# qbuntu — exhaustive index Generated from the live qbuntu store. Each strategy entry links to HTML, Markdown, and JSON representations, followed by its atomic facts with permanent citation URLs. ## Strategies ### Amihud Illiquidity Premium (US S&P 500) (`amihud-illiquidity-premium-us-sp500`) - Verdict: **marginal** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=0.12, MaxDD=-10.8%, p=0.31 Endpoints: - HTML: https://qbuntu.ai/strategies/amihud-illiquidity-premium-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/amihud-illiquidity-premium-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/amihud-illiquidity-premium-us-sp500 Facts: - Best grid Sharpe ratio is 1.36 (p=0.006). [1.36 sharpe_ratio] → https://qbuntu.ai/cite/amihud-illiquidity-premium-us-sp500-fact-best-sharpe - Median Sharpe across 144 grid runs is 0.12. [0.12 sharpe_ratio] → https://qbuntu.ai/cite/amihud-illiquidity-premium-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -0.86 across 144 runs. [-0.86 sharpe_ratio] → https://qbuntu.ai/cite/amihud-illiquidity-premium-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -0.10 across 144 runs. [-0.1 sharpe_ratio] → https://qbuntu.ai/cite/amihud-illiquidity-premium-us-sp500-fact-regime-flat - Median Sharpe in UP regime is 0.63 across 144 runs. [0.63 sharpe_ratio] → https://qbuntu.ai/cite/amihud-illiquidity-premium-us-sp500-fact-regime-up ### Betting Against Beta (JP All Stocks) (`betting-against-beta-jp-all`) - Verdict: **marginal** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=0.13, MaxDD=-18.1%, p=0.63 Endpoints: - HTML: https://qbuntu.ai/strategies/betting-against-beta-jp-all - Markdown: https://qbuntu.ai/ai/strategies/betting-against-beta-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/betting-against-beta-jp-all Facts: - Best grid Sharpe ratio is 0.78 (p=0.13). [0.78 sharpe_ratio] → https://qbuntu.ai/cite/betting-against-beta-jp-all-fact-best-sharpe - Median Sharpe across 160 grid runs is 0.13. [0.13 sharpe_ratio] → https://qbuntu.ai/cite/betting-against-beta-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is 1.11 across 160 runs. [1.11 sharpe_ratio] → https://qbuntu.ai/cite/betting-against-beta-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.40 across 160 runs. [-0.4 sharpe_ratio] → https://qbuntu.ai/cite/betting-against-beta-jp-all-fact-regime-flat - Median Sharpe in UP regime is 0.54 across 160 runs. [0.54 sharpe_ratio] → https://qbuntu.ai/cite/betting-against-beta-jp-all-fact-regime-up ### Calendar Effects (US S&P 500) (`calendar-effects-us-sp500`) - Verdict: **marginal** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=0.23, MaxDD=-14.4%, p=0.33 Endpoints: - HTML: https://qbuntu.ai/strategies/calendar-effects-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/calendar-effects-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/calendar-effects-us-sp500 Facts: - Best grid Sharpe ratio is 6.18 (p=0.039). [6.18 sharpe_ratio] → https://qbuntu.ai/cite/calendar-effects-us-sp500-fact-best-sharpe - Median Sharpe across 192 grid runs is 0.23. [0.23 sharpe_ratio] → https://qbuntu.ai/cite/calendar-effects-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -0.08 across 192 runs. [-0.08 sharpe_ratio] → https://qbuntu.ai/cite/calendar-effects-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is 0.28 across 192 runs. [0.28 sharpe_ratio] → https://qbuntu.ai/cite/calendar-effects-us-sp500-fact-regime-flat - Median Sharpe in UP regime is 0.96 across 192 runs. [0.96 sharpe_ratio] → https://qbuntu.ai/cite/calendar-effects-us-sp500-fact-regime-up ### Cross-Sectional Dispersion Trading (US S&P 500) (`dispersion-us-sp500`) - Verdict: **marginal** (no_edge) - Asset class: equity - Performance: Sharpe(median)=0.14, MaxDD=-30.1%, p=0.34 Endpoints: - HTML: https://qbuntu.ai/strategies/dispersion-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/dispersion-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/dispersion-us-sp500 Facts: - Best grid Sharpe ratio is 0.64 (p=0.18). [0.64 sharpe_ratio] → https://qbuntu.ai/cite/dispersion-us-sp500-fact-best-sharpe - Median Sharpe across 384 grid runs is 0.14. [0.14 sharpe_ratio] → https://qbuntu.ai/cite/dispersion-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -0.06 across 384 runs. [-0.06 sharpe_ratio] → https://qbuntu.ai/cite/dispersion-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -0.34 across 384 runs. [-0.34 sharpe_ratio] → https://qbuntu.ai/cite/dispersion-us-sp500-fact-regime-flat - Median Sharpe in UP regime is 0.43 across 384 runs. [0.43 sharpe_ratio] → https://qbuntu.ai/cite/dispersion-us-sp500-fact-regime-up ### Downside Beta (JP All Stocks) (`downside-beta-jp-all`) - Verdict: **marginal** (no_edge) - Asset class: equity - Performance: Sharpe(median)=0.39, MaxDD=-11.7%, p=0.41 Endpoints: - HTML: https://qbuntu.ai/strategies/downside-beta-jp-all - Markdown: https://qbuntu.ai/ai/strategies/downside-beta-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/downside-beta-jp-all Facts: - Best grid Sharpe ratio is 1.44 (p=0.024). [1.44 sharpe_ratio] → https://qbuntu.ai/cite/downside-beta-jp-all-fact-best-sharpe - Median Sharpe across 160 grid runs is 0.39. [0.39 sharpe_ratio] → https://qbuntu.ai/cite/downside-beta-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is 0.37 across 160 runs. [0.37 sharpe_ratio] → https://qbuntu.ai/cite/downside-beta-jp-all-fact-regime-down - Median Sharpe in FLAT regime is 0.24 across 160 runs. [0.24 sharpe_ratio] → https://qbuntu.ai/cite/downside-beta-jp-all-fact-regime-flat - Median Sharpe in UP regime is 0.43 across 160 runs. [0.43 sharpe_ratio] → https://qbuntu.ai/cite/downside-beta-jp-all-fact-regime-up ### Earnings Yield x Momentum (JP All Stocks) (`earnings-yield-momentum-jp-all`) - Verdict: **marginal** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=0.08, MaxDD=-4.5%, p=0.63 Endpoints: - HTML: https://qbuntu.ai/strategies/earnings-yield-momentum-jp-all - Markdown: https://qbuntu.ai/ai/strategies/earnings-yield-momentum-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/earnings-yield-momentum-jp-all Facts: - Best grid Sharpe ratio is 2.18 (p=0.11). [2.18 sharpe_ratio] → https://qbuntu.ai/cite/earnings-yield-momentum-jp-all-fact-best-sharpe - Median Sharpe across 72 grid runs is 0.08. [0.08 sharpe_ratio] → https://qbuntu.ai/cite/earnings-yield-momentum-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is -0.79 across 72 runs. [-0.79 sharpe_ratio] → https://qbuntu.ai/cite/earnings-yield-momentum-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.21 across 72 runs. [-0.21 sharpe_ratio] → https://qbuntu.ai/cite/earnings-yield-momentum-jp-all-fact-regime-flat - Median Sharpe in UP regime is 0.85 across 72 runs. [0.85 sharpe_ratio] → https://qbuntu.ai/cite/earnings-yield-momentum-jp-all-fact-regime-up ### Forecast Revision (JP Growth Stocks) (`forecast-revision-jp-growth`) - Verdict: **marginal** (no_edge) - Asset class: equity - Performance: Sharpe(median)=0.24, MaxDD=-7.3%, p=0.41 Endpoints: - HTML: https://qbuntu.ai/strategies/forecast-revision-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/forecast-revision-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/forecast-revision-jp-growth Facts: - Best grid Sharpe ratio is 0.89 (p=0.2). [0.89 sharpe_ratio] → https://qbuntu.ai/cite/forecast-revision-jp-growth-fact-best-sharpe - Median Sharpe across 48 grid runs is 0.24. [0.24 sharpe_ratio] → https://qbuntu.ai/cite/forecast-revision-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is 0.51 across 48 runs. [0.51 sharpe_ratio] → https://qbuntu.ai/cite/forecast-revision-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.38 across 48 runs. [-0.38 sharpe_ratio] → https://qbuntu.ai/cite/forecast-revision-jp-growth-fact-regime-flat - Median Sharpe in UP regime is 0.25 across 48 runs. [0.25 sharpe_ratio] → https://qbuntu.ai/cite/forecast-revision-jp-growth-fact-regime-up ### FX Carry Trade (JPY Crosses) (`fx-carry-jpy-crosses`) - Verdict: **marginal** (no_edge) - Asset class: fx - Performance: Sharpe(median)=0.64, MaxDD=-32.9%, p=0.12 Endpoints: - HTML: https://qbuntu.ai/strategies/fx-carry-jpy-crosses - Markdown: https://qbuntu.ai/ai/strategies/fx-carry-jpy-crosses.md - JSON: https://qbuntu.ai/v1/strategies/fx-carry-jpy-crosses Facts: - Average monthly return correlation with other strategies in DOWN regime: -0.01 [-0.0119 correlation] → https://qbuntu.ai/cite/fx-carry-jpy-crosses-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.01 [0.006 correlation] → https://qbuntu.ai/cite/fx-carry-jpy-crosses-fact-avg-corr-full - Best grid Sharpe ratio is 1.36 (p=0.00095). [1.36 sharpe_ratio] → https://qbuntu.ai/cite/fx-carry-jpy-crosses-fact-best-sharpe - Median Sharpe across 1200 grid runs is 0.63. [0.63 sharpe_ratio] → https://qbuntu.ai/cite/fx-carry-jpy-crosses-fact-median-sharpe - Median Sharpe in DOWN regime is -0.74 across 1200 runs. [-0.74 sharpe_ratio] → https://qbuntu.ai/cite/fx-carry-jpy-crosses-fact-regime-down - Median Sharpe in UP regime is 2.31 across 1200 runs. [2.31 sharpe_ratio] → https://qbuntu.ai/cite/fx-carry-jpy-crosses-fact-regime-up ### Garman-Klass Volatility Factor (JP All Stocks) (`garman-klass-vol-jp-all`) - Verdict: **marginal** (no_edge) - Asset class: equity - Performance: Sharpe(median)=0.10, MaxDD=-21.0%, p=0.70 Endpoints: - HTML: https://qbuntu.ai/strategies/garman-klass-vol-jp-all - Markdown: https://qbuntu.ai/ai/strategies/garman-klass-vol-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/garman-klass-vol-jp-all Facts: - Best grid Sharpe ratio is 1.17 (p=0.021). [1.17 sharpe_ratio] → https://qbuntu.ai/cite/garman-klass-vol-jp-all-fact-best-sharpe - Median Sharpe across 160 grid runs is 0.10. [0.1 sharpe_ratio] → https://qbuntu.ai/cite/garman-klass-vol-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is -0.52 across 160 runs. [-0.52 sharpe_ratio] → https://qbuntu.ai/cite/garman-klass-vol-jp-all-fact-regime-down - Median Sharpe in FLAT regime is 0.22 across 160 runs. [0.22 sharpe_ratio] → https://qbuntu.ai/cite/garman-klass-vol-jp-all-fact-regime-flat - Median Sharpe in UP regime is 0.18 across 160 runs. [0.18 sharpe_ratio] → https://qbuntu.ai/cite/garman-klass-vol-jp-all-fact-regime-up ### Garman-Klass Volatility Factor (JP Growth Stocks) (`garman-klass-vol-jp-growth`) - Verdict: **marginal** (no_edge) - Asset class: equity - Performance: Sharpe(median)=0.19, MaxDD=-21.2%, p=0.45 Endpoints: - HTML: https://qbuntu.ai/strategies/garman-klass-vol-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/garman-klass-vol-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/garman-klass-vol-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: -0.01 [-0.0071 correlation] → https://qbuntu.ai/cite/garman-klass-vol-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.01 [0.0111 correlation] → https://qbuntu.ai/cite/garman-klass-vol-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 1.50 (p=0.0023). [1.5 sharpe_ratio] → https://qbuntu.ai/cite/garman-klass-vol-jp-growth-fact-best-sharpe - Median Sharpe across 320 grid runs is 0.19. [0.19 sharpe_ratio] → https://qbuntu.ai/cite/garman-klass-vol-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is -0.04 across 320 runs. [-0.04 sharpe_ratio] → https://qbuntu.ai/cite/garman-klass-vol-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is 0.17 across 320 runs. [0.17 sharpe_ratio] → https://qbuntu.ai/cite/garman-klass-vol-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.30 across 320 runs. [-0.3 sharpe_ratio] → https://qbuntu.ai/cite/garman-klass-vol-jp-growth-fact-regime-up ### Idiosyncratic Volatility (JP Growth Stocks) (`idiosyncratic-vol-jp-growth`) - Verdict: **marginal** (no_edge) - Asset class: equity - Performance: Sharpe(median)=0.06, MaxDD=-20.5%, p=0.52 Endpoints: - HTML: https://qbuntu.ai/strategies/idiosyncratic-vol-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/idiosyncratic-vol-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/idiosyncratic-vol-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: 0.11 [0.1118 correlation] → https://qbuntu.ai/cite/idiosyncratic-vol-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.03 [0.0349 correlation] → https://qbuntu.ai/cite/idiosyncratic-vol-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 1.61 (p=0.0077). [1.61 sharpe_ratio] → https://qbuntu.ai/cite/idiosyncratic-vol-jp-growth-fact-best-sharpe - Median Sharpe across 320 grid runs is 0.06. [0.06 sharpe_ratio] → https://qbuntu.ai/cite/idiosyncratic-vol-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is 0.33 across 320 runs. [0.33 sharpe_ratio] → https://qbuntu.ai/cite/idiosyncratic-vol-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is 0.11 across 320 runs. [0.11 sharpe_ratio] → https://qbuntu.ai/cite/idiosyncratic-vol-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.47 across 320 runs. [-0.47 sharpe_ratio] → https://qbuntu.ai/cite/idiosyncratic-vol-jp-growth-fact-regime-up ### Information Discreteness (US S&P 500) (`info-discreteness-us-sp500`) - Verdict: **marginal** (no_edge) - Asset class: equity - Performance: Sharpe(median)=0.23, MaxDD=-9.5%, p=0.38 Endpoints: - HTML: https://qbuntu.ai/strategies/info-discreteness-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/info-discreteness-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/info-discreteness-us-sp500 Facts: - Best grid Sharpe ratio is 1.58 (p=0.0019). [1.58 sharpe_ratio] → https://qbuntu.ai/cite/info-discreteness-us-sp500-fact-best-sharpe - Median Sharpe across 320 grid runs is 0.23. [0.23 sharpe_ratio] → https://qbuntu.ai/cite/info-discreteness-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is 0.29 across 320 runs. [0.29 sharpe_ratio] → https://qbuntu.ai/cite/info-discreteness-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is 0.11 across 320 runs. [0.11 sharpe_ratio] → https://qbuntu.ai/cite/info-discreteness-us-sp500-fact-regime-flat - Median Sharpe in UP regime is 0.39 across 320 runs. [0.39 sharpe_ratio] → https://qbuntu.ai/cite/info-discreteness-us-sp500-fact-regime-up ### Liquidity Premium / Amihud Illiquidity (US S&P 500) (`liquidity-premium-us-sp500`) - Verdict: **marginal** (no_edge) - Asset class: equity - Performance: Sharpe(median)=0.31, MaxDD=-12.9%, p=0.29 Endpoints: - HTML: https://qbuntu.ai/strategies/liquidity-premium-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/liquidity-premium-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/liquidity-premium-us-sp500 Facts: - Best grid Sharpe ratio is 1.36 (p=0.006). [1.36 sharpe_ratio] → https://qbuntu.ai/cite/liquidity-premium-us-sp500-fact-best-sharpe - Median Sharpe across 320 grid runs is 0.31. [0.31 sharpe_ratio] → https://qbuntu.ai/cite/liquidity-premium-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -0.82 across 320 runs. [-0.82 sharpe_ratio] → https://qbuntu.ai/cite/liquidity-premium-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -0.22 across 320 runs. [-0.22 sharpe_ratio] → https://qbuntu.ai/cite/liquidity-premium-us-sp500-fact-regime-flat - Median Sharpe in UP regime is 0.95 across 320 runs. [0.95 sharpe_ratio] → https://qbuntu.ai/cite/liquidity-premium-us-sp500-fact-regime-up ### Low Volatility Anomaly (JP Growth Stocks) (`low-volatility-anomaly-jp-growth`) - Verdict: **marginal** (no_edge) - Asset class: equity - Performance: Sharpe(median)=0.15, MaxDD=-23.6%, p=0.44 Endpoints: - HTML: https://qbuntu.ai/strategies/low-volatility-anomaly-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/low-volatility-anomaly-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/low-volatility-anomaly-jp-growth Facts: - Best grid Sharpe ratio is 2.22 (p=1.8e-05). [2.22 sharpe_ratio] → https://qbuntu.ai/cite/low-volatility-anomaly-jp-growth-fact-best-sharpe - Median Sharpe across 320 grid runs is 0.15. [0.15 sharpe_ratio] → https://qbuntu.ai/cite/low-volatility-anomaly-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is 0.36 across 320 runs. [0.36 sharpe_ratio] → https://qbuntu.ai/cite/low-volatility-anomaly-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is 0.28 across 320 runs. [0.28 sharpe_ratio] → https://qbuntu.ai/cite/low-volatility-anomaly-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.48 across 320 runs. [-0.48 sharpe_ratio] → https://qbuntu.ai/cite/low-volatility-anomaly-jp-growth-fact-regime-up ### Max Return / Lottery Effect (JP Growth Stocks) (`max-return-lottery-jp-growth`) - Verdict: **marginal** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=0.26, MaxDD=-18.8%, p=0.40 Endpoints: - HTML: https://qbuntu.ai/strategies/max-return-lottery-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/max-return-lottery-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/max-return-lottery-jp-growth Facts: - Best grid Sharpe ratio is 1.53 (p=0.002). [1.53 sharpe_ratio] → https://qbuntu.ai/cite/max-return-lottery-jp-growth-fact-best-sharpe - Median Sharpe across 320 grid runs is 0.26. [0.26 sharpe_ratio] → https://qbuntu.ai/cite/max-return-lottery-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is 1.41 across 320 runs. [1.41 sharpe_ratio] → https://qbuntu.ai/cite/max-return-lottery-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is 0.29 across 320 runs. [0.29 sharpe_ratio] → https://qbuntu.ai/cite/max-return-lottery-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.22 across 320 runs. [-0.22 sharpe_ratio] → https://qbuntu.ai/cite/max-return-lottery-jp-growth-fact-regime-up ### Cross-Sectional Momentum (US S&P 500) (`momentum-cross-sectional-us-sp500`) - Verdict: **marginal** (no_edge) - Asset class: equity - Performance: Sharpe(median)=0.76, MaxDD=-14.8%, p=0.13 Endpoints: - HTML: https://qbuntu.ai/strategies/momentum-cross-sectional-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/momentum-cross-sectional-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/momentum-cross-sectional-us-sp500 Facts: - Average monthly return correlation with other strategies in DOWN regime: 0.15 [0.1457 correlation] → https://qbuntu.ai/cite/momentum-cross-sectional-us-sp500-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.04 [0.0399 correlation] → https://qbuntu.ai/cite/momentum-cross-sectional-us-sp500-fact-avg-corr-full - Best grid Sharpe ratio is 2.28 (p=0.00014). [2.28 sharpe_ratio] → https://qbuntu.ai/cite/momentum-cross-sectional-us-sp500-fact-best-sharpe - Median Sharpe across 960 grid runs is 0.76. [0.76 sharpe_ratio] → https://qbuntu.ai/cite/momentum-cross-sectional-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is 0.90 across 960 runs. [0.9 sharpe_ratio] → https://qbuntu.ai/cite/momentum-cross-sectional-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is 0.23 across 960 runs. [0.23 sharpe_ratio] → https://qbuntu.ai/cite/momentum-cross-sectional-us-sp500-fact-regime-flat - Median Sharpe in UP regime is 1.11 across 960 runs. [1.11 sharpe_ratio] → https://qbuntu.ai/cite/momentum-cross-sectional-us-sp500-fact-regime-up ### Momentum × Volume Interaction (US S&P 500) (`momentum-volume-us-sp500`) - Verdict: **marginal** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=0.05, MaxDD=-14.0%, p=0.59 Endpoints: - HTML: https://qbuntu.ai/strategies/momentum-volume-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/momentum-volume-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/momentum-volume-us-sp500 Facts: - Best grid Sharpe ratio is 1.34 (p=0.0079). [1.34 sharpe_ratio] → https://qbuntu.ai/cite/momentum-volume-us-sp500-fact-best-sharpe - Median Sharpe across 320 grid runs is 0.05. [0.05 sharpe_ratio] → https://qbuntu.ai/cite/momentum-volume-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -0.03 across 320 runs. [-0.03 sharpe_ratio] → https://qbuntu.ai/cite/momentum-volume-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -0.46 across 320 runs. [-0.46 sharpe_ratio] → https://qbuntu.ai/cite/momentum-volume-us-sp500-fact-regime-flat - Median Sharpe in UP regime is 0.79 across 320 runs. [0.79 sharpe_ratio] → https://qbuntu.ai/cite/momentum-volume-us-sp500-fact-regime-up ### Multi-Factor Composite (JP Growth Stocks) (`multi-factor-jp-growth`) - Verdict: **marginal** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=0.23, MaxDD=-21.6%, p=0.49 Endpoints: - HTML: https://qbuntu.ai/strategies/multi-factor-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/multi-factor-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/multi-factor-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: 0.17 [0.1749 correlation] → https://qbuntu.ai/cite/multi-factor-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.05 [0.05 correlation] → https://qbuntu.ai/cite/multi-factor-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 1.95 (p=0.00012). [1.95 sharpe_ratio] → https://qbuntu.ai/cite/multi-factor-jp-growth-fact-best-sharpe - Median Sharpe across 240 grid runs is 0.23. [0.23 sharpe_ratio] → https://qbuntu.ai/cite/multi-factor-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is 3.07 across 240 runs. [3.07 sharpe_ratio] → https://qbuntu.ai/cite/multi-factor-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is 0.26 across 240 runs. [0.26 sharpe_ratio] → https://qbuntu.ai/cite/multi-factor-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.28 across 240 runs. [-0.28 sharpe_ratio] → https://qbuntu.ai/cite/multi-factor-jp-growth-fact-regime-up ### Overnight vs Intraday Return (US S&P 500) (`overnight-intraday-us-sp500`) - Verdict: **marginal** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=0.17, MaxDD=-13.8%, p=0.45 Endpoints: - HTML: https://qbuntu.ai/strategies/overnight-intraday-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/overnight-intraday-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/overnight-intraday-us-sp500 Facts: - Best grid Sharpe ratio is 1.54 (p=0.002). [1.54 sharpe_ratio] → https://qbuntu.ai/cite/overnight-intraday-us-sp500-fact-best-sharpe - Median Sharpe across 768 grid runs is 0.17. [0.17 sharpe_ratio] → https://qbuntu.ai/cite/overnight-intraday-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -0.17 across 768 runs. [-0.17 sharpe_ratio] → https://qbuntu.ai/cite/overnight-intraday-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -0.50 across 768 runs. [-0.5 sharpe_ratio] → https://qbuntu.ai/cite/overnight-intraday-us-sp500-fact-regime-flat - Median Sharpe in UP regime is 0.84 across 768 runs. [0.84 sharpe_ratio] → https://qbuntu.ai/cite/overnight-intraday-us-sp500-fact-regime-up ### Post-Earnings Announcement Drift (JP All Stocks) (`pead-jp-all`) - Verdict: **marginal** (no_edge) - Asset class: equity - Performance: Sharpe(median)=0.96, MaxDD=-39.0%, p=0.24 Endpoints: - HTML: https://qbuntu.ai/strategies/pead-jp-all - Markdown: https://qbuntu.ai/ai/strategies/pead-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/pead-jp-all Facts: - Best grid Sharpe ratio is 2.24 (p=0.065). [2.24 sharpe_ratio] → https://qbuntu.ai/cite/pead-jp-all-fact-best-sharpe - Median Sharpe across 2304 grid runs is 0.96. [0.96 sharpe_ratio] → https://qbuntu.ai/cite/pead-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is -0.07 across 2304 runs. [-0.07 sharpe_ratio] → https://qbuntu.ai/cite/pead-jp-all-fact-regime-down - Median Sharpe in FLAT regime is 1.54 across 2304 runs. [1.54 sharpe_ratio] → https://qbuntu.ai/cite/pead-jp-all-fact-regime-flat - Median Sharpe in UP regime is 0.55 across 2304 runs. [0.55 sharpe_ratio] → https://qbuntu.ai/cite/pead-jp-all-fact-regime-up ### Return Autocorrelation Factor (JP All Stocks) (`return-autocorrelation-jp-all`) - Verdict: **marginal** (no_edge) - Asset class: equity - Performance: Sharpe(median)=0.05, MaxDD=-18.9%, p=0.50 Endpoints: - HTML: https://qbuntu.ai/strategies/return-autocorrelation-jp-all - Markdown: https://qbuntu.ai/ai/strategies/return-autocorrelation-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/return-autocorrelation-jp-all Facts: - Best grid Sharpe ratio is 0.82 (p=0.1). [0.82 sharpe_ratio] → https://qbuntu.ai/cite/return-autocorrelation-jp-all-fact-best-sharpe - Median Sharpe across 160 grid runs is 0.05. [0.05 sharpe_ratio] → https://qbuntu.ai/cite/return-autocorrelation-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is 0.51 across 160 runs. [0.51 sharpe_ratio] → https://qbuntu.ai/cite/return-autocorrelation-jp-all-fact-regime-down - Median Sharpe in FLAT regime is 0.01 across 160 runs. [0.01 sharpe_ratio] → https://qbuntu.ai/cite/return-autocorrelation-jp-all-fact-regime-flat - Median Sharpe in UP regime is -0.27 across 160 runs. [-0.27 sharpe_ratio] → https://qbuntu.ai/cite/return-autocorrelation-jp-all-fact-regime-up ### Risk Parity / Volatility Targeting Overlay (US S&P 500) (`risk-parity-us-sp500`) - Verdict: **marginal** (no_edge) - Asset class: equity - Performance: Sharpe(median)=0.44, MaxDD=-25.1%, p=0.27 Endpoints: - HTML: https://qbuntu.ai/strategies/risk-parity-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/risk-parity-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/risk-parity-us-sp500 Facts: - Best grid Sharpe ratio is 1.21 (p=0.00023). [1.21 sharpe_ratio] → https://qbuntu.ai/cite/risk-parity-us-sp500-fact-best-sharpe - Median Sharpe across 384 grid runs is 0.44. [0.44 sharpe_ratio] → https://qbuntu.ai/cite/risk-parity-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is 0.12 across 384 runs. [0.12 sharpe_ratio] → https://qbuntu.ai/cite/risk-parity-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -0.07 across 384 runs. [-0.07 sharpe_ratio] → https://qbuntu.ai/cite/risk-parity-us-sp500-fact-regime-flat - Median Sharpe in UP regime is 0.64 across 384 runs. [0.64 sharpe_ratio] → https://qbuntu.ai/cite/risk-parity-us-sp500-fact-regime-up ### Sector Rotation / Sector Momentum (JP All Stocks) (`sector-rotation-jp-all`) - Verdict: **marginal** (no_edge) - Asset class: equity - Performance: Sharpe(median)=0.08, MaxDD=-16.7%, p=0.57 Endpoints: - HTML: https://qbuntu.ai/strategies/sector-rotation-jp-all - Markdown: https://qbuntu.ai/ai/strategies/sector-rotation-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/sector-rotation-jp-all Facts: - Best grid Sharpe ratio is 0.94 (p=0.06). [0.94 sharpe_ratio] → https://qbuntu.ai/cite/sector-rotation-jp-all-fact-best-sharpe - Median Sharpe across 384 grid runs is 0.08. [0.08 sharpe_ratio] → https://qbuntu.ai/cite/sector-rotation-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is 0.07 across 384 runs. [0.07 sharpe_ratio] → https://qbuntu.ai/cite/sector-rotation-jp-all-fact-regime-down - Median Sharpe in FLAT regime is 0.01 across 384 runs. [0.01 sharpe_ratio] → https://qbuntu.ai/cite/sector-rotation-jp-all-fact-regime-flat - Median Sharpe in UP regime is 0.17 across 384 runs. [0.17 sharpe_ratio] → https://qbuntu.ai/cite/sector-rotation-jp-all-fact-regime-up ### Short-Term Reversal (JP Growth Stocks) (`short-term-reversal-jp-growth`) - Verdict: **marginal** (no_edge) - Asset class: equity - Performance: Sharpe(median)=0.30, MaxDD=-22.4%, p=0.36 Endpoints: - HTML: https://qbuntu.ai/strategies/short-term-reversal-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/short-term-reversal-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/short-term-reversal-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: -0.22 [-0.2155 correlation] → https://qbuntu.ai/cite/short-term-reversal-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): -0.08 [-0.0833 correlation] → https://qbuntu.ai/cite/short-term-reversal-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 1.98 (p=4.6e-05). [1.98 sharpe_ratio] → https://qbuntu.ai/cite/short-term-reversal-jp-growth-fact-best-sharpe - Median Sharpe across 320 grid runs is 0.30. [0.3 sharpe_ratio] → https://qbuntu.ai/cite/short-term-reversal-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is 1.76 across 320 runs. [1.76 sharpe_ratio] → https://qbuntu.ai/cite/short-term-reversal-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is 0.95 across 320 runs. [0.95 sharpe_ratio] → https://qbuntu.ai/cite/short-term-reversal-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -1.50 across 320 runs. [-1.5 sharpe_ratio] → https://qbuntu.ai/cite/short-term-reversal-jp-growth-fact-regime-up ### Trend Following / Donchian Breakout (US S&P 500) (`trend-following-us-sp500`) - Verdict: **marginal** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=0.22, MaxDD=-20.6%, p=0.57 Endpoints: - HTML: https://qbuntu.ai/strategies/trend-following-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/trend-following-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/trend-following-us-sp500 Facts: - Average monthly return correlation with other strategies in DOWN regime: -0.18 [-0.1768 correlation] → https://qbuntu.ai/cite/trend-following-us-sp500-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): -0.03 [-0.0289 correlation] → https://qbuntu.ai/cite/trend-following-us-sp500-fact-avg-corr-full - Best grid Sharpe ratio is 0.83 (p=0.085). [0.83 sharpe_ratio] → https://qbuntu.ai/cite/trend-following-us-sp500-fact-best-sharpe - Median Sharpe across 768 grid runs is 0.22. [0.22 sharpe_ratio] → https://qbuntu.ai/cite/trend-following-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -0.37 across 768 runs. [-0.37 sharpe_ratio] → https://qbuntu.ai/cite/trend-following-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -0.12 across 768 runs. [-0.12 sharpe_ratio] → https://qbuntu.ai/cite/trend-following-us-sp500-fact-regime-flat - Median Sharpe in UP regime is 0.77 across 768 runs. [0.77 sharpe_ratio] → https://qbuntu.ai/cite/trend-following-us-sp500-fact-regime-up ### Turnover Factor (JP All Stocks) (`turnover-jp-all`) - Verdict: **marginal** (no_edge) - Asset class: equity - Performance: Sharpe(median)=0.12, MaxDD=-15.8%, p=0.43 Endpoints: - HTML: https://qbuntu.ai/strategies/turnover-jp-all - Markdown: https://qbuntu.ai/ai/strategies/turnover-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/turnover-jp-all Facts: - Best grid Sharpe ratio is 0.93 (p=0.076). [0.93 sharpe_ratio] → https://qbuntu.ai/cite/turnover-jp-all-fact-best-sharpe - Median Sharpe across 160 grid runs is 0.12. [0.12 sharpe_ratio] → https://qbuntu.ai/cite/turnover-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is -0.53 across 160 runs. [-0.53 sharpe_ratio] → https://qbuntu.ai/cite/turnover-jp-all-fact-regime-down - Median Sharpe in FLAT regime is 0.25 across 160 runs. [0.25 sharpe_ratio] → https://qbuntu.ai/cite/turnover-jp-all-fact-regime-flat - Median Sharpe in UP regime is 0.03 across 160 runs. [0.03 sharpe_ratio] → https://qbuntu.ai/cite/turnover-jp-all-fact-regime-up ### Volatility Breakout (JP All Stocks) (`volatility-breakout-jp-all`) - Verdict: **marginal** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=0.16, MaxDD=-14.5%, p=0.58 Endpoints: - HTML: https://qbuntu.ai/strategies/volatility-breakout-jp-all - Markdown: https://qbuntu.ai/ai/strategies/volatility-breakout-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/volatility-breakout-jp-all Facts: - Average monthly return correlation with other strategies in DOWN regime: 0.04 [0.0421 correlation] → https://qbuntu.ai/cite/volatility-breakout-jp-all-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.02 [0.0205 correlation] → https://qbuntu.ai/cite/volatility-breakout-jp-all-fact-avg-corr-full - Best grid Sharpe ratio is 1.35 (p=0.01). [1.35 sharpe_ratio] → https://qbuntu.ai/cite/volatility-breakout-jp-all-fact-best-sharpe - Median Sharpe across 480 grid runs is 0.16. [0.16 sharpe_ratio] → https://qbuntu.ai/cite/volatility-breakout-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is 0.77 across 480 runs. [0.77 sharpe_ratio] → https://qbuntu.ai/cite/volatility-breakout-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.20 across 480 runs. [-0.2 sharpe_ratio] → https://qbuntu.ai/cite/volatility-breakout-jp-all-fact-regime-flat - Median Sharpe in UP regime is 1.25 across 480 runs. [1.25 sharpe_ratio] → https://qbuntu.ai/cite/volatility-breakout-jp-all-fact-regime-up ### Volatility Breakout (US S&P 500) (`volatility-breakout-us-sp500`) - Verdict: **marginal** (no_edge) - Asset class: equity - Performance: Sharpe(median)=0.50, MaxDD=-8.4%, p=0.30 Endpoints: - HTML: https://qbuntu.ai/strategies/volatility-breakout-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/volatility-breakout-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/volatility-breakout-us-sp500 Facts: - Average monthly return correlation with other strategies in DOWN regime: -0.09 [-0.0906 correlation] → https://qbuntu.ai/cite/volatility-breakout-us-sp500-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.00 [0.0037 correlation] → https://qbuntu.ai/cite/volatility-breakout-us-sp500-fact-avg-corr-full - Best grid Sharpe ratio is 1.43 (p=0.0039). [1.43 sharpe_ratio] → https://qbuntu.ai/cite/volatility-breakout-us-sp500-fact-best-sharpe - Median Sharpe across 720 grid runs is 0.50. [0.5 sharpe_ratio] → https://qbuntu.ai/cite/volatility-breakout-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -0.14 across 720 runs. [-0.14 sharpe_ratio] → https://qbuntu.ai/cite/volatility-breakout-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is 0.55 across 720 runs. [0.55 sharpe_ratio] → https://qbuntu.ai/cite/volatility-breakout-us-sp500-fact-regime-flat - Median Sharpe in UP regime is 0.74 across 720 runs. [0.74 sharpe_ratio] → https://qbuntu.ai/cite/volatility-breakout-us-sp500-fact-regime-up ### Volatility Ratio Reversal (JP Growth Stocks) (`volatility-ratio-reversal-jp-growth`) - Verdict: **marginal** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=0.26, MaxDD=-10.9%, p=0.45 Endpoints: - HTML: https://qbuntu.ai/strategies/volatility-ratio-reversal-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/volatility-ratio-reversal-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/volatility-ratio-reversal-jp-growth Facts: - Best grid Sharpe ratio is 1.85 (p=0.00028). [1.85 sharpe_ratio] → https://qbuntu.ai/cite/volatility-ratio-reversal-jp-growth-fact-best-sharpe - Median Sharpe across 432 grid runs is 0.26. [0.26 sharpe_ratio] → https://qbuntu.ai/cite/volatility-ratio-reversal-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is 1.18 across 432 runs. [1.18 sharpe_ratio] → https://qbuntu.ai/cite/volatility-ratio-reversal-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is 0.29 across 432 runs. [0.29 sharpe_ratio] → https://qbuntu.ai/cite/volatility-ratio-reversal-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.06 across 432 runs. [-0.06 sharpe_ratio] → https://qbuntu.ai/cite/volatility-ratio-reversal-jp-growth-fact-regime-up ### Volume Anomaly (US S&P 500) (`volume-anomaly-us-sp500`) - Verdict: **marginal** (no_edge) - Asset class: equity - Performance: Sharpe(median)=0.08, MaxDD=-14.7%, p=0.40 Endpoints: - HTML: https://qbuntu.ai/strategies/volume-anomaly-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/volume-anomaly-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/volume-anomaly-us-sp500 Facts: - Best grid Sharpe ratio is 3.07 (p=0.039). [3.07 sharpe_ratio] → https://qbuntu.ai/cite/volume-anomaly-us-sp500-fact-best-sharpe - Median Sharpe across 768 grid runs is 0.08. [0.08 sharpe_ratio] → https://qbuntu.ai/cite/volume-anomaly-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is 0.48 across 768 runs. [0.48 sharpe_ratio] → https://qbuntu.ai/cite/volume-anomaly-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -0.02 across 768 runs. [-0.02 sharpe_ratio] → https://qbuntu.ai/cite/volume-anomaly-us-sp500-fact-regime-flat - Median Sharpe in UP regime is -0.21 across 768 runs. [-0.21 sharpe_ratio] → https://qbuntu.ai/cite/volume-anomaly-us-sp500-fact-regime-up ### Amihud Illiquidity Premium (JP All Stocks) (`amihud-illiquidity-premium-jp-all`) - Verdict: **rejected** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=-0.21, MaxDD=-17.9%, p=0.47 Endpoints: - HTML: https://qbuntu.ai/strategies/amihud-illiquidity-premium-jp-all - Markdown: https://qbuntu.ai/ai/strategies/amihud-illiquidity-premium-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/amihud-illiquidity-premium-jp-all Facts: - Best grid Sharpe ratio is 0.57 (p=0.25). [0.57 sharpe_ratio] → https://qbuntu.ai/cite/amihud-illiquidity-premium-jp-all-fact-best-sharpe - Median Sharpe across 72 grid runs is -0.21. [-0.21 sharpe_ratio] → https://qbuntu.ai/cite/amihud-illiquidity-premium-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is 2.06 across 72 runs. [2.06 sharpe_ratio] → https://qbuntu.ai/cite/amihud-illiquidity-premium-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -1.01 across 72 runs. [-1.01 sharpe_ratio] → https://qbuntu.ai/cite/amihud-illiquidity-premium-jp-all-fact-regime-flat - Median Sharpe in UP regime is 0.73 across 72 runs. [0.73 sharpe_ratio] → https://qbuntu.ai/cite/amihud-illiquidity-premium-jp-all-fact-regime-up ### Amihud Illiquidity Premium (JP Growth Stocks) (`amihud-illiquidity-premium-jp-growth`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.96, MaxDD=-26.2%, p=0.05 Endpoints: - HTML: https://qbuntu.ai/strategies/amihud-illiquidity-premium-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/amihud-illiquidity-premium-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/amihud-illiquidity-premium-jp-growth Facts: - Best grid Sharpe ratio is 0.49 (p=0.3). [0.49 sharpe_ratio] → https://qbuntu.ai/cite/amihud-illiquidity-premium-jp-growth-fact-best-sharpe - Median Sharpe across 144 grid runs is -0.96. [-0.96 sharpe_ratio] → https://qbuntu.ai/cite/amihud-illiquidity-premium-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is -2.95 across 144 runs. [-2.95 sharpe_ratio] → https://qbuntu.ai/cite/amihud-illiquidity-premium-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.54 across 144 runs. [-0.54 sharpe_ratio] → https://qbuntu.ai/cite/amihud-illiquidity-premium-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -1.33 across 144 runs. [-1.33 sharpe_ratio] → https://qbuntu.ai/cite/amihud-illiquidity-premium-jp-growth-fact-regime-up ### Betting Against Beta (JP Growth Stocks) (`betting-against-beta-jp-growth`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.65, MaxDD=-26.1%, p=0.25 Endpoints: - HTML: https://qbuntu.ai/strategies/betting-against-beta-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/betting-against-beta-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/betting-against-beta-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: 0.10 [0.105 correlation] → https://qbuntu.ai/cite/betting-against-beta-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.08 [0.0756 correlation] → https://qbuntu.ai/cite/betting-against-beta-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 0.24 (p=0.74). [0.24 sharpe_ratio] → https://qbuntu.ai/cite/betting-against-beta-jp-growth-fact-best-sharpe - Median Sharpe across 320 grid runs is -0.65. [-0.65 sharpe_ratio] → https://qbuntu.ai/cite/betting-against-beta-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is -1.37 across 320 runs. [-1.37 sharpe_ratio] → https://qbuntu.ai/cite/betting-against-beta-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.42 across 320 runs. [-0.42 sharpe_ratio] → https://qbuntu.ai/cite/betting-against-beta-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.96 across 320 runs. [-0.96 sharpe_ratio] → https://qbuntu.ai/cite/betting-against-beta-jp-growth-fact-regime-up ### Betting Against Beta (US S&P 500) (`betting-against-beta-us-sp500`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-1.20, MaxDD=-59.0%, p=0.01 Endpoints: - HTML: https://qbuntu.ai/strategies/betting-against-beta-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/betting-against-beta-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/betting-against-beta-us-sp500 Facts: - Best grid Sharpe ratio is -0.39 (p=0.19). [-0.39 sharpe_ratio] → https://qbuntu.ai/cite/betting-against-beta-us-sp500-fact-best-sharpe - Median Sharpe across 318 grid runs is -1.20. [-1.2 sharpe_ratio] → https://qbuntu.ai/cite/betting-against-beta-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -1.42 across 318 runs. [-1.42 sharpe_ratio] → https://qbuntu.ai/cite/betting-against-beta-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -1.54 across 318 runs. [-1.54 sharpe_ratio] → https://qbuntu.ai/cite/betting-against-beta-us-sp500-fact-regime-flat - Median Sharpe in UP regime is -0.85 across 318 runs. [-0.85 sharpe_ratio] → https://qbuntu.ai/cite/betting-against-beta-us-sp500-fact-regime-up ### Calendar Effects (JP All Stocks) (`calendar-effects-jp-all`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.71, MaxDD=-30.2%, p=0.41 Endpoints: - HTML: https://qbuntu.ai/strategies/calendar-effects-jp-all - Markdown: https://qbuntu.ai/ai/strategies/calendar-effects-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/calendar-effects-jp-all Facts: - Best grid Sharpe ratio is 1.03 (p=0.6). [1.03 sharpe_ratio] → https://qbuntu.ai/cite/calendar-effects-jp-all-fact-best-sharpe - Median Sharpe across 144 grid runs is -0.71. [-0.71 sharpe_ratio] → https://qbuntu.ai/cite/calendar-effects-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is -2.91 across 144 runs. [-2.91 sharpe_ratio] → https://qbuntu.ai/cite/calendar-effects-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.47 across 144 runs. [-0.47 sharpe_ratio] → https://qbuntu.ai/cite/calendar-effects-jp-all-fact-regime-flat - Median Sharpe in UP regime is -1.26 across 144 runs. [-1.26 sharpe_ratio] → https://qbuntu.ai/cite/calendar-effects-jp-all-fact-regime-up ### Calendar Effects (JP Growth Stocks) (`calendar-effects-jp-growth`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.53, MaxDD=-36.7%, p=0.26 Endpoints: - HTML: https://qbuntu.ai/strategies/calendar-effects-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/calendar-effects-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/calendar-effects-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: -0.08 [-0.0761 correlation] → https://qbuntu.ai/cite/calendar-effects-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.04 [0.0426 correlation] → https://qbuntu.ai/cite/calendar-effects-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 4.64 (p=0.077). [4.64 sharpe_ratio] → https://qbuntu.ai/cite/calendar-effects-jp-growth-fact-best-sharpe - Median Sharpe across 192 grid runs is -0.53. [-0.53 sharpe_ratio] → https://qbuntu.ai/cite/calendar-effects-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is -3.16 across 192 runs. [-3.16 sharpe_ratio] → https://qbuntu.ai/cite/calendar-effects-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.37 across 192 runs. [-0.37 sharpe_ratio] → https://qbuntu.ai/cite/calendar-effects-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.68 across 192 runs. [-0.68 sharpe_ratio] → https://qbuntu.ai/cite/calendar-effects-jp-growth-fact-regime-up ### Cross-Sectional Dispersion Trading (JP All Stocks) (`dispersion-jp-all`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.16, MaxDD=-31.3%, p=0.49 Endpoints: - HTML: https://qbuntu.ai/strategies/dispersion-jp-all - Markdown: https://qbuntu.ai/ai/strategies/dispersion-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/dispersion-jp-all Facts: - Best grid Sharpe ratio is 0.57 (p=0.25). [0.57 sharpe_ratio] → https://qbuntu.ai/cite/dispersion-jp-all-fact-best-sharpe - Median Sharpe across 192 grid runs is -0.16. [-0.16 sharpe_ratio] → https://qbuntu.ai/cite/dispersion-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is -0.18 across 192 runs. [-0.18 sharpe_ratio] → https://qbuntu.ai/cite/dispersion-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.25 across 192 runs. [-0.25 sharpe_ratio] → https://qbuntu.ai/cite/dispersion-jp-all-fact-regime-flat - Median Sharpe in UP regime is 0.43 across 192 runs. [0.43 sharpe_ratio] → https://qbuntu.ai/cite/dispersion-jp-all-fact-regime-up ### Cross-Sectional Dispersion Trading (JP Growth Stocks) (`dispersion-jp-growth`) - Verdict: **rejected** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=-0.16, MaxDD=-33.9%, p=0.52 Endpoints: - HTML: https://qbuntu.ai/strategies/dispersion-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/dispersion-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/dispersion-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: 0.07 [0.0719 correlation] → https://qbuntu.ai/cite/dispersion-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.02 [0.0226 correlation] → https://qbuntu.ai/cite/dispersion-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 0.55 (p=0.26). [0.55 sharpe_ratio] → https://qbuntu.ai/cite/dispersion-jp-growth-fact-best-sharpe - Median Sharpe across 384 grid runs is -0.16. [-0.16 sharpe_ratio] → https://qbuntu.ai/cite/dispersion-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is -1.32 across 384 runs. [-1.32 sharpe_ratio] → https://qbuntu.ai/cite/dispersion-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.03 across 384 runs. [-0.03 sharpe_ratio] → https://qbuntu.ai/cite/dispersion-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.29 across 384 runs. [-0.29 sharpe_ratio] → https://qbuntu.ai/cite/dispersion-jp-growth-fact-regime-up ### Downside Beta (JP Growth Stocks) (`downside-beta-jp-growth`) - Verdict: **rejected** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=-0.27, MaxDD=-17.2%, p=0.53 Endpoints: - HTML: https://qbuntu.ai/strategies/downside-beta-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/downside-beta-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/downside-beta-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: 0.17 [0.1657 correlation] → https://qbuntu.ai/cite/downside-beta-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.02 [0.0193 correlation] → https://qbuntu.ai/cite/downside-beta-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 1.18 (p=0.05). [1.18 sharpe_ratio] → https://qbuntu.ai/cite/downside-beta-jp-growth-fact-best-sharpe - Median Sharpe across 320 grid runs is -0.27. [-0.27 sharpe_ratio] → https://qbuntu.ai/cite/downside-beta-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is -1.94 across 320 runs. [-1.94 sharpe_ratio] → https://qbuntu.ai/cite/downside-beta-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is 0.30 across 320 runs. [0.3 sharpe_ratio] → https://qbuntu.ai/cite/downside-beta-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.79 across 320 runs. [-0.79 sharpe_ratio] → https://qbuntu.ai/cite/downside-beta-jp-growth-fact-regime-up ### Downside Beta (US S&P 500) (`downside-beta-us-sp500`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-1.25, MaxDD=-52.3%, p=0.01 Endpoints: - HTML: https://qbuntu.ai/strategies/downside-beta-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/downside-beta-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/downside-beta-us-sp500 Facts: - Best grid Sharpe ratio is -0.32 (p=0.27). [-0.32 sharpe_ratio] → https://qbuntu.ai/cite/downside-beta-us-sp500-fact-best-sharpe - Median Sharpe across 318 grid runs is -1.25. [-1.25 sharpe_ratio] → https://qbuntu.ai/cite/downside-beta-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -2.01 across 318 runs. [-2.01 sharpe_ratio] → https://qbuntu.ai/cite/downside-beta-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -1.52 across 318 runs. [-1.52 sharpe_ratio] → https://qbuntu.ai/cite/downside-beta-us-sp500-fact-regime-flat - Median Sharpe in UP regime is -0.80 across 318 runs. [-0.8 sharpe_ratio] → https://qbuntu.ai/cite/downside-beta-us-sp500-fact-regime-up ### Earnings Reversal (JP All Stocks) (`earnings-reversal-short-jp-all`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-3.15, MaxDD=-57.0%, p=0.11 Endpoints: - HTML: https://qbuntu.ai/strategies/earnings-reversal-short-jp-all - Markdown: https://qbuntu.ai/ai/strategies/earnings-reversal-short-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/earnings-reversal-short-jp-all Facts: - Best grid Sharpe ratio is -0.76 (p=0.66). [-0.76 sharpe_ratio] → https://qbuntu.ai/cite/earnings-reversal-short-jp-all-fact-best-sharpe - Median Sharpe across 2880 grid runs is -3.15. [-3.15 sharpe_ratio] → https://qbuntu.ai/cite/earnings-reversal-short-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is 4.09 across 2880 runs. [4.09 sharpe_ratio] → https://qbuntu.ai/cite/earnings-reversal-short-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -5.26 across 2880 runs. [-5.26 sharpe_ratio] → https://qbuntu.ai/cite/earnings-reversal-short-jp-all-fact-regime-flat - Median Sharpe in UP regime is -2.86 across 2880 runs. [-2.86 sharpe_ratio] → https://qbuntu.ai/cite/earnings-reversal-short-jp-all-fact-regime-up ### Earnings Reversal (JP Growth Stocks) (`earnings-reversal-short-jp-growth`) - Verdict: **rejected** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=-0.18, MaxDD=-83.0%, p=0.23 Endpoints: - HTML: https://qbuntu.ai/strategies/earnings-reversal-short-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/earnings-reversal-short-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/earnings-reversal-short-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: -0.14 [-0.1361 correlation] → https://qbuntu.ai/cite/earnings-reversal-short-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.05 [0.0468 correlation] → https://qbuntu.ai/cite/earnings-reversal-short-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 1.54 (p=0.088). [1.54 sharpe_ratio] → https://qbuntu.ai/cite/earnings-reversal-short-jp-growth-fact-best-sharpe - Median Sharpe across 2880 grid runs is -0.18. [-0.18 sharpe_ratio] → https://qbuntu.ai/cite/earnings-reversal-short-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is -2.93 across 2880 runs. [-2.93 sharpe_ratio] → https://qbuntu.ai/cite/earnings-reversal-short-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -1.31 across 2880 runs. [-1.31 sharpe_ratio] → https://qbuntu.ai/cite/earnings-reversal-short-jp-growth-fact-regime-flat - Median Sharpe in UP regime is 0.53 across 2880 runs. [0.53 sharpe_ratio] → https://qbuntu.ai/cite/earnings-reversal-short-jp-growth-fact-regime-up ### Earnings Yield (JP All Stocks) (`earnings-yield-jp-all`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=0.33, MaxDD=-3.7%, p=0.71 Endpoints: - HTML: https://qbuntu.ai/strategies/earnings-yield-jp-all - Markdown: https://qbuntu.ai/ai/strategies/earnings-yield-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/earnings-yield-jp-all Facts: - Best grid Sharpe ratio is 0.79 (p=0.34). [0.79 sharpe_ratio] → https://qbuntu.ai/cite/earnings-yield-jp-all-fact-best-sharpe - Median Sharpe across 24 grid runs is 0.33. [0.33 sharpe_ratio] → https://qbuntu.ai/cite/earnings-yield-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is 0.26 across 24 runs. [0.26 sharpe_ratio] → https://qbuntu.ai/cite/earnings-yield-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.92 across 24 runs. [-0.92 sharpe_ratio] → https://qbuntu.ai/cite/earnings-yield-jp-all-fact-regime-flat - Median Sharpe in UP regime is 4.49 across 24 runs. [4.49 sharpe_ratio] → https://qbuntu.ai/cite/earnings-yield-jp-all-fact-regime-up ### Earnings Yield (JP Growth Stocks) (`earnings-yield-jp-growth`) - Verdict: **rejected** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=-0.03, MaxDD=-8.4%, p=0.64 Endpoints: - HTML: https://qbuntu.ai/strategies/earnings-yield-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/earnings-yield-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/earnings-yield-jp-growth Facts: - Best grid Sharpe ratio is 1.37 (p=0.051). [1.37 sharpe_ratio] → https://qbuntu.ai/cite/earnings-yield-jp-growth-fact-best-sharpe - Median Sharpe across 48 grid runs is -0.03. [-0.03 sharpe_ratio] → https://qbuntu.ai/cite/earnings-yield-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is 2.69 across 48 runs. [2.69 sharpe_ratio] → https://qbuntu.ai/cite/earnings-yield-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.17 across 48 runs. [-0.17 sharpe_ratio] → https://qbuntu.ai/cite/earnings-yield-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.20 across 48 runs. [-0.2 sharpe_ratio] → https://qbuntu.ai/cite/earnings-yield-jp-growth-fact-regime-up ### Earnings Yield x Momentum (JP Growth Stocks) (`earnings-yield-momentum-jp-growth`) - Verdict: **rejected** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=-0.15, MaxDD=-8.5%, p=0.64 Endpoints: - HTML: https://qbuntu.ai/strategies/earnings-yield-momentum-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/earnings-yield-momentum-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/earnings-yield-momentum-jp-growth Facts: - Best grid Sharpe ratio is 0.99 (p=0.13). [0.99 sharpe_ratio] → https://qbuntu.ai/cite/earnings-yield-momentum-jp-growth-fact-best-sharpe - Median Sharpe across 144 grid runs is -0.15. [-0.15 sharpe_ratio] → https://qbuntu.ai/cite/earnings-yield-momentum-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is -1.32 across 144 runs. [-1.32 sharpe_ratio] → https://qbuntu.ai/cite/earnings-yield-momentum-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is 0.34 across 144 runs. [0.34 sharpe_ratio] → https://qbuntu.ai/cite/earnings-yield-momentum-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.36 across 144 runs. [-0.36 sharpe_ratio] → https://qbuntu.ai/cite/earnings-yield-momentum-jp-growth-fact-regime-up ### Forecast Revision (JP All Stocks) (`forecast-revision-jp-all`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.49, MaxDD=-11.3%, p=0.49 Endpoints: - HTML: https://qbuntu.ai/strategies/forecast-revision-jp-all - Markdown: https://qbuntu.ai/ai/strategies/forecast-revision-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/forecast-revision-jp-all Facts: - Best grid Sharpe ratio is 0.38 (p=0.67). [0.38 sharpe_ratio] → https://qbuntu.ai/cite/forecast-revision-jp-all-fact-best-sharpe - Median Sharpe across 12 grid runs is -0.49. [-0.49 sharpe_ratio] → https://qbuntu.ai/cite/forecast-revision-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is 2.77 across 12 runs. [2.77 sharpe_ratio] → https://qbuntu.ai/cite/forecast-revision-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.25 across 12 runs. [-0.25 sharpe_ratio] → https://qbuntu.ai/cite/forecast-revision-jp-all-fact-regime-flat - Median Sharpe in UP regime is -1.55 across 12 runs. [-1.55 sharpe_ratio] → https://qbuntu.ai/cite/forecast-revision-jp-all-fact-regime-up ### Gap Reversal (JP All Stocks) (`gap-reversal-short-jp-all`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.75, MaxDD=-4.5%, p=0.12 Endpoints: - HTML: https://qbuntu.ai/strategies/gap-reversal-short-jp-all - Markdown: https://qbuntu.ai/ai/strategies/gap-reversal-short-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/gap-reversal-short-jp-all Facts: - Best grid Sharpe ratio is 0.69 (p=0.15). [0.69 sharpe_ratio] → https://qbuntu.ai/cite/gap-reversal-short-jp-all-fact-best-sharpe - Median Sharpe across 1728 grid runs is -0.75. [-0.75 sharpe_ratio] → https://qbuntu.ai/cite/gap-reversal-short-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is -2.18 across 1728 runs. [-2.18 sharpe_ratio] → https://qbuntu.ai/cite/gap-reversal-short-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -2.85 across 1728 runs. [-2.85 sharpe_ratio] → https://qbuntu.ai/cite/gap-reversal-short-jp-all-fact-regime-flat - Median Sharpe in UP regime is -8.62 across 1728 runs. [-8.62 sharpe_ratio] → https://qbuntu.ai/cite/gap-reversal-short-jp-all-fact-regime-up ### Gap Reversal (JP Growth Stocks) (`gap-reversal-short-jp-growth`) - Verdict: **rejected** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=-0.23, MaxDD=-17.0%, p=0.33 Endpoints: - HTML: https://qbuntu.ai/strategies/gap-reversal-short-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/gap-reversal-short-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/gap-reversal-short-jp-growth Facts: - Best grid Sharpe ratio is 2.69 (p=1.6e-08). [2.69 sharpe_ratio] → https://qbuntu.ai/cite/gap-reversal-short-jp-growth-fact-best-sharpe - Median Sharpe across 1728 grid runs is -0.23. [-0.23 sharpe_ratio] → https://qbuntu.ai/cite/gap-reversal-short-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is 0.33 across 1728 runs. [0.33 sharpe_ratio] → https://qbuntu.ai/cite/gap-reversal-short-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is 0.10 across 1728 runs. [0.1 sharpe_ratio] → https://qbuntu.ai/cite/gap-reversal-short-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -1.93 across 1728 runs. [-1.93 sharpe_ratio] → https://qbuntu.ai/cite/gap-reversal-short-jp-growth-fact-regime-up ### Gap Reversal (US S&P 500) (`gap-reversal-short-us-sp500`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.58, MaxDD=-5.4%, p=0.21 Endpoints: - HTML: https://qbuntu.ai/strategies/gap-reversal-short-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/gap-reversal-short-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/gap-reversal-short-us-sp500 Facts: - Best grid Sharpe ratio is 1.02 (p=0.029). [1.02 sharpe_ratio] → https://qbuntu.ai/cite/gap-reversal-short-us-sp500-fact-best-sharpe - Median Sharpe across 1728 grid runs is -0.58. [-0.58 sharpe_ratio] → https://qbuntu.ai/cite/gap-reversal-short-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -0.71 across 1728 runs. [-0.71 sharpe_ratio] → https://qbuntu.ai/cite/gap-reversal-short-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -1.74 across 1728 runs. [-1.74 sharpe_ratio] → https://qbuntu.ai/cite/gap-reversal-short-us-sp500-fact-regime-flat - Median Sharpe in UP regime is -2.30 across 1728 runs. [-2.3 sharpe_ratio] → https://qbuntu.ai/cite/gap-reversal-short-us-sp500-fact-regime-up ### Garman-Klass Volatility Factor (US S&P 500) (`garman-klass-vol-us-sp500`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.83, MaxDD=-52.5%, p=0.08 Endpoints: - HTML: https://qbuntu.ai/strategies/garman-klass-vol-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/garman-klass-vol-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/garman-klass-vol-us-sp500 Facts: - Best grid Sharpe ratio is -0.29 (p=0.32). [-0.29 sharpe_ratio] → https://qbuntu.ai/cite/garman-klass-vol-us-sp500-fact-best-sharpe - Median Sharpe across 222 grid runs is -0.83. [-0.83 sharpe_ratio] → https://qbuntu.ai/cite/garman-klass-vol-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -0.45 across 222 runs. [-0.45 sharpe_ratio] → https://qbuntu.ai/cite/garman-klass-vol-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -1.30 across 222 runs. [-1.3 sharpe_ratio] → https://qbuntu.ai/cite/garman-klass-vol-us-sp500-fact-regime-flat - Median Sharpe in UP regime is -0.44 across 222 runs. [-0.44 sharpe_ratio] → https://qbuntu.ai/cite/garman-klass-vol-us-sp500-fact-regime-up ### 52-Week High Momentum (JP All Stocks) (`high52w-momentum-jp-all`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.57, MaxDD=-26.3%, p=0.26 Endpoints: - HTML: https://qbuntu.ai/strategies/high52w-momentum-jp-all - Markdown: https://qbuntu.ai/ai/strategies/high52w-momentum-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/high52w-momentum-jp-all Facts: - Best grid Sharpe ratio is 0.19 (p=0.7). [0.19 sharpe_ratio] → https://qbuntu.ai/cite/high52w-momentum-jp-all-fact-best-sharpe - Median Sharpe across 160 grid runs is -0.57. [-0.57 sharpe_ratio] → https://qbuntu.ai/cite/high52w-momentum-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is -0.26 across 160 runs. [-0.26 sharpe_ratio] → https://qbuntu.ai/cite/high52w-momentum-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.56 across 160 runs. [-0.56 sharpe_ratio] → https://qbuntu.ai/cite/high52w-momentum-jp-all-fact-regime-flat - Median Sharpe in UP regime is -0.56 across 160 runs. [-0.56 sharpe_ratio] → https://qbuntu.ai/cite/high52w-momentum-jp-all-fact-regime-up ### 52-Week High Momentum (JP Growth Stocks) (`high52w-momentum-jp-growth`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.56, MaxDD=-39.9%, p=0.22 Endpoints: - HTML: https://qbuntu.ai/strategies/high52w-momentum-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/high52w-momentum-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/high52w-momentum-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: 0.06 [0.0586 correlation] → https://qbuntu.ai/cite/high52w-momentum-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.08 [0.0759 correlation] → https://qbuntu.ai/cite/high52w-momentum-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 0.30 (p=0.57). [0.3 sharpe_ratio] → https://qbuntu.ai/cite/high52w-momentum-jp-growth-fact-best-sharpe - Median Sharpe across 320 grid runs is -0.56. [-0.56 sharpe_ratio] → https://qbuntu.ai/cite/high52w-momentum-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is -2.07 across 320 runs. [-2.07 sharpe_ratio] → https://qbuntu.ai/cite/high52w-momentum-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.58 across 320 runs. [-0.58 sharpe_ratio] → https://qbuntu.ai/cite/high52w-momentum-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.01 across 320 runs. [-0.01 sharpe_ratio] → https://qbuntu.ai/cite/high52w-momentum-jp-growth-fact-regime-up ### 52-Week High Momentum (US S&P 500) (`high52w-momentum-us-sp500`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.44, MaxDD=-31.6%, p=0.33 Endpoints: - HTML: https://qbuntu.ai/strategies/high52w-momentum-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/high52w-momentum-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/high52w-momentum-us-sp500 Facts: - Best grid Sharpe ratio is 0.27 (p=0.57). [0.27 sharpe_ratio] → https://qbuntu.ai/cite/high52w-momentum-us-sp500-fact-best-sharpe - Median Sharpe across 320 grid runs is -0.44. [-0.44 sharpe_ratio] → https://qbuntu.ai/cite/high52w-momentum-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -1.21 across 320 runs. [-1.21 sharpe_ratio] → https://qbuntu.ai/cite/high52w-momentum-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -0.88 across 320 runs. [-0.88 sharpe_ratio] → https://qbuntu.ai/cite/high52w-momentum-us-sp500-fact-regime-flat - Median Sharpe in UP regime is 0.43 across 320 runs. [0.43 sharpe_ratio] → https://qbuntu.ai/cite/high52w-momentum-us-sp500-fact-regime-up ### Idiosyncratic Volatility (JP All Stocks) (`idiosyncratic-vol-jp-all`) - Verdict: **rejected** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=-0.04, MaxDD=-15.2%, p=0.55 Endpoints: - HTML: https://qbuntu.ai/strategies/idiosyncratic-vol-jp-all - Markdown: https://qbuntu.ai/ai/strategies/idiosyncratic-vol-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/idiosyncratic-vol-jp-all Facts: - Best grid Sharpe ratio is 1.26 (p=0.046). [1.26 sharpe_ratio] → https://qbuntu.ai/cite/idiosyncratic-vol-jp-all-fact-best-sharpe - Median Sharpe across 160 grid runs is -0.04. [-0.04 sharpe_ratio] → https://qbuntu.ai/cite/idiosyncratic-vol-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is -1.66 across 160 runs. [-1.66 sharpe_ratio] → https://qbuntu.ai/cite/idiosyncratic-vol-jp-all-fact-regime-down - Median Sharpe in FLAT regime is 0.25 across 160 runs. [0.25 sharpe_ratio] → https://qbuntu.ai/cite/idiosyncratic-vol-jp-all-fact-regime-flat - Median Sharpe in UP regime is -0.28 across 160 runs. [-0.28 sharpe_ratio] → https://qbuntu.ai/cite/idiosyncratic-vol-jp-all-fact-regime-up ### Idiosyncratic Volatility (US S&P 500) (`idiosyncratic-vol-us-sp500`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.99, MaxDD=-48.2%, p=0.04 Endpoints: - HTML: https://qbuntu.ai/strategies/idiosyncratic-vol-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/idiosyncratic-vol-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/idiosyncratic-vol-us-sp500 Facts: - Best grid Sharpe ratio is -0.10 (p=0.72). [-0.1 sharpe_ratio] → https://qbuntu.ai/cite/idiosyncratic-vol-us-sp500-fact-best-sharpe - Median Sharpe across 316 grid runs is -0.99. [-0.99 sharpe_ratio] → https://qbuntu.ai/cite/idiosyncratic-vol-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -0.76 across 316 runs. [-0.76 sharpe_ratio] → https://qbuntu.ai/cite/idiosyncratic-vol-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -1.32 across 316 runs. [-1.32 sharpe_ratio] → https://qbuntu.ai/cite/idiosyncratic-vol-us-sp500-fact-regime-flat - Median Sharpe in UP regime is -0.71 across 316 runs. [-0.71 sharpe_ratio] → https://qbuntu.ai/cite/idiosyncratic-vol-us-sp500-fact-regime-up ### Information Discreteness (JP All Stocks) (`info-discreteness-jp-all`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=0.02, MaxDD=-18.1%, p=0.46 Endpoints: - HTML: https://qbuntu.ai/strategies/info-discreteness-jp-all - Markdown: https://qbuntu.ai/ai/strategies/info-discreteness-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/info-discreteness-jp-all Facts: - Best grid Sharpe ratio is 0.94 (p=0.066). [0.94 sharpe_ratio] → https://qbuntu.ai/cite/info-discreteness-jp-all-fact-best-sharpe - Median Sharpe across 160 grid runs is 0.02. [0.02 sharpe_ratio] → https://qbuntu.ai/cite/info-discreteness-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is -0.76 across 160 runs. [-0.76 sharpe_ratio] → https://qbuntu.ai/cite/info-discreteness-jp-all-fact-regime-down - Median Sharpe in FLAT regime is 0.23 across 160 runs. [0.23 