Strategy Zoo / S0172
PriceMomentum_V0172
ARCHIVEDhybridparameterchanged ret_20d threshold 0.05 -> 0.1766; changed sma_200_slope threshold 0.0 -> 0.0023
Fitness
0.5120
Generation
8
Complexity
13
Created
2026-09-18
Lineage
Parents (1)
entry = PriceMomentum_V0080 OR LongTermTrend_V0085
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0172 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ((ret_20d > 0.1766 or (breakout_20 == 1 and sma_50 > sma_200)) or ((close > sma_200 and sma_200_slope > 0.0023) or ret_20d > 0.05)):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 14.2% | 70.5% | 18.4% | 25.3% |
| Total Return | 189.2% | 395.7% | 86.7% | 2655.1% |
| Sharpe | 0.57 | 1.25 | 0.65 | 0.78 |
| Sortino | 0.57 | 1.28 | 0.61 | 0.75 |
| Calmar | 0.21 | 1.36 | 0.40 | 0.38 |
| Volatility | 31.9% | 54.9% | 35.8% | 38.6% |
| Max DD | -67.3% | -51.8% | -46.4% | -67.3% |
| Win Rate | 37.0% | 45.5% | 47.5% | 41.5% |
| Avg Win | 12.3% | 20.8% | 10.6% | 15.3% |
| Avg Loss | -4.2% | -6.9% | -5.5% | -5.1% |
| Payoff | 2.96 | 3.01 | 1.94 | 3.01 |
| Expectancy | 1.9% | 5.7% | 2.2% | 3.4% |
| Profit Factor | 1.74 | 2.51 | 1.75 | 2.13 |
| Trades | 92 | 44 | 40 | 176 |
| Avg Holding Days | 9.5 | 9.7 | 8.9 | 9.7 |
| Turnover | 23.2 | 29.3 | 21.9 | 24.0 |
| Exposure | 41.1% | 50.4% | 36.3% | 41.8% |
Growth of $100
PriceMomentum_V0172 vs TSLA Buy & Hold
PriceMomentum_V0172 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 | 23.1% | 1.50 | -14.8% | 6 |
| 2017 | 2.8% | 0.24 | -28.6% | 21 |
| 2018 | -40.9% | -1.96 | -41.0% | 9 |
| 2019 | 32.2% | 1.21 | -22.6% | 5 |
| 2020 | 296.4% | 2.12 | -51.8% | 23 |
| 2021 | 86.3% | 1.72 | -21.5% | 14 |
| 2022 | -35.6% | -1.45 | -38.1% | 7 |
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 | 4.5% | 0.14 | 34% |
| hidden test | EXPENSIVE | 83 | 81.5% | 1.49 | 83% |
| hidden test | EXTREME | 48 | 201.1% | 3.26 | 88% |
| hidden test | HIGH VOLATILITY | 254 | 18.4% | 0.38 | 47% |
| hidden test | LOW VOLATILITY | 429 | 48.4% | 2.01 | 29% |
| hidden test | MEDIUM VOLATILITY | 248 | -15.1% | -0.41 | 38% |
| hidden test | NORMAL | 800 | 6.6% | 0.21 | 28% |
| hidden test | SIDEWAYS | 293 | -7.1% | -0.44 | 4% |
| hidden test | UPTREND | 371 | 60.9% | 1.28 | 63% |
| train | DOWNTREND | 518 | 0.7% | 0.04 | 22% |
| train | EXPENSIVE | 311 | 35.2% | 0.81 | 75% |
| train | EXTREME | 100 | 407.4% | 5.51 | 99% |
| train | HIGH VOLATILITY | 699 | 30.9% | 0.75 | 36% |
| train | LOW VOLATILITY | 745 | 28.7% | 1.24 | 49% |
| train | MEDIUM VOLATILITY | 568 | -10.8% | -0.38 | 37% |
| train | NORMAL | 1,601 | -9.3% | -0.40 | 31% |
| train | SIDEWAYS | 592 | -2.4% | -0.21 | 4% |
| train | UPTREND | 902 | 42.0% | 0.94 | 76% |
| validation | DOWNTREND | 125 | 43.5% | 1.99 | 14% |
| validation | EXPENSIVE | 138 | -2.6% | -0.04 | 80% |
| validation | EXTREME | 144 | 358.5% | 4.39 | 89% |
| validation | HIGH VOLATILITY | 258 | 80.1% | 1.03 | 55% |
| validation | LOW VOLATILITY | 183 | 23.8% | 0.94 | 48% |
| validation | MEDIUM VOLATILITY | 315 | 84.9% | 1.93 | 48% |
| validation | NORMAL | 474 | 1.1% | 0.03 | 30% |
| validation | SIDEWAYS | 206 | -58.9% | -2.25 | 5% |
| validation | UPTREND | 425 | 137.6% | 1.98 | 83% |
Trades (full period)
latest 100 of 177
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 5.19% | 20 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-29 | 2026-05-08 | $372.80 | $428.35 | 9.29% | 8 | |
| 2026-04-21 | 2026-04-24 | $386.42 | $376.30 | -4.98% | 4 | |
| 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 | |
| 2026-01-08 | 2026-01-13 | $435.80 | $447.20 | 3.86% | 4 | |
| 2025-12-08 | 2026-01-07 | $439.58 | $431.41 | -5.04% | 21 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 8.79% | 46 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-07 | 2025-08-11 | $322.27 | $339.03 | 2.84% | 3 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2025-04-29 | 2025-05-12 | $292.03 | $318.38 | 4.12% | 10 | |
