Strategy Zoo / S0057

LongMomentum_V0057

ARCHIVEDmomentum

parameterchanged momentum_60 threshold 0.1 -> 0.2843

Fitness

0.3488

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

LongMomentum_V0004S0004 · gen 0ARCHIVEDparameter

seed strategy

Children (0)

None

Strategy Logic (pseudocode)

# LongMomentum_V0057  [momentum]
if flat and (momentum_60 > 0.2843 and ret_5d > 0.0):
    position = 1.0
if long and momentum_60 < 0.0:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	12.1%	25.9%	7.8%	13.9%
Total Return	149.0%	99.6%	31.8%	574.6%
Sharpe	0.53	0.70	0.39	0.53
Sortino	0.42	0.67	0.37	0.45
Calmar	0.21	0.42	0.18	0.22
Volatility	30.0%	53.7%	35.3%	37.3%
Max DD	-56.4%	-62.0%	-44.2%	-62.0%
Win Rate	20.0%	66.7%	66.7%	50.0%
Avg Win	147.6%	40.1%	13.6%	47.2%
Avg Loss	-9.9%	-19.0%	-10.4%	-11.1%
Payoff	10.00	2.11	1.31	4.27
Expectancy	21.6%	20.4%	5.6%	18.1%
Profit Factor	3.72	4.22	2.62	4.27
Trades	10	6	6	22
Avg Holding Days	57.3	58.7	59.8	60.5
Turnover	2.6	4.0	3.2	3.0
Exposure	30.2%	45.8%	37.9%	35.4%

Growth of $100

LongMomentum_V0057 vs TSLA Buy & Hold

LongMomentum_V0057 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	-13.9%	-1.07	-19.4%	1
2017	23.1%	0.95	-19.5%	1
2018	-17.8%	-1.56	-21.7%	1
2019	9.0%	0.53	-21.1%	1
2020	154.7%	1.58	-62.0%	3
2021	2.4%	0.26	-32.4%	1
2022	-35.3%	-1.99	-35.2%	2

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	2.5%	0.60	2%
hidden test	EXPENSIVE	83	7.5%	0.14	81%
hidden test	EXTREME	48	185.0%	2.93	100%
hidden test	HIGH VOLATILITY	254	19.5%	0.42	44%
hidden test	LOW VOLATILITY	429	28.5%	1.32	25%
hidden test	MEDIUM VOLATILITY	248	-17.7%	-0.44	54%
hidden test	NORMAL	800	4.1%	0.14	30%
hidden test	SIDEWAYS	293	-28.4%	-1.16	14%
hidden test	UPTREND	371	55.1%	1.07	82%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	31.9%	0.75	65%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	34.6%	0.91	26%
train	LOW VOLATILITY	745	19.9%	1.02	30%
train	MEDIUM VOLATILITY	568	-12.4%	-0.41	35%
train	NORMAL	1,601	-12.3%	-0.61	19%
train	SIDEWAYS	592	-19.8%	-1.72	3%
train	UPTREND	902	48.4%	1.11	65%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	-44.3%	-0.68	82%
validation	EXTREME	144	316.8%	3.75	83%
validation	HIGH VOLATILITY	258	56.4%	0.74	51%
validation	LOW VOLATILITY	183	13.0%	0.51	37%
validation	MEDIUM VOLATILITY	315	36.4%	0.84	46%
validation	NORMAL	474	-23.4%	-0.70	24%
validation	SIDEWAYS	206	-60.2%	-2.38	15%
validation	UPTREND	425	96.0%	1.39	74%

Trades (full period)

22 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-17	2026-01-02	$425.86	$438.07	6.45%	75
2025-05-30	2025-08-11	$346.46	$339.03	-8.22%	50
2024-10-30	2025-02-24	$257.55	$330.53	29.90%	78
2024-07-03	2024-10-03	$246.39	$240.66	7.47%	65
2023-06-08	2023-09-11	$234.86	$273.58	10.44%	65
2023-03-21	2023-04-26	$197.58	$153.75	-12.49%	26
2022-08-16	2022-10-04	$306.56	$249.44	-21.79%	35
2021-10-18	2022-01-21	$290.04	$314.63	17.94%	67
2020-11-30	2021-03-08	$189.20	$187.67	1.87%	67
2020-06-04	2020-11-17	$57.63	$147.20	130.63%	117
2020-04-15	2020-05-01	$48.66	$46.75	9.92%	13
2019-10-28	2020-03-19	$21.85	$28.51	9.86%	99
2019-01-09	2019-01-24	$22.57	$19.43	-14.41%	11
2018-12-04	2018-12-26	$23.98	$21.74	-17.77%	15
2017-01-31	2017-07-07	$16.80	$20.88	22.98%	110
2016-04-27	2016-06-13	$16.76	$14.52	-13.95%	33
2015-06-04	2015-08-10	$16.39	$16.08	-2.80%	47
2014-08-05	2014-10-28	$15.90	$16.18	-7.25%	60
2014-02-10	2014-05-09	$13.10	$12.15	-4.44%	63
2013-01-25	2013-11-11	$2.47	$9.65	272.19%	202
2012-03-27	2012-05-07	$2.53	$2.16	-15.06%	29
2012-01-04	2012-01-06	$1.85	$1.79	-3.61%	3