Strategy Zoo / S0153

PriceMomentum_V0153

ARCHIVEDmomentum

parameterchanged ret_20d threshold -0.03 -> -0.1695

Fitness

0.4801

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

PriceMomentum_V0030S0030 · gen 1ARCHIVEDparameter

changed ret_20d threshold 0.05 -> 0.1766; changed ret_20d threshold 0.1766 -> 0.3

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0153  [momentum]
if flat and ret_20d > 0.3:
    position = 1.0
if long and ret_20d < -0.1695:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	15.8%	69.0%	-2.7%	20.0%
Total Return	221.5%	382.5%	-9.5%	1345.2%
Sharpe	0.60	1.28	0.13	0.66
Sortino	0.57	1.28	0.14	0.65
Calmar	0.26	1.53	-0.06	0.33
Volatility	33.6%	51.5%	39.1%	39.3%
Max DD	-60.7%	-44.9%	-41.8%	-60.7%
Win Rate	60.0%	40.0%	40.0%	46.7%
Avg Win	117.5%	216.1%	7.0%	120.4%
Avg Loss	-27.8%	-11.0%	-7.4%	-13.9%
Payoff	4.22	10.00	0.94	8.68
Expectancy	59.4%	79.9%	-1.7%	48.8%
Profit Factor	6.33	10.00	0.62	7.59
Trades	5	5	5	15
Avg Holding Days	138.0	73.0	100.2	106.8
Turnover	1.4	3.3	2.7	2.0
Exposure	36.3%	47.6%	53.3%	42.9%

Growth of $100

PriceMomentum_V0153 vs TSLA Buy & Hold

PriceMomentum_V0153 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	4.2%	0.34	-20.4%	1
2017	0.0%	0.00	0.0%	0
2018	-27.6%	-0.75	-37.1%	1
2019	-2.2%	0.09	-34.5%	1
2020	594.9%	2.89	-36.0%	1
2021	-4.9%	-0.01	-21.4%	2
2022	-30.1%	-1.11	-38.9%	2

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	-1.5%	-0.06	21%
hidden test	EXPENSIVE	83	0.6%	0.01	78%
hidden test	EXTREME	48	184.5%	2.93	100%
hidden test	HIGH VOLATILITY	254	-7.9%	-0.17	45%
hidden test	LOW VOLATILITY	429	39.7%	1.41	51%
hidden test	MEDIUM VOLATILITY	248	-41.7%	-0.93	66%
hidden test	NORMAL	800	-5.3%	-0.15	48%
hidden test	SIDEWAYS	293	-36.7%	-0.95	56%
hidden test	UPTREND	371	42.6%	0.91	74%
train	DOWNTREND	518	-15.9%	-0.71	22%
train	EXPENSIVE	311	11.6%	0.32	38%
train	EXTREME	100	406.9%	5.57	88%
train	HIGH VOLATILITY	699	25.0%	0.55	43%
train	LOW VOLATILITY	745	30.1%	1.47	30%
train	MEDIUM VOLATILITY	568	1.2%	0.04	37%
train	NORMAL	1,601	-2.3%	-0.08	33%
train	SIDEWAYS	592	-6.6%	-0.25	26%
train	UPTREND	902	58.5%	1.39	51%
validation	DOWNTREND	125	-0.2%	-1.42	0%
validation	EXPENSIVE	138	87.1%	1.41	86%
validation	EXTREME	144	336.2%	3.87	97%
validation	HIGH VOLATILITY	258	113.2%	1.63	50%
validation	LOW VOLATILITY	183	0.3%	0.01	36%
validation	MEDIUM VOLATILITY	315	64.9%	1.43	53%
validation	NORMAL	474	-22.6%	-0.84	22%
validation	SIDEWAYS	206	-28.8%	-0.87	28%
validation	UPTREND	425	131.0%	2.03	71%

Trades (full period)

15 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-05-14	2026-07-28	$347.68	$307.44	-7.62%	302
2024-11-11	2025-02-12	$350.00	$336.51	2.07%	63
2024-07-03	2024-08-05	$246.39	$198.88	-10.37%	23
2023-06-05	2023-08-15	$217.61	$232.96	11.83%	50
2023-01-27	2023-04-27	$177.90	$160.19	-4.25%	63
2022-08-01	2022-10-07	$297.28	$223.07	-20.02%	49
2022-03-24	2022-04-27	$337.97	$293.84	-12.45%	24
2021-10-27	2021-12-06	$345.95	$336.34	-0.54%	28
2020-04-15	2021-02-24	$48.66	$247.34	391.25%	218
2019-10-28	2020-03-10	$21.85	$43.02	84.92%	92
2018-11-05	2019-05-01	$22.76	$15.60	-31.23%	121
2018-06-19	2018-09-06	$23.50	$18.73	-24.45%	56
2016-03-09	2016-05-06	$13.91	$14.33	4.20%	42
2014-02-11	2014-03-28	$13.11	$14.16	5.26%	33
2012-02-14	2013-11-08	$2.21	$9.20	342.99%	438