Strategy Zoo / S0144
PriceMomentum_V0144
ARCHIVEDhybridcrossoverentry = PriceMomentum_V0121 AND VolumeBreakout_V0074
Fitness
0.5450
Generation
7
Complexity
10
Created
2026-09-18
Lineage
Parents (2)
removed entry condition: rel_volume > 1.0808
added exit filter: roll_high_50 < sma_20; added entry filter: rel_volume > 1.2635
Children (1)
Strategy Logic (pseudocode)
# PriceMomentum_V0144 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ((ret_20d > 0.05 and rel_volume > 1.2635) and breakout_50 == 1):
position = 1.0
if long and (ret_20d < -0.03 or roll_high_50 < sma_20):
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.0% | 68.5% | 15.6% | 24.8% |
| Total Return | 205.6% | 378.6% | 70.8% | 2472.0% |
| Sharpe | 0.69 | 1.54 | 0.73 | 0.93 |
| Sortino | 0.58 | 1.09 | 0.45 | 0.68 |
| Calmar | 0.31 | 2.03 | 0.78 | 0.51 |
| Volatility | 24.7% | 38.9% | 23.9% | 28.0% |
| Max DD | -48.7% | -33.8% | -19.9% | -48.7% |
| Win Rate | 47.4% | 83.3% | 80.0% | 60.0% |
| Avg Win | 24.8% | 38.8% | 17.9% | 31.1% |
| Avg Loss | -7.7% | -2.3% | -9.1% | -7.4% |
| Payoff | 3.20 | 10.00 | 1.97 | 4.20 |
| Expectancy | 7.7% | 32.0% | 12.5% | 15.7% |
| Profit Factor | 2.88 | 10.00 | 7.87 | 6.30 |
| Trades | 19 | 6 | 5 | 30 |
| Avg Holding Days | 26.2 | 38.0 | 34.0 | 31.4 |
| Turnover | 6.0 | 4.6 | 3.9 | 5.1 |
| Exposure | 24.4% | 24.8% | 15.9% | 22.4% |
Growth of $100
PriceMomentum_V0144 vs TSLA Buy & Hold
PriceMomentum_V0144 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 | -5.9% | -0.80 | -10.4% | 1 |
| 2017 | -5.6% | -0.19 | -23.7% | 4 |
| 2018 | -32.9% | -2.18 | -35.3% | 4 |
| 2019 | 39.5% | 2.02 | -8.5% | 0 |
| 2020 | 174.9% | 1.95 | -33.8% | 3 |
| 2021 | 59.4% | 1.95 | -12.5% | 2 |
| 2022 | 6.3% | 0.97 | -3.4% | 1 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 48.2% | 1.22 | 54% |
| hidden test | EXTREME | 48 | 187.4% | 3.43 | 65% |
| hidden test | HIGH VOLATILITY | 254 | 11.4% | 0.36 | 20% |
| hidden test | LOW VOLATILITY | 429 | 29.8% | 1.73 | 14% |
| hidden test | MEDIUM VOLATILITY | 248 | 1.9% | 0.08 | 16% |
| hidden test | NORMAL | 800 | 3.9% | 0.22 | 9% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 43.5% | 1.15 | 40% |
| train | DOWNTREND | 518 | -0.6% | -0.63 | 1% |
| train | EXPENSIVE | 311 | 21.9% | 0.72 | 50% |
| train | EXTREME | 100 | 376.5% | 5.24 | 91% |
| train | HIGH VOLATILITY | 699 | 36.0% | 1.09 | 25% |
| train | LOW VOLATILITY | 745 | 23.3% | 1.20 | 32% |
| train | MEDIUM VOLATILITY | 568 | -14.8% | -0.82 | 14% |
| train | NORMAL | 1,601 | -6.5% | -0.42 | 15% |
| train | SIDEWAYS | 592 | -4.5% | -0.48 | 1% |
| train | UPTREND | 902 | 41.1% | 1.14 | 53% |
| validation | DOWNTREND | 125 | 12.7% | 1.38 | 3% |
| validation | EXPENSIVE | 138 | 38.3% | 0.82 | 38% |
| validation | EXTREME | 144 | 189.6% | 2.70 | 58% |
| validation | HIGH VOLATILITY | 258 | 64.3% | 1.10 | 31% |
| validation | LOW VOLATILITY | 183 | 31.1% | 2.08 | 18% |
| validation | MEDIUM VOLATILITY | 315 | 72.8% | 2.73 | 24% |
| validation | NORMAL | 474 | 26.7% | 1.61 | 11% |
| validation | SIDEWAYS | 206 | -0.0% | -0.58 | 0% |
| validation | UPTREND | 425 | 102.7% | 1.99 | 43% |
Trades (full period)
30 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-16 | 2026-01-07 | $489.88 | $431.41 | -9.09% | 15 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 8.43% | 46 | |
| 2024-11-07 | 2025-01-14 | $296.91 | $396.36 | 37.66% | 45 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 1.87% | 23 | |
| 2023-06-05 | 2023-08-02 | $217.61 | $254.11 | 23.53% | 41 | |
| 2022-07-22 | 2022-08-02 | $272.24 | $300.59 | 6.26% | 8 | |
| 2021-09-20 | 2021-12-01 | $243.39 | $365.00 | 51.49% | 52 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 39.28% | 57 | |
| 2020-08-18 | 2020-09-24 | $125.81 | $129.26 | -2.34% | 27 | |
| 2020-06-11 | 2020-08-10 | $64.86 | $94.57 | 34.55% | 42 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 133.27% | 89 | |
| 2018-12-06 | 2018-12-19 | $24.20 | $22.20 | -3.63% | 10 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -19.68% | 9 | |
| 2018-06-19 | 2018-07-05 | $23.50 | $20.61 | -16.34% | 12 | |
| 2018-06-07 | 2018-06-12 | $21.07 | $22.85 | 3.73% | 4 | |
| 2017-09-19 | 2017-09-29 | $25.01 | $22.74 | -9.60% | 9 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.38% | 25 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | -1.30% | 36 | |
| 2017-01-05 | 2017-03-08 | $15.12 | $16.46 | 10.62% | 43 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -5.92% | 22 | |
| 2015-05-13 | 2015-07-28 | $16.21 | $17.65 | 6.91% | 53 | |
| 2015-04-23 | 2015-04-28 | $14.57 | $15.37 | 5.31% | 4 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.78% | 28 | |
| 2014-06-24 | 2014-07-17 | $15.50 | $14.36 | -8.64% | 17 | |
| 2014-02-11 | 2014-03-26 | $13.11 | $14.20 | 5.35% | 31 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 50.16% | 79 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 138.25% | 61 | |
| 2013-01-24 | 2013-02-26 | $2.47 | $2.30 | -3.97% | 23 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-03-13 | 2012-04-10 | $2.41 | $2.16 | -3.93% | 20 |