Strategy Zoo / S0124
PriceMomentum_V0124
ARCHIVEDhybridcrossoverentry = PriceMomentum_V0080 OR LongTermTrend_V0085
Fitness
0.5276
Generation
6
Complexity
13
Created
2026-09-18
Lineage
Parents (2)
entry = PriceMomentum_V0078 OR Breakout20_V0040
entry = LongTermTrend_V0021 OR PriceMomentum_V0003
Children (1)
Strategy Logic (pseudocode)
# PriceMomentum_V0124 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ((ret_20d > 0.05 or (breakout_20 == 1 and sma_50 > sma_200)) or ((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05)):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.7% | 78.1% | 12.0% | 24.4% |
| Total Return | 178.0% | 464.6% | 51.8% | 2352.5% |
| Sharpe | 0.55 | 1.31 | 0.49 | 0.75 |
| Sortino | 0.57 | 1.39 | 0.49 | 0.76 |
| Calmar | 0.18 | 1.51 | 0.23 | 0.32 |
| Volatility | 32.8% | 55.9% | 37.9% | 39.8% |
| Max DD | -75.8% | -51.8% | -51.3% | -75.8% |
| Win Rate | 42.5% | 46.3% | 48.6% | 45.0% |
| Avg Win | 8.4% | 17.3% | 6.8% | 10.5% |
| Avg Loss | -3.8% | -5.9% | -4.5% | -4.4% |
| Payoff | 2.20 | 2.95 | 1.50 | 2.38 |
| Expectancy | 1.4% | 4.9% | 1.0% | 2.3% |
| Profit Factor | 1.63 | 2.55 | 1.41 | 1.94 |
| Trades | 134 | 54 | 70 | 258 |
| Avg Holding Days | 7.3 | 8.3 | 6.3 | 7.4 |
| Turnover | 33.7 | 36.0 | 38.2 | 35.2 |
| Exposure | 44.5% | 52.2% | 41.8% | 45.4% |
Growth of $100
PriceMomentum_V0124 vs TSLA Buy & Hold
PriceMomentum_V0124 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 | 17.9% | 1.19 | -18.4% | 8 |
| 2017 | 14.8% | 0.63 | -28.6% | 26 |
| 2018 | -57.4% | -2.83 | -57.3% | 14 |
| 2019 | 45.3% | 1.54 | -22.5% | 9 |
| 2020 | 296.4% | 2.12 | -51.8% | 23 |
| 2021 | 78.5% | 1.58 | -21.5% | 23 |
| 2022 | -32.7% | -1.27 | -36.8% | 8 |
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 | 4.5% | 0.14 | 34% |
| hidden test | EXPENSIVE | 83 | 81.5% | 1.49 | 83% |
| hidden test | EXTREME | 48 | 201.1% | 3.26 | 88% |
| hidden test | HIGH VOLATILITY | 254 | 7.9% | 0.15 | 52% |
| hidden test | LOW VOLATILITY | 429 | 46.8% | 1.76 | 34% |
| hidden test | MEDIUM VOLATILITY | 248 | -19.9% | -0.52 | 44% |
| hidden test | NORMAL | 800 | 0.9% | 0.03 | 35% |
| hidden test | SIDEWAYS | 293 | -33.0% | -1.61 | 6% |
| hidden test | UPTREND | 371 | 69.1% | 1.38 | 75% |
| train | DOWNTREND | 518 | 0.7% | 0.04 | 22% |
| train | EXPENSIVE | 311 | 41.6% | 0.96 | 76% |
| train | EXTREME | 100 | 407.4% | 5.51 | 99% |
| train | HIGH VOLATILITY | 699 | 23.6% | 0.55 | 39% |
| train | LOW VOLATILITY | 745 | 31.1% | 1.31 | 52% |
| train | MEDIUM VOLATILITY | 568 | -5.6% | -0.19 | 43% |
| train | NORMAL | 1,601 | -10.8% | -0.44 | 35% |
| train | SIDEWAYS | 592 | -14.2% | -0.99 | 5% |
| train | UPTREND | 902 | 49.3% | 1.08 | 83% |
| validation | DOWNTREND | 125 | 43.5% | 1.99 | 14% |
| validation | EXPENSIVE | 138 | -2.6% | -0.04 | 80% |
| validation | EXTREME | 144 | 358.5% | 4.39 | 89% |
| validation | HIGH VOLATILITY | 258 | 93.3% | 1.19 | 55% |
| validation | LOW VOLATILITY | 183 | 23.8% | 0.94 | 48% |
