Strategy Zoo / S0047
LongMomentum_V0047
ARCHIVEDmomentumstructuralswapped indicator momentum_60 -> rsi_14
Fitness
0.4696
Generation
2
Complexity
4
Created
2026-09-18
Lineage
Parents (1)
seed strategy
Children (0)
None
Strategy Logic (pseudocode)
# LongMomentum_V0047 [momentum]
if flat and (momentum_60 > 0.1 and ret_5d > 0.0):
position = 1.0
if long and rsi_14 < 62.1355:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 5.0% | 72.5% | 7.5% | 17.1% |
| Total Return | 47.6% | 413.7% | 30.5% | 918.7% |
| Sharpe | 0.32 | 1.54 | 0.41 | 0.69 |
| Sortino | 0.26 | 1.56 | 0.30 | 0.58 |
| Calmar | 0.09 | 2.02 | 0.28 | 0.30 |
| Volatility | 24.6% | 40.9% | 25.7% | 29.0% |
| Max DD | -57.5% | -35.9% | -26.9% | -57.5% |
| Win Rate | 38.8% | 50.0% | 45.2% | 43.3% |
| Avg Win | 5.2% | 9.1% | 4.6% | 6.5% |
| Avg Loss | -2.4% | -3.0% | -2.8% | -2.6% |
| Payoff | 2.16 | 3.01 | 1.62 | 2.47 |
| Expectancy | 0.5% | 3.0% | 0.5% | 1.3% |
| Profit Factor | 1.37 | 3.01 | 1.34 | 1.88 |
| Trades | 134 | 70 | 73 | 277 |
| Avg Holding Days | 4.4 | 4.4 | 3.5 | 4.2 |
| Turnover | 33.7 | 46.7 | 39.5 | 37.7 |
| Exposure | 23.6% | 31.7% | 19.4% | 24.2% |
Growth of $100
LongMomentum_V0047 vs TSLA Buy & Hold
LongMomentum_V0047 TSLA Buy & HoldIn-sampleValidationHidden test
Growth of $100 · log scale · in-sample, validation and hidden-test segments are shaded separately and must not be compared as one out-of-sample track record.
Walk-Forward Years
year-by-year stability matters more than any single year
| Year | CAGR | Sharpe | Max DD | Trades |
|---|---|---|---|---|
| 2016 | -6.9% | -0.73 | -13.3% | 9 |
| 2017 | 25.5% | 1.21 | -15.4% | 19 |
| 2018 | -32.1% | -2.55 | -32.6% | 19 |
| 2019 | -7.5% | -0.15 | -32.7% | 17 |
| 2020 | 413.3% | 2.97 | -24.8% | 32 |
| 2021 | 15.6% | 0.62 | -25.5% | 26 |
| 2022 | -17.0% | -1.44 | -21.6% | 12 |
A robust strategy performs acceptably in most years rather than spectacularly in one — look for consistency across regimes, not a single outlier year.
Regime Performance
| Period | Regime | Days | Ann. Return | Sharpe | Exposure |
|---|---|---|---|---|---|
| hidden test | DOWNTREND | 267 | 2.0% | 0.93 | 0% |
| hidden test | EXPENSIVE | 83 | 3.7% | 0.10 | 47% |
| hidden test | EXTREME | 48 | 135.5% | 2.75 | 54% |
| hidden test | HIGH VOLATILITY | 254 | -5.2% | -0.17 | 24% |
| hidden test | LOW VOLATILITY | 429 | 43.1% | 2.34 | 15% |
| hidden test | MEDIUM VOLATILITY | 248 | -29.9% | -1.01 | 23% |
| hidden test | NORMAL | 800 | 3.7% | 0.17 | 14% |
| hidden test | SIDEWAYS | 293 | -18.3% | -0.98 | 9% |
| hidden test | UPTREND | 371 | 39.4% | 1.06 | 42% |
| train | DOWNTREND | 518 | -1.0% | -0.70 | 0% |
| train | EXPENSIVE | 311 | 41.7% | 1.35 | 44% |
| train | EXTREME | 100 | 263.6% | 3.82 | 82% |
| train | HIGH VOLATILITY | 699 | 6.5% | 0.19 | 21% |
| train | LOW VOLATILITY | 745 | 11.8% | 0.66 | 31% |
| train | MEDIUM VOLATILITY | 568 | 4.3% | 0.23 | 16% |
| train | NORMAL | 1,601 | -14.7% | -0.90 | 16% |
| train | SIDEWAYS | 592 | -22.3% | -1.73 | 5% |
| train | UPTREND | 902 | 32.7% | 0.93 | 49% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 109.2% | 2.69 | 49% |
| validation | EXTREME | 144 | 244.6% | 3.29 | 67% |
| validation | HIGH VOLATILITY | 258 | 74.3% | 1.35 | 31% |
| validation | LOW VOLATILITY | 183 | 21.8% | 1.08 | 32% |
| validation | MEDIUM VOLATILITY | 315 | 77.2% | 2.13 | 32% |
| validation | NORMAL | 474 | -5.9% | -0.27 | 16% |
| validation | SIDEWAYS | 206 | -24.9% | -1.59 | 4% |
| validation | UPTREND | 425 | 123.8% | 2.33 | 55% |
Trades (full period)
latest 100 of 277
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -3.38% | 2 | |
| 2026-07-06 | 2026-07-07 | $419.77 | $402.90 | 6.48% | 2 | |
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.92% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2025-12-22 | 2025-12-29 | $488.73 | $459.64 | -1.44% | 5 | |
| 2025-12-15 | 2025-12-18 | $475.31 | $483.37 | 1.61% | 4 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -3.59% | 2 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 1.54% | 2 | |
| 2025-12-02 | 2025-12-03 | $429.24 | $446.74 | -0.41% | 2 | |
| 2025-11-28 | 2025-12-01 | $430.17 | $430.14 | 0.64% | 2 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.19% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-30 | 2025-10-31 | $440.10 | $456.56 | -4.83% | 2 | |
| 2025-10-28 | 2025-10-29 | $460.55 | $461.51 | 1.60% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-22 | 2025-10-23 | $438.97 | $448.98 | -1.02% | 2 | |
| 2025-10-20 | 2025-10-21 | $447.43 | $442.60 | 1.65% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 16.32% | 17 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.06% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.55% | 2 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.90% | 2 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -2.13% | 2 | |
| 2025-06-27 | 2025-06-30 | $323.63 | $317.66 | -0.86% | 2 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-06-23 | 2025-06-24 | $348.68 | $340.47 | 8.02% | 2 | |
| 2025-06-17 | 2025-06-18 | $316.35 | $322.05 | -4.08% | 2 | |
| 2025-06-13 | 2025-06-16 | $325.31 | $329.13 | 1.74% | 2 | |
| 2025-06-03 | 2025-06-04 | $344.27 | $332.05 | 0.26% | 2 | |
| 2025-05-28 | 2025-06-02 | $356.90 | $342.69 | -4.72% | 4 | |
| 2025-01-23 | 2025-01-24 | $412.38 | $406.58 | -0.86% | 2 | |
| 2025-01-21 | 2025-01-22 | $424.07 | $415.11 | -0.77% | 2 | |
| 2025-01-16 | 2025-01-17 | $413.82 | $426.50 | -3.56% | 2 | |
| 2025-01-13 | 2025-01-14 | $403.31 | $396.36 | 1.97% | 2 | |
| 2024-12-27 | 2024-12-30 | $431.66 | $417.41 | -5.14% | 2 | |
| 2024-12-02 | 2024-12-23 | $357.09 | $430.60 | 21.75% | 16 | |
| 2024-11-07 | 2024-11-29 | $296.91 | $345.16 | 15.15% | 16 | |
| 2024-10-31 | 2024-11-01 | $249.85 | $248.98 | -3.19% | 2 | |
| 2024-10-25 | 2024-10-30 | $269.19 | $257.55 | -0.56% | 4 | |
| 2024-09-24 | 2024-10-03 | $254.27 | $240.66 | -0.59% | 8 | |
| 2024-09-20 | 2024-09-23 | $238.25 | $250.00 | -2.52% | 2 | |
| 2024-09-18 | 2024-09-19 | $227.20 | $243.92 | -0.49% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.72% | 2 | |
| 2024-09-11 | 2024-09-12 | $228.13 | $229.81 | 0.67% | 2 | |
| 2024-09-09 | 2024-09-10 | $216.27 | $226.17 | 2.43% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 4.70% | 2 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -3.42% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -5.84% | 2 | |
| 2024-08-20 | 2024-08-21 | $221.10 | $223.27 | -0.93% | 2 | |
| 2024-08-16 | 2024-08-19 | $216.12 | $222.72 | 0.72% | 2 | |
| 2024-08-14 | 2024-08-15 | $201.38 | $214.14 | -3.30% | 2 | |
| 2024-08-01 | 2024-08-02 | $216.86 | $207.67 | -6.75% | 2 | |
| 2024-06-27 | 2024-07-22 | $197.42 | $251.51 | 21.57% | 17 | |
| 2023-08-31 | 2023-09-01 | $258.08 | $245.01 | 0.26% | 2 | |
| 2023-08-29 | 2023-08-30 | $257.18 | $256.90 | 7.48% | 2 | |
| 2023-08-25 | 2023-08-28 | $238.59 | $238.82 | 3.51% | 2 | |
| 2023-08-23 | 2023-08-24 | $236.86 | $230.04 | 1.37% | 2 | |
| 2023-08-04 | 2023-08-07 | $253.86 | $251.45 | -2.30% | 2 | |
| 2023-07-31 | 2023-08-01 | $267.43 | $261.07 | 0.17% | 2 | |
| 2023-07-03 | 2023-07-21 | $279.82 | $260.02 | 0.24% | 14 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 15.93% | 17 | |
| 2023-04-20 | 2023-04-21 | $162.99 | $165.08 | -9.94% | 2 | |
| 2023-04-18 | 2023-04-19 | $184.31 | $180.59 | -1.66% | 2 | |
| 2023-04-14 | 2023-04-17 | $185.00 | $187.04 | -0.68% | 2 | |
| 2023-04-05 | 2023-04-06 | $185.52 | $185.06 | -3.86% | 2 | |
| 2023-04-03 | 2023-04-04 | $194.77 | $192.58 | -6.31% | 2 | |
| 2023-03-30 | 2023-03-31 | $195.28 | $207.46 | 0.52% | 2 | |
| 2023-03-27 | 2023-03-28 | $191.81 | $189.19 | 0.53% | 2 | |
| 2023-03-23 | 2023-03-24 | $192.22 | $190.41 | 0.36% | 2 | |
| 2023-03-21 | 2023-03-22 | $197.58 | $191.15 | 7.61% | 2 | |
| 2023-03-17 | 2023-03-20 | $180.13 | $183.25 | -2.37% | 2 | |
| 2023-02-08 | 2023-02-22 | $201.29 | $200.86 | 0.09% | 10 | |
| 2022-09-20 | 2022-09-21 | $308.73 | $300.80 | -0.31% | 2 | |
| 2022-09-16 | 2022-09-19 | $303.35 | $309.07 | -0.33% | 2 | |
| 2022-09-14 | 2022-09-15 | $302.61 | $303.75 | 3.38% | 2 | |
| 2022-09-12 | 2022-09-13 | $304.42 | $292.13 | 1.38% | 2 | |
| 2022-09-08 | 2022-09-09 | $289.26 | $299.68 | 1.76% | 2 | |
| 2022-08-19 | 2022-08-22 | $296.67 | $289.91 | -2.25% | 2 | |
| 2022-08-15 | 2022-08-18 | $309.32 | $302.87 | 1.12% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -2.02% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2022-01-06 | 2022-01-07 | $354.90 | $342.32 | -2.35% | 2 | |
| 2022-01-04 | 2022-01-05 | $383.20 | $362.71 | -4.38% | 2 | |
| 2021-12-30 | 2021-12-31 | $356.78 | $352.26 | -1.66% | 2 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.70% | 2 | |
| 2021-12-23 | 2021-12-27 | $355.67 | $364.65 | 5.56% | 2 | |
| 2021-12-13 | 2021-12-14 | $322.14 | $319.50 | -5.17% | 2 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -3.25% | 2 | |
| 2021-11-19 | 2021-11-24 | $379.02 | $372.00 | 0.96% | 4 | |
| 2021-11-17 | 2021-11-18 | $363.00 | $365.46 | 3.05% | 2 | |
| 2021-10-12 | 2021-11-10 | $268.57 | $355.98 | 28.98% | 22 | |
| 2021-10-04 | 2021-10-11 | $260.51 | $263.98 | 1.12% | 6 | |
| 2021-09-27 | 2021-10-01 | $263.79 | $258.41 | -0.06% | 5 | |
| 2021-09-16 | 2021-09-21 | $252.33 | $246.46 | -3.59% | 4 | |
| 2021-09-14 | 2021-09-15 | $248.16 | $251.94 | 0.00% | 2 | |
| 2021-09-07 | 2021-09-13 | $250.97 | $247.67 | 0.17% | 5 | |
| 2021-09-01 | 2021-09-03 | $244.70 | $244.52 | -0.65% | 3 | |
| 2021-08-30 | 2021-08-31 | $243.64 | $245.24 | 2.46% | 2 |