{"schema_version":"v1","slug":"volatility-breakout-us-sp500","name":"Volatility Breakout (US S&P 500)","name_i18n":{},"verdict":"marginal","asset_class":"equity","categories":["breakout","momentum","volatility"],"hypothesis":"Stocks with rising short-term ATR relative to long-term ATR are experiencing volatility expansion, signaling breakout opportunities. Applied to S&P 500 constituents.","rejection_reason":{"primary":"no_edge","secondary":[],"narrative":"Across 720 grid combinations, median Sharpe=0.50, best=1.43. Primary failure mode: no_edge."},"target_universe":{"description":"S&P 500 constituents, ~503 stocks","symbols":[]},"performance_summary":{"sharpe_median":0.5032,"max_drawdown_pct":-8.4,"win_rate":null,"alpha_annualized_pct":null,"p_value":0.3,"backtest_period":{"start":"2022-02-01","end":"2026-06-01"}},"grid_summary":{"sharpe":{"p25":0.28,"p75":0.71,"best":1.43,"worst":-0.45,"median":0.5},"n_combinations":720},"methodology":{"notes":"{\"walk_forward_definition\": {\"type\": \"single_pass\", \"description\": \"Full period backtest without walk-forward split\", \"verdict_basis\": \"full_period\"}}","signal":null,"benchmark":null,"rebalance":null,"slippage_model":"open-on-open + variable bps fixed","position_sizing":"equal_weight","regime_definition":"GSPC SMA20/SMA60 three-class: UP (close>SMA20 AND SMA20>SMA60), DOWN (close<SMA20 AND SMA20<SMA60), FLAT (else)","transaction_cost_bps":5},"provenance":{"data_source":"kabu STATION REST API + J-Quants daily bars","source_project":"qbuntu-analysis","computed_asof":"2026-07-28T01:10:02","git_sha_z":"bfafe7d","git_sha_genkidama":"711b855","python_version":"3.10.11","numpy_version":"2.2.6","pandas_version":"2.3.3","tier":"shallow"},"runs":[{"run_id":"r-volatility-breakout-us-sp500-0000","name":"atr_short=5, atr_long=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False","params":{"atr_long":20,"cost_bps":5,"n_stocks":5,"atr_short":5,"regime_gate":false,"holding_days":1},"performance":{"sharpe":0.14,"max_drawdown_pct":-5.7,"alpha_annualized_pct":0.5,"p_value":0.77,"regime_breakdown":{"UP":-0.876552,"DOWN":-0.333463,"FLAT":1.64314}},"executed_at":"2026-07-28T01:03:36","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0001","name":"atr_short=5, atr_long=20, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True","params":{"atr_long":20,"cost_bps":5,"n_stocks":5,"atr_short":5,"regime_gate":true,"holding_days":1},"performance":{"sharpe":0.27,"max_drawdown_pct":-4.8,"alpha_annualized_pct":1,"p_value":0.56,"regime_breakdown":{"UP":-0.642502,"DOWN":-0.333463,"FLAT":1.64314}},"executed_at":"2026-07-28T01:03:36","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0002","name":"atr_short=5, atr_long=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=False","params":{"atr_long":20,"cost_bps":10,"n_stocks":5,"atr_short":5,"regime_gate":false,"holding_days":1},"performance":{"sharpe":-0.18,"max_drawdown_pct":-7,"alpha_annualized_pct":-0.7,"p_value":0.7,"regime_breakdown":{"UP":-1.231158,"DOWN":-0.698202,"FLAT":1.352741}},"executed_at":"2026-07-28T01:03:36","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0003","name":"atr_short=5, atr_long=20, holding_days=1, n_stocks=5, cost_bps=10, regime_gate=True","params":{"atr_long":20,"cost_bps":10,"n_stocks":5,"atr_short":5,"regime_gate":true,"holding_days":1},"performance":{"sharpe":0.02,"max_drawdown_pct":-5.8,"alpha_annualized_pct":0.1,"p_value":0.96,"regime_breakdown":{"UP":-0.836228,"DOWN":-0.698202,"FLAT":1.352741}},"executed_at":"2026-07-28T01:03:36","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0008","name":"atr_short=5, atr_long=20, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=False","params":{"atr_long":20,"cost_bps":5,"n_stocks":20,"atr_short":5,"regime_gate":false,"holding_days":1},"performance":{"sharpe":0.08,"max_drawdown_pct":-3,"alpha_annualized_pct":0.2,"p_value":0.87,"regime_breakdown":{"UP":-0.552739,"DOWN":0.111622,"FLAT":1.182075}},"executed_at":"2026-07-28T01:03:36","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0036","name":"atr_short=5, atr_long=20, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=False","params":{"atr_long":20,"cost_bps":5,"n_stocks":5,"atr_short":5,"regime_gate":false,"holding_days":20},"performance":{"sharpe":-0.28,"max_drawdown_pct":-32.4,"alpha_annualized_pct":-3.8,"p_value":0.56,"regime_breakdown":{"UP":0.293627,"DOWN":-2.456211,"FLAT":-0.393809}},"executed_at":"2026-07-28T01:03:38","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0038","name":"atr_short=5, atr_long=20, holding_days=20, n_stocks=5, cost_bps=10, regime_gate=False","params":{"atr_long":20,"cost_bps":10,"n_stocks":5,"atr_short":5,"regime_gate":false,"holding_days":20},"performance":{"sharpe":-0.36,"max_drawdown_pct":-35.2,"alpha_annualized_pct":-5.1,"p_value":0.45,"regime_breakdown":{"UP":0.19991,"DOWN":-2.625682,"FLAT":-0.463443}},"executed_at":"2026-07-28T01:03:38","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0046","name":"atr_short=5, atr_long=20, holding_days=20, n_stocks=20, cost_bps=10, regime_gate=False","params":{"atr_long":20,"cost_bps":10,"n_stocks":20,"atr_short":5,"regime_gate":false,"holding_days":20},"performance":{"sharpe":-0.45,"max_drawdown_pct":-25.6,"alpha_annualized_pct":-3.4,"p_value":0.35,"regime_breakdown":{"UP":-0.034952,"DOWN":-1.153458,"FLAT":-0.59022}},"executed_at":"2026-07-28T01:03:38","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0072","name":"atr_short=5, atr_long=40, holding_days=10, n_stocks=5, cost_bps=5, regime_gate=False","params":{"atr_long":40,"cost_bps":5,"n_stocks":5,"atr_short":5,"regime_gate":false,"holding_days":10},"performance":{"sharpe":0.21,"max_drawdown_pct":-11.8,"alpha_annualized_pct":1.8,"p_value":0.67,"regime_breakdown":{"UP":0.752795,"DOWN":-1.906061,"FLAT":0.495601}},"executed_at":"2026-07-28T01:03:40","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0105","name":"atr_short=5, atr_long=60, holding_days=1, n_stocks=20, cost_bps=5, regime_gate=True","params":{"atr_long":60,"cost_bps":5,"n_stocks":20,"atr_short":5,"regime_gate":true,"holding_days":1},"performance":{"sharpe":0.5,"max_drawdown_pct":-3.8,"alpha_annualized_pct":1.3,"p_value":0.3,"regime_breakdown":{"UP":0.177932,"DOWN":0.402194,"FLAT":1.019165}},"executed_at":"2026-07-28T01:03:42","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0138","name":"atr_short=5, atr_long=60, holding_days=20, n_stocks=10, cost_bps=10, regime_gate=False","params":{"atr_long":60,"cost_bps":10,"n_stocks":10,"atr_short":5,"regime_gate":false,"holding_days":20},"performance":{"sharpe":0.4,"max_drawdown_pct":-15.8,"alpha_annualized_pct":4,"p_value":0.41,"regime_breakdown":{"UP":0.549774,"DOWN":-0.057732,