Strategy Zoo / S0106
PriceMomentum_V0106
ARCHIVEDmomentumcrossoverentry = PriceMomentum_V0054 OR MACDMomentum_V0005
Fitness
0.4893
Generation
5
Complexity
8
Created
2026-09-18
Lineage
Parents (2)
seed strategy
reduce exposure to 68% during MEDIUM_VOLATILITY
Children (1)
Strategy Logic (pseudocode)
# PriceMomentum_V0106 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 or (macd_hist > 0.0 and close > sma_50)):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 12.7% | 57.4% | 12.5% | 20.9% |
| Total Return | 160.6% | 289.9% | 54.7% | 1518.3% |
| Sharpe | 0.57 | 1.35 | 0.54 | 0.76 |
| Sortino | 0.56 | 1.40 | 0.49 | 0.74 |
| Calmar | 0.22 | 1.94 | 0.29 | 0.36 |
| Volatility | 27.8% | 39.3% | 29.9% | 31.0% |
| Max DD | -58.4% | -29.6% | -43.3% | -58.4% |
| Win Rate | 43.6% | 55.1% | 43.3% | 46.4% |
| Avg Win | 6.5% | 7.3% | 7.9% | 7.3% |
| Avg Loss | -3.2% | -3.4% | -4.1% | -3.4% |
| Payoff | 2.07 | 2.16 | 1.94 | 2.14 |
| Expectancy | 1.1% | 2.5% | 1.1% | 1.6% |
| Profit Factor | 1.60 | 2.65 | 1.48 | 1.85 |
| Trades | 149 | 69 | 60 | 278 |
| Avg Holding Days | 5.2 | 5.2 | 5.7 | 5.4 |
| Turnover | 36.0 | 42.2 | 31.6 | 36.1 |
| Exposure | 29.6% | 33.2% | 28.0% | 30.0% |
Growth of $100
PriceMomentum_V0106 vs TSLA Buy & Hold
PriceMomentum_V0106 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 | 25.0% | 2.02 | -8.8% | 12 |
| 2017 | -2.9% | -0.05 | -21.4% | 21 |
| 2018 | -32.4% | -1.29 | -39.1% | 17 |
| 2019 | 15.9% | 0.71 | -22.3% | 11 |
| 2020 | 237.2% | 2.37 | -24.2% | 36 |
| 2021 | 38.2% | 1.45 | -11.6% | 20 |
| 2022 | -23.8% | -1.15 | -29.6% | 12 |
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 | 4.6% | 0.15 | 34% |
| hidden test | EXPENSIVE | 83 | 42.6% | 0.92 | 48% |
| hidden test | EXTREME | 48 | 143.2% | 3.19 | 45% |
| hidden test | HIGH VOLATILITY | 254 | 22.7% | 0.55 | 42% |
| hidden test | LOW VOLATILITY | 429 | 41.4% | 1.87 | 24% |
| hidden test | MEDIUM VOLATILITY | 248 | -33.9% | -1.25 | 21% |
| hidden test | NORMAL | 800 | 5.9% | 0.22 | 25% |
| hidden test | SIDEWAYS | 293 | -8.9% | -0.65 | 5% |
| hidden test | UPTREND | 371 | 44.5% | 1.20 | 42% |
| train | DOWNTREND | 518 | -1.3% | -0.07 | 22% |
| train | EXPENSIVE | 311 | 17.6% | 0.58 | 49% |
| train | EXTREME | 100 | 337.2% | 4.83 | 78% |
| train | HIGH VOLATILITY | 699 | 28.7% | 0.74 | 32% |
| train | LOW VOLATILITY | 745 | 20.1% | 0.98 | 36% |
| train | MEDIUM VOLATILITY | 568 | -5.8% | -0.31 | 18% |
| train | NORMAL | 1,601 | -4.7% | -0.22 | 23% |
| train | SIDEWAYS | 592 | 6.4% | 0.44 | 4% |
| train | UPTREND | 902 | 31.7% | 0.85 | 51% |
| validation | DOWNTREND | 125 | 38.9% | 1.77 | 18% |
| validation | EXPENSIVE | 138 | 53.4% | 1.50 | 36% |
| validation | EXTREME | 144 | 211.2% | 2.98 | 65% |
| validation | HIGH VOLATILITY | 258 | 59.4% | 1.05 | 38% |
| validation | LOW VOLATILITY | 183 | 16.9% | 0.84 | 35% |
| validation | MEDIUM VOLATILITY | 315 | 68.7% | 2.32 | 29% |
| validation | NORMAL | 474 | 4.8% | 0.21 | 23% |
| validation | SIDEWAYS | 206 | -11.3% | -1.21 | 2% |
| validation | UPTREND | 425 | 88.3% | 1.75 | 53% |
Trades (full period)
latest 100 of 279
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | — | $363.40 | — | -0.59% | 1 | OPEN |
| 2026-08-21 | 2026-09-17 | $362.86 | $366.20 | 3.20% | 19 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -4.50% | 3 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-21 | 2026-05-08 | $386.42 | $428.35 | 6.17% | 14 | |
| 2026-04-16 | 2026-04-20 | $388.90 | $392.50 | 1.37% | 3 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.12% | 18 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.51% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -3.67% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.45% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.17% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.62% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -3.16% | 2 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 15.10% | 17 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-21 | 2025-08-22 | $320.11 | $340.01 | -1.37% | 2 | |
| 2025-08-07 | 2025-08-11 | $322.27 | $339.03 | 2.84% | 3 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -3.77% | 4 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -7.79% | 5 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.55% | 2 | |
| 2025-05-22 | 2025-06-03 | $341.04 | $344.27 | 2.46% | 8 | |
| 2025-04-28 | 2025-05-12 | $285.88 | $318.38 | 4.46% | 11 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 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 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 14.78% | 13 | |
| 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 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 27.55% | 25 | |
| 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 | -2.42% | 2 | |
| 2024-09-04 | 2024-09-27 | $219.41 | $260.46 | 16.00% | 18 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -7.57% | 9 | |
| 2024-07-31 | 2024-08-01 | $232.07 | $216.86 | 4.04% | 2 | |
| 2024-07-29 | 2024-07-30 | $232.10 | $222.62 | 5.39% | 2 | |
| 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 | |
| 2024-07-02 | 2024-07-22 | $231.26 | $251.51 | 12.36% | 14 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2024-04-15 | 2024-04-17 | $161.48 | $155.45 | -7.52% | 3 | |
| 2024-02-26 | 2024-03-07 | $199.40 | $178.65 | -8.22% | 9 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -4.92% | 4 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.55% | 2 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -9.93% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 1.05% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.61% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.33% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -0.93% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 15.93% | 17 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -4.23% | 2 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.56% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.64% | 2 | |
| 2022-06-22 | 2022-08-02 | $236.09 | $300.59 | 19.81% | 29 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 1.48% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.62% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.63% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -7.32% | 5 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -2.02% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2021-12-28 | 2022-01-12 | $362.82 | $368.74 | -5.56% | 12 | |
| 2021-11-24 | 2021-11-26 | $372.00 | $360.64 | 0.29% | 2 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.54% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.48% | 2 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.88% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -3.03% | 2 | |
| 2021-10-12 | 2021-11-11 | $268.57 | $354.50 | 35.01% | 23 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.88% | 9 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.03% | 2 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.61% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.11% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -3.67% | 9 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.04% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -1.55% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 3.83% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -2.40% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.04% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 10.75% | 14 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 0.93% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.10% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 1.53% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.66% | 4 | |
| 2020-11-19 | 2020-12-17 | $166.42 | $218.63 | 18.49% | 20 | |
| 2020-11-09 | 2020-11-11 | $140.42 | $139.04 | -4.75% | 3 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.37% | 2 |