Strategy Zoo / S0082
PriceMomentum_V0082
ARCHIVEDhybridcrossoverentry = PriceMomentum_V0003 OR Breakout52w_V0012
Fitness
0.4507
Generation
4
Complexity
4
Created
2026-09-18
Lineage
Parents (2)
seed strategy
seed strategy
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0082 [hybrid]
if flat and (ret_20d > 0.05 or breakout_252 == 1):
position = 1.0
if long and dist_52w_high < -0.15:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 16.9% | 51.5% | -0.3% | 18.6% |
| Total Return | 247.4% | 247.6% | -1.1% | 1129.1% |
| Sharpe | 0.64 | 1.13 | 0.15 | 0.65 |
| Sortino | 0.69 | 1.22 | 0.15 | 0.69 |
| Calmar | 0.26 | 1.25 | -0.01 | 0.28 |
| Volatility | 32.5% | 46.4% | 32.7% | 35.8% |
| Max DD | -65.4% | -41.1% | -56.1% | -65.4% |
| Win Rate | 44.9% | 44.7% | 53.3% | 47.7% |
| Avg Win | 6.0% | 8.9% | 3.2% | 5.9% |
| Avg Loss | -2.5% | -3.2% | -3.4% | -2.9% |
| Payoff | 2.42 | 2.78 | 0.96 | 2.02 |
| Expectancy | 1.3% | 2.2% | 0.1% | 1.3% |
| Profit Factor | 1.97 | 2.24 | 1.09 | 1.85 |
| Trades | 147 | 85 | 122 | 354 |
| Avg Holding Days | 7.2 | 5.0 | 3.5 | 5.5 |
| Turnover | 36.9 | 56.7 | 66.0 | 48.2 |
| Exposure | 47.5% | 44.6% | 33.2% | 43.3% |
Growth of $100
PriceMomentum_V0082 vs TSLA Buy & Hold
PriceMomentum_V0082 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 | 3.5% | 0.30 | -18.4% | 26 |
| 2017 | 25.6% | 0.90 | -25.6% | 3 |
| 2018 | -33.7% | -1.27 | -36.9% | 11 |
| 2019 | 0.9% | 0.17 | -31.0% | 33 |
| 2020 | 293.0% | 2.36 | -41.1% | 22 |
| 2021 | 4.5% | 0.30 | -34.1% | 35 |
| 2022 | -18.8% | -0.82 | -19.2% | 28 |
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 | 0.5% | 0.02 | 16% |
| hidden test | EXPENSIVE | 83 | 128.7% | 2.46 | 76% |
| hidden test | EXTREME | 48 | 182.9% | 3.25 | 63% |
| hidden test | HIGH VOLATILITY | 254 | 11.1% | 0.27 | 31% |
| hidden test | LOW VOLATILITY | 429 | 31.7% | 1.30 | 33% |
| hidden test | MEDIUM VOLATILITY | 248 | -47.3% | -1.37 | 35% |
| hidden test | NORMAL | 800 | -18.5% | -0.67 | 27% |
| hidden test | SIDEWAYS | 293 | -21.1% | -0.86 | 30% |
| hidden test | UPTREND | 371 | 28.9% | 0.67 | 48% |
| train | DOWNTREND | 518 | -5.2% | -0.46 | 10% |
| train | EXPENSIVE | 311 | 64.8% | 1.59 | 80% |
| train | EXTREME | 100 | 383.3% | 5.28 | 98% |
| train | HIGH VOLATILITY | 699 | 33.7% | 0.82 | 39% |
| train | LOW VOLATILITY | 745 | 26.1% | 1.11 | 55% |
| train | MEDIUM VOLATILITY | 568 | -2.0% | -0.07 | 48% |
| train | NORMAL | 1,601 | -10.4% | -0.41 | 38% |
| train | SIDEWAYS | 592 | -22.3% | -0.92 | 31% |
| train | UPTREND | 902 | 64.1% | 1.48 | 80% |
| validation | DOWNTREND | 125 | 8.4% | 0.91 | 6% |
| validation | EXPENSIVE | 138 | 26.4% | 0.50 | 64% |
| validation | EXTREME | 144 | 280.8% | 3.65 | 83% |
| validation | HIGH VOLATILITY | 258 | 51.1% | 0.83 | 41% |
| validation | LOW VOLATILITY | 183 | 15.3% | 0.72 | 40% |
| validation | MEDIUM VOLATILITY | 315 | 74.8% | 1.76 | 50% |
| validation | NORMAL | 474 | -9.6% | -0.35 | 27% |
| validation | SIDEWAYS | 206 | -19.2% | -0.82 | 22% |
| validation | UPTREND | 425 | 99.9% | 1.68 | 67% |
Trades (full period)
latest 100 of 354
| 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 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-02 | 2026-09-03 | $357.01 | $376.37 | 0.06% | 2 | |
| 2026-08-31 | 2026-09-01 | $367.95 | $356.09 | 5.30% | 2 | |
| 2026-08-27 | 2026-08-28 | $354.81 | $348.75 | 2.40% | 2 | |
| 2026-08-25 | 2026-08-26 | $350.25 | $345.82 | 0.17% | 2 | |
| 2026-08-21 | 2026-08-24 | $362.86 | $348.95 | 4.93% | 2 | |
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -3.38% | 2 | |
| 2026-06-03 | 2026-06-08 | $423.70 | $408.95 | -7.91% | 4 | |
| 2026-05-21 | 2026-06-02 | $417.85 | $423.74 | -0.53% | 8 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.63% | 8 | |