sharpe_ratio] → https://qbuntu.ai/cite/info-discreteness-jp-all-fact-regime-flat - Median Sharpe in UP regime is -0.12 across 160 runs. [-0.12 sharpe_ratio] → https://qbuntu.ai/cite/info-discreteness-jp-all-fact-regime-up ### Information Discreteness (JP Growth Stocks) (`info-discreteness-jp-growth`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=0.02, MaxDD=-16.8%, p=0.51 Endpoints: - HTML: https://qbuntu.ai/strategies/info-discreteness-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/info-discreteness-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/info-discreteness-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: 0.19 [0.1929 correlation] → https://qbuntu.ai/cite/info-discreteness-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.02 [0.0238 correlation] → https://qbuntu.ai/cite/info-discreteness-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 1.03 (p=0.044). [1.03 sharpe_ratio] → https://qbuntu.ai/cite/info-discreteness-jp-growth-fact-best-sharpe - Median Sharpe across 320 grid runs is 0.02. [0.02 sharpe_ratio] → https://qbuntu.ai/cite/info-discreteness-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is -0.27 across 320 runs. [-0.27 sharpe_ratio] → https://qbuntu.ai/cite/info-discreteness-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is 0.09 across 320 runs. [0.09 sharpe_ratio] → https://qbuntu.ai/cite/info-discreteness-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.04 across 320 runs. [-0.04 sharpe_ratio] → https://qbuntu.ai/cite/info-discreteness-jp-growth-fact-regime-up ### Liquidity Premium / Amihud Illiquidity (JP All Stocks) (`liquidity-premium-jp-all`) - Verdict: **rejected** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=-0.08, MaxDD=-19.7%, p=0.53 Endpoints: - HTML: https://qbuntu.ai/strategies/liquidity-premium-jp-all - Markdown: https://qbuntu.ai/ai/strategies/liquidity-premium-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/liquidity-premium-jp-all Facts: - Best grid Sharpe ratio is 0.57 (p=0.25). [0.57 sharpe_ratio] → https://qbuntu.ai/cite/liquidity-premium-jp-all-fact-best-sharpe - Median Sharpe across 160 grid runs is -0.08. [-0.08 sharpe_ratio] → https://qbuntu.ai/cite/liquidity-premium-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is 2.02 across 160 runs. [2.02 sharpe_ratio] → https://qbuntu.ai/cite/liquidity-premium-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.87 across 160 runs. [-0.87 sharpe_ratio] → https://qbuntu.ai/cite/liquidity-premium-jp-all-fact-regime-flat - Median Sharpe in UP regime is 0.63 across 160 runs. [0.63 sharpe_ratio] → https://qbuntu.ai/cite/liquidity-premium-jp-all-fact-regime-up ### Liquidity Premium / Amihud Illiquidity (JP Growth Stocks) (`liquidity-premium-jp-growth`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.56, MaxDD=-26.4%, p=0.06 Endpoints: - HTML: https://qbuntu.ai/strategies/liquidity-premium-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/liquidity-premium-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/liquidity-premium-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: 0.16 [0.1552 correlation] → https://qbuntu.ai/cite/liquidity-premium-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.06 [0.0638 correlation] → https://qbuntu.ai/cite/liquidity-premium-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 0.99 (p=0.0011). [0.99 sharpe_ratio] → https://qbuntu.ai/cite/liquidity-premium-jp-growth-fact-best-sharpe - Median Sharpe across 320 grid runs is -0.56. [-0.56 sharpe_ratio] → https://qbuntu.ai/cite/liquidity-premium-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is -1.91 across 320 runs. [-1.91 sharpe_ratio] → https://qbuntu.ai/cite/liquidity-premium-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.33 across 320 runs. [-0.33 sharpe_ratio] → https://qbuntu.ai/cite/liquidity-premium-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.75 across 320 runs. [-0.75 sharpe_ratio] → https://qbuntu.ai/cite/liquidity-premium-jp-growth-fact-regime-up ### Low Volatility Anomaly (JP All Stocks) (`low-volatility-anomaly-jp-all`) - Verdict: **rejected** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=-0.17, MaxDD=-22.9%, p=0.48 Endpoints: - HTML: https://qbuntu.ai/strategies/low-volatility-anomaly-jp-all - Markdown: https://qbuntu.ai/ai/strategies/low-volatility-anomaly-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/low-volatility-anomaly-jp-all Facts: - Best grid Sharpe ratio is 0.91 (p=0.071). [0.91 sharpe_ratio] → https://qbuntu.ai/cite/low-volatility-anomaly-jp-all-fact-best-sharpe - Median Sharpe across 160 grid runs is -0.17. [-0.17 sharpe_ratio] → https://qbuntu.ai/cite/low-volatility-anomaly-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is -1.38 across 160 runs. [-1.38 sharpe_ratio] → https://qbuntu.ai/cite/low-volatility-anomaly-jp-all-fact-regime-down - Median Sharpe in FLAT regime is 0.08 across 160 runs. [0.08 sharpe_ratio] → https://qbuntu.ai/cite/low-volatility-anomaly-jp-all-fact-regime-flat - Median Sharpe in UP regime is -0.20 across 160 runs. [-0.2 sharpe_ratio] → https://qbuntu.ai/cite/low-volatility-anomaly-jp-all-fact-regime-up ### Low Volatility Anomaly (US S&P 500) (`low-volatility-anomaly-us-sp500`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-1.00, MaxDD=-58.9%, p=0.04 Endpoints: - HTML: https://qbuntu.ai/strategies/low-volatility-anomaly-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/low-volatility-anomaly-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/low-volatility-anomaly-us-sp500 Facts: - Best grid Sharpe ratio is -0.31 (p=0.28). [-0.31 sharpe_ratio] → https://qbuntu.ai/cite/low-volatility-anomaly-us-sp500-fact-best-sharpe - Median Sharpe across 316 grid runs is -1.00. [-1 sharpe_ratio] → https://qbuntu.ai/cite/low-volatility-anomaly-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -0.85 across 316 runs. [-0.85 sharpe_ratio] → https://qbuntu.ai/cite/low-volatility-anomaly-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -1.26 across 316 runs. [-1.26 sharpe_ratio] → https://qbuntu.ai/cite/low-volatility-anomaly-us-sp500-fact-regime-flat - Median Sharpe in UP regime is -0.95 across 316 runs. [-0.95 sharpe_ratio] → https://qbuntu.ai/cite/low-volatility-anomaly-us-sp500-fact-regime-up ### Max Return / Lottery Effect (JP All Stocks) (`max-return-lottery-jp-all`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.39, MaxDD=-27.9%, p=0.39 Endpoints: - HTML: https://qbuntu.ai/strategies/max-return-lottery-jp-all - Markdown: https://qbuntu.ai/ai/strategies/max-return-lottery-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/max-return-lottery-jp-all Facts: - Best grid Sharpe ratio is 0.28 (p=0.56). [0.28 sharpe_ratio] → https://qbuntu.ai/cite/max-return-lottery-jp-all-fact-best-sharpe - Median Sharpe across 160 grid runs is -0.39. [-0.39 sharpe_ratio] → https://qbuntu.ai/cite/max-return-lottery-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is -1.17 across 160 runs. [-1.17 sharpe_ratio] → https://qbuntu.ai/cite/max-return-lottery-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.15 across 160 runs. [-0.15 sharpe_ratio] → https://qbuntu.ai/cite/max-return-lottery-jp-all-fact-regime-flat - Median Sharpe in UP regime is -0.62 across 160 runs. [-0.62 sharpe_ratio] → https://qbuntu.ai/cite/max-return-lottery-jp-all-fact-regime-up ### Max Return / Lottery Effect (US S&P 500) (`max-return-lottery-us-sp500`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.91, MaxDD=-46.1%, p=0.05 Endpoints: - HTML: https://qbuntu.ai/strategies/max-return-lottery-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/max-return-lottery-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/max-return-lottery-us-sp500 Facts: - Best grid Sharpe ratio is 0.04 (p=0.92). [0.04 sharpe_ratio] → https://qbuntu.ai/cite/max-return-lottery-us-sp500-fact-best-sharpe - Median Sharpe across 320 grid runs is -0.91. [-0.91 sharpe_ratio] → https://qbuntu.ai/cite/max-return-lottery-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -0.40 across 320 runs. [-0.4 sharpe_ratio] → https://qbuntu.ai/cite/max-return-lottery-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -1.32 across 320 runs. [-1.32 sharpe_ratio] → https://qbuntu.ai/cite/max-return-lottery-us-sp500-fact-regime-flat - Median Sharpe in UP regime is -0.86 across 320 runs. [-0.86 sharpe_ratio] → https://qbuntu.ai/cite/max-return-lottery-us-sp500-fact-regime-up ### Mean Reversion (JP All Stocks) (`mean-reversion-jp-all`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.36, MaxDD=-22.3%, p=0.43 Endpoints: - HTML: https://qbuntu.ai/strategies/mean-reversion-jp-all - Markdown: https://qbuntu.ai/ai/strategies/mean-reversion-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/mean-reversion-jp-all Facts: - Average monthly return correlation with other strategies in DOWN regime: 0.19 [0.1865 correlation] → https://qbuntu.ai/cite/mean-reversion-jp-all-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.04 [0.0425 correlation] → https://qbuntu.ai/cite/mean-reversion-jp-all-fact-avg-corr-full - Best grid Sharpe ratio is 0.67 (p=0.18). [0.67 sharpe_ratio] → https://qbuntu.ai/cite/mean-reversion-jp-all-fact-best-sharpe - Median Sharpe across 512 grid runs is -0.36. [-0.36 sharpe_ratio] → https://qbuntu.ai/cite/mean-reversion-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is -1.27 across 512 runs. [-1.27 sharpe_ratio] → https://qbuntu.ai/cite/mean-reversion-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.31 across 512 runs. [-0.31 sharpe_ratio] → https://qbuntu.ai/cite/mean-reversion-jp-all-fact-regime-flat - Median Sharpe in UP regime is -0.59 across 512 runs. [-0.59 sharpe_ratio] → https://qbuntu.ai/cite/mean-reversion-jp-all-fact-regime-up ### Mean Reversion (JP Growth Stocks) (`mean-reversion-jp-growth`) - Verdict: **rejected** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=0.03, MaxDD=-15.2%, p=0.51 Endpoints: - HTML: https://qbuntu.ai/strategies/mean-reversion-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/mean-reversion-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/mean-reversion-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: -0.04 [-0.0409 correlation] → https://qbuntu.ai/cite/mean-reversion-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.01 [0.0143 correlation] → https://qbuntu.ai/cite/mean-reversion-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 1.88 (p=0.0002). [1.88 sharpe_ratio] → https://qbuntu.ai/cite/mean-reversion-jp-growth-fact-best-sharpe - Median Sharpe across 1024 grid runs is 0.03. [0.03 sharpe_ratio] → https://qbuntu.ai/cite/mean-reversion-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is 1.18 across 1024 runs. [1.18 sharpe_ratio] → https://qbuntu.ai/cite/mean-reversion-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is 0.15 across 1024 runs. [0.15 sharpe_ratio] → https://qbuntu.ai/cite/mean-reversion-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.43 across 1024 runs. [-0.43 sharpe_ratio] → https://qbuntu.ai/cite/mean-reversion-jp-growth-fact-regime-up ### Mean Reversion (US S&P 500) (`mean-reversion-us-sp500`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.38, MaxDD=-17.9%, p=0.35 Endpoints: - HTML: https://qbuntu.ai/strategies/mean-reversion-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/mean-reversion-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/mean-reversion-us-sp500 Facts: - Average monthly return correlation with other strategies in DOWN regime: 0.14 [0.1368 correlation] → https://qbuntu.ai/cite/mean-reversion-us-sp500-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.02 [0.019 correlation] → https://qbuntu.ai/cite/mean-reversion-us-sp500-fact-avg-corr-full - Best grid Sharpe ratio is 0.97 (p=0.045). [0.97 sharpe_ratio] → https://qbuntu.ai/cite/mean-reversion-us-sp500-fact-best-sharpe - Median Sharpe across 1024 grid runs is -0.38. [-0.38 sharpe_ratio] → https://qbuntu.ai/cite/mean-reversion-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -0.14 across 1024 runs. [-0.14 sharpe_ratio] → https://qbuntu.ai/cite/mean-reversion-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -0.64 across 1024 runs. [-0.64 sharpe_ratio] → https://qbuntu.ai/cite/mean-reversion-us-sp500-fact-regime-flat - Median Sharpe in UP regime is -0.49 across 1024 runs. [-0.49 sharpe_ratio] → https://qbuntu.ai/cite/mean-reversion-us-sp500-fact-regime-up ### LightGBM Factor Model (JP All Stocks) (`ml-factor-lgbm-9f-jp-all`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-1.19, MaxDD=-55.5%, p=0.02 Endpoints: - HTML: https://qbuntu.ai/strategies/ml-factor-lgbm-9f-jp-all - Markdown: https://qbuntu.ai/ai/strategies/ml-factor-lgbm-9f-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/ml-factor-lgbm-9f-jp-all Facts: - Average monthly return correlation with other strategies in DOWN regime: 0.04 [0.044 correlation] → https://qbuntu.ai/cite/ml-factor-lgbm-9f-jp-all-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): -0.06 [-0.0564 correlation] → https://qbuntu.ai/cite/ml-factor-lgbm-9f-jp-all-fact-avg-corr-full - Best grid Sharpe ratio is 0.38 (p=0.45). [0.38 sharpe_ratio] → https://qbuntu.ai/cite/ml-factor-lgbm-9f-jp-all-fact-best-sharpe - Median Sharpe across 1536 grid runs is -1.19. [-1.19 sharpe_ratio] → https://qbuntu.ai/cite/ml-factor-lgbm-9f-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is -1.22 across 1536 runs. [-1.22 sharpe_ratio] → https://qbuntu.ai/cite/ml-factor-lgbm-9f-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.75 across 1536 runs. [-0.75 sharpe_ratio] → https://qbuntu.ai/cite/ml-factor-lgbm-9f-jp-all-fact-regime-flat - Median Sharpe in UP regime is -2.15 across 1536 runs. [-2.15 sharpe_ratio] → https://qbuntu.ai/cite/ml-factor-lgbm-9f-jp-all-fact-regime-up ### Cross-Sectional Momentum (JP All Stocks) (`momentum-cross-sectional-jp-all`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.33, MaxDD=-23.2%, p=0.44 Endpoints: - HTML: https://qbuntu.ai/strategies/momentum-cross-sectional-jp-all - Markdown: https://qbuntu.ai/ai/strategies/momentum-cross-sectional-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/momentum-cross-sectional-jp-all Facts: - Average monthly return correlation with other strategies in DOWN regime: 0.19 [0.1885 correlation] → https://qbuntu.ai/cite/momentum-cross-sectional-jp-all-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.04 [0.0386 correlation] → https://qbuntu.ai/cite/momentum-cross-sectional-jp-all-fact-avg-corr-full - Best grid Sharpe ratio is 0.60 (p=0.27). [0.6 sharpe_ratio] → https://qbuntu.ai/cite/momentum-cross-sectional-jp-all-fact-best-sharpe - Median Sharpe across 480 grid runs is -0.33. [-0.33 sharpe_ratio] → https://qbuntu.ai/cite/momentum-cross-sectional-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is 0.02 across 480 runs. [0.02 sharpe_ratio] → https://qbuntu.ai/cite/momentum-cross-sectional-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.45 across 480 runs. [-0.45 sharpe_ratio] → https://qbuntu.ai/cite/momentum-cross-sectional-jp-all-fact-regime-flat - Median Sharpe in UP regime is -0.15 across 480 runs. [-0.15 sharpe_ratio] → https://qbuntu.ai/cite/momentum-cross-sectional-jp-all-fact-regime-up ### Cross-Sectional Momentum (JP Growth Stocks) (`momentum-cross-sectional-jp-growth`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.46, MaxDD=-29.5%, p=0.33 Endpoints: - HTML: https://qbuntu.ai/strategies/momentum-cross-sectional-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/momentum-cross-sectional-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/momentum-cross-sectional-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: 0.11 [0.1067 correlation] → https://qbuntu.ai/cite/momentum-cross-sectional-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.02 [0.017 correlation] → https://qbuntu.ai/cite/momentum-cross-sectional-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 0.91 (p=0.1). [0.91 sharpe_ratio] → https://qbuntu.ai/cite/momentum-cross-sectional-jp-growth-fact-best-sharpe - Median Sharpe across 960 grid runs is -0.46. [-0.46 sharpe_ratio] → https://qbuntu.ai/cite/momentum-cross-sectional-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is -1.71 across 960 runs. [-1.71 