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rejectedno_edge· equity· divergence· technical· volume

VPT Divergence (US S&P 500)

slug: vpt-divergence-us-sp500
performance summary
Sharpe (median)
-0.07
Max DD
-7.4%
Win rate
—
Alpha (ann.)
—
p-value
0.60
backtest period: 2022-03-01 → 2026-06-01
Sharpe across 144 grid runs:median -0.07best 0.94 (not representative)worst -0.80p25–p75 -0.31–0.16

Hypothesis

Volume-Price-Trend (VPT) accumulates volume signed by returns; a divergence between the VPT path and the price path is read as hidden accumulation/distribution. Ranking on VPT-price divergence tests whether price subsequently closes the gap.

Why it didn't work

Across 144 grid combinations, median Sharpe=-0.07, best=0.94. Primary failure mode: no_edge.

Facts (5)

Best grid Sharpe ratio is 0.94 (p=0.052).
period 2022-03-01–2026-06-01; cost=5bps
sharpe_ratio0.94
cite ↗ /cite/vpt-divergence-us-sp500-fact-best-sharpevia r-vpt-divergence-us-sp500-0003
Median Sharpe across 144 grid runs is -0.07.
Full grid of 144 parameter combinations.
sharpe_ratio-0.07
cite ↗ /cite/vpt-divergence-us-sp500-fact-median-sharpe
Median Sharpe in DOWN regime is -0.50 across 144 runs.
Regime=DOWN, N225 SMA20/SMA60 classification.
sharpe_ratio-0.50
cite ↗ /cite/vpt-divergence-us-sp500-fact-regime-down
Median Sharpe in FLAT regime is -0.10 across 144 runs.
Regime=FLAT, N225 SMA20/SMA60 classification.
sharpe_ratio-0.10
cite ↗ /cite/vpt-divergence-us-sp500-fact-regime-flat
Median Sharpe in UP regime is 0.07 across 144 runs.
Regime=UP, N225 SMA20/SMA60 classification.
sharpe_ratio0.07
cite ↗ /cite/vpt-divergence-us-sp500-fact-regime-up

Runs (30)

