Strategy Zoo / S0175
PriceMomentum_V0175
ARCHIVEDmomentumstructuralreduce exposure to 34% during EXTREME
Fitness
0.4724
Generation
8
Complexity
3
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> -0.0698
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0175 [momentum]
if flat and ret_20d > -0.0698:
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cash
if regime.bubble == "EXTREME": position *= 0.34Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.3% | 93.0% | -6.7% | 12.5% |
| Total Return | -2.1% | 618.4% | -22.6% | 460.0% |
| Sharpe | 0.18 | 1.80 | 0.05 | 0.49 |
| Sortino | 0.21 | 2.45 | 0.06 | 0.60 |
| Calmar | -0.00 | 2.69 | -0.10 | 0.15 |
| Volatility | 37.3% | 41.2% | 42.7% | 39.6% |
| Max DD | -83.1% | -34.5% | -64.4% | -83.1% |
| Win Rate | 34.3% | 44.2% | 28.9% | 34.1% |
| Avg Win | 6.9% | 19.8% | 10.0% | 11.1% |
| Avg Loss | -3.5% | -3.8% | -3.8% | -3.6% |
| Payoff | 1.95 | 5.25 | 2.64 | 3.04 |
| Expectancy | 0.0% | 6.6% | 0.2% | 1.4% |
| Profit Factor | 1.02 | 4.16 | 1.07 | 1.57 |
| Trades | 181 | 43 | 90 | 314 |
| Avg Holding Days | 8.4 | 12.8 | 7.5 | 9.0 |
| Turnover | 46.5 | 30.0 | 49.0 | 43.7 |
| Exposure | 66.8% | 55.0% | 62.2% | 63.3% |
Growth of $100
PriceMomentum_V0175 vs TSLA Buy & Hold
PriceMomentum_V0175 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 | -15.0% | -0.45 | -40.3% | 26 |
| 2017 | 20.2% | 0.77 | -28.3% | 19 |
| 2018 | -50.7% | -1.45 | -55.2% | 31 |
| 2019 | 12.3% | 0.49 | -41.2% | 25 |
| 2020 | 389.7% | 3.93 | -12.4% | 10 |
| 2021 | 61.0% | 1.39 | -22.9% | 16 |
| 2022 | -23.1% | -0.52 | -29.9% | 17 |
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 | -21.1% | -0.52 | 47% |
| hidden test | EXPENSIVE | 83 | 127.6% | 2.39 | 81% |
| hidden test | EXTREME | 48 | 165.9% | 4.58 | 35% |
| hidden test | HIGH VOLATILITY | 254 | 3.3% | 0.06 | 56% |
| hidden test | LOW VOLATILITY | 429 | 45.0% | 1.41 | 64% |
| hidden test | MEDIUM VOLATILITY | 248 | -73.0% | -1.70 | 66% |
| hidden test | NORMAL | 800 | -20.6% | -0.49 | 62% |
| hidden test | SIDEWAYS | 293 | -46.0% | -1.16 | 69% |
| hidden test | UPTREND | 371 | 57.1% | 1.23 | 67% |
| train | DOWNTREND | 518 | -58.4% | -1.77 | 53% |
| train | EXPENSIVE | 311 | 82.8% | 2.04 | 81% |
| train | EXTREME | 100 | 204.0% | 5.46 | 38% |
| train | HIGH VOLATILITY | 699 | 3.6% | 0.08 | 58% |
| train | LOW VOLATILITY | 745 | 34.9% | 1.17 | 76% |
| train | MEDIUM VOLATILITY | 568 | -26.4% | -0.78 | 65% |
| train | NORMAL | 1,601 | -20.4% | -0.56 | 66% |
| train | SIDEWAYS | 592 | -7.5% | -0.21 | 67% |
| train | UPTREND | 902 | 53.5% | 1.32 | 75% |
| validation | DOWNTREND | 125 | 30.8% | 1.13 | 23% |
