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rejectedregime_dependent· equity· factor· low-risk· volatility

Vol-of-Vol Stability (US S&P 500)

slug: vol-of-vol-stability-us-sp500

Vol-of-Vol Stability (US S&P 500) backtest. Median Sharpe across 432 parameter sets is -0.21. p-value is 0.50. Max DD is -9.4%. Period: 2022-03-01 to 2026-09-01. Best Sharpe +0.64 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)
-0.21
Max DD
-9.4%
Win rate
—
Alpha (ann.)
—
p-value
0.50
backtest period: 2022-03-01 → 2026-09-01
Sharpe across 432 grid runs:median -0.21best 0.64 (not representative)worst -1.64p25–p75 -0.52–0.05

Hypothesis

Stocks with unstable volatility (high volatility-of-volatility) carry uncertainty about their own risk and tend to underperform; ranking on vol-of-vol and holding the stable side tests this risk-uncertainty premium (Baltussen et al. 2018 line of research).

Why it didn't work

Across 432 grid combinations, median Sharpe=-0.21, best=0.64. Primary failure mode: regime_dependent.

Facts (5)

Best grid Sharpe ratio is 0.64 (p=0.18).
period 2022-03-01–2026-09-01; cost=5bps
sharpe_ratio0.64
cite ↗ /cite/vol-of-vol-stability-us-sp500-fact-best-sharpevia r-vol-of-vol-stability-us-sp500-0269
Median Sharpe across 432 grid runs is -0.21.
Full grid of 432 parameter combinations.
sharpe_ratio-0.21
cite ↗ /cite/vol-of-vol-stability-us-sp500-fact-median-sharpe
Median Sharpe in DOWN regime is -0.19 across 432 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.19
cite ↗ /cite/vol-of-vol-stability-us-sp500-fact-regime-down
Median Sharpe in FLAT regime is -0.89 across 432 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.89
cite ↗ /cite/vol-of-vol-stability-us-sp500-fact-regime-flat
Median Sharpe in UP regime is 0.11 across 432 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.11
cite ↗ /cite/vol-of-vol-stability-us-sp500-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
lookback_days_vol=10, lookback_days_vov=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-vol-of-vol-stability-us-sp500-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.38+0.55-0.45+1.92
lookback_days_vol=10, lookback_days_vov=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-vol-of-vol-stability-us-sp500-0001
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.05+1.02-1.37+0.42
lookback_days_vol=10, lookback_days_vov=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-vol-of-vol-stability-us-sp500-0002
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.16-0.16-0.82+1.04
lookback_days_vol=10, lookback_days_vov=40, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-vol-of-vol-stability-us-sp500-0003
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.38+0.59-0.45+1.92
lookback_days_vol=10, lookback_days_vov=40, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-vol-of-vol-stability-us-sp500-0006
cost_bps: 10
n_stocks: 5
regime_gate: false
0.00+0.17-0.83+1.49
lookback_days_vol=10, lookback_days_vov=40, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=1
r-vol-of-vol-stability-us-sp500-0024
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.05-0.27-0.08+1.69
lookback_days_vol=10, lookback_days_vov=40, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-vol-of-vol-stability-us-sp500-0036
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.21-0.78-0.44+1.72
lookback_days_vol=10, lookback_days_vov=40, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=1
r-vol-of-vol-stability-us-sp500-0045
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.53-0.52-1.07+0.92
lookback_days_vol=10, lookback_days_vov=60, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20
r-vol-of-vol-stability-us-sp500-0065
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.13+1.02-0.71-0.50
lookback_days_vol=10, lookback_days_vov=60, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=5
r-vol-of-vol-stability-us-sp500-0085
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.33+0.52-1.34-0.80
lookback_days_vol=10, lookback_days_vov=80, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-vol-of-vol-stability-us-sp500-0096
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.17-0.27+0.46+0.61
lookback_days_vol=10, lookback_days_vov=80, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5
r-vol-of-vol-stability-us-sp500-0106
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.02+0.75+0.01-1.19
lookback_days_vol=10, lookback_days_vov=80, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=1
r-vol-of-vol-stability-us-sp500-0126
cost_bps: 10
n_stocks: 20
regime_gate: false
-1.21-1.26-2.05+1.34
lookback_days_vol=20, lookback_days_vov=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-vol-of-vol-stability-us-sp500-0146
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.34-0.11+0.36-2.98
lookback_days_vol=20, lookback_days_vov=40, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5
r-vol-of-vol-stability-us-sp500-0166
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.08+0.79-0.67-1.51
lookback_days_vol=20, lookback_days_vov=40, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-vol-of-vol-stability-us-sp500-0186
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.27-1.50-1.89+1.45
lookback_days_vol=20, lookback_days_vov=60, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20
r-vol-of-vol-stability-us-sp500-0206
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.09+0.57-0.04-1.10
lookback_days_vol=20, lookback_days_vov=60, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=5
r-vol-of-vol-stability-us-sp500-0226
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.15+1.09-1.25-0.79
lookback_days_vol=20, lookback_days_vov=80, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-vol-of-vol-stability-us-sp500-0246
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.57-0.95-0.64+0.91
lookback_days_vol=20, lookback_days_vov=80, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=20
r-vol-of-vol-stability-us-sp500-0266
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.15+0.96-1.24+0.80
lookback_days_vol=20, lookback_days_vov=80, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=20
r-vol-of-vol-stability-us-sp500-0269
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.64+1.79-1.24+0.80
lookback_days_vol=20, lookback_days_vov=80, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=20
r-vol-of-vol-stability-us-sp500-0287
cost_bps: 10
n_stocks: 50
regime_gate: true
+0.23+1.35-1.74+0.61
lookback_days_vol=30, lookback_days_vov=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-vol-of-vol-stability-us-sp500-0288
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.14-0.45+0.36+0.89
lookback_days_vol=30, lookback_days_vov=40, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20
r-vol-of-vol-stability-us-sp500-0308
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.31-0.61+0.29-0.60
lookback_days_vol=30, lookback_days_vov=40, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=5
r-vol-of-vol-stability-us-sp500-0328
cost_bps: 5
n_stocks: 50
regime_gate: true
+0.10+1.03-1.17-0.36
lookback_days_vol=30, lookback_days_vov=60, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1
r-vol-of-vol-stability-us-sp500-0348
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.42-0.02-1.41+0.54
lookback_days_vol=30, lookback_days_vov=60, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=20
r-vol-of-vol-stability-us-sp500-0368
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.66+0.37-1.45-2.21
lookback_days_vol=30, lookback_days_vov=60, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=5
r-vol-of-vol-stability-us-sp500-0379
cost_bps: 10
n_stocks: 50
regime_gate: false
-1.64-1.00-2.64-1.99
lookback_days_vol=30, lookback_days_vov=80, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20
r-vol-of-vol-stability-us-sp500-0389
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.02+0.41-0.44+0.03
lookback_days_vol=30, lookback_days_vov=80, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=5
r-vol-of-vol-stability-us-sp500-0409
cost_bps: 5
n_stocks: 20
regime_gate: false
-0.39-0.06-0.67-0.70

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: 2026-09-24T21:54:29
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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