Strategy Zoo / S0139
PriceMomentum_V0139
ARCHIVEDhybridstructuralrestricted to volatility regimes ['HIGH_VOLATILITY', 'MEDIUM_VOLATILITY']
Fitness
0.4408
Generation
6
Complexity
8
Created
2026-09-18
Lineage
Parents (1)
entry = PriceMomentum_V0078 OR Breakout20_V0040
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0139 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.volatility in ['HIGH_VOLATILITY', 'MEDIUM_VOLATILITY']
if flat and (ret_20d > 0.05 or (breakout_20 == 1 and sma_50 > sma_200)):
position = 1.0
if long and close < sma_20:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 11.5% | 50.9% | 9.8% | 18.1% |
| Total Return | 138.0% | 243.7% | 41.3% | 1055.6% |
| Sharpe | 0.57 | 1.17 | 0.49 | 0.71 |
| Sortino | 0.41 | 1.01 | 0.36 | 0.52 |
| Calmar | 0.24 | 1.19 | 0.27 | 0.38 |
| Volatility | 23.9% | 43.3% | 25.7% | 29.3% |
| Max DD | -48.0% | -42.8% | -36.0% | -48.0% |
| Win Rate | 38.9% | 64.5% | 36.7% | 45.2% |
| Avg Win | 12.0% | 10.8% | 13.0% | 11.7% |
| Avg Loss | -4.0% | -5.1% | -4.4% | -4.3% |
| Payoff | 3.02 | 2.10 | 2.93 | 2.72 |
| Expectancy | 2.2% | 5.1% | 2.0% | 2.9% |
| Profit Factor | 1.92 | 3.82 | 1.70 | 2.25 |
| Trades | 54 | 31 | 30 | 115 |
| Avg Holding Days | 7.4 | 8.8 | 6.4 | 7.5 |
| Turnover | 13.5 | 20.7 | 16.5 | 15.7 |
| Exposure | 17.1% | 31.9% | 17.7% | 20.3% |
Growth of $100
PriceMomentum_V0139 vs TSLA Buy & Hold
PriceMomentum_V0139 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 | 21.1% | 1.65 | -8.5% | 6 |
| 2017 | 15.4% | 0.97 | -9.1% | 9 |
| 2018 | -30.0% | -1.51 | -32.1% | 12 |
| 2019 | -3.5% | -0.09 | -18.4% | 5 |
| 2020 | 320.6% | 2.50 | -33.8% | 13 |
| 2021 | 12.6% | 0.58 | -16.8% | 6 |
| 2022 | -30.4% | -1.64 | -33.3% | 12 |
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 | 9.3% | 0.37 | 20% |
| hidden test | EXPENSIVE | 83 | 0.1% | 0.00 | 41% |
| hidden test | EXTREME | 48 | 172.1% | 3.42 | 54% |
| hidden test | HIGH VOLATILITY | 254 | 33.1% | 0.76 | 38% |
| hidden test | LOW VOLATILITY | 429 | 5.1% | 1.00 | 2% |
| hidden test | MEDIUM VOLATILITY | 248 | 4.7% | 0.21 | 24% |
| hidden test | NORMAL | 800 | 4.4% | 0.21 | 13% |
| hidden test | SIDEWAYS | 293 | 0.9% | 0.14 | 2% |
| hidden test | UPTREND | 371 | 24.2% | 0.71 | 29% |
| train | DOWNTREND | 518 | -0.2% | -0.02 | 12% |
| train | EXPENSIVE | 311 | 19.8% | 0.67 | 35% |
| train | EXTREME | 100 | 344.1% | 4.86 | 84% |
| train | HIGH VOLATILITY | 699 | 38.7% | 1.05 | 30% |
| train | LOW VOLATILITY | 745 | -2.4% | -0.79 | 2% |
| train | MEDIUM VOLATILITY | 568 | 3.8% | 0.21 | 20% |
| train | NORMAL | 1,601 | -8.2% | -0.57 | 9% |
| train | SIDEWAYS | 592 | -1.5% | -0.20 | 2% |
| train | UPTREND | 902 | 31.5% | 0.92 | 30% |
| validation | DOWNTREND | 125 | 23.4% | 1.38 | 13% |
| validation | EXPENSIVE | 138 | 1.1% | 0.02 | 53% |
| validation | EXTREME | 144 | 315.3% | 4.13 | 78% |
| validation | HIGH VOLATILITY | 258 | 75.2% | 1.20 | 42% |
