Strategy Zoo / S0054
PriceMomentum_V0054
ARCHIVEDmomentumstructuralreduce exposure to 68% during MEDIUM_VOLATILITY
Fitness
0.6471
Generation
2
Complexity
4
Created
2026-09-18
Lineage
Parents (1)
restricted to trend regimes ['DOWNTREND', 'UPTREND']
Children (12)
Strategy Logic (pseudocode)
# PriceMomentum_V0054 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.05:
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 23.9% | 77.0% | 19.1% | 32.2% |
| Total Return | 453.9% | 454.8% | 90.6% | 5930.7% |
| Sharpe | 0.90 | 1.52 | 0.71 | 1.01 |
| Sortino | 0.92 | 1.43 | 0.60 | 0.95 |
| Calmar | 0.43 | 2.28 | 0.50 | 0.57 |
| Volatility | 28.2% | 44.1% | 31.5% | 32.8% |
| Max DD | -56.2% | -33.8% | -38.0% | -56.2% |
| Win Rate | 45.5% | 50.0% | 50.0% | 47.6% |
| Avg Win | 17.9% | 36.3% | 15.1% | 22.7% |
| Avg Loss | -5.0% | -7.5% | -7.5% | -6.1% |
| Payoff | 3.60 | 4.82 | 2.02 | 3.73 |
| Expectancy | 5.4% | 14.4% | 3.8% | 7.6% |
| Profit Factor | 3.00 | 4.82 | 2.02 | 3.39 |
| Trades | 44 | 16 | 22 | 82 |
| Avg Holding Days | 17.3 | 22.4 | 13.8 | 17.9 |
| Turnover | 12.4 | 11.7 | 13.5 | 12.5 |
| Exposure | 35.2% | 39.1% | 29.4% | 34.6% |
Growth of $100
PriceMomentum_V0054 vs TSLA Buy & Hold
PriceMomentum_V0054 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 | 20.0% | 1.51 | -12.5% | 6 |
| 2017 | 3.0% | 0.24 | -19.4% | 5 |
| 2018 | -39.1% | -1.91 | -39.8% | 9 |
| 2019 | 49.2% | 1.97 | -10.8% | 4 |
| 2020 | 377.7% | 2.68 | -33.8% | 6 |
| 2021 | 63.7% | 1.95 | -13.7% | 3 |
| 2022 | -31.2% | -1.53 | -33.1% | 7 |
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 | 6.0% | 0.19 | 33% |
| hidden test | EXPENSIVE | 83 | 66.5% | 1.62 | 57% |
| hidden test | EXTREME | 48 | 187.4% | 3.43 | 65% |
| hidden test | HIGH VOLATILITY | 254 | 17.4% | 0.40 | 41% |
| hidden test | LOW VOLATILITY | 429 | 45.5% | 2.01 | 24% |
| hidden test | MEDIUM VOLATILITY | 248 | -12.3% | -0.40 | 27% |
| hidden test | NORMAL | 800 | 8.0% | 0.28 | 24% |
| hidden test | SIDEWAYS | 293 | 1.7% | 0.14 | 3% |
| hidden test | UPTREND | 371 | 50.7% | 1.25 | 48% |
| train | DOWNTREND | 518 | 0.7% | 0.04 | 20% |
| train | EXPENSIVE | 311 | 36.2% | 1.10 | 59% |
| train | EXTREME | 100 | 392.1% | 5.44 | 92% |
| train | HIGH VOLATILITY | 699 | 45.5% | 1.21 | 33% |
| train | LOW VOLATILITY | 745 | 30.0% | 1.35 | 46% |
| train | MEDIUM VOLATILITY | 568 | -5.7% | -0.28 | 23% |
| train | NORMAL | 1,601 | 0.3% | 0.01 | 27% |
| train | SIDEWAYS | 592 | -2.0% | -0.19 | 3% |
| train | UPTREND | 902 | 57.4% | 1.47 | 65% |
| validation | DOWNTREND | 125 | 34.6% | 1.79 | 11% |
| validation | EXPENSIVE | 138 | 37.7% | 0.79 | 48% |
| validation | EXTREME | 144 | 293.4% | 3.82 | 79% |
| validation | HIGH VOLATILITY | 258 | 83.6% | 1.31 | 45% |
| validation | LOW VOLATILITY | 183 | 24.9% | 1.11 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 77.5% | 2.43 | 32% |
| validation | NORMAL | 474 | 6.5% | 0.27 | 25% |
| validation | SIDEWAYS | 206 | -21.9% | -1.68 | 3% |
| validation | UPTREND | 425 | 119.3% | 2.10 | 65% |
Trades (full period)
83 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 4.32% | 20 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-29 | 2026-05-08 | $372.80 | $428.35 | 9.29% | 8 | |
| 2026-04-21 | 2026-04-24 | $386.42 | $376.30 | -3.39% | 4 | |
| 2025-12-15 | 2026-01-07 | $475.31 | $431.41 | -5.85% | 16 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 8.43% | 46 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-07 | 2025-08-11 | $322.27 | $339.03 | 2.84% | 3 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.43% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -9.43% | 11 | |