"FLAT":0.414027}},"executed_at":"2026-07-28T01:03:44","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0144","name":"atr_short=5, atr_long=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False","params":{"atr_long":120,"cost_bps":5,"n_stocks":5,"atr_short":5,"regime_gate":false,"holding_days":1},"performance":{"sharpe":0.36,"max_drawdown_pct":-6.2,"alpha_annualized_pct":1.8,"p_value":0.45,"regime_breakdown":{"UP":-0.018032,"DOWN":-0.134439,"FLAT":1.31112}},"executed_at":"2026-07-28T01:03:44","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0172","name":"atr_short=5, atr_long=120, holding_days=10, n_stocks=10, cost_bps=5, regime_gate=False","params":{"atr_long":120,"cost_bps":5,"n_stocks":10,"atr_short":5,"regime_gate":false,"holding_days":10},"performance":{"sharpe":1.17,"max_drawdown_pct":-4.8,"alpha_annualized_pct":7.5,"p_value":0.019,"regime_breakdown":{"UP":1.717411,"DOWN":1.270819,"FLAT":0.081815}},"executed_at":"2026-07-28T01:03:46","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0205","name":"atr_short=10, atr_long=20, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=True","params":{"atr_long":20,"cost_bps":5,"n_stocks":5,"atr_short":10,"regime_gate":true,"holding_days":5},"performance":{"sharpe":0.36,"max_drawdown_pct":-6.1,"alpha_annualized_pct":2.2,"p_value":0.44,"regime_breakdown":{"UP":0.613664,"DOWN":0.096948,"FLAT":-0.017897}},"executed_at":"2026-07-28T01:03:48","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0238","name":"atr_short=10, atr_long=20, holding_days=20, n_stocks=20, cost_bps=10, regime_gate=False","params":{"atr_long":20,"cost_bps":10,"n_stocks":20,"atr_short":10,"regime_gate":false,"holding_days":20},"performance":{"sharpe":-0.01,"max_drawdown_pct":-19.3,"alpha_annualized_pct":-0.1,"p_value":0.98,"regime_breakdown":{"UP":0.667835,"DOWN":-1.719515,"FLAT":-0.095788}},"executed_at":"2026-07-28T01:03:50","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0271","name":"atr_short=10, atr_long=40, holding_days=10, n_stocks=10, cost_bps=10, regime_gate=True","params":{"atr_long":40,"cost_bps":10,"n_stocks":10,"atr_short":10,"regime_gate":true,"holding_days":10},"performance":{"sharpe":0.1,"max_drawdown_pct":-11.7,"alpha_annualized_pct":0.9,"p_value":0.83,"regime_breakdown":{"UP":0.807333,"DOWN":-1.532357,"FLAT":0.535205}},"executed_at":"2026-07-28T01:03:51","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0304","name":"atr_short=10, atr_long=60, holding_days=5, n_stocks=10, cost_bps=5, regime_gate=False","params":{"atr_long":60,"cost_bps":5,"n_stocks":10,"atr_short":10,"regime_gate":false,"holding_days":5},"performance":{"sharpe":0.26,"max_drawdown_pct":-8.4,"alpha_annualized_pct":2,"p_value":0.58,"regime_breakdown":{"UP":0.297337,"DOWN":-0.301213,"FLAT":0.692631}},"executed_at":"2026-07-28T01:03:53","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0337","name":"atr_short=10, atr_long=120, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=True","params":{"atr_long":120,"cost_bps":5,"n_stocks":5,"atr_short":10,"regime_gate":true,"holding_days":1},"performance":{"sharpe":0.47,"max_drawdown_pct":-7.1,"alpha_annualized_pct":2.8,"p_value":0.33,"regime_breakdown":{"UP":0.84013,"DOWN":0.848371,"FLAT":-0.46866}},"executed_at":"2026-07-28T01:03:55","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0370","name":"atr_short