Strategy Zoo / S0187
PriceMomentum_V0187
ARCHIVEDmomentumstructuralswapped indicator ret_20d -> ret_60d
Fitness
0.4957
Generation
9
Complexity
3
Created
2026-09-18
Lineage
Parents (1)
restricted to trend regimes ['DOWNTREND', 'UPTREND']
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0187 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_60d > 0.169:
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.4% | 65.0% | 8.2% | 21.3% |
| Total Return | 173.6% | 349.3% | 33.7% | 1591.9% |
| Sharpe | 0.58 | 1.23 | 0.41 | 0.72 |
| Sortino | 0.48 | 1.20 | 0.33 | 0.61 |
| Calmar | 0.25 | 1.44 | 0.24 | 0.40 |
| Volatility | 28.4% | 51.9% | 31.3% | 35.2% |
| Max DD | -52.8% | -45.2% | -33.8% | -52.8% |
| Win Rate | 42.4% | 42.9% | 46.7% | 43.8% |
| Avg Win | 11.9% | 20.1% | 6.0% | 13.4% |
| Avg Loss | -4.5% | -5.5% | -3.3% | -4.5% |
| Payoff | 2.62 | 3.63 | 1.80 | 3.00 |
| Expectancy | 2.4% | 5.4% | 1.0% | 3.4% |
| Profit Factor | 1.93 | 2.72 | 1.58 | 2.35 |
| Trades | 59 | 42 | 45 | 146 |
| Avg Holding Days | 10.2 | 9.3 | 6.8 | 9.2 |
| Turnover | 14.9 | 28.0 | 24.4 | 19.9 |
| Exposure | 29.4% | 45.9% | 27.9% | 32.4% |
Growth of $100
PriceMomentum_V0187 vs TSLA Buy & Hold
PriceMomentum_V0187 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 | -16.6% | -1.52 | -21.5% | 9 |
| 2017 | 33.2% | 1.28 | -19.6% | 9 |
| 2018 | -41.1% | -2.73 | -41.0% | 5 |
| 2019 | 33.1% | 1.39 | -13.1% | 5 |
| 2020 | 328.8% | 2.27 | -45.2% | 18 |
| 2021 | 47.7% | 1.24 | -22.3% | 18 |
| 2022 | -40.2% | -2.48 | -40.1% | 6 |
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 | 72.8% | 1.39 | 76% |
| hidden test | EXTREME | 48 | 201.1% | 3.26 | 88% |
| hidden test | HIGH VOLATILITY | 254 | -17.0% | -0.39 | 35% |
| hidden test | LOW VOLATILITY | 429 | 21.0% | 1.13 | 20% |
| hidden test | MEDIUM VOLATILITY | 248 | 29.0% | 0.86 | 35% |
| hidden test | NORMAL | 800 | -4.8% | -0.19 | 19% |
| hidden test | SIDEWAYS | 293 | -26.9% | -1.67 | 2% |
| hidden test | UPTREND | 371 | 53.3% | 1.12 | 68% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 42.8% | 1.05 | 65% |
| train | EXTREME | 100 | 407.4% | 5.51 | 99% |
| train | HIGH VOLATILITY | 699 | 35.4% | 0.95 | 27% |
| train | LOW VOLATILITY | 745 | 25.8% | 1.29 | 34% |
| train | MEDIUM VOLATILITY | 568 | -18.6% | -0.75 | 26% |
| train | NORMAL | 1,601 | -12.9% | -0.72 | 18% |
| train | SIDEWAYS | 592 | -10.2% | -1.16 | 1% |
| train | UPTREND | 902 | 43.7% | 1.05 | 65% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | -19.5% | -0.29 | 78% |
| validation | EXTREME | 144 | 355.5% | 4.35 | 85% |
| validation | HIGH VOLATILITY | 258 | 76.8% | 1.06 | 48% |
| validation | LOW VOLATILITY | 183 | 21.0% | 0.82 | 47% |
| validation | MEDIUM VOLATILITY | 315 | 77.6% | 1.85 | 43% |
| validation | NORMAL | 474 | -0.8% | -0.03 | 25% |
| validation | SIDEWAYS | 206 | -44.5% | -2.23 | 4% |
| validation | UPTREND | 425 | 134.7% | 2.00 | 80% |
Trades (full period)
latest 100 of 146
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -7.68% | 2 | |
| 2025-12-03 | 2026-01-07 | $446.74 | $431.41 | 0.67% | 24 | |
| 2025-11-28 | 2025-12-02 | $430.17 | $429.24 | 0.63% | 3 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.19% | 2 | |
| 2025-11-17 | 2025-11-18 | $408.92 | $401.25 | 0.93% | 2 | |
| 2025-09-15 | 2025-11-14 | $410.04 | $404.35 | 1.33% | 45 | |
| 2025-07-17 | 2025-07-23 | $319.41 | $332.56 | 3.04% | 5 | |
| 2025-07-14 | 2025-07-16 | $316.90 | $321.67 | -1.07% | 3 | |
| 2025-07-10 | 2025-07-11 | $309.87 | $313.51 | 4.52% | 2 | |
| 2025-07-08 | 2025-07-09 | $297.81 | $295.88 | 1.12% | 2 | |
| 2025-07-03 | 2025-07-07 | $315.35 | $293.94 | -0.29% | 2 | |
| 2025-06-27 | 2025-06-30 | $323.63 | $317.66 | -0.86% | 2 | |
| 2025-06-24 | 2025-06-26 | $340.47 | $325.78 | -6.25% | 3 | |
| 2025-06-18 | 2025-06-20 | $322.05 | $322.16 | 1.60% | 2 | |
| 2025-06-16 | 2025-06-17 | $329.13 | $316.35 | 0.97% | 2 | |
| 2025-06-10 | 2025-06-13 | $326.09 | $325.31 | 3.21% | 4 | |
| 2025-05-23 | 2025-06-06 | $339.34 | $295.14 | -16.69% | 10 | |
| 2025-02-06 | 2025-02-07 | $374.32 | $361.62 | -1.22% | 2 | |
| 2025-02-03 | 2025-02-05 | $383.68 | $378.17 | -3.26% | 3 | |
| 2025-01-30 | 2025-01-31 | $400.28 | $404.60 | 2.67% | 2 | |
| 2025-01-28 | 2025-01-29 | $398.09 | $389.10 | 0.04% | 2 | |
| 2025-01-23 | 2025-01-27 | $412.38 | $397.15 | -2.25% | 3 | |
| 2025-01-21 | 2025-01-22 | $424.07 | $415.11 | -0.77% | 2 | |
| 2025-01-15 | 2025-01-17 | $428.22 | $426.50 | 4.20% | 3 | |
| 2024-10-28 | 2025-01-14 | $262.51 | $396.36 | 49.52% | 53 | |
| 2024-08-30 | 2024-09-27 | $214.11 | $260.46 | 23.00% | 20 | |
| 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 | |
| 2024-08-20 | 2024-08-21 | $221.10 | $223.27 | -0.93% | 2 | |
| 2024-08-16 | 2024-08-19 | $216.12 | $222.72 | 0.72% | 2 | |
| 2024-08-14 | 2024-08-15 | $201.38 | $214.14 | -3.30% | 2 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 3.14% | 23 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -4.92% | 4 | |
| 2023-08-28 | 2023-08-29 | $238.82 | $257.18 | -0.10% | 2 | |
| 2023-08-24 | 2023-08-25 | $230.04 | $238.59 | -3.08% | 2 | |
| 2023-08-22 | 2023-08-23 | $233.19 | $236.86 | 0.63% | 2 | |
| 2023-08-17 | 2023-08-18 | $219.22 | $215.49 | -3.03% | 2 | |
| 2023-08-15 | 2023-08-16 | $232.96 | $225.60 | -3.03% | 2 | |
| 2023-08-11 | 2023-08-14 | $242.65 | $239.76 | -1.30% | 2 | |
| 2023-08-09 | 2023-08-10 | $242.19 | $245.34 | -3.20% | 2 | |
| 2023-08-07 | 2023-08-08 | $251.45 | $249.70 | -1.15% | 2 | |
| 2023-08-03 | 2023-08-04 | $259.32 | $253.86 | 1.85% | 2 | |
| 2023-06-05 | 2023-08-02 | $217.61 | $254.11 | 21.77% | 41 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.71% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-04-26 | 2022-04-27 | $292.14 | $293.84 | -12.37% | 2 | |
| 2021-12-30 | 2022-01-20 | $356.78 | $332.09 | -8.52% | 15 | |
| 2021-12-27 | 2021-12-29 | $364.65 | $362.06 | 1.81% | 3 | |
