Strategy Zoo / S0180

PriceMomentum_V0180

ARCHIVEDhybrid

structuralremoved entry condition: ret_20d > 0.05

Fitness

0.5471

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

PriceMomentum_V0080S0080 · gen 4ARCHIVEDstructural

entry = PriceMomentum_V0078 OR Breakout20_V0040

Children (2)

SMACross_50_200_V0183S0183 · gen 9ARCHIVEDcrossover

PriceMomentum_V0192S0192 · gen 9ARCHIVEDstructural

Strategy Logic (pseudocode)

# PriceMomentum_V0180  [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (breakout_20 == 1 and sma_50 > sma_200):
    position = 1.0
if long and close < sma_20:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	12.3%	76.2%	7.3%	22.0%
Total Return	152.0%	447.2%	29.8%	1742.1%
Sharpe	0.59	1.55	0.44	0.84
Sortino	0.42	1.27	0.26	0.58
Calmar	0.31	1.93	0.28	0.45
Volatility	24.5%	42.1%	20.9%	28.3%
Max DD	-39.0%	-39.6%	-26.1%	-48.6%
Win Rate	36.0%	50.0%	42.9%	40.5%
Avg Win	22.8%	54.4%	20.2%	33.7%
Avg Loss	-4.9%	-7.7%	-6.0%	-5.6%
Payoff	4.65	7.02	3.38	5.97
Expectancy	5.1%	23.3%	5.3%	10.3%
Profit Factor	2.61	7.02	2.54	4.06
Trades	25	10	7	42
Avg Holding Days	15.4	23.4	16.4	17.8
Turnover	6.4	6.7	3.8	5.7
Exposure	18.5%	29.6%	11.6%	19.1%

Growth of $100

PriceMomentum_V0180 vs TSLA Buy & Hold

PriceMomentum_V0180 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	-0.7%	-0.14	-3.8%	2
2017	3.8%	0.28	-14.6%	6
2018	-15.5%	-0.89	-22.0%	2
2019	-0.1%	0.09	-14.4%	2
2020	401.8%	2.81	-39.6%	5
2021	44.1%	1.40	-16.8%	3
2022	-27.5%	-2.70	-27.4%	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	0.0%	0.00	0%
hidden test	EXPENSIVE	83	16.0%	0.35	51%
hidden test	EXTREME	48	161.4%	3.08	56%
hidden test	HIGH VOLATILITY	254	31.2%	1.06	15%
hidden test	LOW VOLATILITY	429	20.6%	1.75	8%
hidden test	MEDIUM VOLATILITY	248	-33.0%	-1.46	14%
hidden test	NORMAL	800	-0.6%	-0.05	5%
hidden test	SIDEWAYS	293	-1.0%	-1.01	0%
hidden test	UPTREND	371	23.9%	0.72	29%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	45.9%	1.31	52%
train	EXTREME	100	327.1%	4.54	81%
train	HIGH VOLATILITY	699	29.5%	0.86	20%
train	LOW VOLATILITY	745	7.4%	0.45	22%
train	MEDIUM VOLATILITY	568	5.4%	0.29	12%
train	NORMAL	1,601	-11.1%	-0.85	8%
train	SIDEWAYS	592	-4.0%	-0.66	1%
train	UPTREND	902	35.0%	0.96	41%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	32.6%	0.67	47%
validation	EXTREME	144	312.9%	4.20	70%
validation	HIGH VOLATILITY	258	61.4%	1.06	29%
validation	LOW VOLATILITY	183	43.8%	2.63	25%
validation	MEDIUM VOLATILITY	315	81.5%	2.23	33%
validation	NORMAL	474	-0.1%	-0.00	12%
validation	SIDEWAYS	206	4.9%	1.08	0%
validation	UPTREND	425	114.2%	2.04	52%

Trades (full period)

42 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-08	2025-12-30	$439.58	$454.43	0.81%	16
2025-10-29	2025-11-10	$461.51	$445.23	-6.92%	9
2025-09-17	2025-10-13	$425.86	$435.90	-2.12%	19
2024-10-28	2025-01-02	$262.51	$379.28	49.72%	46
2024-09-16	2024-09-27	$226.78	$260.46	10.17%	10
2024-09-06	2024-09-09	$210.73	$216.27	-8.64%	2
2023-07-05	2023-07-21	$282.48	$260.02	-6.23%	13
2022-04-05	2022-04-12	$363.75	$328.98	-14.97%	6
2022-01-04	2022-01-10	$383.20	$352.71	-14.58%	5
2021-09-27	2021-11-15	$263.79	$337.80	33.19%	36
2021-08-31	2021-09-21	$245.24	$246.46	-0.30%	15
2020-11-19	2021-02-01	$166.42	$279.94	62.74%	49
2020-10-15	2020-10-21	$149.63	$140.88	-8.72%	5
2020-08-17	2020-09-09	$122.38	$122.09	-0.17%	17
2020-05-22	2020-08-03	$54.46	$99.00	72.53%	50
2020-04-14	2020-04-30	$47.33	$52.13	22.74%	13
2019-12-13	2020-02-27	$23.89	$45.27	116.09%	51
2019-11-08	2019-11-25	$22.48	$22.42	-0.94%	12
2019-01-18	2019-01-22	$20.15	$19.93	-13.16%	2
2018-12-04	2018-12-18	$23.98	$22.47	-3.00%	10
2018-08-03	2018-08-20	$23.21	$20.56	-12.77%	12
2017-09-18	2017-09-25	$25.67	$23.00	-7.75%	6
2017-08-04	2017-08-21	$23.79	$22.52	-0.09%	12
2017-05-31	2017-06-28	$22.73	$24.75	7.92%	21
2017-05-11	2017-05-18	$21.54	$20.87	-6.06%	6
2017-03-27	2017-05-05	$18.01	$20.56	12.05%	29
2017-02-07	2017-02-24	$17.17	$17.13	-0.89%	13
2016-07-26	2016-08-09	$15.30	$15.27	-1.87%	11
2016-06-08	2016-06-09	$15.70	$15.29	1.17%	2
2015-07-21	2015-07-22	$17.78	$17.86	-5.68%	2
2015-06-18	2015-07-09	$17.46	$17.19	-2.29%	15
2014-08-04	2014-09-16	$15.90	$17.38	8.61%	31
2014-06-24	2014-07-08	$15.50	$14.60	-6.33%	10
2014-01-24	2014-03-17	$11.64	$15.60	27.00%	36
2013-07-30	2013-10-04	$8.78	$12.07	28.48%	48
2013-06-27	2013-07-17	$7.28	$8.02	2.95%	14
2013-04-02	2013-06-12	$2.96	$6.52	114.62%	51
2013-01-24	2013-02-19	$2.47	$2.62	2.69%	18
2013-01-03	2013-01-09	$2.32	$2.24	-4.94%	5
2012-03-27	2012-04-05	$2.53	$2.30	-6.60%	8
2012-03-13	2012-03-23	$2.41	$2.27	-4.66%	9
2012-02-21	2012-02-22	$2.30	$2.28	-1.54%	2