Strategy Zoo / S0116
PriceMomentum_V0116
ARCHIVEDmomentumparameterchanged ret_20d threshold -0.1003 -> -0.1446
Fitness
0.6335
Generation
5
Complexity
2
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> -0.1003
Children (4)
Strategy Logic (pseudocode)
# PriceMomentum_V0116 [momentum]
if flat and ret_20d > 0.05:
position = 1.0
if long and ret_20d < -0.1446:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 22.8% | 122.0% | -4.2% | 30.4% |
| Total Return | 414.7% | 994.0% | -14.6% | 4848.9% |
| Sharpe | 0.71 | 1.73 | 0.14 | 0.81 |
| Sortino | 0.95 | 2.11 | 0.18 | 1.06 |
| Calmar | 0.35 | 2.81 | -0.07 | 0.47 |
| Volatility | 40.5% | 54.9% | 46.0% | 45.2% |
| Max DD | -64.9% | -43.4% | -63.6% | -64.9% |
| Win Rate | 47.4% | 62.5% | 50.0% | 51.2% |
| Avg Win | 59.6% | 87.0% | 14.2% | 57.1% |
| Avg Loss | -14.5% | -11.9% | -14.4% | -14.1% |
| Payoff | 4.11 | 7.34 | 0.99 | 4.06 |
| Expectancy | 20.6% | 49.9% | -0.1% | 22.4% |
| Profit Factor | 3.70 | 10.00 | 0.99 | 4.27 |
| Trades | 19 | 8 | 14 | 41 |
| Avg Holding Days | 76.6 | 65.6 | 48.3 | 66.7 |
| Turnover | 4.9 | 5.3 | 7.8 | 5.7 |
| Exposure | 75.2% | 68.4% | 73.3% | 73.4% |
Growth of $100
PriceMomentum_V0116 vs TSLA Buy & Hold
PriceMomentum_V0116 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 | -8.5% | -0.15 | -34.6% | 2 |
| 2017 | 17.3% | 0.66 | -33.6% | 2 |
| 2018 | -8.5% | 0.03 | -43.9% | 3 |
| 2019 | 16.6% | 0.59 | -37.8% | 3 |
| 2020 | 842.7% | 3.35 | -33.7% | 2 |
| 2021 | 51.1% | 1.20 | -26.1% | 3 |
| 2022 | -26.5% | -0.64 | -31.4% | 3 |
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 | -17.6% | -0.40 | 50% |
| hidden test | EXPENSIVE | 83 | 33.9% | 0.68 | 81% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 37.7% | 0.64 | 61% |
| hidden test | LOW VOLATILITY | 429 | 30.0% | 0.83 | 80% |
| hidden test | MEDIUM VOLATILITY | 248 | -67.0% | -1.45 | 74% |
| hidden test | NORMAL | 800 | -7.3% | -0.17 | 71% |
| hidden test | SIDEWAYS | 293 | -34.6% | -0.84 | 79% |
| hidden test | UPTREND | 371 | 55.7% | 1.10 | 86% |
| train | DOWNTREND | 518 | -11.0% | -0.33 | 64% |
| train | EXPENSIVE | 311 | 84.9% | 1.94 | 84% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 57.1% | 1.11 | 66% |
| train | LOW VOLATILITY | 745 | 35.0% | 1.17 | 84% |
| train | MEDIUM VOLATILITY | 568 | -14.8% | -0.40 | 76% |
| train | NORMAL | 1,601 | -6.5% | -0.18 | 72% |
| train | SIDEWAYS | 592 | -16.6% | -0.45 | 66% |
| train | UPTREND | 902 | 81.0% | 1.76 | 88% |
| validation | DOWNTREND | 125 | 48.7% | 1.87 | 22% |
| validation | EXPENSIVE | 138 | 96.2% | 1.59 | 83% |
| validation | EXTREME | 144 | 378.9% | 4.47 | 95% |
| validation | HIGH VOLATILITY | 258 | 117.3% | 1.68 | 56% |
| validation | LOW VOLATILITY | 183 | 56.0% | 1.69 | 87% |
| validation | MEDIUM VOLATILITY | 315 | 99.2% | 1.93 | 67% |
| validation | NORMAL | 474 | 8.2% | 0.21 | 56% |
| validation | SIDEWAYS | 206 | -17.5% | -0.41 | 62% |
| validation | UPTREND | 425 | 162.9% | 2.49 | 85% |
Trades (full period)
42 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 5.19% | 20 | OPEN |
| 2026-07-13 | 2026-07-24 | $394.76 | $313.03 | -21.76% | 10 | |
| 2026-04-20 | 2026-06-26 | $392.50 | $379.71 | -6.55% | 48 | |
| 2025-04-29 | 2026-04-10 | $292.03 | $348.95 | 20.66% | 239 | |
| 2025-04-08 | 2025-04-23 | $221.86 | $250.74 | 1.80% | 11 | |
| 2024-11-07 | 2025-02-12 | $296.91 | $336.51 | 13.63% | 65 | |
| 2024-09-04 | 2024-10-24 | $219.41 | $260.48 | 1.25% | 37 | |
| 2024-04-30 | 2024-08-05 | $183.28 | $198.88 | 6.80% | 67 | |
| 2024-04-15 | 2024-04-19 | $161.48 | $147.05 | -12.53% | 5 | |
| 2024-02-26 | 2024-03-18 | $199.40 | $173.80 | -14.96% | 16 | |
| 2023-11-17 | 2024-01-18 | $234.30 | $211.88 | -7.91% | 41 | |
| 2023-09-12 | 2023-10-27 | $267.48 | $207.30 | -24.94% | 34 | |
| 2023-05-19 | 2023-08-15 | $180.14 | $232.96 | 35.27% | 60 | |
| 2023-04-10 | 2023-04-21 | $184.51 | $165.08 | -12.10% | 10 | |
| 2023-01-25 | 2023-03-13 | $144.43 | $174.48 | 20.30% | 33 | |
| 2022-06-22 | 2022-10-06 | $236.09 | $238.13 | 1.39% | 75 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -5.04% | 26 | |
| 2022-01-04 | 2022-01-26 | $383.20 | $312.47 | -23.61% | 16 | |
| 2021-06-14 | 2021-12-06 | $205.90 | $336.34 | 66.09% | 123 | |
| 2021-04-05 | 2021-05-12 | $230.35 | $196.63 | -6.91% | 28 | |
| 2020-10-07 | 2021-02-23 | $141.77 | $232.95 | 72.25% | 95 | |
| 2020-04-14 | 2020-09-30 | $47.33 | $143.00 | 221.27% | 119 | |
| 2019-09-12 | 2020-03-05 | $16.39 | $48.30 | 202.71% | 121 | |
| 2019-06-18 | 2019-08-16 | $14.98 | $14.66 | -4.36% | 43 | |
| 2019-02-28 | 2019-04-29 | $21.33 | $16.10 | -25.44% | 42 | |
| 2018-10-04 | 2019-01-04 | $18.79 | $21.18 | 1.68% | 63 | |
| 2018-08-03 | 2018-09-05 | $23.21 | $18.72 | -17.50% | 23 | |
| 2018-04-27 | 2018-07-30 | $19.61 | $19.34 | 3.89% | 65 | |
| 2017-12-12 | 2018-03-27 | $22.74 | $18.61 | -7.70% | 72 | |
| 2017-08-04 | 2017-11-03 | $23.79 | $20.41 | -13.95% | 65 | |
| 2016-06-08 | 2017-07-10 | $15.70 | $21.07 | 34.54% | 274 | |
| 2016-03-04 | 2016-05-05 | $13.40 | $14.10 | 13.48% | 44 | |
| 2015-11-09 | 2016-01-26 | $15.02 | $12.90 | -15.66% | 53 | |
| 2015-09-21 | 2015-10-13 | $17.61 | $14.62 | -17.45% | 17 | |
| 2015-02-10 | 2015-08-26 | $14.42 | $14.99 | 0.97% | 138 | |
| 2014-11-11 | 2014-12-11 | $16.74 | $13.93 | -13.43% | 22 | |
| 2014-05-28 | 2014-10-01 | $14.02 | $16.02 | 14.48% | 89 | |
| 2013-12-13 | 2014-03-27 | $9.84 | $13.82 | 44.12% | 71 | |
| 2012-11-06 | 2013-10-29 | $2.08 | $10.96 | 415.98% | 247 | |
| 2012-08-24 | 2012-10-16 | $1.97 | $1.87 | -11.25% | 37 | |
| 2012-06-19 | 2012-08-03 | $2.14 | $1.82 | -18.19% | 33 | |
| 2012-02-02 | 2012-04-25 | $2.02 | $2.19 | 7.36% | 58 |