| 2025-04-29 | 2025-05-12 | $292.03 | $318.38 | 4.12% | 10 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2024-11-07 | 2025-01-14 | $296.91 | $396.36 | 37.66% | 45 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.81% | 8 | |
| 2024-09-04 | 2024-09-27 | $219.41 | $260.46 | 16.00% | 18 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 1.87% | 23 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2024-04-15 | 2024-04-17 | $161.48 | $155.45 | -7.52% | 3 | |
| 2024-02-26 | 2024-03-07 | $199.40 | $178.65 | -8.22% | 9 | |
| 2023-06-02 | 2023-08-02 | $213.97 | $254.11 | 27.37% | 42 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.63% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.64% | 2 | |
| 2022-07-14 | 2022-08-02 | $238.31 | $300.59 | 20.07% | 14 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -16.47% | 16 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -18.24% | 12 | |
| 2021-08-24 | 2021-12-01 | $236.16 | $365.00 | 62.91% | 70 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 39.28% | 57 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -3.98% | 6 | |
| 2020-10-07 | 2020-10-20 | $141.77 | $140.65 | 4.77% | 10 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 10.59% | 29 | |
| 2020-05-15 | 2020-08-10 | $53.28 | $94.57 | 67.59% | 60 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 133.27% | 89 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.05% | 2 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 3.91% | 13 | |
| 2019-06-18 | 2019-07-22 | $14.98 | $17.05 | 13.63% | 24 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2018-11-29 | 2018-12-19 | $22.74 | $22.20 | -1.39% | 14 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-10-04 | 2018-10-09 | $18.79 | $17.52 | -15.18% | 4 | |
| 2018-08-22 | 2018-08-28 | $21.44 | $20.79 | -1.02% | 5 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-06-07 | 2018-06-12 | $21.07 | $22.85 | 3.73% | 4 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -5.21% | 4 | |
| 2017-09-18 | 2017-09-29 | $25.67 | $22.74 | -8.76% | 10 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | 0.18% | 15 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.38% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 6.51% | 41 | |
| 2017-01-05 | 2017-03-08 | $15.12 | $16.46 | 10.62% | 43 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 9.89% | 10 | |
| 2016-07-26 | 2016-08-23 | $15.30 | $14.99 | -3.27% | 21 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -5.92% | 22 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 1.44% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 16.89% | 12 | |
| 2015-12-03 | 2015-12-29 | $15.51 | $15.81 | -0.24% | 18 | |
| 2015-11-19 | 2015-12-02 | $14.79 | $15.47 | 7.08% | 9 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -6.17% | 2 | |
| 2015-05-11 | 2015-07-28 | $15.97 | $17.65 | 10.59% | 55 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-23 | 2015-04-28 | $14.57 | $15.37 | 5.31% | 4 | |
| 2015-04-08 | 2015-04-14 | $13.84 | $13.83 | 3.01% | 5 | |
| 2015-02-10 | 2015-03-03 | $14.42 | $13.30 | -9.45% | 15 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-23 | 2014-07-17 | $15.81 | $14.36 | -5.60% | 18 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 14.08% | 43 | |
| 2013-07-01 | 2013-10-22 | $7.81 | $11.44 | 59.50% | 80 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 178.87% | 65 | |
| 2013-01-24 | 2013-02-26 | $2.47 | $2.30 | -3.97% | 23 | |
| 2012-12-18 | 2013-01-11 | $2.31 | $2.19 | -2.72% | 17 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-10-03 | 2012-10-12 | $1.95 | $1.84 | -4.16% | 8 | |
| 2012-08-30 | 2012-09-06 | $1.89 | $1.90 | -1.26% | 5 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | 1.10% | 33 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |