Strategy Zoo / S0096
PriceMomentum_V0096
ARCHIVEDmomentumstructuralreduce exposure to 41% during EXPENSIVE; added entry filter: roc_20 < 20.4303
Fitness
0.2434
Generation
4
Complexity
6
Created
2026-09-18
Lineage
Parents (1)
swapped indicator ret_20d -> ret_1d
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0096 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and roc_20 < 20.4303):
position = 1.0
if long and ret_1d < 0.044:
position = 0.0 # exit to cash
if regime.bubble == "EXPENSIVE": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -2.1% | 20.5% | -5.9% | 1.1% |
| Total Return | -15.4% | 74.8% | -20.0% | 18.2% |
| Sharpe | -0.09 | 1.13 | -0.28 | 0.15 |
| Sortino | -0.06 | 0.81 | -0.16 | 0.10 |
| Calmar | -0.06 | 1.38 | -0.18 | 0.03 |
| Volatility | 13.2% | 17.9% | 16.6% | 15.1% |
| Max DD | -34.1% | -14.9% | -32.3% | -34.1% |
| Win Rate | 49.2% | 57.7% | 45.9% | 50.2% |
| Avg Win | 1.6% | 2.9% | 2.5% | 2.0% |
| Avg Loss | -1.6% | -2.1% | -2.6% | -1.9% |
| Payoff | 0.98 | 1.40 | 0.98 | 1.08 |
| Expectancy | -0.0% | 0.8% | -0.2% | 0.1% |
| Profit Factor | 0.95 | 1.90 | 0.84 | 1.09 |
| Trades | 250 | 78 | 74 | 402 |
| Avg Holding Days | 2.0 | 2.2 | 2.1 | 2.1 |
| Turnover | 51.8 | 46.9 | 38.1 | 47.4 |
| Exposure | 10.7% | 10.9% | 8.4% | 10.1% |
Growth of $100
PriceMomentum_V0096 vs TSLA Buy & Hold
PriceMomentum_V0096 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 | 2.9% | 0.40 | -10.4% | 19 |
| 2017 | 4.8% | 0.54 | -9.1% | 49 |
| 2018 | -8.0% | -0.48 | -13.8% | 19 |
| 2019 | -12.8% | -0.95 | -14.8% | 22 |
| 2020 | 92.3% | 2.74 | -10.8% | 32 |
| 2021 | -1.8% | -0.07 | -13.0% | 30 |
| 2022 | -7.6% | -0.63 | -8.4% | 15 |
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 | -31.0% | -1.63 | 13% |
| hidden test | EXPENSIVE | 83 | 14.4% | 0.67 | 8% |
| hidden test | EXTREME | 48 | 21.0% | 1.51 | 6% |
| hidden test | HIGH VOLATILITY | 254 | -23.1% | -1.27 | 9% |
| hidden test | LOW VOLATILITY | 429 | 0.1% | 0.00 | 8% |
| hidden test | MEDIUM VOLATILITY | 248 | 6.1% | 0.32 | 8% |
| hidden test | NORMAL | 800 | -8.2% | -0.51 | 9% |
| hidden test | SIDEWAYS | 293 | -1.7% | -0.30 | 2% |
| hidden test | UPTREND | 371 | 11.9% | 0.59 | 10% |
| train | DOWNTREND | 518 | -2.2% | -0.22 | 8% |
| train | EXPENSIVE | 311 | 11.0% | 1.18 | 12% |
| train | EXTREME | 100 | 75.3% | 3.19 | 21% |
| train | HIGH VOLATILITY | 699 | 5.6% | 0.42 | 7% |
| train | LOW VOLATILITY | 745 | -0.5% | -0.04 | 16% |
| train | MEDIUM VOLATILITY | 568 | -10.6% | -0.82 | 8% |
| train | NORMAL | 1,601 | -8.4% | -0.65 | 10% |
| train | SIDEWAYS | 592 | 3.3% | 0.61 | 1% |
| train | UPTREND | 902 | -3.6% | -0.21 | 18% |
| validation | DOWNTREND | 125 | 7.8% | 0.84 | 6% |
| validation | EXPENSIVE | 138 | 2.6% | 0.13 | 8% |
| validation | EXTREME | 144 | 121.4% | 4.23 | 20% |
| validation | HIGH VOLATILITY | 258 | 40.0% | 1.86 | 11% |
| validation | LOW VOLATILITY | 183 | -3.3% | -0.25 | 16% |
| validation | MEDIUM VOLATILITY | 315 | 17.6% | 1.04 | 8% |
| validation | NORMAL | 474 | -5.4% | -0.49 | 9% |
| validation | SIDEWAYS | 206 | -7.4% | -1.63 | 1% |
| validation | UPTREND | 425 | 37.2% | 1.61 | 17% |
Trades (full period)
latest 100 of 402