| validation | MEDIUM VOLATILITY | 315 | 85.7% | 1.89 | 52% |
| validation | NORMAL | 474 | 8.8% | 0.23 | 33% |
| validation | SIDEWAYS | 206 | -59.1% | -2.25 | 5% |
| validation | UPTREND | 425 | 146.3% | 2.06 | 86% |
Trades (full period)
latest 100 of 259
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 5.19% | 20 | OPEN |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-29 | 2026-05-08 | $372.80 | $428.35 | 9.29% | 8 | |
| 2026-04-21 | 2026-04-24 | $386.42 | $376.30 | -4.98% | 4 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.83% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.81% | 2 | |
| 2026-02-10 | 2026-02-11 | $425.21 | $428.27 | 1.69% | 2 | |
| 2026-02-06 | 2026-02-09 | $411.11 | $417.32 | 3.30% | 2 | |
| 2026-02-04 | 2026-02-05 | $406.01 | $397.21 | -3.98% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -2.20% | 2 | |
| 2026-01-08 | 2026-01-13 | $435.80 | $447.20 | 3.86% | 4 | |
| 2025-12-03 | 2026-01-07 | $446.74 | $431.41 | 0.67% | 24 | |
| 2025-11-28 | 2025-12-02 | $430.17 | $429.24 | 0.63% | 3 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.19% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -1.25% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.48% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.93% | 2 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 8.79% | 46 | |
| 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 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -5.51% | 4 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -8.39% | 2 | |
| 2025-07-17 | 2025-07-23 | $319.41 | $332.56 | 3.04% | 5 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -2.13% | 2 | |
| 2025-07-03 | 2025-07-07 | $315.35 | $293.94 | -0.29% | 2 | |
| 2025-07-01 | 2025-07-02 | $300.71 | $315.65 | -5.53% | 2 | |
| 2025-06-27 | 2025-06-30 | $323.63 | $317.66 | -0.86% | 2 | |
| 2025-06-23 | 2025-06-26 | $348.68 | $325.78 | 1.48% | 4 | |
| 2025-06-18 | 2025-06-20 | $322.05 | $322.16 | 1.60% | 2 | |
| 2025-06-16 | 2025-06-17 | $329.13 | $316.35 | 0.97% | 2 | |
| 2025-06-10 | 2025-06-13 | $326.09 | $325.31 | 3.21% | 4 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2025-04-29 | 2025-05-12 | $292.03 | $318.38 | 4.12% | 10 | |
| 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 | |
| 2025-02-21 | 2025-02-24 | $337.80 | $330.53 | -4.88% | 2 | |
| 2025-02-19 | 2025-02-20 | $360.56 | $354.40 | 1.62% | 2 | |
| 2025-02-14 | 2025-02-18 | $355.84 | $354.11 | -0.23% | 2 | |
| 2025-02-12 | 2025-02-13 | $336.51 | $355.94 | 2.24% | 2 | |
| 2025-02-10 | 2025-02-11 | $350.73 | $328.50 | -3.21% | 2 | |
| 2025-02-06 | 2025-02-07 | $374.32 | $361.62 | -1.22% | 2 | |
| 2025-02-03 | 2025-02-05 | $383.68 | $378.17 | -3.26% | 3 | |
| 2025-01-30 | 2025-01-31 | $400.28 | $404.60 | 2.67% | 2 | |
| 2025-01-28 | 2025-01-29 | $398.09 | $389.10 | 0.04% | 2 | |
| 2025-01-23 | 2025-01-27 | $412.38 | $397.15 | -2.25% | 3 | |
| 2025-01-21 | 2025-01-22 | $424.07 | $415.11 | -0.77% | 2 | |
| 2025-01-15 | 2025-01-17 | $428.22 | $426.50 | 4.20% | 3 | |
