 4 | -0.79 | -1.25 | -1.03 | +0.37 |
n_factors=4, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True r-multi-factor-us-sp500-0167 | cost_bps: 10 n_stocks: 10 n_factors: 4 | -1.15 | -1.12 | -1.98 | -0.33 |
n_factors=4, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0174 | cost_bps: 10 n_stocks: 50 n_factors: 4 | -2.01 | -2.33 | -3.02 | -0.57 |
n_factors=4, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0178 | cost_bps: 10 n_stocks: 5 n_factors: 4 | -1.01 | -0.94 | -0.92 | -1.36 |
n_factors=4, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0188 | cost_bps: 5 n_stocks: 50 n_factors: 4 | -1.08 | -1.03 | -1.22 | -0.89 |
n_factors=4, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0198 | cost_bps: 10 n_stocks: 10 n_factors: 4 | -0.92 | -0.89 | -1.13 | -0.50 |
n_factors=4, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0208 | cost_bps: 5 n_stocks: 5 n_factors: 4 | -0.63 | -0.81 | -0.50 | -0.31 |
n_factors=4, holding_days=20, n_stocks=20, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0218 | cost_bps: 10 n_stocks: 20 n_factors: 4 | -0.80 | -0.97 | -0.40 | -1.11 |
Target universe
S&P 500 constituents, ~503 stocks
Related strategies
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-09-24T02:22:17