| 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 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-12-29 | 2025-12-30 | $459.64 | $454.43 | -3.47% | 2 | |
| 2025-12-24 | 2025-12-26 | $485.40 | $475.19 | -0.23% | 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 | -1.52% | 2 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 0.98% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -1.47% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -0.71% | 2 | |
| 2025-10-10 | 2025-10-13 | $413.49 | $435.90 | -2.16% | 2 | |
| 2025-09-12 | 2025-09-16 | $395.94 | $421.62 | 8.71% | 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 | |
| 2025-06-03 | 2025-06-04 | $344.27 | $332.05 | 0.26% | 2 | |
| 2025-05-27 | 2025-05-29 | $362.89 | $358.43 | 6.01% | 3 | |
| 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 | |
| 2024-12-11 | 2024-12-13 | $424.77 | $436.23 | 4.06% | 3 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 1.11% | 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 | |
| 2024-09-24 | 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 | |
| 2024-07-02 | 2024-07-08 | $231.26 | $252.94 | 19.62% | 4 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-05-23 | 2024-05-24 | $173.74 | $179.24 | -3.73% | 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 | |
| 2023-07-13 | 2023-07-14 | $277.90 | $281.38 | 1.97% | 2 | |
| 2023-07-11 | 2023-07-12 | $269.79 | $271.99 | -0.13% | 2 | |
| 2023-05-30 | 2023-05-31 | $201.16 | $203.93 | 3.93% | 2 | |
| 2023-05-25 | 2023-05-26 | $184.47 | $193.17 | 0.66% | 2 | |
| 2023-05-23 | 2023-05-24 | $185.77 | $182.90 | -1.84% | 2 | |
| 2023-05-19 | 2023-05-22 | $180.14 | $188.87 | 1.64% | 2 | |
| 2023-01-25 | 2023-01-26 | $144.43 | $160.27 | 0.17% | 2 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -2.77% | 2 | |
| 2022-08-19 | 2022-08-22 | $296.67 | $289.91 | -2.25% | 2 | |
| 2022-07-28 | 2022-07-29 | $280.90 | $297.15 | 2.01% | 2 | |
| 2022-07-26 | 2022-07-27 | $258.86 | $274.82 | -3.76% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-07-19 | 2022-07-20 | $245.53 | $247.50 | 1.87% | 2 | |
| 2022-07-14 | 2022-07-15 | $238.31 | $240.07 | 0.34% | 2 | |
| 2022-06-24 | 2022-06-28 | $245.71 | $232.66 | 3.99% | 3 | |
| 2022-06-22 | 2022-06-23 | $236.09 | $235.07 | -0.60% | 2 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -5.15% | 2 | |
| 2022-04-18 | 2022-04-19 | $334.76 | $342.72 | 1.76% | 2 | |
| 2022-01-19 | 2022-01-20 | $331.88 | $332.09 | -3.58% | 2 | |
| 2022-01-14 | 2022-01-18 | $349.87 | $343.50 | 1.55% | 2 | |
| 2022-01-12 | 2022-01-13 | $368.74 | $343.85 | 3.73% | 2 | |
| 2022-01-04 | 2022-01-05 | $383.20 | $362.71 | -4.38% | 2 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -3.25% | 2 | |
| 2021-11-23 | 2021-11-24 | $369.68 | $372.00 | -4.33% | 2 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.88% | 2 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 1.55% | 2 | |
| 2021-10-20 | 2021-10-21 | $288.60 | $298.00 | -0.02% | 2 | |
| 2021-10-18 | 2021-10-19 | $290.04 | $288.09 | 3.01% | 2 | |
| 2021-10-14 | 2021-10-15 | $272.77 | $281.01 | 0.69% | 2 | |
| 2021-10-12 | 2021-10-13 | $268.57 | $270.36 | 1.54% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-10-05 | 2021-10-06 | $260.20 | $260.92 | -0.32% | 2 | |
| 2021-10-01 | 2021-10-04 | $258.41 | $260.51 | -0.23% | 2 |