| 2024-10-28 | 2025-01-14 | $262.51 | $396.36 | 49.52% | 53 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.71% | 8 | |
| 2024-09-04 | 2024-09-27 | $219.41 | $260.46 | 20.48% | 18 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 3.14% | 23 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2024-04-15 | 2024-04-17 | $161.48 | $155.45 | -8.34% | 3 | |
| 2024-02-26 | 2024-03-07 | $199.40 | $178.65 | -8.22% | 9 | |
| 2024-01-11 | 2024-01-12 | $227.22 | $218.89 | -3.07% | 2 | |
| 2024-01-03 | 2024-01-10 | $238.45 | $233.94 | -5.61% | 6 | |
| 2023-08-29 | 2023-09-05 | $257.18 | $256.49 | 2.39% | 5 | |
| 2023-08-25 | 2023-08-28 | $238.59 | $238.82 | 3.51% | 2 | |
| 2023-08-23 | 2023-08-24 | $236.86 | $230.04 | 1.37% | 2 | |
| 2023-08-21 | 2023-08-22 | $231.28 | $233.19 | 7.12% | 2 | |
| 2023-08-17 | 2023-08-18 | $219.22 | $215.49 | -3.03% | 2 | |
| 2023-08-15 | 2023-08-16 | $232.96 | $225.60 | -3.03% | 2 | |
| 2023-08-11 | 2023-08-14 | $242.65 | $239.76 | -1.30% | 2 | |
| 2023-08-09 | 2023-08-10 | $242.19 | $245.34 | -3.20% | 2 | |
| 2023-08-07 | 2023-08-08 | $251.45 | $249.70 | -1.15% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.85% | 2 | |
| 2023-06-02 | 2023-08-02 | $213.97 | $254.11 | 25.56% | 42 | |
| 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 | |
| 2022-09-21 | 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 | |
| 2022-07-14 | 2022-08-02 | $238.31 | $300.59 | 25.16% | 14 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-05-04 | 2022-05-05 | $317.54 | $291.09 | 4.57% | 2 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2021-12-30 | 2022-01-20 | $356.78 | $332.09 | -8.52% | 15 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.70% | 2 | |
| 2021-12-23 | 2021-12-27 | $355.67 | $364.65 | 5.56% | 2 | |
| 2021-12-21 | 2021-12-22 | $312.84 | $336.29 | 4.08% | 2 | |
| 2021-12-17 | 2021-12-20 | $310.86 | $299.98 | 0.41% | 2 | |
| 2021-12-15 | 2021-12-16 | $325.33 | $308.97 | 1.62% | 2 | |
| 2021-12-13 | 2021-12-14 | $322.14 | $319.50 | -5.17% | 2 | |
| 2021-12-08 | 2021-12-10 | $356.32 | $339.01 | -4.75% | 3 | |
| 2021-12-06 | 2021-12-07 | $336.34 | $350.58 | -0.79% | 2 | |
| 2021-12-02 | 2021-12-03 | $361.53 | $338.32 | -1.15% | 2 | |
| 2021-08-24 | 2021-12-01 | $236.16 | $365.00 | 61.75% | 70 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2021-03-15 | 2021-03-16 | $235.98 | $225.63 | 1.85% | 2 | |
| 2021-03-11 | 2021-03-12 | $233.20 | $231.24 | 4.52% | 2 | |
| 2021-03-09 | 2021-03-10 | $224.53 | $222.69 | 19.42% | 2 | |
| 2021-03-05 | 2021-03-08 | $199.32 | $187.67 | -3.98% | 2 | |
| 2021-03-03 | 2021-03-04 | $217.73 | $207.15 | -5.04% | 2 | |
| 2021-03-01 | 2021-03-02 | $239.48 | $228.81 | 6.15% | 2 | |
| 2021-02-25 | 2021-02-26 | $227.41 | $225.17 | -8.25% | 2 | |
| 2021-02-23 | 2021-02-24 | $232.95 | $247.34 | -2.39% | 2 | |
| 2021-02-19 | 2021-02-22 | $260.43 | $238.17 | -0.97% | 2 | |
| 2021-02-17 | 2021-02-18 | $266.05 | $262.46 | 0.04% | 2 |