Multi-Factor Composite (US S&P 500)
slug: multi-factor-us-sp500
performance summary
Sharpe (median)
-0.85
Max DD
-39.1%
Win rate
—
Alpha (ann.)
—
p-value
0.07
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 240 grid runs:median -0.85best 0.25 (not representative)worst -2.07p25–p75 -1.16–-0.52
Hypothesis
Combines signals from marginal/promising single factors into a z-scored composite. Applied to S&P 500 constituents.
Why it didn't work
Across 240 grid combinations, median Sharpe=-0.85, best=0.25. Primary failure mode: no_edge.
Facts (5)
Best grid Sharpe ratio is 0.25 (p=0.39).
period 2022-02-01–2026-06-01; cost=5bps
cite ↗ /cite/multi-factor-us-sp500-fact-best-sharpevia r-multi-factor-us-sp500-0065
Median Sharpe across 240 grid runs is -0.85.
Full grid of 240 parameter combinations.
Median Sharpe in DOWN regime is -0.34 across 240 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
Median Sharpe in FLAT regime is -1.30 across 240 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
Median Sharpe in UP regime is -0.82 across 240 runs.
Regime=UP, N225 SMA20/SMA60 classification.
Runs (30)
| run | params | sharpe | UP | FLAT | DOWN |
|---|---|---|---|---|---|
n_factors=2, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0000 | cost_bps: 5 n_stocks: 5 n_factors: 2 | -0.62 | -1.11 | -0.69 | +0.84 |
n_factors=2, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True r-multi-factor-us-sp500-0001 | cost_bps: 5 n_stocks: 5 n_factors: 2 | -0.26 | -0.59 | -0.69 | +0.84 |
n_factors=2, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0002 | cost_bps: 10 n_stocks: 5 n_factors: 2 | -0.87 | -1.35 | -0.95 | +0.58 |
n_factors=2, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True r-multi-factor-us-sp500-0003 | cost_bps: 10 n_stocks: 5 n_factors: 2 | -0.50 | -0.85 | -0.95 | +0.58 |
n_factors=2, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0012 | cost_bps: 5 n_stocks: 50 n_factors: 2 | -1.16 | -1.51 | -2.11 | +0.13 |
n_factors=2, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0014 | cost_bps: 10 n_stocks: 50 n_factors: 2 | -1.60 | -2.06 | -2.61 | -0.16 |
n_factors=2, holding_days=5, n_stocks=20, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0024 | cost_bps: 5 n_stocks: 20 n_factors: 2 | -0.69 | -0.45 | -1.53 | -0.35 |
n_factors=2, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0034 | cost_bps: 10 n_stocks: 5 n_factors: 2 | -0.92 | -1.20 | -1.24 | +0.91 |
n_factors=2, holding_days=10, n_stocks=50, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0044 | cost_bps: 5 n_stocks: 50 n_factors: 2 | -0.87 | -1.49 | -0.65 | +0.06 |
n_factors=2, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0054 | cost_bps: 10 n_stocks: 10 n_factors: 2 | -0.71 | -0.82 | -1.27 | +0.93 |
n_factors=2, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0064 | cost_bps: 5 n_stocks: 5 n_factors: 2 | -0.31 | -0.46 | -0.56 | +1.02 |
n_factors=2, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True r-multi-factor-us-sp500-0065 | cost_bps: 5 n_stocks: 5 n_factors: 2 | +0.25 | +0.49 | -0.56 | +1.02 |
n_factors=2, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0066 | cost_bps: 10 n_stocks: 5 n_factors: 2 | -0.32 | -0.47 | -0.59 | +0.99 |
n_factors=2, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0076 | cost_bps: 5 n_stocks: 50 n_factors: 2 | -0.82 | -1.21 | -1.01 | +0.88 |
n_factors=3, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0086 | cost_bps: 10 n_stocks: 10 n_factors: 3 | -1.32 | -1.80 | -1.85 | +0.19 |
n_factors=3, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0096 | cost_bps: 5 n_stocks: 5 n_factors: 3 | -0.90 | -0.78 | -1.08 | -0.77 |
n_factors=3, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0106 | cost_bps: 10 n_stocks: 20 n_factors: 3 | -1.34 | -1.12 | -1.93 | -0.96 |
n_factors=3, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0116 | cost_bps: 5 n_stocks: 10 n_factors: 3 | -1.42 | -1.40 | -1.55 | -1.15 |
n_factors=3, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0126 | cost_bps: 10 n_stocks: 50 n_factors: 3 | -1.49 | -1.52 | -1.49 | -1.36 |
n_factors=3, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0136 | cost_bps: 5 n_stocks: 20 n_factors: 3 | -1.28 | -1.27 | -1.13 | -1.42 |
n_factors=3, holding_days=60, n_stocks=5, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0146 | cost_bps: 10 n_stocks: 5 n_factors: 3 | -0.80 | -1.30 | -0.93 | +0.50 |
n_factors=3, holding_days=60, n_stocks=50, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0156 | cost_bps: 5 n_stocks: 50 n_factors: 3 | -1.26 | -1.68 | -1.25 | -0.35 |
n_factors=4, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0160 | cost_bps: 5 n_stocks: 5 n_factors: 4 | -0.88 | -1.25 | -1.37 | +0.37 |
n_factors=4, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True r-multi-factor-us-sp500-0167 | cost_bps: 10 n_stocks: 10 n_factors: 4 | -1.24 | -1.12 | -2.44 | -0.33 |
n_factors=4, holding_days=1, n_stocks=50, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0174 | cost_bps: 10 n_stocks: 50 n_factors: 4 | -2.07 | -2.33 | -3.47 | -0.57 |
n_factors=4, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0178 | cost_bps: 10 n_stocks: 5 n_factors: 4 | -1.21 | -0.94 | -1.61 | -1.36 |
n_factors=4, holding_days=5, n_stocks=50, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0188 | cost_bps: 5 n_stocks: 50 n_factors: 4 | -1.16 | -1.03 | -1.55 | -0.89 |
n_factors=4, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0198 | cost_bps: 10 n_stocks: 10 n_factors: 4 | -1.25 | -1.35 | -1.58 | -0.50 |
n_factors=4, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False r-multi-factor-us-sp500-0208 | cost_bps: 5 n_stocks: 5 n_factors: 4 | -0.85 | -1.06 | -0.80 | -0.31 |
n_factors=4, holding_days=20, n_stocks=20, cost_bps=10, regime_gate=False r-multi-factor-us-sp500-0218 | cost_bps: 10 n_stocks: 20 n_factors: 4 | -1.13 | -1.25 | -0.91 | -1.11 |
Target universe
S&P 500 constituents, ~503 stocks
Related strategies
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-29T01:08:35