| 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 | |
| 2025-02-21 | 2025-02-24 | $337.80 | $330.53 | -4.88% | 2 | |
| 2025-02-19 | 2025-02-20 | $360.56 | $354.40 | 1.62% | 2 | |
| 2025-02-14 | 2025-02-18 | $355.84 | $354.11 | -0.23% | 2 | |
| 2025-02-12 | 2025-02-13 | $336.51 | $355.94 | 2.24% | 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 | |
| 2024-10-28 | 2025-01-14 | $262.51 | $396.36 | 49.52% | 53 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.71% | 8 | |
| 2024-09-04 | 2024-09-27 | $219.41 | $260.46 | 20.48% | 18 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 3.14% | 23 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2024-04-15 | 2024-04-17 | $161.48 | $155.45 | -8.34% | 3 | |
| 2024-02-26 | 2024-03-07 | $199.40 | $178.65 | -8.22% | 9 | |
| 2023-06-02 | 2023-08-02 | $213.97 | $254.11 | 25.56% | 42 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-07-14 | 2022-08-02 | $238.31 | $300.59 | 25.16% | 14 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -17.18% | 12 | |
| 2021-08-24 | 2021-12-01 | $236.16 | $365.00 | 61.75% | 70 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2021-03-15 | 2021-03-16 | $235.98 | $225.63 | 1.85% | 2 | |
| 2021-03-11 | 2021-03-12 | $233.20 | $231.24 | 4.52% | 2 | |
| 2021-03-09 | 2021-03-10 | $224.53 | $222.69 | 19.42% | 2 | |
| 2021-03-05 | 2021-03-08 | $199.32 | $187.67 | -3.98% | 2 | |
| 2021-03-03 | 2021-03-04 | $217.73 | $207.15 | -5.04% | 2 | |
| 2021-03-01 | 2021-03-02 | $239.48 | $228.81 | 6.15% | 2 | |
| 2021-02-25 | 2021-02-26 | $227.41 | $225.17 | -8.25% | 2 | |
| 2021-02-23 | 2021-02-24 | $232.95 | $247.34 | -2.39% | 2 | |
| 2021-02-19 | 2021-02-22 | $260.43 | $238.17 | -0.97% | 2 | |
| 2021-02-17 | 2021-02-18 | $266.05 | $262.46 | 0.04% | 2 | |
| 2021-02-12 | 2021-02-16 | $272.04 | $265.41 | 0.35% | 2 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 65.06% | 57 | |
| 2020-11-11 | 2020-11-12 | $139.04 | $137.25 | 1.45% | 2 | |
| 2020-11-03 | 2020-11-10 | $141.30 | $136.79 | 4.98% | 6 | |
| 2020-10-30 | 2020-11-02 | $129.35 | $133.50 | -5.74% | 2 | |
| 2020-10-21 | 2020-10-29 | $140.88 | $136.94 | -3.97% | 7 | |
| 2020-10-01 | 2020-10-20 | $149.39 | $140.65 | 0.23% | 14 | |
| 2020-09-29 | 2020-09-30 | $139.69 | $143.00 | -0.71% | 2 | |
| 2020-09-25 | 2020-09-28 | $135.78 | $140.40 | 4.84% | 2 | |
| 2020-08-13 | 2020-09-24 | $108.07 | $129.26 | 22.08% | 30 | |
| 2020-08-11 | 2020-08-12 | $91.63 | $103.65 | -3.31% | 2 | |
| 2020-05-15 | 2020-08-10 | $53.28 | $94.57 | 80.47% | 60 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-04-08 | 2020-04-09 | $36.59 | $38.20 | 0.42% | 2 | |
| 2020-04-01 | 2020-04-02 | $32.10 | $30.30 | -8.29% | 2 | |
| 2020-03-30 | 2020-03-31 | $33.48 | $34.93 | -2.58% | 2 | |
| 2020-03-26 | 2020-03-27 | $35.21 | $34.29 | -2.25% | 2 | |
| 2020-03-24 | 2020-03-25 | $33.67 | $35.95 | 16.07% | 2 | |
| 2020-03-20 | 2020-03-23 | $28.50 | $28.95 | -0.23% | 2 | |
| 2020-03-18 | 2020-03-19 | $24.08 | $28.51 | -16.22% | 2 | |
| 2020-03-16 | 2020-03-17 | $29.67 | $28.68 | -18.76% | 2 | |
| 2020-03-12 | 2020-03-13 | $37.37 | $36.44 | -11.81% | 2 | |
| 2020-03-10 | 2020-03-11 | $43.02 | $42.28 | 5.93% | 2 | |
| 2020-03-05 | 2020-03-09 | $48.30 | $40.53 | -6.33% | 3 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 148.29% | 89 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 5.72% | 13 | |
| 2019-06-18 | 2019-07-22 | $14.98 | $17.05 | 14.50% | 24 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -13.16% | 2 | |
| 2018-11-29 | 2018-12-19 | $22.74 | $22.20 | -3.31% | 14 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-10-04 | 2018-10-09 | $18.79 | $17.52 | -15.18% | 4 | |
| 2018-08-22 | 2018-08-28 | $21.44 | $20.79 | -1.02% | 5 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 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 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-10-23 | 2017-10-25 | $22.47 | $21.72 | -2.45% | 3 |