Strategy Zoo / S0079
PriceMomentum_V0079
ARCHIVEDmomentumstructuralswapped indicator ret_20d -> ret_60d
Fitness
0.2707
Generation
3
Complexity
2
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> -0.0698
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0079 [momentum]
if flat and ret_20d > -0.0698:
position = 1.0
if long and ret_60d < 0.0544:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 3.4% | 43.6% | 4.4% | 11.1% |
| Total Return | 30.5% | 196.3% | 17.2% | 366.5% |
| Sharpe | 0.28 | 0.91 | 0.31 | 0.46 |
| Sortino | 0.36 | 1.10 | 0.41 | 0.58 |
| Calmar | 0.04 | 0.72 | 0.08 | 0.14 |
| Volatility | 39.5% | 59.0% | 42.8% | 45.0% |
| Max DD | -78.2% | -60.7% | -56.8% | -78.2% |
| Win Rate | 43.0% | 37.8% | 43.4% | 42.6% |
| Avg Win | 4.2% | 11.5% | 3.9% | 5.0% |
| Avg Loss | -2.3% | -3.1% | -2.5% | -2.5% |
| Payoff | 1.81 | 3.73 | 1.53 | 2.03 |
| Expectancy | 0.5% | 2.4% | 0.2% | 0.7% |
| Profit Factor | 1.36 | 2.27 | 1.17 | 1.51 |
| Trades | 412 | 82 | 175 | 669 |
| Avg Holding Days | 4.0 | 7.2 | 4.3 | 4.5 |
| Turnover | 103.3 | 54.7 | 95.0 | 91.2 |
| Exposure | 63.1% | 66.9% | 61.3% | 63.5% |
Growth of $100
PriceMomentum_V0079 vs TSLA Buy & Hold
PriceMomentum_V0079 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 | -19.6% | -0.81 | -33.5% | 69 |
| 2017 | 18.8% | 0.71 | -33.5% | 36 |
| 2018 | -45.2% | -1.26 | -49.5% | 60 |
| 2019 | 4.8% | 0.31 | -38.1% | 57 |
| 2020 | 326.5% | 2.16 | -60.7% | 10 |
| 2021 | 13.0% | 0.50 | -42.7% | 36 |
| 2022 | -48.2% | -1.79 | -49.6% | 36 |
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 | -5.7% | -0.18 | 29% |
| hidden test | EXPENSIVE | 83 | 63.2% | 1.14 | 84% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 9.5% | 0.17 | 65% |
| hidden test | LOW VOLATILITY | 429 | 32.0% | 1.06 | 54% |
| hidden test | MEDIUM VOLATILITY | 248 | -14.7% | -0.33 | 70% |
| hidden test | NORMAL | 800 | -2.0% | -0.05 | 57% |
| hidden test | SIDEWAYS | 293 | -67.8% | -1.90 | 53% |
| hidden test | UPTREND | 371 | 91.3% | 1.71 | 91% |
| train | DOWNTREND | 518 | -40.9% | -1.44 | 33% |
| train | EXPENSIVE | 311 | 69.9% | 1.50 | 82% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 9.7% | 0.19 | 56% |
| train | LOW VOLATILITY | 745 | 30.1% | 1.05 | 69% |
| train | MEDIUM VOLATILITY | 568 | -12.2% | -0.34 | 64% |
| train | NORMAL | 1,601 | -25.6% | -0.75 | 57% |
| train | SIDEWAYS | 592 | -36.8% | -1.17 | 46% |
| train | UPTREND | 902 | 72.4% | 1.50 | 92% |
| validation | DOWNTREND | 125 | -20.0% | -1.30 | 14% |
| validation | EXPENSIVE | 138 | 21.1% | 0.31 | 88% |
| validation | EXTREME | 144 | 350.9% | 3.96 | 94% |
| validation | HIGH VOLATILITY | 258 | 54.3% | 0.69 | 59% |
| validation | LOW VOLATILITY | 183 | 42.1% | 1.33 | 79% |
| validation | MEDIUM VOLATILITY | 315 | 60.0% | 1.15 | 67% |
| validation | NORMAL | 474 | -27.1% | -0.66 | 53% |
| validation | SIDEWAYS | 206 | -66.9% | -1.61 | 45% |
| validation | UPTREND | 425 | 133.9% | 1.85 | 93% |
Trades (full period)
latest 100 of 670
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | — | $363.40 | — | -0.86% | 1 | OPEN |
| 2026-09-16 | 2026-09-17 | $358.08 | $366.20 | 0.22% | 2 | |
| 2026-09-14 | 2026-09-15 | $358.97 | $356.58 | -1.97% | 2 | |
| 2026-09-10 | 2026-09-11 | $363.56 | $365.44 | -1.35% | 2 | |
| 2026-09-08 | 2026-09-09 | $368.16 | $367.81 | 3.77% | 2 | |
| 2026-09-03 | 2026-09-04 | $376.37 | $354.08 | 5.22% | 2 | |
| 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 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 2026-08-20 | 2026-08-21 | $345.13 | $362.86 | -1.90% | 2 | |
| 2026-07-22 | 2026-07-23 | $374.01 | $319.69 | -1.50% | 2 | |
| 2026-07-17 | 2026-07-20 | $380.84 | $369.57 | -2.81% | 2 | |
| 2026-07-15 | 2026-07-16 | $394.46 | $391.06 | -0.63% | 2 | |
| 2026-06-30 | 2026-07-14 | $420.60 | $396.18 | -4.34% | 10 | |
| 2026-06-22 | 2026-06-23 | $405.05 | $381.61 | 0.94% | 2 | |
| 2026-06-16 | 2026-06-18 | $404.66 | $400.49 | -3.79% | 3 | |
| 2026-06-08 | 2026-06-09 | $408.95 | $396.68 | 4.39% | 2 | |
| 2026-06-03 | 2026-06-05 | $423.70 | $391.00 | -1.45% | 3 | |
| 2026-05-26 | 2026-06-02 | $433.59 | $423.74 | -2.57% | 6 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.06% | 2 | |
| 2026-05-19 | 2026-05-20 | $404.11 | $417.26 | -1.63% | 2 | |
| 2026-05-14 | 2026-05-18 | $443.30 | $409.99 | -5.36% | 3 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.79% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.82% | 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 | |
| 2026-04-30 | 2026-05-01 | $381.63 | $390.82 | 2.17% | 2 | |
| 2026-04-28 | 2026-04-29 | $376.02 | $372.80 | -0.90% | 2 | |
| 2026-04-24 | 2026-04-27 | $376.30 | $378.67 | 0.49% | 2 | |
| 2026-04-22 | 2026-04-23 | $387.51 | $373.72 | 0.08% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.98% | 2 | |
| 2026-04-01 | 2026-04-02 | $381.26 | $360.59 | 2.36% | 2 | |
| 2026-03-24 | 2026-03-25 | $383.03 | $385.95 | 0.37% | 2 | |
| 2026-03-18 | 2026-03-19 | $392.78 | $380.30 | -1.82% | 2 | |
| 2026-03-16 | 2026-03-17 | $395.56 | $399.27 | 0.91% | 2 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.95% | 2 | |
| 2026-03-09 | 2026-03-10 | $398.68 | $399.24 | 0.29% | 2 | |
| 2026-03-05 | 2026-03-06 | $405.55 | $396.73 | -0.30% | 2 | |
| 2026-03-03 | 2026-03-04 | $392.43 | $405.94 | -2.90% | 2 | |
| 2026-02-27 | 2026-03-02 | $402.51 | $403.32 | -1.68% | 2 | |
| 2026-02-25 | 2026-02-26 | $417.40 | $408.58 | 1.76% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.11% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.83% | 2 | |
| 2026-02-11 | 2026-02-13 | $428.27 | $417.44 | -2.11% | 3 | |
| 2026-02-09 | 2026-02-10 | $417.32 | $425.21 | 1.31% | 2 | |
| 2026-02-04 | 2026-02-05 | $406.01 | $397.21 | -3.98% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -2.20% | 2 | |
| 2026-01-29 | 2026-01-30 | $416.56 | $430.41 | -3.65% | 2 | |
| 2026-01-20 | 2026-01-21 | $419.25 | $431.44 | -4.37% | 2 | |
| 2026-01-13 | 2026-01-14 | $447.20 | $439.20 | -0.59% | 2 | |
| 2026-01-09 | 2026-01-12 | $445.01 | $448.96 | 1.91% | 2 | |
| 2026-01-07 | 2026-01-08 | $431.41 | $435.80 | -0.56% | 2 | |
| 2026-01-05 | 2026-01-06 | $451.67 | $432.96 | 2.90% | 2 | |
| 2025-12-30 | 2026-01-02 | $454.43 | $438.07 | -2.35% | 3 | |
| 2025-12-15 | 2025-12-29 | $475.31 | $459.64 | 3.33% | 10 | |
| 2025-09-03 | 2025-12-12 | $334.09 | $458.96 | 35.42% | 72 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.70% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.79% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.74% | 2 | |
| 2025-08-21 | 2025-08-22 | $320.11 | $340.01 | -1.37% | 2 | |
| 2025-08-19 | 2025-08-20 | $329.31 | $323.90 | -1.94% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.69% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.63% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 2.64% | 2 | |
| 2025-05-21 | 2025-08-08 | $334.62 | $329.65 | -6.46% | 55 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -2.45% | 2 | |
| 2025-05-15 | 2025-05-16 | $342.82 | $349.98 | -1.60% | 2 | |
| 2025-05-13 | 2025-05-14 | $334.07 | $347.68 | 4.72% | 2 | |
| 2025-05-09 | 2025-05-12 | $298.26 | $318.38 | 4.51% | 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 | |
| 2025-04-25 | 2025-04-28 | $284.95 | $285.88 | 9.59% | 2 | |
| 2025-04-21 | 2025-04-22 | $227.50 | $237.97 | -5.94% | 2 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -5.14% | 2 | |
| 2025-04-14 | 2025-04-15 | $252.35 | $254.11 | -0.18% | 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 | |
| 2025-04-04 | 2025-04-07 | $239.43 | $233.29 | -10.61% | 2 | |
| 2025-04-02 | 2025-04-03 | $282.76 | $267.28 | 5.12% | 2 | |
| 2025-03-28 | 2025-03-31 | $263.55 | $259.16 | -3.70% | 2 | |
| 2025-03-26 | 2025-03-27 | $272.06 | $273.13 | -5.77% | 2 | |
| 2024-10-25 | 2025-02-11 | $269.19 | $328.50 | 34.38% | 73 | |
| 2024-10-16 | 2024-10-17 | $221.33 | $220.89 | 0.60% | 2 | |
| 2024-10-14 | 2024-10-15 | $219.16 | $219.57 | 0.42% | 2 | |
| 2024-10-10 | 2024-10-11 | $238.77 | $217.80 | -1.14% | 2 | |
| 2024-10-08 | 2024-10-09 | $244.50 | $241.05 | 1.32% | 2 | |
| 2024-10-04 | 2024-10-07 | $250.08 | $240.83 | 3.71% | 2 | |
| 2024-10-02 | 2024-10-03 | $249.02 | $240.66 | -3.68% | 2 | |
| 2024-06-26 | 2024-10-01 | $196.37 | $258.02 | 39.38% | 68 | |
| 2024-06-24 | 2024-06-25 | $182.58 | $187.35 | -0.43% | 2 | |
| 2024-06-18 | 2024-06-21 | $184.86 | $183.01 | -3.33% | 3 | |
| 2024-06-13 | 2024-06-17 | $182.47 | $187.44 | 0.21% | 3 | |
| 2024-06-11 | 2024-06-12 | $170.66 | $177.29 | -2.00% | 2 | |
| 2024-06-07 | 2024-06-10 | $177.48 | $173.79 | -0.46% | 2 | |
| 2024-06-05 | 2024-06-06 | $175.00 | $177.94 | -0.07% | 2 | |
| 2024-06-03 | 2024-06-04 | $176.29 | $174.77 | -1.20% | 2 |