| validation | EXPENSIVE | 138 | 145.7% | 3.05 | 71% |
| validation | EXTREME | 144 | 191.8% | 4.80 | 36% |
| validation | HIGH VOLATILITY | 258 | 49.4% | 1.23 | 31% |
| validation | LOW VOLATILITY | 183 | 46.5% | 1.59 | 76% |
| validation | MEDIUM VOLATILITY | 315 | 110.5% | 2.32 | 62% |
| validation | NORMAL | 474 | 17.6% | 0.45 | 56% |
| validation | SIDEWAYS | 206 | -10.5% | -0.27 | 56% |
| validation | UPTREND | 425 | 127.9% | 2.82 | 64% |
Trades (full period)
latest 100 of 315
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-20 | — | $345.13 | — | 3.39% | 21 | OPEN |
| 2026-07-22 | 2026-07-24 | $374.01 | $313.03 | -15.80% | 3 | |
| 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 | |
| 2026-06-30 | 2026-07-06 | $420.60 | $419.77 | -4.65% | 4 | |
| 2026-06-23 | 2026-06-24 | $381.61 | $375.53 | -5.98% | 2 | |
| 2026-06-16 | 2026-06-22 | $404.66 | $405.05 | -2.79% | 4 | |
| 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 | |
| 2026-04-01 | 2026-04-02 | $381.26 | $360.59 | 2.36% | 2 | |
| 2026-03-24 | 2026-03-25 | $383.03 | $385.95 | 0.37% | 2 | |
| 2026-03-18 | 2026-03-19 | $392.78 | $380.30 | -1.82% | 2 | |
| 2026-03-16 | 2026-03-17 | $395.56 | $399.27 | 0.91% | 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 | |
| 2026-02-18 | 2026-02-20 | $411.32 | $411.82 | 0.06% | 3 | |
| 2026-02-13 | 2026-02-17 | $417.44 | $410.63 | -0.11% | 2 | |
| 2026-02-11 | 2026-02-12 | $428.27 | $417.07 | 0.52% | 2 | |
| 2026-02-09 | 2026-02-10 | $417.32 | $425.21 | 1.31% | 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 | |
| 2026-01-20 | 2026-01-21 | $419.25 | $431.44 | -4.37% | 2 | |
| 2026-01-08 | 2026-01-15 | $435.80 | $438.57 | 1.60% | 6 | |
| 2025-12-04 | 2026-01-07 | $454.53 | $431.41 | -3.28% | 23 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.21% | 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 | |
| 2025-07-07 | 2025-07-10 | $293.94 | $309.87 | -6.37% | 4 | |
| 2025-06-24 | 2025-06-26 | $340.47 | $325.78 | -6.25% | 3 | |
| 2025-06-20 | 2025-06-23 | $322.16 | $348.68 | -0.17% | 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 | |
| 2025-04-10 | 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 | |
| 2025-03-28 | 2025-03-31 | $263.55 | $259.16 | -3.70% | 2 | |
| 2025-03-26 | 2025-03-27 | $272.06 | $273.13 | -5.77% | 2 | |
| 2025-02-07 | 2025-02-10 | $361.62 | $350.73 | -3.59% | 2 | |
| 2025-01-31 | 2025-02-05 | $404.60 | $378.17 | -0.72% | 4 | |
| 2025-01-24 | 2025-01-27 | $406.58 | $397.15 | -0.55% | 2 | |
| 2025-01-22 | 2025-01-23 | $415.11 | $412.38 | -0.79% | 2 | |
| 2025-01-15 | 2025-01-17 | $428.22 | $426.50 | 1.49% | 3 | |