| 2021-12-22 | 2021-12-23 | $336.29 | $355.67 | 7.29% | 2 | |
| 2021-12-17 | 2021-12-20 | $310.86 | $299.98 | 0.41% | 2 | |
| 2021-12-15 | 2021-12-16 | $325.33 | $308.97 | 1.62% | 2 | |
| 2021-12-13 | 2021-12-14 | $322.14 | $319.50 | -5.17% | 2 | |
| 2021-12-08 | 2021-12-10 | $356.32 | $339.01 | -4.75% | 3 | |
| 2021-12-06 | 2021-12-07 | $336.34 | $350.58 | -0.79% | 2 | |
| 2021-12-02 | 2021-12-03 | $361.53 | $338.32 | -1.15% | 2 | |
| 2021-08-30 | 2021-12-01 | $243.64 | $365.00 | 60.48% | 66 | |
| 2021-08-09 | 2021-08-23 | $237.92 | $235.43 | -2.89% | 11 | |
| 2021-03-03 | 2021-03-04 | $217.73 | $207.15 | -5.04% | 2 | |
| 2021-03-01 | 2021-03-02 | $239.48 | $228.81 | 6.15% | 2 | |
| 2021-02-25 | 2021-02-26 | $227.41 | $225.17 | -8.25% | 2 | |
| 2021-02-23 | 2021-02-24 | $232.95 | $247.34 | -2.39% | 2 | |
| 2021-02-19 | 2021-02-22 | $260.43 | $238.17 | -0.97% | 2 | |
| 2021-02-17 | 2021-02-18 | $266.05 | $262.46 | 0.04% | 2 | |
| 2021-02-12 | 2021-02-16 | $272.04 | $265.41 | 0.35% | 2 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 65.06% | 57 | |
| 2020-11-03 | 2020-11-10 | $141.30 | $136.79 | 4.98% | 6 | |
| 2020-10-30 | 2020-11-02 | $129.35 | $133.50 | -5.74% | 2 | |
| 2020-10-21 | 2020-10-29 | $140.88 | $136.94 | -3.97% | 7 | |
| 2020-10-01 | 2020-10-20 | $149.39 | $140.65 | 0.23% | 14 | |
| 2020-09-29 | 2020-09-30 | $139.69 | $143.00 | -0.71% | 2 | |
| 2020-09-25 | 2020-09-28 | $135.78 | $140.40 | 4.84% | 2 | |
| 2020-08-13 | 2020-09-24 | $108.07 | $129.26 | 22.08% | 30 | |
| 2020-08-11 | 2020-08-12 | $91.63 | $103.65 | -3.31% | 2 | |
| 2020-05-26 | 2020-08-10 | $54.59 | $94.57 | 77.48% | 54 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-04-01 | 2020-04-02 | $32.10 | $30.30 | -8.29% | 2 | |
| 2020-03-27 | 2020-03-30 | $34.29 | $33.48 | -2.81% | 2 | |
| 2020-03-25 | 2020-03-26 | $35.95 | $35.21 | 6.58% | 2 | |
| 2020-03-16 | 2020-03-17 | $29.67 | $28.68 | -18.76% | 2 | |
| 2020-03-12 | 2020-03-13 | $37.37 | $36.44 | -11.81% | 2 | |
| 2020-03-10 | 2020-03-11 | $43.02 | $42.28 | 5.93% | 2 | |
| 2020-03-05 | 2020-03-09 | $48.30 | $40.53 | -6.33% | 3 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 148.29% | 89 | |
| 2019-01-17 | 2019-01-22 | $23.15 | $19.93 | -12.83% | 3 | |
| 2019-01-15 | 2019-01-16 | $22.96 | $23.07 | 2.80% | 2 | |
| 2019-01-11 | 2019-01-14 | $23.15 | $22.29 | 0.46% | 2 | |
| 2019-01-09 | 2019-01-10 | $22.57 | $23.00 | 0.75% | 2 | |
| 2019-01-07 | 2019-01-08 | $22.33 | $22.36 | 5.23% | 2 | |
| 2018-12-27 | 2018-12-28 | $21.08 | $22.26 | -3.25% | 2 | |
| 2018-11-29 | 2018-12-19 | $22.74 | $22.20 | -3.31% | 14 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -19.68% | 9 | |
| 2018-06-19 | 2018-07-05 | $23.50 | $20.61 | -16.34% | 12 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-08-14 | 2017-08-24 | $24.25 | $23.53 | -1.62% | 9 | |
| 2017-05-25 | 2017-07-06 | $21.12 | $20.59 | 5.23% | 29 | |
| 2017-03-24 | 2017-05-24 | $17.54 | $20.68 | 19.03% | 43 |