Strategy Zoo / S0178
PriceMomentum_V0178
ARCHIVEDhybridparameterchanged rel_volume threshold 1.2635 -> 0.8942
Fitness
0.5374
Generation
8
Complexity
10
Created
2026-09-18
Lineage
Parents (1)
entry = PriceMomentum_V0121 AND VolumeBreakout_V0074
Children (1)
Strategy Logic (pseudocode)
# PriceMomentum_V0178 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ((ret_20d > 0.05 and rel_volume > 0.8942) and breakout_50 == 1):
position = 1.0
if long and (ret_20d < -0.03 or roll_high_50 < sma_20):
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 16.9% | 67.1% | 12.7% | 24.8% |
| Total Return | 247.2% | 366.2% | 55.4% | 2489.5% |
| Sharpe | 0.74 | 1.46 | 0.61 | 0.91 |
| Sortino | 0.65 | 1.18 | 0.38 | 0.70 |
| Calmar | 0.34 | 1.99 | 0.43 | 0.50 |
| Volatility | 25.2% | 40.9% | 24.6% | 29.0% |
| Max DD | -49.1% | -33.8% | -29.6% | -49.1% |
| Win Rate | 45.5% | 66.7% | 71.4% | 55.3% |
| Avg Win | 23.9% | 37.3% | 16.1% | 29.3% |
| Avg Loss | -6.7% | -8.7% | -12.6% | -7.7% |
| Payoff | 3.58 | 4.29 | 1.28 | 3.78 |
| Expectancy | 7.2% | 22.0% | 7.9% | 12.7% |
| Profit Factor | 2.98 | 8.57 | 3.20 | 4.67 |
| Trades | 22 | 9 | 7 | 38 |
| Avg Holding Days | 23.9 | 30.2 | 26.0 | 27.0 |
| Turnover | 6.8 | 6.6 | 5.0 | 6.2 |
| Exposure | 25.6% | 29.4% | 16.8% | 24.2% |
Growth of $100
PriceMomentum_V0178 vs TSLA Buy & Hold
PriceMomentum_V0178 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 | -1.1% | -0.09 | -10.8% | 2 |
| 2017 | -4.8% | -0.14 | -23.0% | 4 |
| 2018 | -34.1% | -2.20 | -35.2% | 5 |
| 2019 | 39.5% | 2.02 | -8.5% | 0 |
| 2020 | 250.4% | 2.29 | -33.8% | 3 |
| 2021 | 51.2% | 1.68 | -16.0% | 3 |
| 2022 | -14.5% | -1.09 | -19.2% | 3 |
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 | 2.1% | 0.97 | 0% |
| hidden test | EXPENSIVE | 83 | 45.4% | 1.15 | 56% |
| hidden test | EXTREME | 48 | 187.4% | 3.43 | 65% |
| hidden test | HIGH VOLATILITY | 254 | 6.8% | 0.20 | 21% |
| hidden test | LOW VOLATILITY | 429 | 31.8% | 1.83 | 14% |
| hidden test | MEDIUM VOLATILITY | 248 | -5.6% | -0.22 | 17% |
| hidden test | NORMAL | 800 | 1.5% | 0.08 | 10% |
| hidden test | SIDEWAYS | 293 | -5.9% | -0.63 | 1% |
| hidden test | UPTREND | 371 | 40.8% | 1.07 | 41% |
| train | DOWNTREND | 518 | 0.5% | 0.26 | 1% |
| train | EXPENSIVE | 311 | 29.6% | 0.92 | 54% |
| train | EXTREME | 100 | 376.5% | 5.24 | 91% |
| train | HIGH VOLATILITY | 699 | 40.5% | 1.20 | 27% |
| train | LOW VOLATILITY | 745 | 23.7% | 1.21 | 33% |
| train | MEDIUM VOLATILITY | 568 | -14.7% | -0.81 | 15% |
| train | NORMAL | 1,601 | -5.8% | -0.37 | 16% |
| train | SIDEWAYS | 592 | -4.9% | -0.50 | 1% |
| train | UPTREND | 902 | 44.5% | 1.22 | 55% |
| validation | DOWNTREND | 125 | 12.7% | 1.38 | 3% |
| validation | EXPENSIVE | 138 | 38.3% | 0.82 | 38% |
| validation | EXTREME | 144 | 234.5% | 3.21 | 63% |
| validation | HIGH VOLATILITY | 258 | 75.3% | 1.26 | 31% |
| validation | LOW VOLATILITY | 183 | 28.3% | 1.42 | 30% |
| validation | MEDIUM VOLATILITY | 315 | 65.2% | 2.19 | 28% |
| validation | NORMAL | 474 | 12.8% | 0.66 | 16% |
| validation | SIDEWAYS | 206 | -11.7% | -1.23 | 2% |
| validation | UPTREND | 425 | 108.1% | 2.01 | 51% |
Trades (full period)
38 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-16 | 2026-01-07 | $489.88 | $431.41 | -9.09% | 15 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 8.43% | 46 | |
| 2025-05-28 | 2025-06-06 | $356.90 | $295.14 | -16.06% | 8 | |
| 2024-11-07 | 2025-01-14 | $296.91 | $396.36 | 37.66% | 45 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 1.87% | 23 | |
| 2023-06-02 | 2023-08-02 | $213.97 | $254.11 | 27.37% | 42 | |
| 2023-02-08 | 2023-02-10 | $201.29 | $196.89 | 5.13% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.63% | 5 | |
| 2022-07-22 | 2022-08-02 | $272.24 | $300.59 | 6.26% | 8 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -16.47% | 16 | |
| 2021-09-08 | 2021-12-01 | $251.29 | $365.00 | 52.82% | 60 | |
| 2021-08-13 | 2021-08-23 | $239.06 | $235.43 | -6.00% | 7 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 39.28% | 57 | |
| 2020-08-17 | 2020-09-24 | $122.38 | $129.26 | 8.61% | 28 | |
| 2020-06-02 | 2020-08-10 | $58.77 | $94.57 | 54.39% | 49 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 133.27% | 89 | |
| 2018-12-06 | 2018-12-19 | $24.20 | $22.20 | -3.63% | 10 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -19.68% | 9 | |
| 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 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -5.21% | 4 | |
| 2017-09-18 | 2017-09-29 | $25.67 | $22.74 | -8.76% | 10 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.38% | 25 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | -1.30% | 36 | |
| 2017-01-05 | 2017-03-08 | $15.12 | $16.46 | 10.62% | 43 | |
| 2016-12-21 | 2016-12-28 | $13.85 | $14.65 | 5.11% | 5 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -5.92% | 22 | |
| 2015-05-12 | 2015-07-28 | $16.32 | $17.65 | 9.26% | 54 | |
| 2015-04-23 | 2015-04-28 | $14.57 | $15.37 | 5.31% | 4 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.78% | 28 | |
| 2014-06-24 | 2014-07-17 | $15.50 | $14.36 | -8.64% | 17 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 14.08% | 43 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 50.16% | 79 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 138.25% | 61 | |
| 2013-01-24 | 2013-02-26 | $2.47 | $2.30 | -3.97% | 23 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-03-13 | 2012-04-10 | $2.41 | $2.16 | -3.93% | 20 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |