Strategy Zoo / S0128
PriceMomentum_V0128
ARCHIVEDmomentumstructuraladded exit filter: breakout_50 == 1
Fitness
0.3315
Generation
6
Complexity
4
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> -0.1003
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0128 [momentum]
if flat and ret_20d > 0.05:
position = 1.0
if long and (ret_20d < -0.1003 or breakout_50 == 1):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.9% | 55.3% | 0.3% | 14.4% |
| Total Return | 83.7% | 274.7% | 1.3% | 617.5% |
| Sharpe | 0.39 | 1.15 | 0.21 | 0.53 |
| Sortino | 0.47 | 1.33 | 0.23 | 0.62 |
| Calmar | 0.11 | 1.36 | 0.01 | 0.19 |
| Volatility | 36.2% | 48.5% | 40.5% | 40.1% |
| Max DD | -75.1% | -40.6% | -52.0% | -75.1% |
| Win Rate | 80.4% | 78.6% | 75.0% | 78.8% |
| Avg Win | 3.6% | 5.6% | 5.2% | 4.4% |
| Avg Loss | -11.3% | -9.6% | -13.8% | -11.5% |
| Payoff | 0.32 | 0.58 | 0.38 | 0.38 |
| Expectancy | 0.7% | 2.3% | 0.5% | 1.0% |
| Profit Factor | 1.32 | 2.13 | 1.13 | 1.43 |
| Trades | 163 | 70 | 60 | 293 |
| Avg Holding Days | 8.2 | 7.1 | 8.7 | 8.1 |
| Turnover | 41.0 | 46.7 | 32.8 | 40.0 |
| Exposure | 58.6% | 56.6% | 52.0% | 56.6% |
Growth of $100
PriceMomentum_V0128 vs TSLA Buy & Hold
PriceMomentum_V0128 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 | -17.6% | -0.62 | -45.3% | 10 |
| 2017 | -9.7% | -0.18 | -35.6% | 24 |
| 2018 | -16.8% | -0.30 | -40.9% | 21 |
| 2019 | -11.8% | -0.19 | -39.7% | 17 |
| 2020 | 362.2% | 2.66 | -30.6% | 33 |
| 2021 | 19.3% | 0.65 | -25.0% | 23 |
| 2022 | -32.5% | -1.00 | -32.4% | 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 | 1.7% | 0.04 | 41% |
| hidden test | EXPENSIVE | 83 | 68.4% | 1.88 | 54% |
| hidden test | EXTREME | 48 | 206.4% | 4.11 | 60% |
| hidden test | HIGH VOLATILITY | 254 | 28.3% | 0.50 | 53% |
| hidden test | LOW VOLATILITY | 429 | 31.7% | 1.07 | 53% |
| hidden test | MEDIUM VOLATILITY | 248 | -52.0% | -1.38 | 50% |
| hidden test | NORMAL | 800 | -9.6% | -0.24 | 51% |
| hidden test | SIDEWAYS | 293 | -20.9% | -0.58 | 58% |
| hidden test | UPTREND | 371 | 36.6% | 0.86 | 55% |
| train | DOWNTREND | 518 | -22.1% | -0.78 | 48% |
| train | EXPENSIVE | 311 | 44.6% | 1.14 | 69% |
| train | EXTREME | 100 | 391.0% | 5.65 | 76% |
| train | HIGH VOLATILITY | 699 | 47.3% | 1.03 | 49% |
| train | LOW VOLATILITY | 745 | 11.0% | 0.41 | 66% |
| train | MEDIUM VOLATILITY | 568 | -22.8% | -0.69 | 61% |
| train | NORMAL | 1,601 | -15.4% | -0.48 | 55% |
| train | SIDEWAYS | 592 | -24.5% | -0.76 | 49% |
| train | UPTREND | 902 | 60.2% | 1.43 | 71% |
| validation | DOWNTREND | 125 | 33.2% | 1.51 | 14% |
| validation | EXPENSIVE | 138 | 30.2% | 0.52 | 75% |
| validation | EXTREME | 144 | 277.3% | 3.99 | 78% |
| validation | HIGH VOLATILITY | 258 | 85.7% | 1.44 | 49% |
| validation | LOW VOLATILITY | 183 | 22.7% | 0.76 | 69% |
| validation | MEDIUM VOLATILITY | 315 | 50.6% | 1.08 | 56% |
| validation | NORMAL | 474 | -4.0% | -0.11 | 45% |
| validation | SIDEWAYS | 206 | -9.8% | -0.24 | 54% |
