Strategy Zoo / S0086
PriceMomentum_V0086
ARCHIVEDhybridparameterchanged sma_200_slope threshold 0.0 -> -0.0017
Fitness
0.3846
Generation
4
Complexity
6
Created
2026-09-18
Lineage
Parents (1)
entry = PriceMomentum_V0053 OR LongTermTrend_V0029
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0086 [hybrid]
if flat and (ret_20d > -0.0698 or sma_200_slope > -0.0017):
position = 1.0
if long and (close < sma_200 or dist_sma_200 < 0.1009):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 8.9% | 74.3% | -14.9% | 12.9% |
| Total Return | 98.0% | 429.2% | -44.8% | 495.4% |
| Sharpe | 0.41 | 1.18 | -0.14 | 0.49 |
| Sortino | 0.59 | 1.61 | -0.19 | 0.69 |
| Calmar | 0.11 | 1.21 | -0.23 | 0.16 |
| Volatility | 41.4% | 65.3% | 44.5% | 48.0% |
| Max DD | -82.1% | -61.3% | -63.2% | -82.1% |
| Win Rate | 45.8% | 51.5% | 47.7% | 47.2% |
| Avg Win | 3.2% | 11.9% | 2.6% | 4.3% |
| Avg Loss | -2.1% | -3.0% | -2.6% | -2.3% |
| Payoff | 1.52 | 3.98 | 0.98 | 1.84 |
| Expectancy | 0.3% | 4.7% | -0.1% | 0.8% |
| Profit Factor | 1.28 | 4.24 | 0.90 | 1.64 |
| Trades | 592 | 130 | 285 | 1,007 |
| Avg Holding Days | 3.3 | 5.5 | 3.2 | 3.6 |
| Turnover | 148.4 | 86.7 | 154.6 | 137.3 |
| Exposure | 70.1% | 77.0% | 66.8% | 70.7% |
Growth of $100
PriceMomentum_V0086 vs TSLA Buy & Hold
PriceMomentum_V0086 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 | -26.3% | -0.96 | -36.4% | 121 |
| 2017 | 56.6% | 1.53 | -19.5% | 28 |
| 2018 | -51.4% | -1.64 | -53.4% | 109 |
| 2019 | -10.5% | -0.14 | -49.5% | 98 |
| 2020 | 585.4% | 2.65 | -60.7% | 1 |
| 2021 | 49.8% | 1.03 | -36.2% | 48 |
| 2022 | -56.7% | -1.63 | -60.3% | 81 |
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 | -21.5% | -0.55 | 46% |
| hidden test | EXPENSIVE | 83 | 68.4% | 1.16 | 99% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 20.3% | 0.37 | 60% |
| hidden test | LOW VOLATILITY | 429 | 1.0% | 0.03 | 66% |
| hidden test | MEDIUM VOLATILITY | 248 | -45.7% | -0.93 | 75% |
| hidden test | NORMAL | 800 | -25.4% | -0.61 | 62% |
| hidden test | SIDEWAYS | 293 | -53.8% | -1.40 | 62% |
| hidden test | UPTREND | 371 | 42.5% | 0.81 | 86% |
| train | DOWNTREND | 518 | -30.8% | -0.94 | 49% |
| train | EXPENSIVE | 311 | 98.1% | 1.89 | 100% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 26.5% | 0.50 | 69% |
| train | LOW VOLATILITY | 745 | 33.9% | 1.16 | 71% |
| train | MEDIUM VOLATILITY | 568 | -16.7% | -0.43 | 71% |
| train | NORMAL | 1,601 | -23.7% | -0.67 | 62% |
| train | SIDEWAYS | 592 | -9.1% | -0.24 | 60% |
| train | UPTREND | 902 | 61.6% | 1.30 | 89% |
| validation | DOWNTREND | 125 | -15.5% | -0.44 | 33% |
| validation | EXPENSIVE | 138 | 84.2% | 1.10 | 99% |
| validation | EXTREME | 144 | 384.0% | 4.30 | 100% |
| validation | HIGH VOLATILITY | 258 | 125.4% | 1.40 | 81% |
| validation | LOW VOLATILITY | 183 | 55.7% | 1.85 | 65% |
| validation | MEDIUM VOLATILITY | 315 | 49.5% | 0.88 | 80% |
| validation | NORMAL | 474 | -18.5% | -0.37 | 64% |
| validation | SIDEWAYS | 206 | -49.3% | -0.90 | 70% |
| validation | UPTREND | 425 | 165.2% | 2.19 | 93% |
Trades (full period)
latest 100 of 1008
| 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 | |
| 2026-08-18 | 2026-08-19 | $336.87 | $351.12 | -0.92% | 2 | |
| 2026-08-14 | 2026-08-17 | $342.27 | $339.30 | 0.48% | 2 | |
| 2026-08-12 | 2026-08-13 | $327.51 | $339.96 | -1.79% | 2 | |
| 2026-08-10 | 2026-08-11 | $330.88 | $332.81 | 0.50% | 2 | |
| 2026-08-06 | 2026-08-07 | $319.53 | $328.58 | -0.83% | 2 | |
| 2026-08-04 | 2026-08-05 | $327.35 | $321.55 | 1.43% | 2 | |
| 2026-07-31 | 2026-08-03 | $311.21 | $322.08 | 0.56% | 2 | |
| 2026-07-29 | 2026-07-30 | $298.32 | $308.85 | -3.16% | 2 | |
| 2026-07-27 | 2026-07-28 | $309.22 | $307.44 | -1.42% | 2 | |
| 2026-07-23 | 2026-07-24 | $319.69 | $313.03 | -14.71% | 2 | |
| 2026-07-21 | 2026-07-22 | $378.93 | $374.01 | 2.33% | 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 | |
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -3.38% | 2 | |
