Strategy Zoo / S0137
PriceMomentum_V0137
ARCHIVEDmomentumparameterchanged macd_hist threshold 0.0 -> -1.7177
Fitness
0.5713
Generation
6
Complexity
8
Created
2026-09-18
Lineage
Parents (1)
entry = PriceMomentum_V0054 OR MACDMomentum_V0005
Children (1)
Strategy Logic (pseudocode)
# PriceMomentum_V0137 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 or (macd_hist > 0.0 and close > sma_50)):
position = 1.0
if long and macd_hist < -1.7177:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 29.5% | 52.9% | 35.0% | 35.6% |
| Total Return | 685.4% | 257.7% | 203.4% | 8675.4% |
| Sharpe | 0.93 | 1.19 | 1.04 | 1.02 |
| Sortino | 1.11 | 1.12 | 1.10 | 1.11 |
| Calmar | 0.46 | 1.27 | 0.76 | 0.55 |
| Volatility | 33.7% | 43.8% | 34.3% | 36.1% |
| Max DD | -64.3% | -41.5% | -46.3% | -64.3% |
| Win Rate | 48.7% | 48.5% | 51.3% | 49.5% |
| Avg Win | 26.4% | 17.3% | 12.1% | 19.7% |
| Avg Loss | -6.0% | -5.8% | -5.3% | -5.7% |
| Payoff | 4.37 | 2.98 | 2.30 | 3.46 |
| Expectancy | 9.8% | 5.4% | 3.7% | 6.9% |
| Profit Factor | 4.15 | 2.81 | 2.43 | 3.39 |
| Trades | 39 | 33 | 39 | 111 |
| Avg Holding Days | 29.5 | 11.5 | 8.7 | 17.3 |
| Turnover | 13.7 | 22.2 | 22.0 | 17.5 |
| Exposure | 52.1% | 39.9% | 31.9% | 44.6% |
Growth of $100
PriceMomentum_V0137 vs TSLA Buy & Hold
PriceMomentum_V0137 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 | 8.8% | 0.61 | -21.0% | 6 |
| 2017 | 20.4% | 0.83 | -20.5% | 2 |
| 2018 | -25.1% | -0.66 | -38.6% | 10 |
| 2019 | 16.3% | 0.64 | -42.2% | 4 |
| 2020 | 156.5% | 1.75 | -41.5% | 12 |
| 2021 | 63.3% | 2.06 | -11.6% | 11 |
| 2022 | -24.0% | -1.12 | -28.3% | 10 |
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 | 36.1% | 0.88 | 40% |
| hidden test | EXPENSIVE | 83 | 85.3% | 1.86 | 50% |
| hidden test | EXTREME | 48 | 189.4% | 3.52 | 55% |
| hidden test | HIGH VOLATILITY | 254 | 84.2% | 1.66 | 48% |
| hidden test | LOW VOLATILITY | 429 | 38.8% | 1.66 | 27% |
| hidden test | MEDIUM VOLATILITY | 248 | -19.1% | -0.67 | 23% |
| hidden test | NORMAL | 800 | 21.4% | 0.69 | 29% |
| hidden test | SIDEWAYS | 293 | -8.9% | -0.65 | 5% |
| hidden test | UPTREND | 371 | 70.9% | 1.79 | 48% |
| train | DOWNTREND | 518 | 15.4% | 0.55 | 44% |
| train | EXPENSIVE | 311 | 43.7% | 1.12 | 76% |
| train | EXTREME | 100 | 400.8% | 5.56 | 94% |
| train | HIGH VOLATILITY | 699 | 51.4% | 1.17 | 48% |
| train | LOW VOLATILITY | 745 | 42.7% | 1.61 | 62% |
| train | MEDIUM VOLATILITY | 568 | -8.0% | -0.29 | 44% |
| train | NORMAL | 1,601 | 6.0% | 0.21 | 45% |
| train | SIDEWAYS | 592 | 3.8% | 0.23 | 6% |
| train | UPTREND | 902 | 58.7% | 1.35 | 87% |
| validation | DOWNTREND | 125 | 38.9% | 1.77 | 18% |
| validation | EXPENSIVE | 138 | 12.2% | 0.27 | 49% |
| validation | EXTREME | 144 | 219.3% | 2.81 | 79% |
| validation | HIGH VOLATILITY | 258 | 32.9% | 0.52 | 45% |
| validation | LOW VOLATILITY | 183 | 21.4% | 0.91 | 46% |
| validation | MEDIUM VOLATILITY | 315 | 85.7% | 2.80 | 32% |
| validation | NORMAL | 474 | 12.9% | 0.54 | 26% |
| validation | SIDEWAYS | 206 | -14.3% | -1.46 | 4% |
| validation | UPTREND | 425 | 88.2% | 1.56 | 64% |
Trades (full period)
latest 100 of 112
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 4.32% | 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 | -4.50% | 3 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-21 | 2026-05-08 | $386.42 | $428.35 | 6.17% | 14 | |
| 2026-04-16 | 2026-04-20 | $388.90 | $392.50 | 1.37% | 3 | |
| 2025-12-04 | 2025-12-31 | $454.53 | $449.72 | 0.96% | 19 | |
| 2025-11-03 | 2025-11-10 | $468.37 | $445.23 | -5.81% | 6 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.45% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.17% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.62% | 2 | |
| 2025-09-12 | 2025-10-08 | $395.94 | $438.69 | 15.76% | 19 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-21 | 2025-08-22 | $320.11 | $340.01 | -1.37% | 2 | |
| 2025-08-07 | 2025-08-11 | $322.27 | $339.03 | 2.84% | 3 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -3.77% | 4 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -7.79% | 5 | |
| 2025-06-25 | 2025-07-02 | $327.55 | $315.65 | -11.86% | 6 | |
| 2025-05-22 | 2025-06-05 | $341.04 | $284.70 | 0.30% | 10 | |
| 2025-04-08 | 2025-05-12 | $221.86 | $318.38 | 27.59% | 24 | |
| 2025-01-07 | 2025-01-08 | $394.36 | $394.94 | -4.26% | 2 | |
| 2025-01-03 | 2025-01-06 | $410.44 | $411.05 | 8.01% | 2 | |
| 2024-12-31 | 2025-01-02 | $403.84 | $379.28 | -3.45% | 2 | |
| 2024-10-25 | 2024-12-30 | $269.19 | $417.41 | 63.21% | 45 | |
| 2024-10-03 | 2024-10-10 | $240.66 | $238.77 | -3.50% | 6 | |
| 2024-08-20 | 2024-09-27 | $221.10 | $260.46 | 8.91% | 28 | |
| 2024-07-31 | 2024-08-01 | $232.07 | $216.86 | 4.04% | 2 | |
| 2024-07-29 | 2024-07-30 | $232.10 | $222.62 | 5.39% | 2 | |
| 2024-07-25 | 2024-07-26 | $220.25 | $219.80 | 1.77% | 2 | |
| 2024-07-02 | 2024-07-24 | $231.26 | $215.99 | 15.74% | 16 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2024-04-15 | 2024-04-22 | $161.48 | $142.05 | -13.50% | 6 | |
| 2024-02-26 | 2024-03-15 | $199.40 | $163.57 | -15.52% | 15 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -4.92% | 4 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.55% | 2 | |
| 2023-07-03 | 2023-07-21 | $279.82 | $260.02 | 1.36% | 14 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.29% | 2 | |
| 2023-06-02 | 2023-06-28 | $213.97 | $256.24 | 20.33% | 18 | |
| 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 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -4.23% | 2 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.63% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.64% | 2 | |
| 2022-06-22 | 2022-08-02 | $236.09 | $300.59 | 19.81% | 29 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -3.50% | 2 | |
| 2022-04-18 | 2022-04-19 | $334.76 | $342.72 | 1.19% | 2 | |
| 2022-04-13 | 2022-04-14 | $340.79 | $328.33 | 2.30% | 2 | |
| 2022-04-05 | 2022-04-12 | $363.75 | $328.98 | -10.37% | 6 | |
| 2021-12-28 | 2022-01-19 | $362.82 | $331.88 | -9.73% | 16 | |
| 2021-11-24 | 2021-11-26 | $372.00 | $360.64 | 0.29% | 2 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.54% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.48% | 2 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.88% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -3.03% | 2 | |
| 2021-08-24 | 2021-11-11 | $236.16 | $354.50 | 51.38% | 57 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.04% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -1.55% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 3.83% | 2 | |
| 2020-11-19 | 2021-01-29 | $166.42 | $264.51 | 45.32% | 48 | |
| 2020-11-09 | 2020-11-13 | $140.42 | $136.17 | -4.98% | 5 | |
| 2020-10-07 | 2020-11-02 | $141.77 | $133.50 | -4.96% | 19 | |
| 2020-09-16 | 2020-09-25 | $147.25 | $135.78 | -13.95% | 8 | |
| 2020-09-14 | 2020-09-15 | $139.87 | $149.92 | 12.37% | 2 | |
| 2020-09-10 | 2020-09-11 | $123.78 | $124.24 | 1.18% | 2 | |
| 2020-08-14 | 2020-09-09 | $110.05 | $122.09 | -3.99% | 18 | |
| 2020-08-06 | 2020-08-10 | $99.31 | $94.57 | -2.37% | 3 | |
| 2020-08-04 | 2020-08-05 | $99.13 | $99.00 | -0.07% | 2 | |
| 2020-05-15 | 2020-08-03 | $53.28 | $99.00 | 65.06% | 55 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-03-03 | 2020-03-10 | $49.70 | $43.02 | -18.40% | 6 | |
| 2019-10-25 | 2020-03-02 | $21.88 | $49.57 | 109.01% | 87 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.05% | 2 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 3.91% | 13 | |
| 2019-04-04 | 2019-07-22 | $17.85 | $17.05 | -6.22% | 75 | |
| 2019-01-11 | 2019-01-23 | $23.15 | $19.17 | -13.52% | 8 | |
| 2018-11-29 | 2018-12-26 | $22.74 | $21.74 | -11.75% | 18 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-10-04 | 2018-10-26 | $18.79 | $22.06 | 6.59% | 17 | |
| 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 | |
| 2018-04-27 | 2018-06-12 | $19.61 | $22.85 | 14.37% | 32 | |
| 2018-02-26 | 2018-03-02 | $23.83 | $22.34 | -6.19% | 5 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -5.21% | 4 | |
| 2017-12-26 | 2018-01-09 | $21.15 | $22.25 | 3.73% | 10 | |
| 2017-09-18 | 2017-10-25 | $25.67 | $21.72 | -9.75% | 28 | |
| 2017-01-05 | 2017-08-24 | $15.12 | $23.53 | 39.15% | 161 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 9.89% | 10 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -6.63% | 26 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-06-02 | $17.03 | $14.60 | -11.64% | 42 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 1.44% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 16.89% | 12 | |
| 2015-12-03 | 2015-12-29 | $15.51 | $15.81 | -0.24% | 18 | |
| 2015-11-19 | 2015-12-02 | $14.79 | $15.47 | 7.08% | 9 | |
| 2015-05-11 | 2015-08-18 | $15.97 | $17.38 | 10.58% | 70 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-21 | 2015-04-28 | $13.96 | $15.37 | 12.58% | 6 |