| validation | UPTREND | 425 | 94.3% | 1.66 | 70% |
Trades (full period)
latest 100 of 294
| 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 | |
| 2026-05-15 | 2026-06-10 | $422.24 | $381.59 | -10.70% | 18 | |
| 2026-05-12 | 2026-05-14 | $433.45 | $443.30 | -0.14% | 3 | |
| 2026-04-20 | 2026-05-11 | $392.50 | $445.00 | 6.71% | 16 | |
| 2025-12-17 | 2026-01-16 | $467.26 | $437.50 | -10.66% | 21 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 3.36% | 2 | |
| 2025-11-06 | 2025-11-21 | $445.91 | $391.09 | -14.64% | 12 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-03 | 2025-10-29 | $429.83 | $461.51 | 5.42% | 19 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-26 | 2025-09-30 | $440.40 | $444.72 | 4.48% | 3 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.77% | 3 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 2.01% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 2 | |
| 2025-09-15 | 2025-09-16 | $410.04 | $421.62 | 3.36% | 2 | |
| 2025-08-28 | 2025-09-12 | $345.98 | $395.94 | 5.28% | 11 | |
| 2025-07-31 | 2025-08-27 | $308.27 | $349.60 | 10.00% | 20 | |
| 2025-05-29 | 2025-07-02 | $358.43 | $315.65 | -15.91% | 24 | |
| 2025-05-20 | 2025-05-28 | $343.82 | $356.90 | 5.87% | 6 | |
| 2025-05-15 | 2025-05-19 | $342.82 | $342.09 | 0.46% | 3 | |
| 2025-05-13 | 2025-05-14 | $334.07 | $347.68 | 4.72% | 2 | |
| 2025-04-29 | 2025-05-12 | $292.03 | $318.38 | 4.12% | 10 | |
| 2025-04-08 | 2025-04-23 | $221.86 | $250.74 | 1.80% | 11 | |
| 2024-12-19 | 2025-01-17 | $436.17 | $426.50 | -6.17% | 19 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-12 | 2024-12-16 | $418.10 | $463.02 | 2.49% | 3 | |
| 2024-12-10 | 2024-12-11 | $400.99 | $424.77 | 2.67% | 2 | |
| 2024-12-06 | 2024-12-09 | $389.22 | $389.79 | 5.13% | 2 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-11-26 | 2024-12-03 | $338.23 | $351.42 | 5.25% | 5 | |
| 2024-11-13 | 2024-11-25 | $330.24 | $338.59 | 7.11% | 9 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 8.75% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2024-10-01 | 2024-10-22 | $258.02 | $217.97 | -16.52% | 16 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 2.25% | 2 | |
| 2024-09-04 | 2024-09-26 | $219.41 | $254.22 | 21.80% | 17 | |
| 2024-07-11 | 2024-08-02 | $241.03 | $207.67 | -17.80% | 17 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.03% | 2 | |
| 2024-04-30 | 2024-06-27 | $183.28 | $197.42 | 0.99% | 41 | |
| 2024-04-15 | 2024-04-19 | $161.48 | $147.05 | -12.53% | 5 | |
| 2024-02-26 | 2024-03-15 | $199.40 | $163.57 | -15.52% | 15 | |
| 2023-11-17 | 2023-12-28 | $234.30 | $253.18 | 11.70% | 28 | |
| 2023-09-12 | 2023-10-20 | $267.48 | $211.99 | -19.71% | 29 | |
| 2023-07-19 | 2023-08-03 | $291.26 | $259.32 | -13.55% | 12 | |
| 2023-07-06 | 2023-07-18 | $276.54 | $293.34 | 2.59% | 9 | |
| 2023-06-21 | 2023-07-05 | $259.46 | $282.48 | 1.75% | 10 | |
