Strategy Zoo / S0184
PriceMomentum_V0184
ARCHIVEDhybridcrossoverentry = PriceMomentum_V0178 AND SMACross_50_200_V0166
Fitness
0.5213
Generation
9
Complexity
12
Created
2026-09-18
Lineage
Parents (2)
entry from SMACross_50_200_V0006, exit from PriceMomentum_V0121
changed rel_volume threshold 1.2635 -> 0.8942
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0184 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (((ret_20d > 0.05 and rel_volume > 0.8942) and breakout_50 == 1) and sma_50 > sma_200):
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 | 13.5% | 69.2% | 1.8% | 20.1% |
| Total Return | 175.5% | 384.4% | 6.8% | 1368.1% |
| Sharpe | 0.65 | 1.50 | 0.19 | 0.81 |
| Sortino | 0.51 | 1.15 | 0.10 | 0.57 |
| Calmar | 0.28 | 2.05 | 0.07 | 0.42 |
| Volatility | 23.8% | 40.5% | 18.5% | 27.1% |
| Max DD | -48.4% | -33.8% | -26.6% | -48.4% |
| Win Rate | 33.3% | 83.3% | 25.0% | 44.0% |
| Avg Win | 40.9% | 43.5% | 37.7% | 46.0% |
| Avg Loss | -6.0% | -16.5% | -8.1% | -7.2% |
| Payoff | 6.82 | 2.64 | 4.66 | 6.39 |
| Expectancy | 9.6% | 33.5% | 3.4% | 16.2% |
| Profit Factor | 3.41 | 10.00 | 1.55 | 5.02 |
| Trades | 15 | 6 | 4 | 25 |
| Avg Holding Days | 27.3 | 42.0 | 28.8 | 32.6 |
| Turnover | 4.9 | 4.9 | 3.0 | 4.4 |
| Exposure | 20.0% | 27.6% | 10.5% | 19.2% |
Growth of $100
PriceMomentum_V0184 vs TSLA Buy & Hold
PriceMomentum_V0184 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 | 0.0% | 0.00 | 0.0% | 0 |
| 2017 | -17.6% | -0.94 | -23.0% | 4 |
| 2018 | -22.7% | -2.01 | -22.6% | 2 |
| 2019 | 24.5% | 1.71 | -8.5% | 0 |
| 2020 | 250.4% | 2.29 | -33.8% | 3 |
| 2021 | 60.8% | 1.97 | -12.5% | 2 |
| 2022 | -16.5% | -1.49 | -16.5% | 1 |
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 | 6.4% | 0.18 | 50% |
| hidden test | EXTREME | 48 | 187.4% | 3.43 | 65% |
| hidden test | HIGH VOLATILITY | 254 | 26.0% | 1.05 | 14% |
| hidden test | LOW VOLATILITY | 429 | 4.9% | 0.43 | 7% |
| hidden test | MEDIUM VOLATILITY | 248 | -21.9% | -1.04 | 12% |
| hidden test | NORMAL | 800 | -7.8% | -0.88 | 3% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 8.8% | 0.30 | 26% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 24.1% | 0.76 | 51% |
| train | EXTREME | 100 | 376.5% | 5.24 | 91% |
| train | HIGH VOLATILITY | 699 | 39.7% | 1.23 | 23% |
| train | LOW VOLATILITY | 745 | 14.9% | 0.83 | 23% |
| train | MEDIUM VOLATILITY | 568 | -13.7% | -0.78 | 12% |
| train | NORMAL | 1,601 | -8.8% | -0.69 | 9% |
| train | SIDEWAYS | 592 | -4.4% | -0.75 | 0% |
| train | UPTREND | 902 | 37.3% | 1.06 | 44% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| 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 | 39.9% | 2.21 | 25% |
| validation | MEDIUM VOLATILITY | 315 | 61.2% | 2.09 | 26% |
| validation | NORMAL | 474 | 14.6% | 0.81 | 14% |
| validation | SIDEWAYS | 206 | -10.2% | -1.12 | 0% |
| validation | UPTREND | 425 | 113.1% | 2.12 | 49% |
Trades (full period)
25 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-16 | 2026-01-07 | $489.88 | $431.41 | -9.09% | 15 | |
| 2025-09-17 | 2025-11-14 | $425.86 | $404.35 | -5.15% | 43 | |
| 2024-11-07 | 2025-01-14 | $296.91 | $396.36 | 37.66% | 45 | |
| 2023-07-18 | 2023-08-02 | $293.34 | $254.11 | -9.98% | 12 | |
| 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 | |
| 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 | |
| 2019-11-08 | 2020-03-04 | $22.48 | $49.97 | 108.32% | 79 | |
| 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 | |
| 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 | |
| 2017-02-09 | 2017-03-08 | $17.95 | $16.46 | -4.19% | 19 | |
| 2015-06-18 | 2015-07-28 | $17.46 | $17.65 | 0.48% | 28 | |
| 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 | |
| 2012-03-13 | 2012-04-10 | $2.41 | $2.16 | -3.93% | 20 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |