Strategy Zoo / S0132
PriceMomentum_V0132
ARCHIVEDmomentumstructuralreduce exposure to 57% during EXTREME
Fitness
0.5517
Generation
6
Complexity
3
Created
2026-09-18
Lineage
Parents (1)
seed strategy
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0132 [momentum]
if flat and ret_20d > 0.05:
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cash
if regime.bubble == "EXTREME": position *= 0.58Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.2% | 84.3% | 22.9% | 29.2% |
| Total Return | 209.8% | 525.8% | 114.4% | 4180.3% |
| Sharpe | 0.60 | 1.71 | 0.74 | 0.90 |
| Sortino | 0.64 | 2.02 | 0.79 | 0.98 |
| Calmar | 0.25 | 2.63 | 0.53 | 0.47 |
| Volatility | 32.0% | 40.6% | 36.9% | 35.2% |
| Max DD | -61.4% | -32.1% | -42.9% | -61.4% |
| Win Rate | 37.5% | 60.0% | 45.0% | 44.0% |
| Avg Win | 20.6% | 34.9% | 20.5% | 27.9% |
| Avg Loss | -7.3% | -10.2% | -7.6% | -7.8% |
| Payoff | 2.82 | 3.41 | 2.69 | 3.59 |
| Expectancy | 3.2% | 16.9% | 5.0% | 7.9% |
| Profit Factor | 1.69 | 5.12 | 2.20 | 2.82 |
| Trades | 40 | 15 | 20 | 75 |
| Avg Holding Days | 25.6 | 30.0 | 22.5 | 26.7 |
| Turnover | 10.8 | 10.8 | 12.0 | 11.0 |
| Exposure | 50.8% | 50.1% | 46.9% | 49.7% |
Growth of $100
PriceMomentum_V0132 vs TSLA Buy & Hold
PriceMomentum_V0132 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 | -2.7% | -0.01 | -33.6% | 4 |
| 2017 | 4.5% | 0.30 | -26.9% | 5 |
| 2018 | -34.8% | -1.19 | -42.8% | 7 |
| 2019 | 50.9% | 1.35 | -20.7% | 3 |
| 2020 | 369.6% | 3.41 | -20.5% | 5 |
| 2021 | 62.3% | 1.48 | -24.8% | 5 |
| 2022 | -21.2% | -0.57 | -27.0% | 5 |
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 | 4.3% | 0.13 | 36% |
| hidden test | EXPENSIVE | 83 | 99.8% | 2.17 | 73% |
| hidden test | EXTREME | 48 | 178.2% | 4.30 | 44% |
| hidden test | HIGH VOLATILITY | 254 | 36.6% | 0.78 | 45% |
| hidden test | LOW VOLATILITY | 429 | 60.3% | 2.12 | 47% |
| hidden test | MEDIUM VOLATILITY | 248 | -38.7% | -1.02 | 49% |
| hidden test | NORMAL | 800 | 10.9% | 0.31 | 44% |
| hidden test | SIDEWAYS | 293 | 2.0% | 0.06 | 47% |
| hidden test | UPTREND | 371 | 64.3% | 1.49 | 55% |
| train | DOWNTREND | 518 | -17.0% | -0.78 | 29% |
| train | EXPENSIVE | 311 | 67.7% | 1.81 | 74% |
| train | EXTREME | 100 | 275.6% | 5.64 | 59% |
| train | HIGH VOLATILITY | 699 | 33.7% | 0.86 | 42% |
| train | LOW VOLATILITY | 745 | 35.7% | 1.39 | 62% |
| train | MEDIUM VOLATILITY | 568 | -20.1% | -0.68 | 46% |
| train | NORMAL | 1,601 | -6.2% | -0.21 | 46% |
| train | SIDEWAYS | 592 | -12.8% | -0.44 | 45% |
| train | UPTREND | 902 | 61.1% | 1.60 | 67% |
| validation | DOWNTREND | 125 | 43.5% | 1.99 | 14% |
| validation | EXPENSIVE | 138 | 96.1% | 2.06 | 61% |
| validation | EXTREME | 144 | 233.1% | 4.49 | 56% |
| validation | HIGH VOLATILITY | 258 | 62.7% | 1.40 | 35% |
| validation | LOW VOLATILITY | 183 | 23.6% | 0.90 | 61% |
| validation | MEDIUM VOLATILITY | 315 | 101.4% | 2.33 | 55% |
| validation | NORMAL | 474 | 11.9% | 0.35 | 45% |
| validation | SIDEWAYS | 206 | -29.4% | -0.90 | 44% |
| validation | UPTREND | 425 | 124.9% | 2.64 | 64% |
Trades (full period)
76 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 5.19% | 20 | OPEN |
| 2026-07-13 | 2026-07-16 | $394.76 | $391.06 | -3.46% | 4 | |
| 2026-04-29 | 2026-06-08 | $372.80 | $408.95 | 3.78% | 28 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2025-12-15 | 2026-01-07 | $475.31 | $431.41 | -5.85% | 16 | |
| 2025-08-05 | 2025-11-14 | $308.72 | $404.35 | 29.72% | 73 | |
| 2025-07-31 | 2025-08-04 | $308.27 | $309.26 | -5.34% | 3 | |
| 2025-04-29 | 2025-06-13 | $292.03 | $325.31 | 11.40% | 33 | |
| 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 | |
| 2024-11-07 | 2025-01-14 | $296.91 | $396.36 | 42.99% | 45 | |