| 2023-06-15 | 2023-06-20 | $255.90 | $274.45 | 1.26% | 3 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 3.35% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 3.86% | 2 | |
| 2023-06-07 | 2023-06-08 | $224.57 | $234.86 | 1.27% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.50% | 2 | |
| 2023-05-19 | 2023-06-02 | $180.14 | $213.97 | 17.08% | 10 | |
| 2023-04-10 | 2023-04-21 | $184.51 | $165.08 | -12.10% | 10 | |
| 2023-02-16 | 2023-03-10 | $202.04 | $173.44 | -19.45% | 16 | |
| 2023-02-13 | 2023-02-15 | $194.64 | $214.24 | 6.06% | 3 | |
| 2023-02-09 | 2023-02-10 | $207.32 | $196.89 | 2.79% | 2 | |
| 2023-01-25 | 2023-02-08 | $144.43 | $201.29 | 36.51% | 11 | |
| 2022-09-21 | 2022-10-04 | $300.80 | $249.44 | -21.64% | 10 | |
| 2022-08-17 | 2022-09-01 | $304.00 | $277.16 | -10.28% | 12 | |
| 2022-08-08 | 2022-08-16 | $290.42 | $306.56 | 7.13% | 7 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.20% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.91% | 2 | |
| 2022-07-29 | 2022-08-01 | $297.15 | $297.28 | 5.58% | 2 | |
| 2022-07-25 | 2022-07-28 | $268.43 | $280.90 | 0.74% | 4 | |
| 2022-07-14 | 2022-07-22 | $238.31 | $272.24 | 14.40% | 7 | |
| 2022-06-22 | 2022-07-05 | $236.09 | $233.07 | -4.32% | 9 | |
| 2022-04-06 | 2022-04-27 | $348.59 | $293.84 | -19.85% | 15 | |
| 2022-03-30 | 2022-04-05 | $364.66 | $363.75 | 3.96% | 5 | |
| 2022-03-22 | 2022-03-29 | $331.33 | $366.52 | 18.30% | 6 | |
| 2022-01-04 | 2022-01-25 | $383.20 | $306.13 | -22.64% | 15 | |
| 2021-11-05 | 2021-12-03 | $407.36 | $338.32 | -11.99% | 20 | |
| 2021-11-02 | 2021-11-04 | $390.67 | $409.97 | 0.23% | 3 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 3.23% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.71% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 12.45% | 2 | |
| 2021-10-20 | 2021-10-22 | $288.60 | $303.23 | 3.23% | 3 | |
| 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 | |
| 2021-10-11 | 2021-10-13 | $263.98 | $270.36 | 2.37% | 3 | |
| 2021-09-28 | 2021-10-08 | $259.19 | $261.83 | 0.08% | 9 | |
| 2021-09-21 | 2021-09-27 | $246.46 | $263.79 | 5.85% | 5 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.13% | 2 | |
| 2021-09-10 | 2021-09-16 | $245.42 | $252.33 | -0.07% | 5 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 2021-08-16 | 2021-08-31 | $228.72 | $245.24 | 1.71% | 12 | |
| 2021-08-06 | 2021-08-13 | $233.03 | $239.06 | 0.86% | 6 | |
| 2021-08-04 | 2021-08-05 | $236.97 | $238.21 | -0.03% | 2 | |
| 2021-06-14 | 2021-08-03 | $205.90 | $236.58 | 16.13% | 36 | |
| 2021-04-05 | 2021-05-11 | $230.35 | $205.73 | -5.13% | 27 | |
| 2021-01-27 | 2021-02-23 | $288.05 | $232.95 | -19.25% | 19 | |
| 2021-01-11 | 2021-01-26 | $270.40 | $294.36 | -0.12% | 11 | |
| 2021-01-07 | 2021-01-08 | $272.01 | $293.34 | 7.74% | 2 | |
| 2021-01-05 | 2021-01-06 | $245.04 | $251.99 | 0.53% | 2 | |
| 2020-12-21 | 2021-01-04 | $216.62 | $243.26 | 1.33% | 9 | |
| 2020-12-09 | 2020-12-18 | $201.49 | $231.67 | 0.72% | 8 | |
| 2020-12-07 | 2020-12-08 | $213.92 | $216.63 | 6.92% | 2 |