Volatility Ratio Reversal (US S&P 500)
slug: volatility-ratio-reversal-us-sp500
performance summary
Sharpe (median)
-0.44
Max DD
-10.9%
Win rate
—
Alpha (ann.)
—
p-value
0.34
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 432 grid runs:median -0.44best 0.70 (not representative)worst -2.02p25–p75 -0.74–-0.16
Hypothesis
When short-window realized volatility spikes relative to the long-window baseline (high vol ratio), prices have typically overreacted; buying the dislocated side tests whether the spike mean-reverts within the holding period.
Why it didn't work
Across 432 grid combinations, median Sharpe=-0.44, best=0.70. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is 0.70 (p=0.14).
period 2022-02-01–2026-06-01; cost=5bps
cite ↗ /cite/volatility-ratio-reversal-us-sp500-fact-best-sharpevia r-volatility-ratio-reversal-us-sp500-0386
Median Sharpe across 432 grid runs is -0.44.
Full grid of 432 parameter combinations.
Median Sharpe in DOWN regime is -1.04 across 432 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -0.91 across 432 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is 0.12 across 432 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-us-sp500-0000 | cost_bps: 5 n_stocks: 5 long_window: 15 | -0.19 | -0.52 | +0.67 | -1.04 |
short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5 r-volatility-ratio-reversal-us-sp500-0001 | cost_bps: 5 n_stocks: 5 long_window: 15 | +0.14 | +0.23 | +0.74 | -1.51 |
short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20 r-volatility-ratio-reversal-us-sp500-0002 | cost_bps: 5 n_stocks: 5 long_window: 15 | -0.36 | +0.18 | -1.02 | -0.67 |
short_window=3, long_window=15, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1 r-volatility-ratio-reversal-us-sp500-0003 | cost_bps: 5 n_stocks: 5 long_window: 15 | -0.12 | -0.40 | +0.67 | -1.04 |
short_window=3, long_window=15, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-us-sp500-0006 | cost_bps: 10 n_stocks: 5 long_window: 15 | -0.53 | -0.97 | +0.38 | -1.31 |
short_window=3, long_window=15, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-us-sp500-0024 | cost_bps: 5 n_stocks: 20 long_window: 15 | -0.54 | -0.67 | +0.08 | -1.19 |
short_window=3, long_window=15, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-us-sp500-0036 | cost_bps: 5 n_stocks: 50 long_window: 15 | -0.70 | -0.80 | -0.49 | -0.78 |
short_window=3, long_window=15, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=1 r-volatility-ratio-reversal-us-sp500-0045 | cost_bps: 10 n_stocks: 50 long_window: 15 | -0.96 | -0.59 | -1.33 | -1.26 |
short_window=3, long_window=20, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20 r-volatility-ratio-reversal-us-sp500-0065 | cost_bps: 5 n_stocks: 10 long_window: 20 | -0.17 | +0.67 | -0.89 | -0.53 |
short_window=3, long_window=20, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=5 r-volatility-ratio-reversal-us-sp500-0085 | cost_bps: 5 n_stocks: 50 long_window: 20 | -0.66 | -0.23 | -1.00 | -0.81 |
short_window=3, long_window=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-us-sp500-0096 | cost_bps: 5 n_stocks: 5 long_window: 40 | -0.12 | +0.29 | -0.04 | -0.98 |
short_window=3, long_window=40, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5 r-volatility-ratio-reversal-us-sp500-0106 | cost_bps: 10 n_stocks: 5 long_window: 40 | -0.04 | +0.84 | -0.80 | -0.85 |
short_window=3, long_window=40, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-us-sp500-0126 | cost_bps: 10 n_stocks: 20 long_window: 40 | -1.45 | -1.37 | -1.63 | -1.49 |
short_window=5, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20 r-volatility-ratio-reversal-us-sp500-0146 | cost_bps: 5 n_stocks: 5 long_window: 15 | -1.07 | -0.60 | -1.41 | -1.31 |
short_window=5, long_window=15, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5 r-volatility-ratio-reversal-us-sp500-0166 | cost_bps: 10 n_stocks: 10 long_window: 15 | -0.29 | +0.29 | -0.23 | -1.63 |
short_window=5, long_window=15, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-us-sp500-0186 | cost_bps: 10 n_stocks: 50 long_window: 15 | -1.20 | -0.94 | -1.70 | -1.21 |
short_window=5, long_window=20, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20 r-volatility-ratio-reversal-us-sp500-0206 | cost_bps: 5 n_stocks: 10 long_window: 20 | -0.77 | -0.27 | -0.80 | -1.79 |
short_window=5, long_window=20, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=5 r-volatility-ratio-reversal-us-sp500-0226 | cost_bps: 10 n_stocks: 20 long_window: 20 | -0.18 | +0.32 | -0.19 | -1.25 |
short_window=5, long_window=40, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-us-sp500-0246 | cost_bps: 10 n_stocks: 5 long_window: 40 | -0.43 | +0.05 | -3.05 | +1.01 |
short_window=5, long_window=40, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=20 r-volatility-ratio-reversal-us-sp500-0266 | cost_bps: 5 n_stocks: 20 long_window: 40 | -0.79 | -0.52 | -0.86 | -1.11 |
short_window=5, long_window=40, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=5 r-volatility-ratio-reversal-us-sp500-0286 | cost_bps: 10 n_stocks: 50 long_window: 40 | -0.27 | +0.65 | -0.71 | -1.11 |
short_window=10, long_window=15, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-us-sp500-0288 | cost_bps: 5 n_stocks: 5 long_window: 15 | -0.46 | -0.23 | -1.86 | +0.59 |
short_window=10, long_window=15, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5 r-volatility-ratio-reversal-us-sp500-0307 | cost_bps: 10 n_stocks: 10 long_window: 15 | -0.64 | +0.04 | -1.58 | -1.04 |
short_window=10, long_window=15, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=1 r-volatility-ratio-reversal-us-sp500-0327 | cost_bps: 5 n_stocks: 50 long_window: 15 | -0.48 | +0.08 | -1.89 | +0.86 |
short_window=10, long_window=15, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-us-sp500-0330 | cost_bps: 10 n_stocks: 50 long_window: 15 | -2.02 | -2.23 | -2.64 | -0.42 |
short_window=10, long_window=20, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1 r-volatility-ratio-reversal-us-sp500-0348 | cost_bps: 5 n_stocks: 10 long_window: 20 | -0.19 | +0.46 | -1.18 | +0.06 |
short_window=10, long_window=20, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=20 r-volatility-ratio-reversal-us-sp500-0368 | cost_bps: 10 n_stocks: 20 long_window: 20 | -0.86 | +0.38 | -1.43 | -2.12 |
short_window=10, long_window=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20 r-volatility-ratio-reversal-us-sp500-0386 | cost_bps: 5 n_stocks: 5 long_window: 40 | +0.70 | +1.93 | +0.43 | -1.12 |
short_window=10, long_window=40, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20 r-volatility-ratio-reversal-us-sp500-0389 | cost_bps: 5 n_stocks: 5 long_window: 40 | +0.39 | +1.06 | +0.43 | -1.12 |
short_window=10, long_window=40, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=5 r-volatility-ratio-reversal-us-sp500-0409 | cost_bps: 5 n_stocks: 20 long_window: 40 | -0.20 | +0.63 | -0.36 | -1.29 |
Target universe
S&P 500 constituents, ~503 stocks
Related strategies
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-02T16:26:03