| 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 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2025-12-15 | 2026-02-05 | $475.31 | $397.21 | -11.71% | 36 | |
| 2025-09-16 | 2025-11-14 | $421.62 | $404.35 | -2.16% | 44 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.04% | 2 | |
| 2025-09-05 | 2025-09-08 | $350.84 | $346.40 | 3.43% | 2 | |
| 2025-09-03 | 2025-09-04 | $334.09 | $338.53 | 1.23% | 2 | |
| 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 | |
| 2025-08-15 | 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 | |
| 2025-08-07 | 2025-08-08 | $322.27 | $329.65 | 0.54% | 2 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.37% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.29% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.23% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 6.73% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.72% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.31% | 2 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.89% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 3.87% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 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 | |
| 2025-01-03 | 2025-01-08 | $410.44 | $394.94 | 3.78% | 4 | |
| 2024-10-28 | 2025-01-02 | $262.51 | $379.28 | 49.72% | 46 | |
| 2024-09-20 | 2024-10-14 | $238.25 | $219.16 | -10.89% | 17 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.72% | 2 | |
| 2024-09-12 | 2024-09-13 | $229.81 | $230.29 | 0.54% | 2 | |
| 2024-09-10 | 2024-09-11 | $226.17 | $228.13 | 4.37% | 2 | |
| 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 | |
| 2024-07-30 | 2024-07-31 | $222.62 | $232.07 | -4.28% | 2 | |
| 2024-07-26 | 2024-07-29 | $219.80 | $232.10 | -0.40% | 2 | |
| 2024-07-19 | 2024-07-25 | $239.20 | $220.25 | -13.51% | 5 | |
| 2024-07-15 | 2024-07-18 | $252.64 | $249.23 | -0.09% | 4 | |
| 2024-07-08 | 2024-07-12 | $252.94 | $248.23 | -4.36% | 5 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 6.34% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 5.85% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 | |
| 2024-06-25 | 2024-06-26 | $187.35 | $196.37 | 2.41% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -1.57% | 2 | |
| 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 | |
| 2023-12-22 | 2024-01-02 | $252.54 | $248.42 | -2.56% | 6 | |
| 2023-12-18 | 2023-12-21 | $252.08 | $254.50 | -2.70% | 4 | |
| 2023-12-12 | 2023-12-13 | $237.01 | $239.29 | -1.34% | 2 | |
| 2023-12-08 | 2023-12-11 | $243.84 | $239.74 | 0.29% | 2 | |
| 2023-12-06 | 2023-12-07 | $239.37 | $242.64 | 0.07% | 2 | |
| 2023-12-04 | 2023-12-05 | $235.58 | $238.72 | -1.56% | 2 | |
| 2023-11-30 | 2023-12-01 | $240.08 | $238.83 | -1.86% | 2 | |
| 2023-11-28 | 2023-11-29 | $246.72 | $244.14 | 4.30% | 2 | |
| 2023-11-24 | 2023-11-27 | $235.45 | $236.08 | 0.33% | 2 | |
| 2023-11-21 | 2023-11-22 | $241.20 | $234.21 | 2.17% | 2 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.10% | 2 | |
| 2023-09-12 | 2023-09-25 | $267.48 | $246.99 | -10.67% | 10 | |
| 2023-07-26 | 2023-07-28 | $264.35 | $266.44 | -3.80% | 3 | |
| 2023-07-03 | 2023-07-21 | $279.82 | $260.02 | 0.24% | 14 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.29% | 2 | |
| 2023-06-27 | 2023-06-28 | $250.21 | $256.24 | 3.60% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -3.22% | 2 | |
| 2023-06-20 | 2023-06-22 | $274.45 | $264.61 | -0.61% | 3 | |
| 2023-06-15 | 2023-06-16 | $255.90 | $260.54 | -0.55% | 2 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 3.35% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 3.86% | 2 | |
| 2023-06-07 | 2023-06-08 | $224.57 | $234.86 | 1.27% | 2 |