Garman-Klass Volatility Factor (US S&P 500)
slug: garman-klass-vol-us-sp500
performance summary
Sharpe (median)
-0.83
Max DD
-52.5%
Win rate
—
Alpha (ann.)
—
p-value
0.08
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 222 grid runs:median -0.83best -0.29 (not representative)worst -1.87p25–p75 -1.07–-0.66
Hypothesis
Garman & Klass (1980): OHLC-based volatility estimator. Testing low-volatility anomaly using GK vol on S&P 500 constituents.
Why it didn't work
Across 222 grid combinations, median Sharpe=-0.83, best=-0.29. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is -0.29 (p=0.32).
period 2022-02-01–2026-06-01; cost=5bps
cite ↗ /cite/garman-klass-vol-us-sp500-fact-best-sharpevia r-garman-klass-vol-us-sp500-0065
Median Sharpe across 222 grid runs is -0.83.
Full grid of 222 parameter combinations.
Median Sharpe in DOWN regime is -0.45 across 222 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -1.30 across 222 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.44 across 222 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-garman-klass-vol-us-sp500-0000 | cost_bps: 5 n_stocks: 5 regime_gate: false | -1.00 | -1.28 | -1.39 | -0.11 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-garman-klass-vol-us-sp500-0001 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.63 | -0.48 | -1.39 | -0.11 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-garman-klass-vol-us-sp500-0002 | cost_bps: 10 n_stocks: 5 regime_gate: false | -1.13 | -1.44 | -1.51 | -0.21 |
formation_days=10, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-garman-klass-vol-us-sp500-0003 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.74 | -0.96 | -1.51 | -0.21 |
formation_days=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-garman-klass-vol-us-sp500-0012 | cost_bps: 5 n_stocks: 50 regime_gate: false | -0.83 | -0.82 | -1.61 | -0.01 |
formation_days=10, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=True r-garman-klass-vol-us-sp500-0013 | cost_bps: 5 n_stocks: 50 regime_gate: true | -0.67 | -0.48 | -1.61 | -0.01 |
formation_days=10, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True r-garman-klass-vol-us-sp500-0023 | cost_bps: 10 n_stocks: 10 regime_gate: true | -0.62 | -0.73 | -1.18 | -0.29 |
formation_days=10, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True r-garman-klass-vol-us-sp500-0033 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.85 | +0.38 | -1.46 | -0.94 |
formation_days=10, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-garman-klass-vol-us-sp500-0046 | cost_bps: 10 n_stocks: 50 regime_gate: false | -1.87 | -1.75 | -2.44 | -1.31 |
formation_days=10, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True r-garman-klass-vol-us-sp500-0047 | cost_bps: 10 n_stocks: 50 regime_gate: true | -1.23 | +0.14 | -2.44 | -1.31 |
formation_days=10, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False r-garman-klass-vol-us-sp500-0062 | cost_bps: 10 n_stocks: 50 regime_gate: false | -1.43 | -1.71 | -1.06 | -1.60 |
formation_days=10, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True r-garman-klass-vol-us-sp500-0065 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.29 | +1.04 | -0.86 | -0.19 |
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-garman-klass-vol-us-sp500-0080 | cost_bps: 5 n_stocks: 5 regime_gate: false | -1.06 | -1.48 | -1.41 | -0.10 |
formation_days=20, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True r-garman-klass-vol-us-sp500-0089 | cost_bps: 5 n_stocks: 20 regime_gate: true | -0.57 | -0.39 | -1.43 | +0.08 |
formation_days=20, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False r-garman-klass-vol-us-sp500-0100 | cost_bps: 5 n_stocks: 10 regime_gate: false | -1.10 | -1.44 | -1.29 | -0.32 |
formation_days=20, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=True r-garman-klass-vol-us-sp500-0109 | cost_bps: 5 n_stocks: 50 regime_gate: true | -0.53 | +0.14 | -1.20 | -0.26 |
formation_days=20, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=True r-garman-klass-vol-us-sp500-0123 | cost_bps: 10 n_stocks: 20 regime_gate: true | -1.12 | +0.21 | -2.17 | -1.04 |
formation_days=20, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True r-garman-klass-vol-us-sp500-0137 | cost_bps: 5 n_stocks: 20 regime_gate: true | -0.65 | +0.70 | -0.98 | -1.26 |
formation_days=20, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True r-garman-klass-vol-us-sp500-0155 | cost_bps: 10 n_stocks: 20 regime_gate: true | -0.41 | +1.25 | -1.27 | -0.16 |
formation_days=40, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False r-garman-klass-vol-us-sp500-0166 | cost_bps: 10 n_stocks: 10 regime_gate: false | -0.89 | -1.09 | -1.24 | -0.27 |
formation_days=40, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=True r-garman-klass-vol-us-sp500-0175 | cost_bps: 10 n_stocks: 50 regime_gate: true | -0.87 | -0.87 | -1.74 | -0.34 |
formation_days=40, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=False r-garman-klass-vol-us-sp500-0186 | cost_bps: 10 n_stocks: 20 regime_gate: false | -1.21 | -1.65 | -1.18 | -0.44 |
formation_days=40, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True r-garman-klass-vol-us-sp500-0199 | cost_bps: 10 n_stocks: 10 regime_gate: true | -1.04 | -0.02 | -1.75 | -1.11 |
formation_days=40, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True r-garman-klass-vol-us-sp500-0211 | cost_bps: 10 n_stocks: 5 regime_gate: true | -0.64 | -0.08 | -0.79 | -1.07 |
formation_days=40, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=True r-garman-klass-vol-us-sp500-0237 | cost_bps: 5 n_stocks: 50 regime_gate: true | -0.38 | +1.12 | -1.26 | -0.27 |
formation_days=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-garman-klass-vol-us-sp500-0240 | cost_bps: 5 n_stocks: 5 regime_gate: false | -0.95 | -1.02 | -0.94 | -0.89 |
formation_days=60, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=False r-garman-klass-vol-us-sp500-0248 | cost_bps: 5 n_stocks: 20 regime_gate: false | -1.01 | -0.77 | -1.31 | -0.98 |
formation_days=60, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True r-garman-klass-vol-us-sp500-0257 | cost_bps: 5 n_stocks: 5 regime_gate: true | -0.69 | -0.47 | -0.90 | -0.93 |
formation_days=60, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=True r-garman-klass-vol-us-sp500-0267 | cost_bps: 10 n_stocks: 20 regime_gate: true | -0.68 | -0.41 | -1.21 | -0.48 |
formation_days=60, holding_days=10, n_stocks=20, cost_bps=5, regime_gate=True r-garman-klass-vol-us-sp500-0281 | cost_bps: 5 n_stocks: 20 regime_gate: true | -1.06 | +0.21 | -1.93 | -1.22 |
Target universe
S&P 500 constituents, ~503 stocks
Related strategies
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-30T01:20:51