Strategy Zoo / S0078
PriceMomentum_V0078
ARCHIVEDmomentumstructuralswapped indicator ret_20d -> ret_1d
Fitness
0.4302
Generation
3
Complexity
3
Created
2026-09-18
Lineage
Parents (1)
restricted to trend regimes ['DOWNTREND', 'UPTREND']
Children (2)
Strategy Logic (pseudocode)
# PriceMomentum_V0078 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.05:
position = 1.0
if long and ret_1d < 0.044:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 16.3% | 31.2% | -3.8% | 13.9% |
| Total Return | 234.8% | 126.1% | -13.3% | 573.8% |
| Sharpe | 0.77 | 0.94 | -0.04 | 0.62 |
| Sortino | 0.81 | 0.84 | -0.03 | 0.55 |
| Calmar | 0.46 | 0.98 | -0.08 | 0.29 |
| Volatility | 23.0% | 36.1% | 24.3% | 26.5% |
| Max DD | -35.4% | -31.9% | -47.4% | -47.4% |
| Win Rate | 51.3% | 57.5% | 48.4% | 52.3% |
| Avg Win | 2.7% | 3.4% | 3.0% | 3.0% |
| Avg Loss | -1.9% | -3.0% | -2.9% | -2.4% |
| Payoff | 1.43 | 1.13 | 1.05 | 1.25 |
| Expectancy | 0.5% | 0.7% | -0.0% | 0.4% |
| Profit Factor | 1.50 | 1.53 | 0.98 | 1.37 |
| Trades | 316 | 146 | 122 | 585 |
| Avg Holding Days | 2.1 | 2.2 | 2.1 | 2.1 |
| Turnover | 79.2 | 97.3 | 66.0 | 79.7 |
| Exposure | 16.9% | 23.1% | 15.0% | 17.7% |
Growth of $100
PriceMomentum_V0078 vs TSLA Buy & Hold
PriceMomentum_V0078 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 | 8.9% | 0.84 | -10.6% | 28 |
| 2017 | 26.1% | 1.51 | -10.2% | 52 |
| 2018 | -23.5% | -1.41 | -23.4% | 24 |
| 2019 | 1.2% | 0.15 | -14.0% | 34 |
| 2020 | 127.3% | 1.74 | -31.9% | 78 |
| 2021 | 17.9% | 0.91 | -13.1% | 45 |
| 2022 | -18.6% | -1.27 | -19.2% | 22 |
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 | -16.2% | -0.68 | 16% |
| hidden test | EXPENSIVE | 83 | -44.4% | -1.44 | 28% |
| hidden test | EXTREME | 48 | 154.7% | 3.98 | 35% |
| hidden test | HIGH VOLATILITY | 254 | -33.0% | -0.99 | 20% |
| hidden test | LOW VOLATILITY | 429 | 20.0% | 1.12 | 13% |
| hidden test | MEDIUM VOLATILITY | 248 | -4.1% | -0.18 | 14% |
| hidden test | NORMAL | 800 | -5.7% | -0.26 | 13% |
| hidden test | SIDEWAYS | 293 | -15.3% | -1.06 | 2% |
| hidden test | UPTREND | 371 | 21.5% | 0.71 | 24% |
| train | DOWNTREND | 518 | -4.4% | -0.42 | 9% |
| train | EXPENSIVE | 311 | 43.8% | 1.68 | 31% |
| train | EXTREME | 100 | 338.1% | 4.83 | 56% |
| train | HIGH VOLATILITY | 699 | 41.2% | 1.29 | 17% |
| train | LOW VOLATILITY | 745 | 3.6% | 0.24 | 20% |
| train | MEDIUM VOLATILITY | 568 | 7.2% | 0.41 | 13% |
| train | NORMAL | 1,601 | -7.4% | -0.52 | 12% |
| train | SIDEWAYS | 592 | -0.7% | -0.08 | 2% |
| train | UPTREND | 902 | 42.4% | 1.30 | 31% |
| validation | DOWNTREND | 125 | 7.8% | 0.84 | 6% |
| validation | EXPENSIVE | 138 | 18.8% | 0.41 | 33% |
| validation | EXTREME | 144 | 171.7% | 2.73 | 49% |
| validation | HIGH VOLATILITY | 258 | 40.0% | 0.79 | 26% |
| validation | LOW VOLATILITY | 183 | 4.8% | 0.33 | 18% |
| validation | MEDIUM VOLATILITY | 315 | 45.5% | 1.50 | 24% |
| validation | NORMAL | 474 | -3.7% | -0.24 | 12% |
| validation | SIDEWAYS | 206 | -13.4% | -1.60 | 1% |
| validation | UPTREND | 425 | 64.3% | 1.35 | 39% |
Trades (full period)
latest 100 of 585
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-16 | 2026-09-17 | $358.08 | $366.20 | 0.22% | 2 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.32% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-03 | 2026-09-08 | $376.37 | $368.16 | -1.01% | 3 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.91% | 2 | |
| 2026-08-26 | 2026-08-27 | $345.82 | $354.81 | -1.46% | 2 | |
| 2026-08-21 | 2026-08-25 | $362.86 | $350.25 | 0.91% | 3 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-06 | 2026-05-07 | $398.73 | $411.79 | 2.20% | 2 | |
| 2026-05-04 | 2026-05-05 | $392.51 | $389.37 | 0.23% | 2 | |
| 2026-04-29 | 2026-04-30 | $372.80 | $381.63 | -1.06% | 2 | |
| 2026-04-21 | 2026-04-22 | $386.42 | $387.51 | -1.75% | 2 | |
| 2025-12-30 | 2025-12-31 | $454.43 | $449.72 | -1.33% | 2 | |
| 2025-12-26 | 2025-12-29 | $475.19 | $459.64 | -2.30% | 2 | |
| 2025-12-23 | 2025-12-24 | $485.56 | $485.40 | -0.85% | 2 | |
| 2025-12-19 | 2025-12-22 | $481.20 | $488.73 | -0.65% | 2 | |