=10, atr_long=120, holding_days=10, n_stocks=20, cost_bps=10, regime_gate=False","params":{"atr_long":120,"cost_bps":10,"n_stocks":20,"atr_short":10,"regime_gate":false,"holding_days":10},"performance":{"sharpe":0.52,"max_drawdown_pct":-7.2,"alpha_annualized_pct":3,"p_value":0.29,"regime_breakdown":{"UP":1.699261,"DOWN":-0.38455,"FLAT":-0.160407}},"executed_at":"2026-07-28T01:03:57","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0403","name":"atr_short=14, atr_long=20, holding_days=5, n_stocks=10, cost_bps=10, regime_gate=True","params":{"atr_long":20,"cost_bps":10,"n_stocks":10,"atr_short":14,"regime_gate":true,"holding_days":5},"performance":{"sharpe":0.58,"max_drawdown_pct":-5.7,"alpha_annualized_pct":3.1,"p_value":0.22,"regime_breakdown":{"UP":0.236325,"DOWN":1.248432,"FLAT":1.007254}},"executed_at":"2026-07-28T01:03:59","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0436","name":"atr_short=14, atr_long=40, holding_days=1, n_stocks=10, cost_bps=5, regime_gate=False","params":{"atr_long":40,"cost_bps":5,"n_stocks":10,"atr_short":14,"regime_gate":false,"holding_days":1},"performance":{"sharpe":0.76,"max_drawdown_pct":-2.7,"alpha_annualized_pct":2.6,"p_value":0.11,"regime_breakdown":{"UP":0.74523,"DOWN":0.938165,"FLAT":0.632987}},"executed_at":"2026-07-28T01:04:01","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0469","name":"atr_short=14, atr_long=40, holding_days=20, n_stocks=5, cost_bps=5, regime_gate=True","params":{"atr_long":40,"cost_bps":5,"n_stocks":5,"atr_short":14,"regime_gate":true,"holding_days":20},"performance":{"sharpe":0.63,"max_drawdown_pct":-25.5,"alpha_annualized_pct":8.8,"p_value":0.19,"regime_breakdown":{"UP":0.537131,"DOWN":-0.450648,"FLAT":1.912394}},"executed_at":"2026-07-28T01:04:03","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0502","name":"atr_short=14, atr_long=60, holding_days=5, n_stocks=20, cost_bps=10, regime_gate=False","params":{"atr_long":60,"cost_bps":10,"n_stocks":20,"atr_short":14,"regime_gate":false,"holding_days":5},"performance":{"sharpe":0.2,"max_drawdown_pct":-5.4,"alpha_annualized_pct":1,"p_value":0.67,"regime_breakdown":{"UP":0.216037,"DOWN":0.927284,"FLAT":-0.42388}},"executed_at":"2026-07-28T01:04:05","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0535","name":"atr_short=14, atr_long=120, holding_days=1, n_stocks=10, cost_bps=10, regime_gate=True","params":{"atr_long":120,"cost_bps":10,"n_stocks":10,"atr_short":14,"regime_gate":true,"holding_days":1},"performance":{"sharpe":0.67,"max_drawdown_pct":-3.8,"alpha_annualized_pct":2.8,"p_value":0.17,"regime_breakdown":{"UP":0.699134,"DOWN":1.801696,"FLAT":0.004872}},"executed_at":"2026-07-28T01:04:07","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0568","name":"atr_short=14, atr_long=120, holding_days=20, n_stocks=10, cost_bps=5, regime_gate=False","params":{"atr_long":120,"cost_bps":5,"n_stocks":10,"atr_short":14,"regime_gate":false,"holding_days":20},"performance":{"sharpe":1.05,"max_drawdown_pct":-16.5,"alpha_annualized_pct":12.6,"p_value":0.035,"regime_breakdown":{"UP":1.24982,"DOWN":0.797766,"FLAT":0.813368}},"executed_at":"2026-07-28T01:04:09","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0576","name":"atr_short=20, atr_long=40, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False","params":{"atr_long":40,"cost_bps":5,"n_stocks":5,"atr_short":20,"regime_gate":false,"holding_days":1},"performance":{"sharpe":0.99,"max_drawdown_pct":-3.7,"alpha_annualized_pct":3.6,"p_value":0.04,"regime_breakdown":{"UP":1.097643,"DOWN":0.474532,"FLAT":1.078228}},"executed_at":"2026-07-28T01:04:09","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0602","name":"atr_short=20, atr_long=40, holding_days=10, n_stocks=5, cost_bps=10, regime_gate=False","params":{"atr_long":40,"cost_bps":10,"n_stocks":5,"atr_short":20,"regime_gate":false,"holding_days":10},"performance":{"sharpe":0.22,"max_drawdown_pct":-19,"alpha_annualized_pct":2.8,"p_value":0.65,"regime_breakdown":{"UP":0.703531,"DOWN":-1.219416,"FLAT":0.120024}},"executed_at":"2026-07-28T01:04:10","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0624","name":"atr_short=20, atr_long=60, holding_days=1, n_stocks=5, cost_bps=5, regime_gate=False","params":{"atr_long":60,"cost_bps":5,"n_stocks":5,"atr_short":20,"regime_gate":false,"holding_days":1},"performance":{"sharpe":1.43,"max_drawdown_pct":-4.3,"alpha_annualized_pct":5.9,"p_value":0.0039,"regime_breakdown":{"UP":1.601587,"DOWN":1.230672,"FLAT":1.313829}},"executed_at":"2026-07-28T01:04:12","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0636","name":"atr_short=20, atr_long=60, holding_days=5, n_stocks=5, cost_bps=5, regime_gate=False","params":{"atr_long":60,"cost_bps":5,"n_stocks":5,"atr_short":20,"regime_gate":false,"holding_days":5},"performance":{"sharpe":0.69,"max_drawdown_pct":-7.9,"alpha_annualized_pct":7.3,"p_value":0.15,"regime_breakdown":{"UP":1.190976,"DOWN":-2.741273,"FLAT":1.04487}},"executed_at":"2026-07-28T01:04:12","notes":null},{"run_id":"r-volatility-breakout-us-sp500-0669","name":"atr_short=20, atr_long=60, holding_days=20, n_stocks=20, cost_bps=5, regime_gate=True","params":{"atr_long":60,"cost_bps":5,"n_stocks":20,"atr_short":20,"regime_gate":true,"holding_days":20},"performance":{"sharpe":0.6,"max_drawdown_pct":-10.5,"alpha_annualized_pct":5,"p_value":0.21,"regime_breakdown":{"UP":1.28204,"DOWN":-1.301905,"FLAT":0.160961}},"executed_at":"2026-07-28T01:04:14","notes":null}],"facts":[{"fact_id":"volatility-breakout-us-sp500-fact-avg-corr-down","strategy_slug":"volatility-breakout-us-sp500","claim":"Average monthly return correlation with other strategies in DOWN regime: -0.09","value":-0.0906,"value_text":null,"unit":"correlation","context":"Pairwise Pearson correlation of monthly returns across 42 strategies, filtered to DOWN regime months (N=3, N225 < SMA20 < SMA60)","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'-0.09':11 '3':27 '42':19 'across':18 'averag':1 'correl':4,14 'filter':21 'month':2,16,25 'n':26 'n225':28 'pairwis':12 'pearson':13 'regim':10,24 'return':3,17 'sma20':29 'sma60':30 'strategi':7,20","cite_url":"https://qbuntu.ai/cite/volatility-breakout-us-sp500-fact-avg-corr-down"},{"fact_id":"volatility-breakout-us-sp500-fact-avg-corr-full","strategy_slug":"volatility-breakout-us-sp500","claim":"Average monthly return correlation with other strategies (full period): 0.00","value":0.0037,"value_text":null,"unit":"correlation","context":"Pairwise Pearson correlation of monthly returns across 42 strategies, full backtest period","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'0.00':10 '42':18 'across':17 'averag':1 'backtest':21 'correl':4,13 'full':8,20 'month':2,15 'pairwis':11 'pearson':12 'period':9,22 'return':3,16 'strategi':7,19","cite_url":"https://qbuntu.ai/cite/volatility-breakout-us-sp500-fact-avg-corr-full"},{"fact_id":"volatility-breakout-us-sp500-fact-best-sharpe","strategy_slug":"volatility-breakout-us-sp500","claim":"Best grid Sharpe ratio is 1.43 (p=0.0039).","value":1.43,"value_text":null,"unit":"sharpe_ratio","context":"period 2022-02-01–2026-06-01; cost=5bps","supports_verdict":"marginal","source_run_id":"r-volatility-breakout-us-sp500-0624","search_tsv":"'-01':12,15 '-02':11 '-06':14 '0.0039':8 '1.43':6 '2022':10 '2026':13 '5bps':17 'best':1 'cost':16 'grid':2 'p':7 'period':9 'ratio':4 'sharp':3","cite_url":"https://qbuntu.ai/cite/volatility-breakout-us-sp500-fact-best-sharpe"},{"fact_id":"volatility-breakout-us-sp500-fact-median-sharpe","strategy_slug":"volatility-breakout-us-sp500","claim":"Median Sharpe across 720 grid runs is 0.50.","value":0.5,"value_text":null,"unit":"sharpe_ratio","context":"Full grid of 720 parameter combinations.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'0.50':8 '720':4,12 'across':3 'combin':14 'full':9 'grid':5,10 'median':1 'paramet':13 'run':6 'sharp':2","cite_url":"https://qbuntu.ai/cite/volatility-breakout-us-sp500-fact-median-sharpe"},{"fact_id":"volatility-breakout-us-sp500-fact-regime-down","strategy_slug":"volatility-breakout-us-sp500","claim":"Median Sharpe in DOWN regime is -0.14 across 720 runs.","value":-0.14,"value_text":null,"unit":"sharpe_ratio","context":"Regime=DOWN, N225 SMA20/SMA60 classification.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'-0.14':7 '720':9 'across':8 'classif':15 'median':1 'n225':13 'regim':5,11 'run':10 'sharp':2 'sma20/sma60':14","cite_url":"https://qbuntu.ai/cite/volatility-breakout-us-sp500-fact-regime-down"},{"fact_id":"volatility-breakout-us-sp500-fact-regime-flat","strategy_slug":"volatility-breakout-us-sp500","claim":"Median Sharpe in FLAT regime is 0.55 across 720 runs.","value":0.55,"value_text":null,"unit":"sharpe_ratio","context":"Regime=FLAT, N225 SMA20/SMA60 classification.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'0.55':7 '720':9 'across':8 'classif':15 'flat':4,12 'median':1 'n225':13 'regim':5,11 'run':10 'sharp':2 'sma20/sma60':14","cite_url":"https://qbuntu.ai/cite/volatility-breakout-us-sp500-fact-regime-flat"},{"fact_id":"volatility-breakout-us-sp500-fact-regime-up","strategy_slug":"volatility-breakout-us-sp500","claim":"Median Sharpe in UP regime is 0.74 across 720 runs.","value":0.74,"value_text":null,"unit":"sharpe_ratio","context":"Regime=UP, N225 SMA20/SMA60 classification.","supports_verdict":"marginal","source_run_id":null,"search_tsv":"'0.74':7 '720':9 'across':8 'classif':15 'median':1 'n225':13 'regim':5,11 'run':10 'sharp':2 'sma20/sma60':14","cite_url":"https://qbuntu.ai/cite/volatility-breakout-us-sp500-fact-regime-up"}],"related_strategies":[{"related_slug":"volatility-breakout-jp-all","relation":"same_strategy"},{"related_slug":"volatility-breakout-jp-growth","relation":"same_strategy"}],"tags":["volatility","breakout","momentum","us-market","sp500","grid-search"],"_links":{"self":"https://qbuntu.ai/v1/strategies/volatility-breakout-us-sp500","html":"https://qbuntu.ai/strategies/volatility-breakout-us-sp500","markdown":"https://qbuntu.ai/ai/strategies/volatility-breakout-us-sp500.md"}}