| 2024-09-04 | 2024-10-14 | $219.41 | $219.16 | 3.22% | 29 | |
| 2024-06-18 | 2024-08-02 | $184.86 | $207.67 | 15.46% | 32 | |
| 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 | |
| 2023-11-17 | 2024-01-10 | $234.30 | $233.94 | 0.39% | 36 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -12.27% | 13 | |
| 2023-05-19 | 2023-08-02 | $180.14 | $254.11 | 47.30% | 51 | |
| 2023-04-10 | 2023-04-20 | $184.51 | $162.99 | -2.61% | 9 | |
| 2023-01-25 | 2023-03-08 | $144.43 | $182.00 | 30.19% | 30 | |
| 2022-09-21 | 2022-09-26 | $300.80 | $276.01 | -11.00% | 4 | |
| 2022-07-14 | 2022-08-29 | $238.31 | $284.82 | 21.29% | 33 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -5.04% | 26 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -21.49% | 14 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 60.97% | 84 | |
| 2021-06-14 | 2021-07-26 | $205.90 | $219.21 | 5.28% | 30 | |
| 2021-04-14 | 2021-05-11 | $244.08 | $205.73 | -17.65% | 20 | |
| 2021-04-05 | 2021-04-12 | $230.35 | $233.99 | 2.11% | 6 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 75.11% | 57 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -4.12% | 6 | |
| 2020-10-07 | 2020-10-20 | $141.77 | $140.65 | 3.87% | 10 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 23.07% | 29 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 67.83% | 83 | |
| 2019-09-12 | 2020-03-04 | $16.39 | $49.97 | 169.30% | 120 | |
| 2019-06-18 | 2019-08-12 | $14.98 | $15.27 | 4.23% | 39 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2019-02-28 | 2019-03-04 | $21.33 | $19.02 | -6.52% | 3 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 1.65% | 36 | |
| 2018-10-04 | 2018-10-09 | $18.79 | $17.52 | -15.18% | 4 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -13.45% | 21 | |
| 2018-06-07 | 2018-07-06 | $21.07 | $20.59 | -3.43% | 21 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -7.18% | 5 | |
| 2017-12-12 | 2018-02-09 | $22.74 | $20.69 | -4.35% | 41 | |
| 2017-09-18 | 2017-09-29 | $25.67 | $22.74 | -10.76% | 10 | |
| 2017-08-04 | 2017-09-07 | $23.79 | $23.37 | -0.93% | 24 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -2.63% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 12.23% | 41 | |
| 2016-12-14 | 2017-03-08 | $13.25 | $16.46 | 25.20% | 57 | |
| 2016-10-04 | 2016-10-17 | $14.09 | $12.93 | -8.23% | 10 | |
| 2016-07-19 | 2016-08-23 | $15.02 | $14.99 | -1.66% | 26 | |
| 2016-06-08 | 2016-06-23 | $15.70 | $13.09 | -15.52% | 12 | |
| 2016-03-04 | 2016-05-04 | $13.40 | $14.84 | 18.45% | 43 | |
| 2015-11-19 | 2016-01-05 | $14.79 | $14.90 | 0.86% | 31 | |
| 2015-11-09 | 2015-11-13 | $15.02 | $13.81 | -8.54% | 5 | |
| 2015-09-21 | 2015-10-02 | $17.61 | $16.50 | -8.14% | 10 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-04-08 | 2015-07-28 | $13.84 | $17.65 | 24.24% | 78 | |
| 2015-02-10 | 2015-03-03 | $14.42 | $13.30 | -9.45% | 15 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -4.44% | 15 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-09 | 2014-07-17 | $13.69 | $14.36 | 4.11% | 28 | |
| 2014-05-28 | 2014-06-04 | $14.02 | $13.60 | -3.32% | 6 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 36.42% | 49 | |
| 2013-12-13 | 2014-01-14 | $9.84 | $10.75 | -5.70% | 21 | |
| 2013-07-01 | 2013-10-22 | $7.81 | $11.44 | 55.36% | 80 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 100.56% | 65 | |
| 2013-01-24 | 2013-02-26 | $2.47 | $2.30 | -4.69% | 23 | |
| 2012-11-06 | 2013-01-11 | $2.08 | $2.19 | 6.23% | 46 | |
| 2012-10-03 | 2012-10-12 | $1.95 | $1.84 | -5.16% | 8 | |
| 2012-09-18 | 2012-09-27 | $2.09 | $1.90 | -15.54% | 8 | |
| 2012-08-24 | 2012-09-06 | $1.97 | $1.90 | -9.26% | 9 | |
| 2012-06-19 | 2012-07-20 | $2.14 | $2.12 | 1.15% | 23 | |
| 2012-02-02 | 2012-04-10 | $2.02 | $2.16 | 11.85% | 47 |