Strategy Zoo / S0147

PriceMomentum_V0147

ARCHIVEDmomentum

structuralreduce exposure to 51% during EXPENSIVE

Fitness

0.4374

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

PriceMomentum_V0092S0092 · gen 4ARCHIVEDstructural

changed ret_20d threshold -0.03 -> -0.1003

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0147  [momentum]
if flat and ret_20d > 0.05:
    position = 1.0
if long and ret_20d < -0.1003:
    position = 0.0  # exit to cash
if regime.bubble == "EXPENSIVE": position *= 0.51

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	10.5%	70.5%	4.7%	19.3%
Total Return	122.5%	395.3%	18.6%	1226.6%
Sharpe	0.46	1.32	0.32	0.64
Sortino	0.55	1.45	0.36	0.73
Calmar	0.14	1.61	0.08	0.26
Volatility	35.8%	50.0%	41.2%	40.5%
Max DD	-73.9%	-43.7%	-58.2%	-73.9%
Win Rate	34.6%	50.0%	50.0%	42.3%
Avg Win	43.0%	63.5%	15.9%	42.3%
Avg Loss	-11.9%	-11.8%	-11.7%	-11.8%
Payoff	3.61	5.40	1.36	3.58
Expectancy	7.1%	25.9%	2.1%	11.1%
Profit Factor	1.91	5.40	1.36	2.62
Trades	26	10	16	52
Avg Holding Days	50.7	50.2	33.7	46.9
Turnover	8.5	8.6	10.8	9.1
Exposure	61.9%	57.6%	55.0%	59.3%

Growth of $100

PriceMomentum_V0147 vs TSLA Buy & Hold

PriceMomentum_V0147 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	-22.4%	-0.79	-46.9%	4
2017	11.4%	0.59	-27.8%	2
2018	-20.9%	-0.39	-43.8%	4
2019	11.0%	0.47	-39.0%	3
2020	395.3%	2.67	-33.7%	2
2021	52.7%	1.30	-23.3%	3
2022	-36.2%	-1.12	-36.1%	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	3.9%	0.09	42%
hidden test	EXPENSIVE	83	55.7%	1.79	42%
hidden test	EXTREME	48	132.0%	2.47	70%
hidden test	HIGH VOLATILITY	254	21.3%	0.38	55%
hidden test	LOW VOLATILITY	429	45.7%	1.44	58%
hidden test	MEDIUM VOLATILITY	248	-51.8%	-1.38	50%
hidden test	NORMAL	800	1.5%	0.04	55%
hidden test	SIDEWAYS	293	-20.6%	-0.55	62%
hidden test	UPTREND	371	46.3%	1.08	59%
train	DOWNTREND	518	-22.6%	-0.80	49%
train	EXPENSIVE	311	49.3%	1.70	45%
train	EXTREME	100	365.0%	5.22	97%
train	HIGH VOLATILITY	699	40.5%	0.90	50%
train	LOW VOLATILITY	745	24.5%	0.92	71%
train	MEDIUM VOLATILITY	568	-24.1%	-0.73	64%
train	NORMAL	1,601	-11.8%	-0.35	63%
train	SIDEWAYS	592	-25.6%	-0.78	54%
train	UPTREND	902	66.2%	1.62	74%
validation	DOWNTREND	125	38.9%	1.75	16%
validation	EXPENSIVE	138	-0.2%	-0.01	45%
validation	EXTREME	144	329.8%	4.05	93%
validation	HIGH VOLATILITY	258	98.7%	1.48	53%
validation	LOW VOLATILITY	183	41.6%	1.51	72%
validation	MEDIUM VOLATILITY	315	53.1%	1.22	53%
validation	NORMAL	474	5.0%	0.14	51%
validation	SIDEWAYS	206	-17.8%	-0.44	56%
validation	UPTREND	425	114.4%	1.94	70%

Trades (full period)

53 trades

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
2026-04-20	2026-06-10	$392.50	$381.59	-1.18%	37
2025-12-15	2026-01-16	$475.31	$437.50	-4.63%	23
2025-07-31	2025-11-21	$308.27	$391.09	19.16%	81
2025-04-29	2025-07-02	$292.03	$315.65	9.25%	45
2025-04-08	2025-04-23	$221.86	$250.74	1.80%	11
2024-11-07	2025-01-17	$296.91	$426.50	18.36%	48
2024-09-04	2024-10-22	$219.41	$217.97	3.71%	35
2024-04-30	2024-08-02	$183.28	$207.67	11.52%	66
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	2024-01-17	$234.30	$215.55	-6.04%	40
2023-09-12	2023-10-20	$267.48	$211.99	-19.71%	29
2023-05-19	2023-08-03	$180.14	$259.32	43.37%	52
2023-04-10	2023-04-21	$184.51	$165.08	-12.10%	10
2023-01-25	2023-03-10	$144.43	$173.44	19.94%	32
2022-09-21	2022-10-04	$300.80	$249.44	-21.64%	10
2022-07-14	2022-09-01	$238.31	$277.16	16.04%	36
2022-06-22	2022-07-05	$236.09	$233.07	-4.32%	9
2022-03-22	2022-04-27	$331.33	$293.84	-5.04%	26
2022-01-04	2022-01-25	$383.20	$306.13	-22.64%	15
2021-06-14	2021-12-03	$205.90	$338.32	77.48%	122
2021-04-05	2021-05-11	$230.35	$205.73	-5.13%	27
2020-10-07	2021-02-23	$141.77	$232.95	18.59%	95
2020-04-14	2020-09-30	$47.33	$143.00	150.49%	119
2019-09-12	2020-03-05	$16.39	$48.30	154.28%	121
2019-06-18	2019-08-15	$14.98	$14.38	-2.60%	42
2019-04-04	2019-04-29	$17.85	$16.10	-19.59%	17
2019-02-28	2019-03-06	$21.33	$18.42	-12.31%	5
2018-10-29	2019-01-03	$22.32	$20.02	-6.47%	45
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
2018-04-27	2018-07-16	$19.61	$20.67	11.48%	55
2017-12-12	2018-03-23	$22.74	$20.10	-6.21%	70
2017-08-04	2017-11-03	$23.79	$20.41	-12.12%	65
2016-10-04	2017-07-07	$14.09	$20.88	36.00%	191
2016-07-19	2016-09-02	$15.02	$13.19	-11.44%	34
2016-06-08	2016-06-24	$15.70	$12.88	-15.64%	13
2016-03-04	2016-05-05	$13.40	$14.10	13.48%	44
2015-11-09	2016-01-19	$15.02	$13.65	-11.96%	48
2015-09-21	2015-10-12	$17.61	$14.37	-15.49%	16
2015-04-08	2015-08-12	$13.84	$15.88	16.56%	89
2015-02-10	2015-03-09	$14.42	$12.73	-11.03%	19
2014-11-11	2014-12-09	$16.74	$14.46	-11.57%	20
2014-05-28	2014-10-01	$14.02	$16.02	14.48%	89
2013-12-13	2014-03-26	$9.84	$14.20	30.92%	70
2013-03-26	2013-10-24	$2.52	$11.54	249.02%	149
2012-11-06	2013-03-20	$2.08	$2.40	7.74%	92
2012-09-18	2012-10-16	$2.09	$1.87	-16.18%	21
2012-08-24	2012-09-12	$1.97	$1.89	-9.72%	13
2012-06-19	2012-07-27	$2.14	$1.97	-11.83%	28
2012-02-02	2012-04-25	$2.02	$2.19	7.36%	58