Strategy Zoo / S0186

PriceMomentum_V0186

ARCHIVEDmomentum

parameterchanged ret_20d threshold -0.03 -> -0.1357

Fitness

0.6582

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

PriceMomentum_V0121S0121 · gen 5ARCHIVEDparameter

added exit filter: roll_high_50 < sma_20; added entry filter: rel_volume > 1.2635

Children (8)

PriceMomentum_V0203S0203 · gen 10ARCHIVEDcrossover

PriceMomentum_V0227S0227 · gen 11ARCHIVEDcrossover

PriceMomentum_V0234S0234 · gen 11ARCHIVEDstructural

PriceMomentum_V0285S0285 · gen 13ARCHIVEDstructural

PriceMomentum_V0424S0424 · gen 19ARCHIVEDstructural

PriceMomentum_V0429S0429 · gen 20ARCHIVEDcrossover

PriceMomentum_V0444S0444 · gen 20ARCHIVEDstructural

PriceMomentum_V0534S0534 · gen 24REJECTEDstructural

Strategy Logic (pseudocode)

# PriceMomentum_V0186  [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and rel_volume > 1.2635):
    position = 1.0
if long and (ret_20d < -0.1357 or roll_high_50 < sma_20):
    position = 0.0  # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	25.6%	77.4%	24.2%	34.6%
Total Return	515.5%	458.5%	122.5%	7774.8%
Sharpe	0.95	1.55	0.85	1.08
Sortino	0.98	1.32	0.76	1.00
Calmar	0.49	2.29	0.78	0.66
Volatility	28.1%	43.0%	31.1%	32.4%
Max DD	-52.4%	-33.8%	-30.8%	-52.4%
Win Rate	59.1%	85.7%	77.8%	68.4%
Avg Win	34.6%	39.8%	14.6%	33.1%
Avg Loss	-8.0%	-18.2%	-5.8%	-8.5%
Payoff	4.31	2.18	2.52	3.90
Expectancy	17.2%	31.5%	10.1%	20.0%
Profit Factor	6.22	10.00	8.84	8.44
Trades	22	7	9	38
Avg Holding Days	35.1	41.9	30.6	36.5
Turnover	8.0	6.4	7.0	7.3
Exposure	36.1%	32.6%	27.7%	33.3%

Growth of $100

PriceMomentum_V0186 vs TSLA Buy & Hold

PriceMomentum_V0186 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	0.2%	0.07	-14.1%	3
2017	12.8%	0.61	-25.5%	3
2018	-34.8%	-1.78	-37.1%	4
2019	59.0%	2.55	-8.5%	2
2020	324.3%	2.53	-33.8%	3
2021	30.5%	1.10	-21.3%	2
2022	-2.0%	-0.01	-22.7%	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	13.5%	0.41	21%
hidden test	EXPENSIVE	83	48.2%	1.22	54%
hidden test	EXTREME	48	181.9%	3.06	84%
hidden test	HIGH VOLATILITY	254	27.3%	0.59	41%
hidden test	LOW VOLATILITY	429	37.3%	1.82	21%
hidden test	MEDIUM VOLATILITY	248	6.7%	0.25	25%
hidden test	NORMAL	800	14.8%	0.54	22%
hidden test	SIDEWAYS	293	4.7%	0.93	2%
hidden test	UPTREND	371	52.9%	1.30	53%
train	DOWNTREND	518	5.9%	0.49	14%
train	EXPENSIVE	311	32.5%	1.00	60%
train	EXTREME	100	400.8%	5.56	94%
train	HIGH VOLATILITY	699	44.5%	1.23	28%
train	LOW VOLATILITY	745	30.9%	1.31	50%
train	MEDIUM VOLATILITY	568	-1.1%	-0.05	28%
train	NORMAL	1,601	2.1%	0.10	28%
train	SIDEWAYS	592	-3.8%	-0.33	3%
train	UPTREND	902	58.5%	1.47	71%
validation	DOWNTREND	125	38.9%	1.77	18%
validation	EXPENSIVE	138	48.4%	1.01	45%
validation	EXTREME	144	259.6%	3.44	69%
validation	HIGH VOLATILITY	258	84.7%	1.31	46%
validation	LOW VOLATILITY	183	28.0%	1.81	22%
validation	MEDIUM VOLATILITY	315	74.3%	2.48	28%
validation	NORMAL	474	13.3%	0.59	18%
validation	SIDEWAYS	206	0.6%	0.10	1%
validation	UPTREND	425	106.8%	1.91	52%

Trades (full period)

39 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	-0.79%	19	OPEN
2025-09-12	2026-01-13	$395.94	$447.20	16.46%	85
2025-04-08	2025-04-23	$221.86	$250.74	1.80%	11
2024-11-07	2025-01-28	$296.91	$398.09	35.56%	54
2024-09-06	2024-09-27	$210.73	$260.46	9.15%	16
2024-07-02	2024-08-05	$231.26	$198.88	-2.45%	24
2024-04-30	2024-05-29	$183.28	$176.19	-9.10%	21
2023-06-05	2023-08-14	$217.61	$239.76	14.74%	49
2023-05-24	2023-05-31	$182.90	$203.93	8.07%	5
2023-01-30	2023-02-10	$166.66	$196.89	16.30%	10
2022-06-22	2022-08-02	$236.09	$300.59	19.81%	29
2022-01-04	2022-01-20	$383.20	$332.09	-18.24%	12
2021-09-20	2021-12-06	$243.39	$336.34	39.69%	55
2020-11-19	2021-02-23	$166.42	$232.95	23.65%	64
2020-06-11	2020-09-30	$64.86	$143.00	79.56%	78
2020-04-15	2020-04-30	$48.66	$52.13	12.54%	12
2019-10-25	2020-03-05	$21.88	$48.30	134.52%	90
2019-09-27	2019-10-15	$16.14	$17.19	3.91%	13
2019-07-05	2019-07-22	$15.54	$17.05	9.69%	12
2018-12-06	2018-12-26	$24.20	$21.74	-13.75%	14
2018-08-03	2018-08-20	$23.21	$20.56	-12.77%	12
2018-06-19	2018-07-05	$23.50	$20.61	-16.34%	12
2018-06-07	2018-06-12	$21.07	$22.85	3.73%	4
2017-09-19	2017-10-25	$25.01	$21.72	-10.58%	27
2017-08-04	2017-08-24	$23.79	$23.53	0.18%	15
2017-01-05	2017-07-07	$15.12	$20.88	25.88%	127
2016-12-14	2016-12-28	$13.25	$14.65	9.89%	10
2016-06-08	2016-06-09	$15.70	$15.29	1.17%	2
2016-04-05	2016-05-05	$17.03	$14.10	-9.88%	23
2015-12-17	2015-12-29	$15.56	$15.81	-2.03%	8
2015-05-13	2015-08-18	$16.21	$17.38	6.91%	68
2015-04-29	2015-05-01	$15.50	$15.07	-2.12%	3
2015-04-23	2015-04-28	$14.57	$15.37	5.31%	4
2015-02-11	2015-04-14	$14.19	$13.83	-3.21%	43
2014-06-24	2014-10-01	$15.50	$16.02	4.49%	70
2014-02-11	2014-03-27	$13.11	$13.82	1.71%	32
2012-12-19	2013-10-29	$2.31	$10.96	375.95%	217
2012-11-29	2012-12-14	$2.25	$2.25	0.94%	12
2012-02-23	2012-04-25	$2.30	$2.19	-1.63%	44