| 2026-07-09 | 2026-07-10 | $406.55 | $407.76 | 2.97% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -7.68% | 2 | |
| 2026-06-30 | 2026-07-01 | $420.60 | $425.30 | 1.93% | 2 | |
| 2026-06-26 | 2026-06-29 | $379.71 | $411.84 | 1.02% | 2 | |
| 2026-06-24 | 2026-06-25 | $375.53 | $375.12 | -1.79% | 2 | |
| 2026-06-22 | 2026-06-23 | $405.05 | $381.61 | 0.94% | 2 | |
| 2026-06-17 | 2026-06-18 | $396.38 | $400.49 | -2.24% | 2 | |
| 2026-06-15 | 2026-06-16 | $411.15 | $404.66 | 0.96% | 2 | |
| 2026-06-11 | 2026-06-12 | $399.15 | $406.43 | 4.40% | 2 | |
| 2026-06-09 | 2026-06-10 | $396.68 | $381.59 | -3.20% | 2 | |
| 2026-06-05 | 2026-06-08 | $391.00 | $408.95 | -6.75% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -4.76% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.19% | 2 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.58% | 2 | |
| 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 | |
| 2026-05-15 | 2026-05-18 | $422.24 | $409.99 | -4.95% | 2 | |
| 2026-05-13 | 2026-05-14 | $445.27 | $443.30 | 2.52% | 2 | |
| 2026-05-11 | 2026-05-12 | $445.00 | $433.45 | 3.68% | 2 | |
| 2026-05-07 | 2026-05-08 | $411.79 | $428.35 | 3.07% | 2 | |
| 2026-05-05 | 2026-05-06 | $389.37 | $398.73 | -1.00% | 2 | |
| 2026-05-01 | 2026-05-04 | $390.82 | $392.51 | 2.21% | 2 | |
| 2026-04-29 | 2026-04-30 | $372.80 | $381.63 | -1.06% | 2 | |
| 2026-04-27 | 2026-04-28 | $378.67 | $376.02 | 0.43% | 2 | |
| 2026-04-23 | 2026-04-24 | $373.72 | $376.30 | -3.75% | 2 | |
| 2026-04-21 | 2026-04-22 | $386.42 | $387.51 | -1.75% | 2 | |
| 2026-04-17 | 2026-04-20 | $400.62 | $392.50 | 2.81% | 2 | |
| 2026-04-15 | 2026-04-16 | $391.95 | $388.90 | 7.41% | 2 | |
| 2026-04-13 | 2026-04-14 | $352.42 | $364.20 | 0.79% | 2 | |
| 2026-04-09 | 2026-04-10 | $345.62 | $348.95 | 0.49% | 2 | |
| 2026-04-07 | 2026-04-08 | $346.65 | $343.25 | -1.95% | 2 | |
| 2026-04-02 | 2026-04-06 | $360.59 | $352.82 | -5.62% | 2 | |
| 2026-03-31 | 2026-04-01 | $371.75 | $381.26 | 4.43% | 2 | |
| 2026-03-27 | 2026-03-30 | $361.83 | $355.28 | -2.96% | 2 | |
| 2026-03-25 | 2026-03-26 | $385.95 | $372.11 | 0.56% | 2 | |
| 2026-03-23 | 2026-03-24 | $380.85 | $383.03 | 3.30% | 2 | |
| 2026-03-19 | 2026-03-20 | $380.30 | $367.96 | -3.37% | 2 | |
| 2026-03-17 | 2026-03-18 | $399.27 | $392.78 | 0.74% | 2 | |
| 2026-03-13 | 2026-03-16 | $391.20 | $395.56 | -1.16% | 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 | |
| 2026-02-23 | 2026-02-24 | $399.83 | $409.38 | -3.11% | 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 | |
| 2026-02-10 | 2026-02-13 | $425.21 | $417.44 | -0.26% | 4 | |
| 2026-02-06 | 2026-02-09 | $411.11 | $417.32 | 3.30% | 2 | |
| 2025-09-12 | 2026-02-05 | $395.94 | $397.21 | 9.87% | 101 | |
| 2025-09-10 | 2025-09-11 | $347.79 | $368.81 | 0.04% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-09-02 | 2025-09-03 | $329.36 | $334.09 | -1.55% | 2 | |
| 2025-08-28 | 2025-08-29 | $345.98 | $333.87 | -1.23% | 2 | |
| 2025-08-26 | 2025-08-27 | $351.67 | $349.60 | 1.26% | 2 | |
| 2025-08-22 | 2025-08-25 | $340.01 | $346.60 | 6.01% | 2 | |
| 2025-08-20 | 2025-08-21 | $323.90 | $320.11 | -1.84% | 2 | |
| 2025-08-18 | 2025-08-19 | $335.16 | $329.31 | 1.19% | 2 | |
| 2025-08-14 | 2025-08-15 | $335.58 | $330.56 | -1.32% | 2 | |
| 2025-08-12 | 2025-08-13 | $340.84 | $339.38 | 0.33% | 2 | |
| 2025-08-08 | 2025-08-11 | $329.65 | $339.03 | 2.09% | 2 | |
| 2025-08-06 | 2025-08-07 | $319.91 | $322.27 | 3.42% | 2 | |
| 2025-08-04 | 2025-08-05 | $309.26 | $308.72 | 1.99% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-25 | 2025-07-28 | $316.06 | $325.59 | 3.32% | 2 | |
| 2025-07-23 | 2025-07-24 | $332.56 | $305.30 | -0.06% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.55% | 2 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.90% | 2 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -2.13% | 2 | |
| 2025-07-11 | 2025-07-14 | $313.51 | $316.90 | 0.97% | 2 |