| validation | LOW VOLATILITY | 183 | -4.7% | -1.54 | 2% |
| validation | MEDIUM VOLATILITY | 315 | 62.4% | 1.74 | 41% |
| validation | NORMAL | 474 | -15.5% | -0.75 | 12% |
| validation | SIDEWAYS | 206 | -3.8% | -0.44 | 1% |
| validation | UPTREND | 425 | 84.8% | 1.50 | 52% |
Trades (full period)
latest 100 of 116
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-17 | — | $366.20 | — | 1.39% | 2 | OPEN |
| 2026-09-08 | 2026-09-16 | $368.16 | $358.08 | 0.51% | 7 | |
| 2026-04-21 | 2026-04-29 | $386.42 | $372.80 | -4.39% | 7 | |
| 2025-11-06 | 2025-11-10 | $445.91 | $445.23 | -7.23% | 3 | |
| 2025-10-29 | 2025-11-04 | $461.51 | $444.26 | 1.49% | 5 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-10-03 | 2025-10-13 | $429.83 | $435.90 | -5.35% | 7 | |
| 2025-09-26 | 2025-09-30 | $440.40 | $444.72 | 4.48% | 3 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-06-02 | 2025-06-05 | $342.69 | $284.70 | -4.35% | 4 | |
| 2025-05-28 | 2025-05-30 | $356.90 | $346.46 | -1.43% | 3 | |
| 2025-05-22 | 2025-05-27 | $341.04 | $362.89 | 1.21% | 3 | |
| 2025-04-29 | 2025-05-12 | $292.03 | $318.38 | 4.12% | 10 | |
| 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 | |
| 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 | |
| 2024-12-19 | 2025-01-02 | $436.17 | $379.28 | -8.43% | 9 | |
| 2024-10-28 | 2024-12-16 | $262.51 | $463.02 | 61.72% | 35 | |
| 2024-10-03 | 2024-10-07 | $240.66 | $240.83 | 0.22% | 3 | |
| 2024-09-10 | 2024-09-27 | $226.17 | $260.46 | 17.32% | 14 | |
| 2024-09-04 | 2024-09-09 | $219.41 | $216.27 | -0.13% | 4 | |
| 2024-07-30 | 2024-07-31 | $222.62 | $232.07 | -4.28% | 2 | |
| 2024-07-26 | 2024-07-29 | $219.80 | $232.10 | -0.40% | 2 | |
| 2024-07-03 | 2024-07-25 | $246.39 | $220.25 | -6.78% | 16 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-04-30 | 2024-05-24 | $183.28 | $179.24 | -10.65% | 19 | |
| 2023-07-05 | 2023-07-12 | $282.48 | $271.99 | -3.78% | 6 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.28% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-07-22 | 2022-08-02 | $272.24 | $300.59 | 9.19% | 8 | |
| 2022-07-14 | 2022-07-21 | $238.31 | $271.71 | 4.20% | 6 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -5.15% | 2 | |
| 2022-04-18 | 2022-04-19 | $334.76 | $342.72 | 1.76% | 2 | |
| 2022-04-13 | 2022-04-14 | $340.79 | $328.33 | 3.39% | 2 | |
| 2022-04-05 | 2022-04-12 | $363.75 | $328.98 | -14.97% | 6 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -2.02% | 2 | |
| 2022-01-12 | 2022-01-14 | $368.74 | $349.87 | -3.28% | 3 | |
| 2022-01-04 | 2022-01-10 | $383.20 | $352.71 | -14.58% | 5 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -3.25% | 2 | |
| 2021-11-18 | 2021-11-24 | $365.46 | $372.00 | 1.64% | 5 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.88% | 2 | |
| 2021-10-26 | 2021-11-15 | $339.48 | $337.80 | 0.63% | 15 | |
| 2021-02-02 | 2021-02-10 | $290.93 | $268.27 | 0.95% | 7 | |
