Strategy Zoo / S0170
PriceMomentum_V0170
ARCHIVEDmomentumparameterchanged ret_20d threshold -0.0698 -> -0.1639
Fitness
0.4953
Generation
8
Complexity
2
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> -0.0698
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0170 [momentum]
if flat and ret_20d > -0.1639:
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.9% | 79.1% | -4.4% | 20.9% |
| Total Return | 224.0% | 474.1% | -15.4% | 1520.4% |
| Sharpe | 0.56 | 1.29 | 0.14 | 0.64 |
| Sortino | 0.78 | 1.72 | 0.19 | 0.88 |
| Calmar | 0.19 | 1.37 | -0.07 | 0.25 |
| Volatility | 42.4% | 58.7% | 46.7% | 47.2% |
| Max DD | -83.9% | -57.7% | -63.7% | -83.9% |
| Win Rate | 43.5% | 40.0% | 37.3% | 41.3% |
| Avg Win | 5.0% | 14.5% | 5.5% | 7.1% |
| Avg Loss | -2.8% | -4.0% | -3.0% | -3.1% |
| Payoff | 1.75 | 3.63 | 1.82 | 2.31 |
| Expectancy | 0.6% | 3.4% | 0.2% | 1.1% |
| Profit Factor | 1.34 | 2.42 | 1.09 | 1.63 |
| Trades | 352 | 95 | 166 | 613 |
| Avg Holding Days | 5.3 | 6.9 | 5.0 | 5.6 |
| Turnover | 88.3 | 63.3 | 90.1 | 83.6 |
| Exposure | 78.6% | 74.5% | 73.4% | 76.5% |
Growth of $100
PriceMomentum_V0170 vs TSLA Buy & Hold
PriceMomentum_V0170 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 | -10.5% | -0.24 | -41.3% | 54 |
| 2017 | -1.8% | 0.10 | -43.0% | 38 |
| 2018 | -40.4% | -0.88 | -48.6% | 50 |
| 2019 | 13.6% | 0.51 | -45.0% | 49 |
| 2020 | 791.0% | 3.24 | -33.7% | 15 |
| 2021 | 25.8% | 0.74 | -41.8% | 31 |
| 2022 | -57.0% | -1.59 | -56.8% | 49 |
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 | -22.1% | -0.50 | 59% |
| hidden test | EXPENSIVE | 83 | 113.7% | 2.04 | 89% |
| hidden test | EXTREME | 48 | 201.1% | 3.26 | 88% |
| hidden test | HIGH VOLATILITY | 254 | 27.1% | 0.44 | 69% |
| hidden test | LOW VOLATILITY | 429 | 23.6% | 0.67 | 75% |
| hidden test | MEDIUM VOLATILITY | 248 | -44.6% | -0.94 | 75% |
| hidden test | NORMAL | 800 | -16.4% | -0.37 | 71% |
| hidden test | SIDEWAYS | 293 | -39.9% | -0.92 | 77% |
| hidden test | UPTREND | 371 | 63.4% | 1.25 | 81% |
| train | DOWNTREND | 518 | -40.7% | -1.17 | 66% |
| train | EXPENSIVE | 311 | 66.2% | 1.47 | 88% |
| train | EXTREME | 100 | 407.4% | 5.51 | 99% |
| train | HIGH VOLATILITY | 699 | 44.9% | 0.83 | 74% |
| train | LOW VOLATILITY | 745 | 37.4% | 1.22 | 84% |
| train | MEDIUM VOLATILITY | 568 | -20.7% | -0.52 | 78% |
| train | NORMAL | 1,601 | -8.6% | -0.22 | 75% |
| train | SIDEWAYS | 592 | 7.1% | 0.19 | 76% |
| train | UPTREND | 902 | 71.4% | 1.48 | 88% |
| validation | DOWNTREND | 125 | -49.3% | -1.19 | 40% |
| validation | EXPENSIVE | 138 | 83.6% | 1.34 | 79% |
| validation | EXTREME | 144 | 371.9% | 4.35 | 97% |
| validation | HIGH VOLATILITY | 258 | 67.6% | 0.88 | 67% |
| validation | LOW VOLATILITY | 183 | 52.0% | 1.60 | 83% |
| validation | MEDIUM VOLATILITY | 315 | 95.6% | 1.79 | 76% |
| validation | NORMAL | 474 | -16.9% | -0.37 | 66% |
| validation | SIDEWAYS | 206 | -27.9% | -0.59 | 70% |
| validation | UPTREND | 425 | 162.3% | 2.43 | 87% |
Trades (full period)
latest 100 of 614
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-20 | — | $345.13 | — | 3.39% | 21 | OPEN |
| 2026-08-18 | 2026-08-19 | $336.87 | $351.12 | -0.92% | 2 | |
| 2026-08-14 | 2026-08-17 | $342.27 | $339.30 | 0.48% | 2 | |
| 2026-08-11 | 2026-08-12 | $332.81 | $327.51 | 0.38% | 2 | |
| 2026-07-23 | 2026-07-24 | $319.69 | $313.03 | -14.71% | 2 | |
| 2026-07-21 | 2026-07-22 | $378.93 | $374.01 | 2.33% | 2 | |
| 2026-07-17 | 2026-07-20 | $380.84 | $369.57 | -2.81% | 2 | |
| 2026-07-10 | 2026-07-16 | $407.76 | $391.06 | -3.17% | 5 | |
| 2026-07-07 | 2026-07-09 | $402.90 | $406.55 | -6.32% | 3 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-06-29 | 2026-06-30 | $411.84 | $420.60 | 8.25% | 2 | |
| 2026-06-25 | 2026-06-26 | $375.12 | $379.71 | -0.31% | 2 | |
| 2026-06-23 | 2026-06-24 | $381.61 | $375.53 | -5.98% | 2 | |
| 2026-06-15 | 2026-06-22 | $411.15 | $405.05 | -1.66% | 5 | |
| 2026-06-11 | 2026-06-12 | $399.15 | $406.43 | 4.40% | 2 | |
| 2026-06-09 | 2026-06-10 | $396.68 | $381.59 | -3.20% | 2 | |
| 2026-04-27 | 2026-06-08 | $378.67 | $408.95 | 3.70% | 30 | |
| 2026-04-16 | 2026-04-24 | $388.90 | $376.30 | -4.84% | 7 | |
| 2026-04-14 | 2026-04-15 | $364.20 | $391.95 | 3.14% | 2 | |
| 2026-04-10 | 2026-04-13 | $348.95 | $352.42 | 0.76% | 2 | |
| 2026-04-08 | 2026-04-09 | $343.25 | $345.62 | -1.18% | 2 | |
| 2026-04-06 | 2026-04-07 | $352.82 | $346.65 | -2.35% | 2 | |
| 2026-04-01 | 2026-04-02 | $381.26 | $360.59 | 2.36% | 2 | |
| 2026-03-30 | 2026-03-31 | $355.28 | $371.75 | -2.01% | 2 | |
| 2026-03-26 | 2026-03-27 | $372.11 | $361.83 | -3.78% | 2 | |
| 2026-03-24 | 2026-03-25 | $383.03 | $385.95 | 0.37% | 2 | |
| 2026-03-20 | 2026-03-23 | $367.96 | $380.85 | -3.44% | 2 | |
| 2026-03-17 | 2026-03-19 | $399.27 | $380.30 | -0.90% | 3 | |
| 2026-03-13 | 2026-03-16 | $391.20 | $395.56 | -1.16% | 2 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.95% | 2 | |
| 2026-03-05 | 2026-03-10 | $405.55 | $399.24 | -1.98% | 4 | |
| 2026-03-03 | 2026-03-04 | $392.43 | $405.94 | -2.90% | 2 | |
| 2026-02-27 | 2026-03-02 | $402.51 | $403.32 | -1.68% | 2 | |
| 2026-02-25 | 2026-02-26 | $417.40 | $408.58 | 1.76% | 2 | |
| 2026-02-23 | 2026-02-24 | $399.83 | $409.38 | -3.11% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.11% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.83% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.81% | 2 | |
| 2026-02-10 | 2026-02-11 | $425.21 | $428.27 | 1.69% | 2 | |
| 2026-02-06 | 2026-02-09 | $411.11 | $417.32 | 3.30% | 2 | |
| 2026-02-04 | 2026-02-05 | $406.01 | $397.21 | -3.98% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -2.20% | 2 | |
| 2026-01-29 | 2026-01-30 | $416.56 | $430.41 | -3.65% | 2 | |
| 2026-01-27 | 2026-01-28 | $430.90 | $431.46 | -1.19% | 2 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.27% | 2 | |
| 2026-01-21 | 2026-01-22 | $431.44 | $449.36 | 2.70% | 2 | |
| 2026-01-16 | 2026-01-20 | $437.50 | $419.25 | -0.44% | 2 | |
| 2026-01-08 | 2026-01-15 | $435.80 | $438.57 | 1.60% | 6 | |
| 2025-12-03 | 2026-01-07 | $446.74 | $431.41 | 0.67% | 24 | |
| 2025-11-28 | 2025-12-02 | $430.17 | $429.24 | 0.63% | 3 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.19% | 2 | |
| 2025-11-21 | 2025-11-24 | $391.09 | $417.78 | -1.25% | 2 | |
| 2025-11-19 | 2025-11-20 | $403.99 | $395.23 | 0.48% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.93% | 2 | |
| 2025-08-05 | 2025-11-14 | $308.72 | $404.35 | 29.72% | 73 | |
| 2025-07-28 | 2025-08-04 | $325.59 | $309.26 | -4.44% | 6 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -8.39% | 2 | |
| 2025-07-17 | 2025-07-23 | $319.41 | $332.56 | 3.04% | 5 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -2.13% | 2 | |
| 2025-07-11 | 2025-07-14 | $313.51 | $316.90 | 0.97% | 2 | |
| 2025-07-08 | 2025-07-10 | $297.81 | $309.87 | 0.46% | 3 | |
| 2025-07-03 | 2025-07-07 | $315.35 | $293.94 | -0.29% | 2 | |
| 2025-07-01 | 2025-07-02 | $300.71 | $315.65 | -5.53% | 2 | |
| 2025-06-27 | 2025-06-30 | $323.63 | $317.66 | -0.86% | 2 | |
| 2025-06-23 | 2025-06-26 | $348.68 | $325.78 | 1.48% | 4 | |
| 2025-06-18 | 2025-06-20 | $322.05 | $322.16 | 1.60% | 2 | |
| 2025-06-16 | 2025-06-17 | $329.13 | $316.35 | 0.97% | 2 | |
| 2025-04-25 | 2025-06-13 | $284.95 | $325.31 | 22.73% | 35 | |
| 2025-04-23 | 2025-04-24 | $250.74 | $259.51 | 5.16% | 2 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2025-04-02 | 2025-04-07 | $282.76 | $233.29 | -10.99% | 4 | |
| 2025-03-31 | 2025-04-01 | $259.16 | $268.46 | -1.86% | 2 | |
| 2025-03-27 | 2025-03-28 | $273.13 | $263.55 | 0.19% | 2 | |
| 2025-03-25 | 2025-03-26 | $288.14 | $272.06 | 3.30% | 2 | |
| 2025-02-20 | 2025-02-21 | $354.40 | $337.80 | -1.91% | 2 | |
| 2025-02-18 | 2025-02-19 | $354.11 | $360.56 | -0.69% | 2 | |
| 2025-02-13 | 2025-02-14 | $355.94 | $355.84 | 5.57% | 2 | |
| 2025-02-10 | 2025-02-11 | $350.73 | $328.50 | -3.21% | 2 | |
| 2025-02-06 | 2025-02-07 | $374.32 | $361.62 | -1.22% | 2 | |
| 2025-02-03 | 2025-02-05 | $383.68 | $378.17 | -3.26% | 3 | |
| 2025-01-30 | 2025-01-31 | $400.28 | $404.60 | 2.67% | 2 | |
| 2025-01-28 | 2025-01-29 | $398.09 | $389.10 | 0.04% | 2 | |
| 2025-01-23 | 2025-01-27 | $412.38 | $397.15 | -2.25% | 3 | |
| 2025-01-21 | 2025-01-22 | $424.07 | $415.11 | -0.77% | 2 | |
| 2025-01-15 | 2025-01-17 | $428.22 | $426.50 | 4.20% | 3 | |
| 2024-10-25 | 2025-01-14 | $269.19 | $396.36 | 54.53% | 54 | |
| 2024-10-23 | 2024-10-24 | $213.65 | $260.48 | -2.18% | 2 | |
| 2024-10-21 | 2024-10-22 | $218.85 | $217.97 | -1.04% | 2 | |
| 2024-10-17 | 2024-10-18 | $220.89 | $220.70 | -0.40% | 2 | |
| 2024-10-15 | 2024-10-16 | $219.57 | $221.33 | -0.01% | 2 | |
| 2024-08-30 | 2024-10-14 | $214.11 | $219.16 | 5.38% | 31 | |
| 2024-08-28 | 2024-08-29 | $205.75 | $206.28 | -1.85% | 2 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -3.42% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -5.84% | 2 | |
| 2024-08-20 | 2024-08-21 | $221.10 | $223.27 | -0.93% | 2 | |
| 2024-08-16 | 2024-08-19 | $216.12 | $222.72 | 0.72% | 2 | |
| 2024-06-06 | 2024-08-02 | $177.94 | $207.67 | 23.67% | 40 | |
| 2024-05-30 | 2024-06-05 | $178.79 | $175.00 | -1.00% | 5 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 |