sharpe_ratio] → https://qbuntu.ai/cite/momentum-cross-sectional-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.42 across 960 runs. [-0.42 sharpe_ratio] → https://qbuntu.ai/cite/momentum-cross-sectional-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.27 across 960 runs. [-0.27 sharpe_ratio] → https://qbuntu.ai/cite/momentum-cross-sectional-jp-growth-fact-regime-up ### Momentum × Volume Interaction (JP All Stocks) (`momentum-volume-jp-all`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.09, MaxDD=-20.9%, p=0.57 Endpoints: - HTML: https://qbuntu.ai/strategies/momentum-volume-jp-all - Markdown: https://qbuntu.ai/ai/strategies/momentum-volume-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/momentum-volume-jp-all Facts: - Best grid Sharpe ratio is 0.76 (p=0.14). [0.76 sharpe_ratio] → https://qbuntu.ai/cite/momentum-volume-jp-all-fact-best-sharpe - Median Sharpe across 160 grid runs is -0.09. [-0.09 sharpe_ratio] → https://qbuntu.ai/cite/momentum-volume-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is 0.38 across 160 runs. [0.38 sharpe_ratio] → https://qbuntu.ai/cite/momentum-volume-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.11 across 160 runs. [-0.11 sharpe_ratio] → https://qbuntu.ai/cite/momentum-volume-jp-all-fact-regime-flat - Median Sharpe in UP regime is 0.07 across 160 runs. [0.07 sharpe_ratio] → https://qbuntu.ai/cite/momentum-volume-jp-all-fact-regime-up ### Momentum × Volume Interaction (JP Growth Stocks) (`momentum-volume-jp-growth`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.16, MaxDD=-18.1%, p=0.52 Endpoints: - HTML: https://qbuntu.ai/strategies/momentum-volume-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/momentum-volume-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/momentum-volume-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: 0.11 [0.1097 correlation] → https://qbuntu.ai/cite/momentum-volume-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.07 [0.0682 correlation] → https://qbuntu.ai/cite/momentum-volume-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 0.79 (p=0.12). [0.79 sharpe_ratio] → https://qbuntu.ai/cite/momentum-volume-jp-growth-fact-best-sharpe - Median Sharpe across 320 grid runs is -0.16. [-0.16 sharpe_ratio] → https://qbuntu.ai/cite/momentum-volume-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is 0.37 across 320 runs. [0.37 sharpe_ratio] → https://qbuntu.ai/cite/momentum-volume-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.45 across 320 runs. [-0.45 sharpe_ratio] → https://qbuntu.ai/cite/momentum-volume-jp-growth-fact-regime-flat - Median Sharpe in UP regime is 0.34 across 320 runs. [0.34 sharpe_ratio] → https://qbuntu.ai/cite/momentum-volume-jp-growth-fact-regime-up ### Multi-Factor Composite (JP All Stocks) (`multi-factor-jp-all`) - Verdict: **rejected** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=-0.25, MaxDD=-28.0%, p=0.52 Endpoints: - HTML: https://qbuntu.ai/strategies/multi-factor-jp-all - Markdown: https://qbuntu.ai/ai/strategies/multi-factor-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/multi-factor-jp-all Facts: - Best grid Sharpe ratio is 0.41 (p=0.41). [0.41 sharpe_ratio] → https://qbuntu.ai/cite/multi-factor-jp-all-fact-best-sharpe - Median Sharpe across 120 grid runs is -0.25. [-0.25 sharpe_ratio] → https://qbuntu.ai/cite/multi-factor-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is -3.71 across 120 runs. [-3.71 sharpe_ratio] → https://qbuntu.ai/cite/multi-factor-jp-all-fact-regime-down - Median Sharpe in FLAT regime is 0.07 across 120 runs. [0.07 sharpe_ratio] → https://qbuntu.ai/cite/multi-factor-jp-all-fact-regime-flat - Median Sharpe in UP regime is -0.85 across 120 runs. [-0.85 sharpe_ratio] → https://qbuntu.ai/cite/multi-factor-jp-all-fact-regime-up ### Multi-Factor Composite (US S&P 500) (`multi-factor-us-sp500`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.85, MaxDD=-39.1%, p=0.07 Endpoints: - HTML: https://qbuntu.ai/strategies/multi-factor-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/multi-factor-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/multi-factor-us-sp500 Facts: - Best grid Sharpe ratio is 0.25 (p=0.39). [0.25 sharpe_ratio] → https://qbuntu.ai/cite/multi-factor-us-sp500-fact-best-sharpe - Median Sharpe across 240 grid runs is -0.85. [-0.85 sharpe_ratio] → https://qbuntu.ai/cite/multi-factor-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -0.34 across 240 runs. [-0.34 sharpe_ratio] → https://qbuntu.ai/cite/multi-factor-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -1.30 across 240 runs. [-1.3 sharpe_ratio] → https://qbuntu.ai/cite/multi-factor-us-sp500-fact-regime-flat - Median Sharpe in UP regime is -0.82 across 240 runs. [-0.82 sharpe_ratio] → https://qbuntu.ai/cite/multi-factor-us-sp500-fact-regime-up ### Overnight vs Intraday Return (JP All Stocks) (`overnight-intraday-jp-all`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.11, MaxDD=-20.0%, p=0.56 Endpoints: - HTML: https://qbuntu.ai/strategies/overnight-intraday-jp-all - Markdown: https://qbuntu.ai/ai/strategies/overnight-intraday-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/overnight-intraday-jp-all Facts: - Best grid Sharpe ratio is 0.91 (p=0.067). [0.91 sharpe_ratio] → https://qbuntu.ai/cite/overnight-intraday-jp-all-fact-best-sharpe - Median Sharpe across 384 grid runs is -0.11. [-0.11 sharpe_ratio] → https://qbuntu.ai/cite/overnight-intraday-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is 0.09 across 384 runs. [0.09 sharpe_ratio] → https://qbuntu.ai/cite/overnight-intraday-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.30 across 384 runs. [-0.3 sharpe_ratio] → https://qbuntu.ai/cite/overnight-intraday-jp-all-fact-regime-flat - Median Sharpe in UP regime is 0.42 across 384 runs. [0.42 sharpe_ratio] → https://qbuntu.ai/cite/overnight-intraday-jp-all-fact-regime-up ### Overnight vs Intraday Return (JP Growth Stocks) (`overnight-intraday-jp-growth`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.35, MaxDD=-22.7%, p=0.33 Endpoints: - HTML: https://qbuntu.ai/strategies/overnight-intraday-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/overnight-intraday-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/overnight-intraday-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: 0.17 [0.173 correlation] → https://qbuntu.ai/cite/overnight-intraday-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.09 [0.0855 correlation] → https://qbuntu.ai/cite/overnight-intraday-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 0.90 (p=0.062). [0.9 sharpe_ratio] → https://qbuntu.ai/cite/overnight-intraday-jp-growth-fact-best-sharpe - Median Sharpe across 768 grid runs is -0.35. [-0.35 sharpe_ratio] → https://qbuntu.ai/cite/overnight-intraday-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is -1.71 across 768 runs. [-1.71 sharpe_ratio] → https://qbuntu.ai/cite/overnight-intraday-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.37 across 768 runs. [-0.37 sharpe_ratio] → https://qbuntu.ai/cite/overnight-intraday-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.30 across 768 runs. [-0.3 sharpe_ratio] → https://qbuntu.ai/cite/overnight-intraday-jp-growth-fact-regime-up ### Post-Earnings Announcement Drift (JP Growth Stocks) (`pead-jp-growth`) - Verdict: **rejected** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=-0.28, MaxDD=-47.2%, p=0.63 Endpoints: - HTML: https://qbuntu.ai/strategies/pead-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/pead-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/pead-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: -0.24 [-0.2377 correlation] → https://qbuntu.ai/cite/pead-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.07 [0.0661 correlation] → https://qbuntu.ai/cite/pead-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 1.14 (p=0.074). [1.14 sharpe_ratio] → https://qbuntu.ai/cite/pead-jp-growth-fact-best-sharpe - Median Sharpe across 2400 grid runs is -0.28. [-0.28 sharpe_ratio] → https://qbuntu.ai/cite/pead-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is 1.13 across 2400 runs. [1.13 sharpe_ratio] → https://qbuntu.ai/cite/pead-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.98 across 2400 runs. [-0.98 sharpe_ratio] → https://qbuntu.ai/cite/pead-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.30 across 2400 runs. [-0.3 sharpe_ratio] → https://qbuntu.ai/cite/pead-jp-growth-fact-regime-up ### PEG Ratio Value (JP All Stocks) (`peg-ratio-value-jp-all`) - Verdict: **rejected** (signal_frequency) - Asset class: equity - Performance: Sharpe(median)=2.23, MaxDD=0.0%, p=0.38 Endpoints: - HTML: https://qbuntu.ai/strategies/peg-ratio-value-jp-all - Markdown: https://qbuntu.ai/ai/strategies/peg-ratio-value-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/peg-ratio-value-jp-all Facts: - Best grid Sharpe ratio is 4.17 (p=0.17). [4.17 sharpe_ratio] → https://qbuntu.ai/cite/peg-ratio-value-jp-all-fact-best-sharpe - Median Sharpe across 24 grid runs is 2.23. [2.23 sharpe_ratio] → https://qbuntu.ai/cite/peg-ratio-value-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is nan across 24 runs. → https://qbuntu.ai/cite/peg-ratio-value-jp-all-fact-regime-down - Median Sharpe in FLAT regime is nan across 24 runs. → https://qbuntu.ai/cite/peg-ratio-value-jp-all-fact-regime-flat - Median Sharpe in UP regime is 8.72 across 24 runs. [8.72 sharpe_ratio] → https://qbuntu.ai/cite/peg-ratio-value-jp-all-fact-regime-up ### PEG Ratio Value (JP Growth Stocks) (`peg-ratio-value-jp-growth`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.57, MaxDD=-4.6%, p=0.32 Endpoints: - HTML: https://qbuntu.ai/strategies/peg-ratio-value-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/peg-ratio-value-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/peg-ratio-value-jp-growth Facts: - Best grid Sharpe ratio is 4.46 (p=0.043). [4.46 sharpe_ratio] → https://qbuntu.ai/cite/peg-ratio-value-jp-growth-fact-best-sharpe - Median Sharpe across 132 grid runs is -0.57. [-0.57 sharpe_ratio] → https://qbuntu.ai/cite/peg-ratio-value-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is -0.07 across 132 runs. [-0.07 sharpe_ratio] → https://qbuntu.ai/cite/peg-ratio-value-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.07 across 132 runs. [-0.07 sharpe_ratio] → https://qbuntu.ai/cite/peg-ratio-value-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.49 across 132 runs. [-0.49 sharpe_ratio] → https://qbuntu.ai/cite/peg-ratio-value-jp-growth-fact-regime-up ### Return Autocorrelation Factor (JP Growth Stocks) (`return-autocorrelation-jp-growth`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.40, MaxDD=-22.8%, p=0.35 Endpoints: - HTML: https://qbuntu.ai/strategies/return-autocorrelation-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/return-autocorrelation-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/return-autocorrelation-jp-growth Facts: - Best grid Sharpe ratio is 0.95 (p=0.057). [0.95 sharpe_ratio] → https://qbuntu.ai/cite/return-autocorrelation-jp-growth-fact-best-sharpe - Median Sharpe across 320 grid runs is -0.40. [-0.4 sharpe_ratio] → https://qbuntu.ai/cite/return-autocorrelation-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is -1.58 across 320 runs. [-1.58 sharpe_ratio] → https://qbuntu.ai/cite/return-autocorrelation-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.24 across 320 runs. [-0.24 sharpe_ratio] → https://qbuntu.ai/cite/return-autocorrelation-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.47 across 320 runs. [-0.47 sharpe_ratio] → https://qbuntu.ai/cite/return-autocorrelation-jp-growth-fact-regime-up ### Return Autocorrelation Factor (US S&P 500) (`return-autocorrelation-us-sp500`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.57, MaxDD=-16.1%, p=0.16 Endpoints: - HTML: https://qbuntu.ai/strategies/return-autocorrelation-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/return-autocorrelation-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/return-autocorrelation-us-sp500 Facts: - Best grid Sharpe ratio is 0.79 (p=0.11). [0.79 sharpe_ratio] → https://qbuntu.ai/cite/return-autocorrelation-us-sp500-fact-best-sharpe - Median Sharpe across 320 grid runs is -0.57. [-0.57 sharpe_ratio] → https://qbuntu.ai/cite/return-autocorrelation-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -1.82 across 320 runs. [-1.82 sharpe_ratio] → https://qbuntu.ai/cite/return-autocorrelation-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -0.58 across 320 runs. [-0.58 sharpe_ratio] → https://qbuntu.ai/cite/return-autocorrelation-us-sp500-fact-regime-flat - Median Sharpe in UP regime is -0.11 across 320 runs. [-0.11 sharpe_ratio] → https://qbuntu.ai/cite/return-autocorrelation-us-sp500-fact-regime-up ### Risk Parity / Volatility Targeting Overlay (JP All Stocks) (`risk-parity-jp-all`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.20, MaxDD=-25.8%, p=0.63 Endpoints: - HTML: https://qbuntu.ai/strategies/risk-parity-jp-all - Markdown: https://qbuntu.ai/ai/strategies/risk-parity-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/risk-parity-jp-all Facts: - Best grid Sharpe ratio is 0.26 (p=0.61). [0.26 sharpe_ratio] → https://qbuntu.ai/cite/risk-parity-jp-all-fact-best-sharpe - Median Sharpe across 384 grid runs is -0.20. [-0.2 sharpe_ratio] → https://qbuntu.ai/cite/risk-parity-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is -0.31 across 384 runs. [-0.31 sharpe_ratio] → https://qbuntu.ai/cite/risk-parity-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.22 across 384 runs. [-0.22 sharpe_ratio] → https://qbuntu.ai/cite/risk-parity-jp-all-fact-regime-flat - Median Sharpe in UP regime is -0.49 across 384 runs. [-0.49 sharpe_ratio] → https://qbuntu.ai/cite/risk-parity-jp-all-fact-regime-up ### Risk Parity / Volatility Targeting Overlay (JP Growth Stocks) (`risk-parity-jp-growth`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.45, MaxDD=-38.8%, p=0.34 Endpoints: - HTML: https://qbuntu.ai/strategies/risk-parity-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/risk-parity-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/risk-parity-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: 0.14 [0.1375 correlation] → https://qbuntu.ai/cite/risk-parity-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.00 [0.003 correlation] → https://qbuntu.ai/cite/risk-parity-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 0.47 (p=0.34). [0.47 sharpe_ratio] → https://qbuntu.ai/cite/risk-parity-jp-growth-fact-best-sharpe - Median Sharpe across 384 grid runs is -0.45. [-0.45 sharpe_ratio] → https://qbuntu.ai/cite/risk-parity-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is -1.53 across 384 runs. [-1.53 sharpe_ratio] → https://qbuntu.ai/cite/risk-parity-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.23 across 384 runs. [-0.23 sharpe_ratio] → https://qbuntu.ai/cite/risk-parity-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.32 across 384 runs. [-0.32 sharpe_ratio] → https://qbuntu.ai/cite/risk-parity-jp-growth-fact-regime-up ### Sales Growth Rank (JP All Stocks) (`sales-growth-rank-jp-all`) - Verdict: **rejected** (signal_frequency) - Asset class: equity - Performance: Sharpe(median)=-1.73, MaxDD=-6.7%, p=0.21 Endpoints: - HTML: https://qbuntu.ai/strategies/sales-growth-rank-jp-all - Markdown: https://qbuntu.ai/ai/strategies/sales-growth-rank-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/sales-growth-rank-jp-all Facts: - Best grid Sharpe ratio is 0.69 (p=0.56). [0.69 sharpe_ratio] → https://qbuntu.ai/cite/sales-growth-rank-jp-all-fact-best-sharpe - Median Sharpe across 24 grid runs is -1.73. [-1.73 sharpe_ratio] → https://qbuntu.ai/cite/sales-growth-rank-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is nan across 24 runs. → https://qbuntu.ai/cite/sales-growth-rank-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -2.50 across 24 runs. [-2.5 sharpe_ratio] → https://qbuntu.ai/cite/sales-growth-rank-jp-all-fact-regime-flat - Median Sharpe in UP regime is -1.13 across 24 runs. [-1.13 sharpe_ratio] → https://qbuntu.ai/cite/sales-growth-rank-jp-all-fact-regime-up ### Sales Growth Rank (JP Growth Stocks) (`sales-growth-rank-jp-growth`) - Verdict: **rejected** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=-0.17, MaxDD=-7.0%, p=0.47 Endpoints: - HTML: https://qbuntu.ai/strategies/sales-growth-rank-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/sales-growth-rank-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/sales-growth-rank-jp-growth Facts: - Best grid Sharpe ratio is 2.49 (p=0.0084). [2.49 sharpe_ratio] → https://qbuntu.ai/cite/sales-growth-rank-jp-growth-fact-best-sharpe - Median Sharpe across 48 grid runs is -0.17. [-0.17 sharpe_ratio] → https://qbuntu.ai/cite/sales-growth-rank-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is 7.47 across 48 runs. [7.47 sharpe_ratio] → https://qbuntu.ai/cite/sales-growth-rank-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.70 across 48 runs. [-0.7 sharpe_ratio] → https://qbuntu.ai/cite/sales-growth-rank-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.48 across 48 runs. [-0.48 sharpe_ratio] → https://qbuntu.ai/cite/sales-growth-rank-jp-growth-fact-regime-up ### Sector Rotation / Sector Momentum (JP Growth Stocks) (`sector-rotation-jp-growth`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.38, MaxDD=-19.2%, p=0.36 Endpoints: - HTML: https://qbuntu.ai/strategies/sector-rotation-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/sector-rotation-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/sector-rotation-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: -0.04 [-0.0367 correlation] → https://qbuntu.ai/cite/sector-rotation-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.09 [0.0891 correlation] → https://qbuntu.ai/cite/sector-rotation-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 0.97 (p=0.053). [0.97 sharpe_ratio] → https://qbuntu.ai/cite/sector-rotation-jp-growth-fact-best-sharpe - Median Sharpe across 576 grid runs is -0.38. [-0.38 sharpe_ratio] → https://qbuntu.ai/cite/sector-rotation-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is -2.32 across 576 runs. [-2.32 sharpe_ratio] → https://qbuntu.ai/cite/sector-rotation-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.31 across 576 runs. [-0.31 sharpe_ratio] → https://qbuntu.ai/cite/sector-rotation-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.23 across 576 runs. [-0.23 sharpe_ratio] → https://qbuntu.ai/cite/sector-rotation-jp-growth-fact-regime-up ### Short-Term Reversal (JP All Stocks) (`short-term-reversal-jp-all`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.66, MaxDD=-35.0%, p=0.16 Endpoints: - HTML: https://qbuntu.ai/strategies/short-term-reversal-jp-all - Markdown: https://qbuntu.ai/ai/strategies/short-term-reversal-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/short-term-reversal-jp-all Facts: - Average monthly return correlation with other strategies in DOWN regime: 0.04 [0.0404 correlation] → https://qbuntu.ai/cite/short-term-reversal-jp-all-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): -0.03 [-0.028 correlation] → https://qbuntu.ai/cite/short-term-reversal-jp-all-fact-avg-corr-full - Best grid Sharpe ratio is 0.83 (p=0.096). [0.83 sharpe_ratio] → https://qbuntu.ai/cite/short-term-reversal-jp-all-fact-best-sharpe - Median Sharpe across 160 grid runs is -0.66. [-0.66 sharpe_ratio] → https://qbuntu.ai/cite/short-term-reversal-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is 0.86 across 160 runs. [0.86 sharpe_ratio] → https://qbuntu.ai/cite/short-term-reversal-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.71 across 160 runs. [-0.71 sharpe_ratio] → https://qbuntu.ai/cite/short-term-reversal-jp-all-fact-regime-flat - Median Sharpe in UP regime is -1.19 across 160 runs. [-1.19 sharpe_ratio] → https://qbuntu.ai/cite/short-term-reversal-jp-all-fact-regime-up ### Short-Term Reversal (US S&P 500) (`short-term-reversal-us-sp500`) - Verdict: **rejected** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=0.01, MaxDD=-24.7%, p=0.38 Endpoints: - HTML: https://qbuntu.ai/strategies/short-term-reversal-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/short-term-reversal-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/short-term-reversal-us-sp500 Facts: - Average monthly return correlation with other strategies in DOWN regime: -0.22 [-0.2179 correlation] → https://qbuntu.ai/cite/short-term-reversal-us-sp500-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): -0.03 [-0.0268 correlation] → https://qbuntu.ai/cite/short-term-reversal-us-sp500-fact-avg-corr-full - Best grid Sharpe ratio is 1.59 (p=0.00096). [1.59 sharpe_ratio] → https://qbuntu.ai/cite/short-term-reversal-us-sp500-fact-best-sharpe - Median Sharpe across 320 grid runs is 0.01. [0.01 sharpe_ratio] → https://qbuntu.ai/cite/short-term-reversal-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is 0.81 across 320 runs. [0.81 sharpe_ratio] → https://qbuntu.ai/cite/short-term-reversal-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -0.23 across 320 runs. [-0.23 sharpe_ratio] → https://qbuntu.ai/cite/short-term-reversal-us-sp500-fact-regime-flat - Median Sharpe in UP regime is -0.13 across 320 runs. [-0.13 sharpe_ratio] → https://qbuntu.ai/cite/short-term-reversal-us-sp500-fact-regime-up ### Skewness Anomaly (JP All Stocks) (`skewness-anomaly-jp-all`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.56, MaxDD=-28.4%, p=0.25 Endpoints: - HTML: https://qbuntu.ai/strategies/skewness-anomaly-jp-all - Markdown: https://qbuntu.ai/ai/strategies/skewness-anomaly-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/skewness-anomaly-jp-all Facts: - Best grid Sharpe ratio is 0.24 (p=0.64). [0.24 sharpe_ratio] → https://qbuntu.ai/cite/skewness-anomaly-jp-all-fact-best-sharpe - Median Sharpe across 160 grid runs is -0.56. [-0.56 sharpe_ratio] → https://qbuntu.ai/cite/skewness-anomaly-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is -0.44 across 160 runs. [-0.44 sharpe_ratio] → https://qbuntu.ai/cite/skewness-anomaly-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.46 across 160 runs. [-0.46 sharpe_ratio] → https://qbuntu.ai/cite/skewness-anomaly-jp-all-fact-regime-flat - Median Sharpe in UP regime is -0.95 across 160 runs. [-0.95 sharpe_ratio] → https://qbuntu.ai/cite/skewness-anomaly-jp-all-fact-regime-up ### Skewness Anomaly (JP Growth Stocks) (`skewness-anomaly-jp-growth`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.42, MaxDD=-21.6%, p=0.35 Endpoints: - HTML: https://qbuntu.ai/strategies/skewness-anomaly-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/skewness-anomaly-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/skewness-anomaly-jp-growth Facts: - Best grid Sharpe ratio is 0.57 (p=0.24). [0.57 sharpe_ratio] → https://qbuntu.ai/cite/skewness-anomaly-jp-growth-fact-best-sharpe - Median Sharpe across 320 grid runs is -0.42. [-0.42 sharpe_ratio] → https://qbuntu.ai/cite/skewness-anomaly-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is 0.93 across 320 runs. [0.93 sharpe_ratio] → https://qbuntu.ai/cite/skewness-anomaly-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.50 across 320 runs. [-0.5 sharpe_ratio] → https://qbuntu.ai/cite/skewness-anomaly-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.43 across 320 runs. [-0.43 sharpe_ratio] → https://qbuntu.ai/cite/skewness-anomaly-jp-growth-fact-regime-up ### Skewness Anomaly (US S&P 500) (`skewness-anomaly-us-sp500`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.69, MaxDD=-19.8%, p=0.12 Endpoints: - HTML: https://qbuntu.ai/strategies/skewness-anomaly-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/skewness-anomaly-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/skewness-anomaly-us-sp500 Facts: - Best grid Sharpe ratio is 0.53 (p=0.075). [0.53 sharpe_ratio] → https://qbuntu.ai/cite/skewness-anomaly-us-sp500-fact-best-sharpe - Median Sharpe across 320 grid runs is -0.69. [-0.69 sharpe_ratio] → https://qbuntu.ai/cite/skewness-anomaly-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is 0.51 across 320 runs. [0.51 sharpe_ratio] → https://qbuntu.ai/cite/skewness-anomaly-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -1.04 across 320 runs. [-1.04 sharpe_ratio] → https://qbuntu.ai/cite/skewness-anomaly-us-sp500-fact-regime-flat - Median Sharpe in UP regime is -0.90 across 320 runs. [-0.9 sharpe_ratio] → https://qbuntu.ai/cite/skewness-anomaly-us-sp500-fact-regime-up ### Skewness Reversal (JP All Stocks) (`skewness-reversal-jp-all`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.65, MaxDD=-23.0%, p=0.19 Endpoints: - HTML: https://qbuntu.ai/strategies/skewness-reversal-jp-all - Markdown: https://qbuntu.ai/ai/strategies/skewness-reversal-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/skewness-reversal-jp-all Facts: - Best grid Sharpe ratio is 0.23 (p=0.65). [0.23 sharpe_ratio] → https://qbuntu.ai/cite/skewness-reversal-jp-all-fact-best-sharpe - Median Sharpe across 72 grid runs is -0.65. [-0.65 sharpe_ratio] → https://qbuntu.ai/cite/skewness-reversal-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is 0.25 across 72 runs. [0.25 sharpe_ratio] → https://qbuntu.ai/cite/skewness-reversal-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.50 across 72 runs. [-0.5 sharpe_ratio] → https://qbuntu.ai/cite/skewness-reversal-jp-all-fact-regime-flat - Median Sharpe in UP regime is -1.55 across 72 runs. [-1.55 sharpe_ratio] → https://qbuntu.ai/cite/skewness-reversal-jp-all-fact-regime-up ### Skewness Reversal (JP Growth Stocks) (`skewness-reversal-jp-growth`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.36, MaxDD=-13.5%, p=0.43 Endpoints: - HTML: https://qbuntu.ai/strategies/skewness-reversal-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/skewness-reversal-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/skewness-reversal-jp-growth Facts: - Best grid Sharpe ratio is 0.46 (p=0.33). [0.46 sharpe_ratio] → https://qbuntu.ai/cite/skewness-reversal-jp-growth-fact-best-sharpe - Median Sharpe across 144 grid runs is -0.36. [-0.36 sharpe_ratio] → https://qbuntu.ai/cite/skewness-reversal-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is 1.10 across 144 runs. [1.1 sharpe_ratio] → https://qbuntu.ai/cite/skewness-reversal-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.46 across 144 runs. [-0.46 sharpe_ratio] → https://qbuntu.ai/cite/skewness-reversal-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.30 across 144 runs. [-0.3 sharpe_ratio] → https://qbuntu.ai/cite/skewness-reversal-jp-growth-fact-regime-up ### Skewness Reversal (US S&P 500) (`skewness-reversal-us-sp500`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-1.09, MaxDD=-18.5%, p=0.03 Endpoints: - HTML: https://qbuntu.ai/strategies/skewness-reversal-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/skewness-reversal-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/skewness-reversal-us-sp500 Facts: - Best grid Sharpe ratio is 0.46 (p=0.34). [0.46 sharpe_ratio] → https://qbuntu.ai/cite/skewness-reversal-us-sp500-fact-best-sharpe - Median Sharpe across 144 grid runs is -1.09. [-1.09 sharpe_ratio] → https://qbuntu.ai/cite/skewness-reversal-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -0.24 across 144 runs. [-0.24 sharpe_ratio] → https://qbuntu.ai/cite/skewness-reversal-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -1.59 across 144 runs. [-1.59 sharpe_ratio] → https://qbuntu.ai/cite/skewness-reversal-us-sp500-fact-regime-flat - Median Sharpe in UP regime is -1.16 across 144 runs. [-1.16 sharpe_ratio] → https://qbuntu.ai/cite/skewness-reversal-us-sp500-fact-regime-up ### Trend Following / Donchian Breakout (JP All Stocks) (`trend-following-jp-all`) - Verdict: **rejected** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=0.13, MaxDD=-22.1%, p=0.64 Endpoints: - HTML: https://qbuntu.ai/strategies/trend-following-jp-all - Markdown: https://qbuntu.ai/ai/strategies/trend-following-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/trend-following-jp-all Facts: - Average monthly return correlation with other strategies in DOWN regime: -0.17 [-0.1721 correlation] → https://qbuntu.ai/cite/trend-following-jp-all-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.02 [0.0235 correlation] → https://qbuntu.ai/cite/trend-following-jp-all-fact-avg-corr-full - Best grid Sharpe ratio is 0.82 (p=0.1). [0.82 sharpe_ratio] → https://qbuntu.ai/cite/trend-following-jp-all-fact-best-sharpe - Median Sharpe across 384 grid runs is 0.13. [0.13 sharpe_ratio] → https://qbuntu.ai/cite/trend-following-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is 1.20 across 384 runs. [1.2 sharpe_ratio] → https://qbuntu.ai/cite/trend-following-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.05 across 384 runs. [-0.05 sharpe_ratio] → https://qbuntu.ai/cite/trend-following-jp-all-fact-regime-flat - Median Sharpe in UP regime is 0.63 across 384 runs. [0.63 sharpe_ratio] → https://qbuntu.ai/cite/trend-following-jp-all-fact-regime-up ### Trend Following / Donchian Breakout (JP Growth Stocks) (`trend-following-jp-growth`) - Verdict: **rejected** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=-0.18, MaxDD=-31.0%, p=0.62 Endpoints: - HTML: https://qbuntu.ai/strategies/trend-following-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/trend-following-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/trend-following-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: -0.12 [-0.1156 correlation] → https://qbuntu.ai/cite/trend-following-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.12 [0.1207 correlation] → https://qbuntu.ai/cite/trend-following-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 0.49 (p=0.31). [0.49 sharpe_ratio] → https://qbuntu.ai/cite/trend-following-jp-growth-fact-best-sharpe - Median Sharpe across 768 grid runs is -0.18. [-0.18 sharpe_ratio] → https://qbuntu.ai/cite/trend-following-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is -0.73 across 768 runs. [-0.73 sharpe_ratio] → https://qbuntu.ai/cite/trend-following-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.37 across 768 runs. [-0.37 sharpe_ratio] → https://qbuntu.ai/cite/trend-following-jp-growth-fact-regime-flat - Median Sharpe in UP regime is 0.35 across 768 runs. [0.35 sharpe_ratio] → https://qbuntu.ai/cite/trend-following-jp-growth-fact-regime-up ### Time-Series Momentum (JP All Stocks) (`ts-momentum-jp-all`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.19, MaxDD=-25.3%, p=0.51 Endpoints: - HTML: https://qbuntu.ai/strategies/ts-momentum-jp-all - Markdown: https://qbuntu.ai/ai/strategies/ts-momentum-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/ts-momentum-jp-all Facts: - Best grid Sharpe ratio is 1.09 (p=0.032). [1.09 sharpe_ratio] → https://qbuntu.ai/cite/ts-momentum-jp-all-fact-best-sharpe - Median Sharpe across 120 grid runs is -0.19. [-0.19 sharpe_ratio] → https://qbuntu.ai/cite/ts-momentum-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is 0.18 across 120 runs. [0.18 sharpe_ratio] → https://qbuntu.ai/cite/ts-momentum-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.28 across 120 runs. [-0.28 sharpe_ratio] → https://qbuntu.ai/cite/ts-momentum-jp-all-fact-regime-flat - Median Sharpe in UP regime is 0.16 across 120 runs. [0.16 sharpe_ratio] → https://qbuntu.ai/cite/ts-momentum-jp-all-fact-regime-up ### Time-Series Momentum (JP Growth Stocks) (`ts-momentum-jp-growth`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.51, MaxDD=-12.4%, p=0.29 Endpoints: - HTML: https://qbuntu.ai/strategies/ts-momentum-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/ts-momentum-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/ts-momentum-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: 0.12 [0.1218 correlation] → https://qbuntu.ai/cite/ts-momentum-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.08 [0.0775 correlation] → https://qbuntu.ai/cite/ts-momentum-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 0.45 (p=0.36). [0.45 sharpe_ratio] → https://qbuntu.ai/cite/ts-momentum-jp-growth-fact-best-sharpe - Median Sharpe across 120 grid runs is -0.51. [-0.51 sharpe_ratio] → https://qbuntu.ai/cite/ts-momentum-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is -1.40 across 120 runs. [-1.4 sharpe_ratio] → https://qbuntu.ai/cite/ts-momentum-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.43 across 120 runs. [-0.43 