| 2024-10-25 | 2025-01-14 | $269.19 | $396.36 | 60.05% | 54 | |
| 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 | |
| 2024-06-06 | 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 | |
| 2024-04-26 | 2024-04-29 | $168.29 | $194.05 | -1.31% | 2 | |
| 2024-04-12 | 2024-04-17 | $171.05 | $155.45 | -10.20% | 4 | |
| 2024-04-09 | 2024-04-11 | $176.88 | $174.60 | -0.90% | 3 | |
| 2024-04-04 | 2024-04-05 | $171.11 | $164.90 | 1.42% | 2 | |
| 2024-03-13 | 2024-03-14 | $169.48 | $162.50 | -4.74% | 2 | |
| 2024-03-08 | 2024-03-11 | $175.34 | $177.77 | -2.05% | 2 | |
| 2024-02-26 | 2024-03-07 | $199.40 | $178.65 | -8.22% | 9 | |
| 2024-02-22 | 2024-02-23 | $197.41 | $191.97 | 1.15% | 2 | |
| 2024-02-16 | 2024-02-20 | $199.95 | $193.76 | -0.45% | 2 | |
| 2024-01-11 | 2024-01-12 | $227.22 | $218.89 | -3.07% | 2 | |
| 2023-11-15 | 2024-01-10 | $242.84 | $233.94 | -1.23% | 38 | |
| 2023-10-17 | 2023-10-18 | $254.85 | $242.68 | 0.17% | 2 | |
| 2023-10-13 | 2023-10-16 | $251.12 | $253.92 | -3.19% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.44% | 2 | |
| 2023-10-05 | 2023-10-10 | $260.05 | $263.62 | -0.77% | 4 | |
| 2023-10-03 | 2023-10-04 | $246.53 | $261.16 | -2.21% | 2 | |
| 2023-09-29 | 2023-10-02 | $250.22 | $251.60 | 1.36% | 2 | |
| 2023-09-06 | 2023-09-28 | $251.92 | $246.38 | -6.42% | 17 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -4.92% | 4 | |
| 2023-08-08 | 2023-08-09 | $249.70 | $242.19 | -0.90% | 2 | |
| 2023-08-04 | 2023-08-07 | $253.86 | $251.45 | -2.30% | 2 | |
| 2023-05-18 | 2023-08-02 | $176.89 | $254.11 | 49.86% | 52 | |
| 2023-05-11 | 2023-05-12 | $172.08 | $167.98 | 1.90% | 2 | |
| 2023-05-09 | 2023-05-10 | $169.15 | $168.54 | -1.74% | 2 | |
| 2023-03-30 | 2023-04-20 | $195.28 | $162.99 | -7.04% | 15 | |
| 2023-03-24 | 2023-03-27 | $190.41 | $191.81 | -1.14% | 2 | |
| 2023-03-22 | 2023-03-23 | $191.15 | $192.22 | -3.45% | 2 | |
| 2023-03-15 | 2023-03-16 | $180.45 | $184.13 | -1.73% | 2 | |
| 2023-01-23 | 2023-03-08 | $143.75 | $182.00 | 40.42% | 32 | |
| 2022-12-09 | 2022-12-12 | $179.05 | $167.82 | 3.03% | 2 | |
| 2022-11-14 | 2022-11-15 | $190.95 | $194.42 | -2.76% | 2 | |
| 2022-11-01 | 2022-11-02 | $227.82 | $214.98 | -0.08% | 2 | |
| 2022-09-27 | 2022-10-03 | $282.94 | $242.40 | -4.09% | 5 | |
| 2022-09-15 | 2022-09-26 | $303.75 | $276.01 | -9.20% | 8 | |
| 2022-09-08 | 2022-09-14 | $289.26 | $302.61 | 2.77% | 5 | |
| 2022-09-06 | 2022-09-07 | $274.42 | $283.70 | 1.36% | 2 | |
| 2022-08-30 | 2022-08-31 | $277.70 | $275.61 | -2.70% | 2 | |
| 2022-07-06 | 2022-08-29 | $231.73 | $284.82 | 23.36% | 39 |