| 2020-11-19 | 2021-02-01 | $166.42 | $279.94 | 62.74% | 49 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.54% | 2 | |
| 2020-10-07 | 2020-10-21 | $141.77 | $140.88 | 1.72% | 11 | |
| 2020-09-14 | 2020-09-24 | $139.87 | $129.26 | 1.86% | 9 | |
| 2020-09-10 | 2020-09-11 | $123.78 | $124.24 | 1.18% | 2 | |
| 2020-08-14 | 2020-09-09 | $110.05 | $122.09 | 1.65% | 18 | |
| 2020-08-06 | 2020-08-07 | $99.31 | $96.85 | 0.11% | 2 | |
| 2020-08-04 | 2020-08-05 | $99.13 | $99.00 | -0.07% | 2 | |
| 2020-06-11 | 2020-08-03 | $64.86 | $99.00 | 39.29% | 37 | |
| 2020-05-15 | 2020-06-03 | $53.28 | $58.86 | 9.52% | 13 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-03-03 | 2020-03-04 | $49.70 | $49.97 | 0.05% | 2 | |
| 2020-02-28 | 2020-03-02 | $44.53 | $49.57 | -1.82% | 2 | |
| 2020-01-14 | 2020-02-27 | $35.86 | $45.27 | 48.09% | 31 | |
| 2019-10-25 | 2019-11-22 | $21.88 | $22.20 | 18.18% | 21 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2019-09-27 | 2019-10-04 | $16.14 | $15.43 | -4.12% | 6 | |
| 2019-06-18 | 2019-07-03 | $14.98 | $15.66 | -0.41% | 12 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -13.16% | 2 | |
| 2018-12-14 | 2018-12-18 | $24.38 | $22.47 | -7.72% | 3 | |
| 2018-12-04 | 2018-12-13 | $23.98 | $25.12 | 2.06% | 7 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -2.12% | 2 | |
| 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 | |
| 2018-08-27 | 2018-08-28 | $21.28 | $20.79 | -1.30% | 2 | |
| 2018-08-22 | 2018-08-23 | $21.44 | $21.34 | -0.28% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-15 | 2018-07-03 | $23.88 | $20.72 | -6.52% | 13 | |
| 2018-06-07 | 2018-06-12 | $21.07 | $22.85 | 3.73% | 4 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-02-05 | 2018-02-06 | $22.21 | $22.26 | -3.29% | 2 | |
| 2017-09-18 | 2017-09-22 | $25.67 | $23.41 | -3.70% | 5 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.09% | 12 | |
| 2017-07-03 | 2017-07-05 | $23.51 | $21.81 | -2.68% | 2 | |
| 2017-06-28 | 2017-06-30 | $24.75 | $24.11 | -0.64% | 3 | |
| 2017-06-12 | 2017-06-16 | $23.93 | $24.76 | 4.83% | 5 | |
| 2017-05-31 | 2017-06-08 | $22.73 | $24.67 | 7.11% | 7 | |
| 2017-05-11 | 2017-05-18 | $21.54 | $20.87 | -6.06% | 6 | |
| 2017-03-29 | 2017-05-03 | $18.49 | $20.73 | 14.71% | 25 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 2.48% | 2 | |
| 2016-12-21 | 2016-12-22 | $13.85 | $13.90 | -0.72% | 2 | |
| 2016-12-14 | 2016-12-20 | $13.25 | $13.92 | 2.11% | 5 | |
| 2016-04-29 | 2016-05-02 | $16.05 | $16.12 | -3.00% | 2 | |
| 2016-04-05 | 2016-04-28 | $17.03 | $16.51 | 1.61% | 18 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 2.12% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 18.67% | 12 | |
| 2015-12-17 | 2015-12-28 | $15.56 | $15.26 | -1.88% | 7 | |
| 2015-12-03 | 2015-12-10 | $15.51 | $15.14 | -3.41% | 6 | |
| 2015-11-19 | 2015-12-02 | $14.79 | $15.47 | 7.08% | 9 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2014-03-21 | 2014-03-24 | $15.26 | $14.68 | -2.76% | 2 |