sharpe_ratio] → https://qbuntu.ai/cite/ts-momentum-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.20 across 120 runs. [-0.2 sharpe_ratio] → https://qbuntu.ai/cite/ts-momentum-jp-growth-fact-regime-up ### Time-Series Momentum (US S&P 500) (`ts-momentum-us-sp500`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.23, MaxDD=-8.7%, p=0.46 Endpoints: - HTML: https://qbuntu.ai/strategies/ts-momentum-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/ts-momentum-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/ts-momentum-us-sp500 Facts: - Best grid Sharpe ratio is 0.99 (p=0.039). [0.99 sharpe_ratio] → https://qbuntu.ai/cite/ts-momentum-us-sp500-fact-best-sharpe - Median Sharpe across 120 grid runs is -0.23. [-0.23 sharpe_ratio] → https://qbuntu.ai/cite/ts-momentum-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -0.38 across 120 runs. [-0.38 sharpe_ratio] → https://qbuntu.ai/cite/ts-momentum-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -0.50 across 120 runs. [-0.5 sharpe_ratio] → https://qbuntu.ai/cite/ts-momentum-us-sp500-fact-regime-flat - Median Sharpe in UP regime is 0.09 across 120 runs. [0.09 sharpe_ratio] → https://qbuntu.ai/cite/ts-momentum-us-sp500-fact-regime-up ### Turnover Factor (JP Growth Stocks) (`turnover-jp-growth`) - Verdict: **rejected** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=-0.07, MaxDD=-24.8%, p=0.36 Endpoints: - HTML: https://qbuntu.ai/strategies/turnover-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/turnover-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/turnover-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: -0.05 [-0.0538 correlation] → https://qbuntu.ai/cite/turnover-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.01 [0.0077 correlation] → https://qbuntu.ai/cite/turnover-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 1.47 (p=0.0039). [1.47 sharpe_ratio] → https://qbuntu.ai/cite/turnover-jp-growth-fact-best-sharpe - Median Sharpe across 320 grid runs is -0.07. [-0.07 sharpe_ratio] → https://qbuntu.ai/cite/turnover-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is 2.85 across 320 runs. [2.85 sharpe_ratio] → https://qbuntu.ai/cite/turnover-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.27 across 320 runs. [-0.27 sharpe_ratio] → https://qbuntu.ai/cite/turnover-jp-growth-fact-regime-flat - Median Sharpe in UP regime is 0.22 across 320 runs. [0.22 sharpe_ratio] → https://qbuntu.ai/cite/turnover-jp-growth-fact-regime-up ### Turnover Factor (US S&P 500) (`turnover-us-sp500`) - Verdict: **rejected** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=-0.21, MaxDD=-15.5%, p=0.45 Endpoints: - HTML: https://qbuntu.ai/strategies/turnover-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/turnover-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/turnover-us-sp500 Facts: - Best grid Sharpe ratio is 0.51 (p=0.09). [0.51 sharpe_ratio] → https://qbuntu.ai/cite/turnover-us-sp500-fact-best-sharpe - Median Sharpe across 320 grid runs is -0.21. [-0.21 sharpe_ratio] → https://qbuntu.ai/cite/turnover-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -1.12 across 320 runs. [-1.12 sharpe_ratio] → https://qbuntu.ai/cite/turnover-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -1.10 across 320 runs. [-1.1 sharpe_ratio] → https://qbuntu.ai/cite/turnover-us-sp500-fact-regime-flat - Median Sharpe in UP regime is 0.76 across 320 runs. [0.76 sharpe_ratio] → https://qbuntu.ai/cite/turnover-us-sp500-fact-regime-up ### Vol-of-Vol Stability (JP All Stocks) (`vol-of-vol-stability-jp-all`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.11, MaxDD=-11.9%, p=0.50 Endpoints: - HTML: https://qbuntu.ai/strategies/vol-of-vol-stability-jp-all - Markdown: https://qbuntu.ai/ai/strategies/vol-of-vol-stability-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/vol-of-vol-stability-jp-all Facts: - Best grid Sharpe ratio is 1.16 (p=0.023). [1.16 sharpe_ratio] → https://qbuntu.ai/cite/vol-of-vol-stability-jp-all-fact-best-sharpe - Median Sharpe across 216 grid runs is -0.11. [-0.11 sharpe_ratio] → https://qbuntu.ai/cite/vol-of-vol-stability-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is -0.84 across 216 runs. [-0.84 sharpe_ratio] → https://qbuntu.ai/cite/vol-of-vol-stability-jp-all-fact-regime-down - Median Sharpe in FLAT regime is 0.07 across 216 runs. [0.07 sharpe_ratio] → https://qbuntu.ai/cite/vol-of-vol-stability-jp-all-fact-regime-flat - Median Sharpe in UP regime is -0.36 across 216 runs. [-0.36 sharpe_ratio] → https://qbuntu.ai/cite/vol-of-vol-stability-jp-all-fact-regime-up ### Vol-of-Vol Stability (JP Growth Stocks) (`vol-of-vol-stability-jp-growth`) - Verdict: **rejected** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=0.04, MaxDD=-12.3%, p=0.65 Endpoints: - HTML: https://qbuntu.ai/strategies/vol-of-vol-stability-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/vol-of-vol-stability-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/vol-of-vol-stability-jp-growth Facts: - Best grid Sharpe ratio is 1.33 (p=0.0072). [1.33 sharpe_ratio] → https://qbuntu.ai/cite/vol-of-vol-stability-jp-growth-fact-best-sharpe - Median Sharpe across 432 grid runs is 0.04. [0.04 sharpe_ratio] → https://qbuntu.ai/cite/vol-of-vol-stability-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is 3.02 across 432 runs. [3.02 sharpe_ratio] → https://qbuntu.ai/cite/vol-of-vol-stability-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.29 across 432 runs. [-0.29 sharpe_ratio] → https://qbuntu.ai/cite/vol-of-vol-stability-jp-growth-fact-regime-flat - Median Sharpe in UP regime is 0.43 across 432 runs. [0.43 sharpe_ratio] → https://qbuntu.ai/cite/vol-of-vol-stability-jp-growth-fact-regime-up ### Vol-of-Vol Stability (US S&P 500) (`vol-of-vol-stability-us-sp500`) - Verdict: **rejected** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=-0.26, MaxDD=-9.3%, p=0.49 Endpoints: - HTML: https://qbuntu.ai/strategies/vol-of-vol-stability-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/vol-of-vol-stability-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/vol-of-vol-stability-us-sp500 Facts: - Best grid Sharpe ratio is 0.59 (p=0.22). [0.59 sharpe_ratio] → https://qbuntu.ai/cite/vol-of-vol-stability-us-sp500-fact-best-sharpe - Median Sharpe across 432 grid runs is -0.26. [-0.26 sharpe_ratio] → https://qbuntu.ai/cite/vol-of-vol-stability-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -0.19 across 432 runs. [-0.19 sharpe_ratio] → https://qbuntu.ai/cite/vol-of-vol-stability-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -1.09 across 432 runs. [-1.09 sharpe_ratio] → https://qbuntu.ai/cite/vol-of-vol-stability-us-sp500-fact-regime-flat - Median Sharpe in UP regime is 0.15 across 432 runs. [0.15 sharpe_ratio] → https://qbuntu.ai/cite/vol-of-vol-stability-us-sp500-fact-regime-up ### Volatility Breakout (JP Growth Stocks) (`volatility-breakout-jp-growth`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.61, MaxDD=-31.6%, p=0.20 Endpoints: - HTML: https://qbuntu.ai/strategies/volatility-breakout-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/volatility-breakout-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/volatility-breakout-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: -0.06 [-0.0648 correlation] → https://qbuntu.ai/cite/volatility-breakout-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.01 [0.0124 correlation] → https://qbuntu.ai/cite/volatility-breakout-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 0.79 (p=0.1). [0.79 sharpe_ratio] → https://qbuntu.ai/cite/volatility-breakout-jp-growth-fact-best-sharpe - Median Sharpe across 720 grid runs is -0.61. [-0.61 sharpe_ratio] → https://qbuntu.ai/cite/volatility-breakout-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is -1.05 across 720 runs. [-1.05 sharpe_ratio] → https://qbuntu.ai/cite/volatility-breakout-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.51 across 720 runs. [-0.51 sharpe_ratio] → https://qbuntu.ai/cite/volatility-breakout-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.59 across 720 runs. [-0.59 sharpe_ratio] → https://qbuntu.ai/cite/volatility-breakout-jp-growth-fact-regime-up ### Volatility Ratio Reversal (JP All Stocks) (`volatility-ratio-reversal-jp-all`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.20, MaxDD=-15.4%, p=0.52 Endpoints: - HTML: https://qbuntu.ai/strategies/volatility-ratio-reversal-jp-all - Markdown: https://qbuntu.ai/ai/strategies/volatility-ratio-reversal-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/volatility-ratio-reversal-jp-all Facts: - Best grid Sharpe ratio is 0.84 (p=0.096). [0.84 sharpe_ratio] → https://qbuntu.ai/cite/volatility-ratio-reversal-jp-all-fact-best-sharpe - Median Sharpe across 216 grid runs is -0.20. [-0.2 sharpe_ratio] → https://qbuntu.ai/cite/volatility-ratio-reversal-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is 0.61 across 216 runs. [0.61 sharpe_ratio] → https://qbuntu.ai/cite/volatility-ratio-reversal-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.15 across 216 runs. [-0.15 sharpe_ratio] → https://qbuntu.ai/cite/volatility-ratio-reversal-jp-all-fact-regime-flat - Median Sharpe in UP regime is -0.26 across 216 runs. [-0.26 sharpe_ratio] → https://qbuntu.ai/cite/volatility-ratio-reversal-jp-all-fact-regime-up ### Volatility Ratio Reversal (US S&P 500) (`volatility-ratio-reversal-us-sp500`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.44, MaxDD=-10.9%, p=0.34 Endpoints: - HTML: https://qbuntu.ai/strategies/volatility-ratio-reversal-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/volatility-ratio-reversal-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/volatility-ratio-reversal-us-sp500 Facts: - Best grid Sharpe ratio is 0.70 (p=0.14). [0.7 sharpe_ratio] → https://qbuntu.ai/cite/volatility-ratio-reversal-us-sp500-fact-best-sharpe - Median Sharpe across 432 grid runs is -0.44. [-0.44 sharpe_ratio] → https://qbuntu.ai/cite/volatility-ratio-reversal-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -1.04 across 432 runs. [-1.04 sharpe_ratio] → https://qbuntu.ai/cite/volatility-ratio-reversal-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -0.91 across 432 runs. [-0.91 sharpe_ratio] → https://qbuntu.ai/cite/volatility-ratio-reversal-us-sp500-fact-regime-flat - Median Sharpe in UP regime is 0.12 across 432 runs. [0.12 sharpe_ratio] → https://qbuntu.ai/cite/volatility-ratio-reversal-us-sp500-fact-regime-up ### Volume Anomaly (JP All Stocks) (`volume-anomaly-jp-all`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.24, MaxDD=-23.2%, p=0.50 Endpoints: - HTML: https://qbuntu.ai/strategies/volume-anomaly-jp-all - Markdown: https://qbuntu.ai/ai/strategies/volume-anomaly-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/volume-anomaly-jp-all Facts: - Best grid Sharpe ratio is 2.25 (p=0.1). [2.25 sharpe_ratio] → https://qbuntu.ai/cite/volume-anomaly-jp-all-fact-best-sharpe - Median Sharpe across 564 grid runs is -0.24. [-0.24 sharpe_ratio] → https://qbuntu.ai/cite/volume-anomaly-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is nan across 564 runs. → https://qbuntu.ai/cite/volume-anomaly-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.23 across 564 runs. [-0.23 sharpe_ratio] → https://qbuntu.ai/cite/volume-anomaly-jp-all-fact-regime-flat - Median Sharpe in UP regime is -0.28 across 564 runs. [-0.28 sharpe_ratio] → https://qbuntu.ai/cite/volume-anomaly-jp-all-fact-regime-up ### Volume Anomaly (JP Growth Stocks) (`volume-anomaly-jp-growth`) - Verdict: **rejected** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=-0.03, MaxDD=-44.1%, p=0.58 Endpoints: - HTML: https://qbuntu.ai/strategies/volume-anomaly-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/volume-anomaly-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/volume-anomaly-jp-growth Facts: - Average monthly return correlation with other strategies in DOWN regime: 0.07 [0.0743 correlation] → https://qbuntu.ai/cite/volume-anomaly-jp-growth-fact-avg-corr-down - Average monthly return correlation with other strategies (full period): 0.13 [0.1311 correlation] → https://qbuntu.ai/cite/volume-anomaly-jp-growth-fact-avg-corr-full - Best grid Sharpe ratio is 0.84 (p=0.096). [0.84 sharpe_ratio] → https://qbuntu.ai/cite/volume-anomaly-jp-growth-fact-best-sharpe - Median Sharpe across 689 grid runs is -0.03. [-0.03 sharpe_ratio] → https://qbuntu.ai/cite/volume-anomaly-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is -0.86 across 689 runs. [-0.86 sharpe_ratio] → https://qbuntu.ai/cite/volume-anomaly-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -0.16 across 689 runs. [-0.16 sharpe_ratio] → https://qbuntu.ai/cite/volume-anomaly-jp-growth-fact-regime-flat - Median Sharpe in UP regime is 0.27 across 689 runs. [0.27 sharpe_ratio] → https://qbuntu.ai/cite/volume-anomaly-jp-growth-fact-regime-up ### VPT Divergence (JP All Stocks) (`vpt-divergence-jp-all`) - Verdict: **rejected** (regime_dependent) - Asset class: equity - Performance: Sharpe(median)=-0.06, MaxDD=-13.2%, p=0.48 Endpoints: - HTML: https://qbuntu.ai/strategies/vpt-divergence-jp-all - Markdown: https://qbuntu.ai/ai/strategies/vpt-divergence-jp-all.md - JSON: https://qbuntu.ai/v1/strategies/vpt-divergence-jp-all Facts: - Best grid Sharpe ratio is 1.07 (p=0.039). [1.07 sharpe_ratio] → https://qbuntu.ai/cite/vpt-divergence-jp-all-fact-best-sharpe - Median Sharpe across 72 grid runs is -0.06. [-0.06 sharpe_ratio] → https://qbuntu.ai/cite/vpt-divergence-jp-all-fact-median-sharpe - Median Sharpe in DOWN regime is -3.57 across 72 runs. [-3.57 sharpe_ratio] → https://qbuntu.ai/cite/vpt-divergence-jp-all-fact-regime-down - Median Sharpe in FLAT regime is -0.42 across 72 runs. [-0.42 sharpe_ratio] → https://qbuntu.ai/cite/vpt-divergence-jp-all-fact-regime-flat - Median Sharpe in UP regime is 1.53 across 72 runs. [1.53 sharpe_ratio] → https://qbuntu.ai/cite/vpt-divergence-jp-all-fact-regime-up ### VPT Divergence (JP Growth Stocks) (`vpt-divergence-jp-growth`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.94, MaxDD=-27.2%, p=0.05 Endpoints: - HTML: https://qbuntu.ai/strategies/vpt-divergence-jp-growth - Markdown: https://qbuntu.ai/ai/strategies/vpt-divergence-jp-growth.md - JSON: https://qbuntu.ai/v1/strategies/vpt-divergence-jp-growth Facts: - Best grid Sharpe ratio is 0.31 (p=0.52). [0.31 sharpe_ratio] → https://qbuntu.ai/cite/vpt-divergence-jp-growth-fact-best-sharpe - Median Sharpe across 144 grid runs is -0.94. [-0.94 sharpe_ratio] → https://qbuntu.ai/cite/vpt-divergence-jp-growth-fact-median-sharpe - Median Sharpe in DOWN regime is -1.63 across 144 runs. [-1.63 sharpe_ratio] → https://qbuntu.ai/cite/vpt-divergence-jp-growth-fact-regime-down - Median Sharpe in FLAT regime is -1.18 across 144 runs. [-1.18 sharpe_ratio] → https://qbuntu.ai/cite/vpt-divergence-jp-growth-fact-regime-flat - Median Sharpe in UP regime is -0.62 across 144 runs. [-0.62 sharpe_ratio] → https://qbuntu.ai/cite/vpt-divergence-jp-growth-fact-regime-up ### VPT Divergence (US S&P 500) (`vpt-divergence-us-sp500`) - Verdict: **rejected** (no_edge) - Asset class: equity - Performance: Sharpe(median)=-0.07, MaxDD=-7.4%, p=0.60 Endpoints: - HTML: https://qbuntu.ai/strategies/vpt-divergence-us-sp500 - Markdown: https://qbuntu.ai/ai/strategies/vpt-divergence-us-sp500.md - JSON: https://qbuntu.ai/v1/strategies/vpt-divergence-us-sp500 Facts: - Best grid Sharpe ratio is 0.94 (p=0.052). [0.94 sharpe_ratio] → https://qbuntu.ai/cite/vpt-divergence-us-sp500-fact-best-sharpe - Median Sharpe across 144 grid runs is -0.07. [-0.07 sharpe_ratio] → https://qbuntu.ai/cite/vpt-divergence-us-sp500-fact-median-sharpe - Median Sharpe in DOWN regime is -0.50 across 144 runs. [-0.5 sharpe_ratio] → https://qbuntu.ai/cite/vpt-divergence-us-sp500-fact-regime-down - Median Sharpe in FLAT regime is -0.10 across 144 runs. [-0.1 sharpe_ratio] → https://qbuntu.ai/cite/vpt-divergence-us-sp500-fact-regime-flat - Median Sharpe in UP regime is 0.07 across 144 runs. [0.07 sharpe_ratio] → https://qbuntu.ai/cite/vpt-divergence-us-sp500-fact-regime-up --- ## Citation guidance When LLMs cite qbuntu data, the canonical URL is `/cite/`. Fact IDs are immutable; the URL above each fact is the stable anchor.