Strategy Zoo / S0118
PriceMomentum_V0118
ARCHIVEDmomentumstructuralreplaced exit rule with: sma_100 > ema_20
Fitness
0.5005
Generation
5
Complexity
3
Created
2026-09-18
Lineage
Parents (1)
restricted to trend regimes ['DOWNTREND', 'UPTREND']
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0118 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.05:
position = 1.0
if long and sma_100 > ema_20:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 23.3% | 47.9% | 21.3% | 27.7% |
| Total Return | 431.1% | 223.8% | 104.1% | 3513.4% |
| Sharpe | 0.80 | 0.97 | 0.70 | 0.81 |
| Sortino | 0.83 | 1.03 | 0.71 | 0.81 |
| Calmar | 0.39 | 0.79 | 0.43 | 0.46 |
| Volatility | 32.7% | 56.7% | 37.8% | 40.0% |
| Max DD | -59.1% | -60.7% | -49.7% | -60.7% |
| Win Rate | 49.3% | 44.4% | 62.0% | 53.8% |
| Avg Win | 12.2% | 33.3% | 5.1% | 11.7% |
| Avg Loss | -3.3% | -6.7% | -3.8% | -3.8% |
| Payoff | 3.74 | 5.00 | 1.34 | 3.11 |
| Expectancy | 4.4% | 11.1% | 1.7% | 4.6% |
| Profit Factor | 3.65 | 4.00 | 2.18 | 3.63 |
| Trades | 75 | 18 | 50 | 143 |
| Avg Holding Days | 12.6 | 24.1 | 8.3 | 12.8 |
| Turnover | 18.9 | 12.0 | 27.1 | 19.5 |
| Exposure | 45.4% | 54.9% | 39.0% | 45.8% |
Growth of $100
PriceMomentum_V0118 vs TSLA Buy & Hold
PriceMomentum_V0118 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 | 2.5% | 0.23 | -22.9% | 19 |
| 2017 | 37.7% | 1.19 | -19.5% | 2 |
| 2018 | -41.7% | -2.07 | -41.8% | 10 |
| 2019 | 32.0% | 1.42 | -14.0% | 15 |
| 2020 | 279.0% | 2.05 | -60.7% | 3 |
| 2021 | 32.1% | 0.82 | -36.2% | 2 |
| 2022 | -45.5% | -2.45 | -45.3% | 13 |
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% | 0.20 | 16% |
| hidden test | EXPENSIVE | 83 | 132.3% | 1.92 | 93% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 32.8% | 0.62 | 46% |
| hidden test | LOW VOLATILITY | 429 | 42.7% | 1.72 | 32% |
| hidden test | MEDIUM VOLATILITY | 248 | -8.4% | -0.22 | 44% |
| hidden test | NORMAL | 800 | 5.9% | 0.19 | 30% |
| hidden test | SIDEWAYS | 293 | -20.9% | -1.32 | 4% |
| hidden test | UPTREND | 371 | 79.5% | 1.45 | 83% |
| train | DOWNTREND | 518 | -1.7% | -0.16 | 10% |
| train | EXPENSIVE | 311 | 51.3% | 1.12 | 84% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 38.4% | 0.93 | 37% |
| train | LOW VOLATILITY | 745 | 31.4% | 1.33 | 52% |
| train | MEDIUM VOLATILITY | 568 | 4.3% | 0.14 | 48% |
| train | NORMAL | 1,601 | -3.0% | -0.13 | 35% |
| train | SIDEWAYS | 592 | -5.7% | -0.43 | 5% |
| train | UPTREND | 902 | 63.1% | 1.35 | 92% |
| validation | DOWNTREND | 125 | 8.4% | 0.91 | 6% |
| validation | EXPENSIVE | 138 | -11.2% | -0.17 | 86% |
| validation | EXTREME | 144 | 357.0% | 4.17 | 92% |
| validation | HIGH VOLATILITY | 258 | 92.4% | 1.17 | 56% |
| validation | LOW VOLATILITY | 183 | 24.4% | 0.94 | 51% |
| validation | MEDIUM VOLATILITY | 315 | 42.9% | 0.91 | 56% |
| validation | NORMAL | 474 | -17.0% | -0.44 | 35% |
| validation | SIDEWAYS | 206 | -56.2% | -2.24 | 5% |
| validation | UPTREND | 425 | 123.2% | 1.68 | 93% |
Trades (full period)
latest 100 of 143
| 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 | |
| 2026-05-29 | 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 | |
| 2025-09-12 | 2026-01-13 | $395.94 | $447.20 | 21.50% | 85 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-07 | 2025-08-11 | $322.27 | $339.03 | 2.84% | 3 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-05-27 | 2025-06-06 | $362.89 | $295.14 | -16.26% | 9 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.72% | 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 | |
| 2024-10-03 | 2025-02-24 | $240.66 | $330.53 | 35.38% | 97 | |
| 2024-07-02 | 2024-09-27 | $231.26 | $260.46 | 20.91% | 62 | |
| 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 | |
| 2023-06-02 | 2023-09-05 | $213.97 | $256.49 | 17.83% | 65 | |
| 2023-05-23 | 2023-05-31 | $185.77 | $203.93 | 6.29% | 6 | |
| 2023-05-19 | 2023-05-22 | $180.14 | $188.87 | 1.64% | 2 | |
| 2023-02-08 | 2023-02-09 | $201.29 | $207.32 | 2.07% | 2 | |
| 2023-02-06 | 2023-02-07 | $194.76 | $196.81 | 2.31% | 2 | |
| 2023-02-02 | 2023-02-03 | $188.27 | $189.98 | 3.58% | 2 | |
| 2023-01-31 | 2023-02-01 | $173.22 | $181.41 | 3.73% | 2 | |
| 2023-01-27 | 2023-01-30 | $177.90 | $166.66 | 10.79% | 2 | |
| 2023-01-25 | 2023-01-26 | $144.43 | $160.27 | 0.17% | 2 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-08-01 | 2022-08-02 | $297.28 | $300.59 | -0.16% | 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 | 2022-06-27 | $245.71 | $244.92 | 4.32% | 2 | |
| 2022-06-22 | 2022-06-23 | $236.09 | $235.07 | -0.60% | 2 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2021-08-24 | 2022-01-20 | $236.16 | $332.09 | 40.69% | 104 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-11-19 | 2021-03-17 | $166.42 | $233.94 | 38.82% | 80 | |
| 2020-05-15 | 2020-11-13 | $53.28 | $136.17 | 155.77% | 128 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-19 | $21.88 | $28.51 | 20.30% | 100 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 5.72% | 13 | |
| 2019-07-19 | 2019-07-22 | $17.21 | $17.05 | 1.63% | 2 | |
| 2019-07-17 | 2019-07-18 | $16.99 | $16.90 | 0.78% | 2 | |
| 2019-07-15 | 2019-07-16 | $16.90 | $16.83 | 3.23% | 2 | |
| 2019-07-11 | 2019-07-12 | $15.91 | $16.34 | -0.33% | 2 | |
| 2019-07-09 | 2019-07-10 | $15.34 | $15.93 | -0.32% | 2 | |
| 2019-07-05 | 2019-07-08 | $15.54 | $15.36 | -0.97% | 2 | |
| 2019-07-02 | 2019-07-03 | $14.97 | $15.66 | -1.35% | 2 | |
| 2019-06-28 | 2019-07-01 | $14.90 | $15.14 | 0.08% | 2 | |
| 2019-06-26 | 2019-06-27 | $14.62 | $14.86 | -0.42% | 2 | |
| 2019-06-24 | 2019-06-25 | $14.91 | $14.65 | 0.60% | 2 | |
| 2019-06-20 | 2019-06-21 | $14.64 | $14.79 | -3.20% | 2 | |
| 2019-06-18 | 2019-06-19 | $14.98 | $15.10 | -0.33% | 2 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2018-11-29 | 2018-12-26 | $22.74 | $21.74 | -15.26% | 18 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-10-04 | 2018-10-05 | $18.79 | $17.46 | -4.60% | 2 | |
| 2018-08-22 | 2018-08-28 | $21.44 | $20.79 | -1.02% | 5 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-06-07 | 2018-06-08 | $21.07 | $21.18 | -1.27% | 2 | |
| 2018-05-01 | 2018-05-02 | $19.99 | $20.08 | 1.85% | 2 | |
| 2018-04-27 | 2018-04-30 | $19.61 | $19.59 | 2.81% | 2 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-09-18 | 2017-10-25 | $25.67 | $21.72 | -11.36% | 28 | |
| 2017-01-05 | 2017-08-24 | $15.12 | $23.53 | 55.10% | 161 | |
| 2016-12-27 | 2016-12-28 | $14.64 | $14.65 | 2.70% | 2 | |
| 2016-12-22 | 2016-12-23 | $13.90 | $14.22 | 0.16% | 2 | |
| 2016-12-20 | 2016-12-21 | $13.92 | $13.85 | 2.79% | 2 | |
| 2016-12-16 | 2016-12-19 | $13.50 | $13.52 | 2.28% | 2 | |
| 2016-12-14 | 2016-12-15 | $13.25 | $13.17 | 0.07% | 2 |