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rejectedno_edge· equity· anomaly· autocorrelation· factor· momentum

Return Autocorrelation Factor (US S&P 500)

slug: return-autocorrelation-us-sp500
performance summary
Sharpe (median)
-0.57
Max DD
-16.1%
Win rate
—
Alpha (ann.)
—
p-value
0.16
backtest period: 2022-02-01 → 2026-06-01
Sharpe across 320 grid runs:median -0.57best 0.79 (not representative)worst -2.49p25–p75 -0.99–-0.21

Hypothesis

Jegadeesh (1990): serial correlation in stock returns. Applied to S&P 500 constituents.

Why it didn't work

Across 320 grid combinations, median Sharpe=-0.57, best=0.79. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 0.79 (p=0.11).
period 2022-02-01–2026-06-01; cost=5bps
sharpe_ratio0.79
cite ↗ /cite/return-autocorrelation-us-sp500-fact-best-sharpevia r-return-autocorrelation-us-sp500-0289
Median Sharpe across 320 grid runs is -0.57.
Full grid of 320 parameter combinations.
sharpe_ratio-0.57
cite ↗ /cite/return-autocorrelation-us-sp500-fact-median-sharpe
Median Sharpe in DOWN regime is -1.82 across 320 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-1.82
cite ↗ /cite/return-autocorrelation-us-sp500-fact-regime-down
Median Sharpe in FLAT regime is -0.58 across 320 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.58
cite ↗ /cite/return-autocorrelation-us-sp500-fact-regime-flat
Median Sharpe in UP regime is -0.11 across 320 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio-0.11
cite ↗ /cite/return-autocorrelation-us-sp500-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-return-autocorrelation-us-sp500-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.29-0.38-0.59+0.32
formation_days=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True
r-return-autocorrelation-us-sp500-0001
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.11-0.07-0.59+0.32
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False
r-return-autocorrelation-us-sp500-0002
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.66-0.70-1.13-0.04
formation_days=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True
r-return-autocorrelation-us-sp500-0003
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.44-0.27-1.13-0.04
formation_days=20, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=False
r-return-autocorrelation-us-sp500-0012
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.78-1.03-0.11-0.99
formation_days=20, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=False
r-return-autocorrelation-us-sp500-0018
cost_bps: 10
n_stocks: 5
regime_gate: false
-1.15-0.86-2.13-0.50
formation_days=20, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False
r-return-autocorrelation-us-sp500-0032
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.59-0.92-0.39-0.22
formation_days=20, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=False
r-return-autocorrelation-us-sp500-0046
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.98-0.58-0.78-2.35
formation_days=20, holding_days=20, n_stocks=50, cost_bps=5, regime_gate=False
r-return-autocorrelation-us-sp500-0060
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.56-0.81+0.51-1.77
formation_days=20, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=False
r-return-autocorrelation-us-sp500-0064
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.43-0.18-0.18-1.49
formation_days=20, holding_days=60, n_stocks=20, cost_bps=10, regime_gate=True
r-return-autocorrelation-us-sp500-0075
cost_bps: 10
n_stocks: 20
regime_gate: true
0.00+0.71-0.47-1.71
formation_days=40, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True
r-return-autocorrelation-us-sp500-0089
cost_bps: 5
n_stocks: 20
regime_gate: true
-0.53-0.10-0.40-2.09
formation_days=40, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True
r-return-autocorrelation-us-sp500-0103
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.64+0.45-1.20-2.39
formation_days=40, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=True
r-return-autocorrelation-us-sp500-0117
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.25+0.38-0.28-2.23
formation_days=40, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=True
r-return-autocorrelation-us-sp500-0131
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.52+1.36-0.25+0.56
formation_days=40, holding_days=60, n_stocks=5, cost_bps=5, regime_gate=True
r-return-autocorrelation-us-sp500-0145
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.11+0.75-0.52-0.17
formation_days=40, holding_days=60, n_stocks=50, cost_bps=10, regime_gate=True
r-return-autocorrelation-us-sp500-0159
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.15+0.75-0.90-2.74
formation_days=60, holding_days=1, n_stocks=50, cost_bps=5, regime_gate=True
r-return-autocorrelation-us-sp500-0173
cost_bps: 5
n_stocks: 50
regime_gate: true
-1.04-0.77-1.27-1.56
formation_days=60, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=True
r-return-autocorrelation-us-sp500-0187
cost_bps: 10
n_stocks: 20
regime_gate: true
-1.01+0.20-1.14-4.11
formation_days=60, holding_days=5, n_stocks=50, cost_bps=10, regime_gate=False
r-return-autocorrelation-us-sp500-0190
cost_bps: 10
n_stocks: 50
regime_gate: false
-2.49-1.99-3.20-3.53
formation_days=60, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False
r-return-autocorrelation-us-sp500-0202
cost_bps: 10
n_stocks: 20
regime_gate: false
-1.23-0.56-0.95-3.29
formation_days=60, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=False
r-return-autocorrelation-us-sp500-0216
cost_bps: 5
n_stocks: 20
regime_gate: false
-1.08-0.84-0.49-2.65
formation_days=60, holding_days=60, n_stocks=10, cost_bps=10, regime_gate=False
r-return-autocorrelation-us-sp500-0230
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.50-0.21-0.71-1.36
formation_days=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False
r-return-autocorrelation-us-sp500-0240
cost_bps: 5
n_stocks: 5
regime_gate: false
-1.00-0.82-1.41-1.32
formation_days=120, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=True
r-return-autocorrelation-us-sp500-0245
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.81-0.72-0.24-1.70
formation_days=120, holding_days=5, n_stocks=5, cost_bps=10, regime_gate=True
r-return-autocorrelation-us-sp500-0259
cost_bps: 10
n_stocks: 5
regime_gate: true
-0.56-0.23-0.57-1.38
formation_days=120, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=True
r-return-autocorrelation-us-sp500-0273
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.21+0.57-0.32-2.03
formation_days=120, holding_days=10, n_stocks=50, cost_bps=10, regime_gate=True
r-return-autocorrelation-us-sp500-0287
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.38+0.58-0.71-3.14
formation_days=120, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True
r-return-autocorrelation-us-sp500-0289
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.79+2.01+0.16-0.46
formation_days=120, holding_days=20, n_stocks=50, cost_bps=10, regime_gate=False
r-return-autocorrelation-us-sp500-0302
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.73-0.44+0.07-3.21

Target universe

S&P 500 constituents, ~503 stocks

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same_strategy:return-autocorrelation-jp-allsame_strategy:return-autocorrelation-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-07-31T01:32:09
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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