runparamssharpeUPFLATDOWN
vpt_lookback=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-vpt-divergence-us-sp500-0000
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.87+0.64+1.42+0.60
vpt_lookback=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=5
r-vpt-divergence-us-sp500-0001
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.41-0.14+1.49+0.33
vpt_lookback=20, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-vpt-divergence-us-sp500-0002
cost_bps: 5
n_stocks: 5
regime_gate: false
0.00-1.19+2.01-0.67
vpt_lookback=20, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=1
r-vpt-divergence-us-sp500-0003
cost_bps: 5
n_stocks: 5
regime_gate: true
+0.94+0.74+1.42+0.60
vpt_lookback=20, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=1
r-vpt-divergence-us-sp500-0006
cost_bps: 10
n_stocks: 5
regime_gate: false
+0.57+0.35+1.08+0.34
vpt_lookback=20, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=1
r-vpt-divergence-us-sp500-0009
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.67+0.51+1.08+0.34
vpt_lookback=20, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=20
r-vpt-divergence-us-sp500-0014
cost_bps: 5
n_stocks: 10
regime_gate: false
+0.24-0.44+2.05-0.34
vpt_lookback=20, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=5
r-vpt-divergence-us-sp500-0019
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.01-0.38+0.52+0.12
vpt_lookback=20, n_stocks=20, cost_bps=5, regime_gate=False, holding_days=1
r-vpt-divergence-us-sp500-0024
cost_bps: 5
n_stocks: 20
regime_gate: false
+0.53+0.31+0.34+1.29
vpt_lookback=20, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=20
r-vpt-divergence-us-sp500-0029
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.49+0.60+0.89-0.19
vpt_lookback=20, n_stocks=20, cost_bps=10, regime_gate=True, holding_days=5
r-vpt-divergence-us-sp500-0034
cost_bps: 10
n_stocks: 20
regime_gate: true
-0.22-0.35-0.16-0.12
vpt_lookback=20, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=1
r-vpt-divergence-us-sp500-0036
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.07-0.18-0.03+0.13
vpt_lookback=20, n_stocks=50, cost_bps=5, regime_gate=True, holding_days=5
r-vpt-divergence-us-sp500-0040
cost_bps: 5
n_stocks: 50
regime_gate: true
+0.15+0.43+0.10-0.44
vpt_lookback=20, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=1
r-vpt-divergence-us-sp500-0045
cost_bps: 10
n_stocks: 50
regime_gate: true
-0.46-0.39-0.52-0.49
vpt_lookback=40, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=20
r-vpt-divergence-us-sp500-0050
cost_bps: 5
n_stocks: 5
regime_gate: false
-0.10-0.04+0.46-1.16
vpt_lookback=40, n_stocks=5, cost_bps=10, regime_gate=False, holding_days=5
r-vpt-divergence-us-sp500-0055
cost_bps: 10
n_stocks: 5
regime_gate: false
-0.53-0.61+0.33-1.71
vpt_lookback=40, n_stocks=10, cost_bps=5, regime_gate=False, holding_days=1
r-vpt-divergence-us-sp500-0060
cost_bps: 5
n_stocks: 10
regime_gate: false
-0.01+0.13+0.17-0.79
vpt_lookback=40, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=20
r-vpt-divergence-us-sp500-0065
cost_bps: 5
n_stocks: 10
regime_gate: true
+0.33+0.60+0.44-0.73
vpt_lookback=40, n_stocks=10, cost_bps=10, regime_gate=True, holding_days=5
r-vpt-divergence-us-sp500-0070
cost_bps: 10
n_stocks: 10
regime_gate: true
-0.22-0.38+0.54-0.96
vpt_lookback=40, n_stocks=20, cost_bps=5, regime_gate=True, holding_days=1
r-vpt-divergence-us-sp500-0075
cost_bps: 5
n_stocks: 20
regime_gate: true
+0.05+0.25-0.03-0.25
vpt_lookback=40, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=20
r-vpt-divergence-us-sp500-0080
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.36-0.22-0.43-0.49
vpt_lookback=40, n_stocks=50, cost_bps=5, regime_gate=False, holding_days=5
r-vpt-divergence-us-sp500-0085
cost_bps: 5
n_stocks: 50
regime_gate: false
-0.06-0.19+0.25-0.26
vpt_lookback=40, n_stocks=50, cost_bps=10, regime_gate=False, holding_days=1
r-vpt-divergence-us-sp500-0090
cost_bps: 10
n_stocks: 50
regime_gate: false
-0.77-0.50-1.30-0.24
vpt_lookback=40, n_stocks=50, cost_bps=10, regime_gate=True, holding_days=20
r-vpt-divergence-us-sp500-0095
cost_bps: 10
n_stocks: 50
regime_gate: true
+0.26+1.01-0.53-0.70
vpt_lookback=60, n_stocks=5, cost_bps=5, regime_gate=False, holding_days=1
r-vpt-divergence-us-sp500-0096
cost_bps: 5
n_stocks: 5
regime_gate: false
+0.26+0.44-0.13+0.37
vpt_lookback=60, n_stocks=5, cost_bps=5, regime_gate=True, holding_days=20
r-vpt-divergence-us-sp500-0101
cost_bps: 5
n_stocks: 5
regime_gate: true
-0.32+1.12-1.29-0.61
vpt_lookback=60, n_stocks=5, cost_bps=10, regime_gate=True, holding_days=5
r-vpt-divergence-us-sp500-0106
cost_bps: 10
n_stocks: 5
regime_gate: true
+0.11+0.69-0.66+0.21
vpt_lookback=60, n_stocks=10, cost_bps=5, regime_gate=True, holding_days=1
r-vpt-divergence-us-sp500-0111
cost_bps: 5
n_stocks: 10
regime_gate: true
-0.08+0.00+0.02-0.58
vpt_lookback=60, n_stocks=10, cost_bps=10, regime_gate=False, holding_days=20
r-vpt-divergence-us-sp500-0116
cost_bps: 10
n_stocks: 10
regime_gate: false
-0.69-0.29-0.74-2.43
vpt_lookback=60, n_stocks=20, cost_bps=10, regime_gate=False, holding_days=1
r-vpt-divergence-us-sp500-0126
cost_bps: 10
n_stocks: 20
regime_gate: false
-0.80-0.31-1.17-1.45

Target universe

S&P 500 constituents, ~503 stocks

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same_strategy:vpt-divergence-jp-allsame_strategy:vpt-divergence-jp-growth
source: qbuntu-analysis · kabu STATION REST API + J-Quants daily bars
computed asof: 2026-08-02T16:26:14
view as Markdown ↗view as JSON ↗license: CC-BY-4.0

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