| 2025-12-17 | 2025-12-18 | $467.26 | $483.37 | -4.81% | 2 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 3.36% | 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 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-10-03 | 2025-10-06 | $429.83 | $453.25 | -1.61% | 2 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-29 | 2025-09-30 | $443.21 | $444.72 | 0.44% | 2 | |
| 2025-09-25 | 2025-09-26 | $423.39 | $440.40 | -4.58% | 2 | |
| 2025-09-23 | 2025-09-24 | $425.85 | $442.79 | -2.12% | 2 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 2.01% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 2 | |
| 2025-09-12 | 2025-09-16 | $395.94 | $421.62 | 10.96% | 3 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-07 | 2025-08-08 | $322.27 | $329.65 | 0.54% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -14.45% | 2 | |
| 2025-06-03 | 2025-06-04 | $344.27 | $332.05 | 0.26% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -3.54% | 2 | |
| 2025-05-27 | 2025-05-29 | $362.89 | $358.43 | 4.97% | 3 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.72% | 2 | |
| 2025-05-07 | 2025-05-08 | $276.22 | $284.82 | 0.12% | 2 | |
| 2025-05-05 | 2025-05-06 | $280.26 | $275.35 | -2.62% | 2 | |
| 2025-05-01 | 2025-05-02 | $280.52 | $287.21 | -0.78% | 2 | |
| 2025-04-29 | 2025-04-30 | $292.03 | $282.16 | 1.95% | 2 | |
| 2025-04-15 | 2025-04-16 | $254.11 | $241.55 | 0.50% | 2 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -7.47% | 2 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -6.28% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.50% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.96% | 2 | |
| 2024-12-23 | 2024-12-24 | $430.60 | $462.28 | 2.06% | 2 | |
| 2024-12-19 | 2024-12-20 | $436.17 | $421.06 | -1.10% | 2 | |
| 2024-12-16 | 2024-12-18 | $463.02 | $440.13 | 9.79% | 3 | |
| 2024-12-11 | 2024-12-13 | $424.77 | $436.23 | 4.06% | 3 | |
| 2024-12-06 | 2024-12-10 | $389.22 | $400.99 | 5.29% | 3 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-11-27 | 2024-11-29 | $332.89 | $345.16 | -1.78% | 2 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -4.16% | 2 | |
| 2024-11-21 | 2024-11-22 | $339.64 | $352.56 | -0.90% | 2 | |
| 2024-11-18 | 2024-11-20 | $338.74 | $342.03 | 7.67% | 3 | |
| 2024-11-14 | 2024-11-15 | $311.18 | $320.72 | -5.97% | 2 | |
| 2024-11-11 | 2024-11-13 | $350.00 | $330.24 | 2.07% | 3 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -1.29% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.51% | 2 | |
| 2024-09-20 | 2024-09-23 | $238.25 | $250.00 | -2.52% | 2 | |
| 2024-09-13 | 2024-09-16 | $230.29 | $226.78 | 0.01% | 2 | |
| 2024-09-10 | 2024-09-12 | $226.17 | $229.81 | 5.28% | 3 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 3.98% | 2 | |
| 2024-07-29 | 2024-07-31 | $232.10 | $232.07 | 1.09% | 3 | |
| 2024-07-25 | 2024-07-26 | $220.25 | $219.80 | 1.77% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -2.24% | 2 | |
| 2024-07-19 | 2024-07-22 | $239.20 | $251.51 | -4.22% | 2 | |
| 2024-07-17 | 2024-07-18 | $248.50 | $249.23 | -3.34% | 2 | |
| 2024-07-15 | 2024-07-16 | $252.64 | $256.56 | 1.57% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -8.64% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-02 | 2024-07-08 | $231.26 | $252.94 | 19.62% | 4 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-05-22 | 2024-05-23 | $180.11 | $173.74 | -3.67% | 2 | |
| 2024-05-20 | 2024-05-21 | $174.95 | $186.60 | -1.61% | 2 | |
| 2024-05-16 | 2024-05-17 | $174.84 | $177.46 | 0.29% | 2 | |
| 2024-05-14 | 2024-05-15 | $177.55 | $173.99 | 3.09% | 2 | |
| 2024-05-06 | 2024-05-07 | $184.76 | $177.81 | 1.77% | 2 | |
| 2024-05-02 | 2024-05-03 | $180.01 | $181.19 | -0.19% | 2 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -5.79% | 2 | |
| 2024-03-04 | 2024-03-05 | $188.14 | $180.74 | -7.35% | 2 | |
| 2024-02-29 | 2024-03-01 | $201.88 | $202.64 | -0.28% | 2 | |
| 2024-02-26 | 2024-02-27 | $199.40 | $199.73 | 3.67% | 2 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.55% | 2 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.91% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 3.00% | 2 |