Momentum × Volume Interaction (US S&P 500)
slug: momentum-volume-us-sp500
performance summary
Sharpe (median)
+0.05
Max DD
-14.0%
Win rate
—
Alpha (ann.)
—
p-value
0.59
backtest period: 2022-05-02 → 2026-06-01
Sharpe across 320 grid runs:median 0.05best 1.34 (not representative)worst -0.84p25–p75 -0.17–0.32
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=0.05, best=1.34. Primary failure mode: regime_dependent.
Facts (5)
Best grid Sharpe ratio is 1.34 (p=0.0079).
period 2022-05-02–2026-06-01; cost=5bps
cite ↗ /cite/momentum-volume-us-sp500-fact-best-sharpevia r-momentum-volume-us-sp500-0016
Median Sharpe across 320 grid runs is 0.05.
Full grid of 320 parameter combinations.
Median Sharpe in DOWN regime is -0.03 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.46 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.79 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
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 | +0.90 | +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 | +0.54 | +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 | +0.65 | +1.82 | -0.16 | +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 | +0.35 | +0.98 | -0.16 | +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 | +0.19 | +0.47 | -0.07 | +0.31 |
formation_days=20, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-momentum-volume-us-sp500-0016 | cost_bps: 5 n_stocks: 5 regime_gate: false | +1.34 | +2.40 | -0.27 | +1.96 |
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True r-momentum-volume-us-sp500-0019 | cost_bps: 10 n_stocks: 5 regime_gate: true | +1.17 | +2.45 | -0.41 | +1.86 |
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 | +1.07 | +2.26 | -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 | -0.04 | +0.85 | -1.15 | -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 | +0.31 | +1.25 | -0.60 | +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 | +0.05 | +0.53 | -0.11 | -1.01 |
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 | -0.03 | +0.66 | -0.39 | -1.62 |
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 | -0.13 | +0.54 | -0.68 | -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 | +0.08 | +0.06 | -0.43 | +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 | -0.32 | +0.78 | -1.35 | -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 | -0.10 | +0.67 | -0.59 | -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 | -0.13 | +0.46 | -0.28 | -3.62 |
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 | -0.21 | +0.36 | -0.16 | -1.55 |
formation_days=120, holding_days=1, n_stocks=20, cost_bps=10, regime_gate=True r-momentum-volume-us-sp500-0171 | cost_bps: 10 n_stocks: 20 regime_gate: true | -0.84 | -0.70 | -1.09 | -0.74 |
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 | -0.80 | +0.00 | -1.60 | -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 | +0.28 | +1.09 | -0.63 | +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 | -0.45 | +0.42 | -0.95 | -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 | +0.10 | +0.80 | +0.03 | -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 | +0.57 | +0.93 | +0.19 | +0.11 |
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 | +0.15 | +0.55 | -0.05 | -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 | -0.10 | +0.09 | -0.07 | -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 | +0.39 | +0.22 | +0.26 | +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 | -0.59 | -0.39 | -1.46 | +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 | -0.41 | -0.10 | -0.98 | +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 | +0.06 | +0.25 | -0.35 | +0.81 |
Target universe
S&P 500 constituents, ~503 stocks
Related strategies
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-30T01:20:50