Strategy Zoo / S0190
PriceMomentum_V0190
ARCHIVEDmomentumstructuralreplaced exit rule with: roc_20 > 18.0356
Fitness
0.3171
Generation
9
Complexity
2
Created
2026-09-18
Lineage
Parents (1)
seed strategy
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0190 [momentum]
if flat and ret_20d > 0.05:
position = 1.0
if long and roc_20 > 18.0356:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 23.8% | 4.1% | 19.8% | 17.7% |
| Total Return | 449.3% | 12.9% | 94.9% | 989.2% |
| Sharpe | 0.69 | 0.39 | 0.60 | 0.57 |
| Sortino | 0.98 | 0.53 | 0.93 | 0.81 |
| Calmar | 0.41 | 0.06 | 0.39 | 0.24 |
| Volatility | 46.3% | 64.6% | 52.4% | 52.2% |
| Max DD | -58.5% | -69.5% | -51.3% | -72.3% |
| Win Rate | 60.0% | 60.2% | 61.1% | 60.2% |
| Avg Win | 4.8% | 5.1% | 5.5% | 4.9% |
| Avg Loss | -3.7% | -4.7% | -5.1% | -4.7% |
| Payoff | 1.30 | 1.07 | 1.07 | 1.04 |
| Expectancy | 1.4% | 1.2% | 1.4% | 1.1% |
| Profit Factor | 1.95 | 1.62 | 1.69 | 1.57 |
| Trades | 150 | 113 | 90 | 354 |
| Avg Holding Days | 13.2 | 5.8 | 9.0 | 10.0 |
| Turnover | 37.6 | 75.7 | 49.0 | 48.3 |
| Exposure | 90.9% | 84.3% | 86.0% | 88.4% |
Growth of $100
PriceMomentum_V0190 vs TSLA Buy & Hold
PriceMomentum_V0190 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 | -16.4% | -0.30 | -35.8% | 14 |
| 2017 | 27.1% | 0.87 | -22.3% | 19 |
| 2018 | -7.4% | 0.15 | -37.3% | 14 |
| 2019 | 41.2% | 0.99 | -48.5% | 18 |
| 2020 | 162.1% | 1.66 | -55.7% | 70 |
| 2021 | 6.4% | 0.37 | -43.7% | 24 |
| 2022 | -65.7% | -1.35 | -69.5% | 17 |
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 | 50.6% | 0.81 | 96% |
| hidden test | EXPENSIVE | 83 | 100.0% | 1.53 | 76% |
| hidden test | EXTREME | 48 | 83.6% | 1.78 | 73% |
| hidden test | HIGH VOLATILITY | 254 | 119.9% | 1.71 | 78% |
| hidden test | LOW VOLATILITY | 429 | 23.5% | 0.58 | 93% |
| hidden test | MEDIUM VOLATILITY | 248 | -44.8% | -0.90 | 82% |
| hidden test | NORMAL | 800 | 21.4% | 0.42 | 88% |
| hidden test | SIDEWAYS | 293 | -29.1% | -0.64 | 91% |
| hidden test | UPTREND | 371 | 65.9% | 1.33 | 74% |
| train | DOWNTREND | 518 | -22.1% | -0.45 | 96% |
| train | EXPENSIVE | 311 | 86.7% | 1.78 | 87% |
| train | EXTREME | 100 | 219.1% | 4.33 | 60% |
| train | HIGH VOLATILITY | 699 | 53.5% | 0.90 | 85% |
| train | LOW VOLATILITY | 745 | 40.9% | 1.25 | 94% |
| train | MEDIUM VOLATILITY | 568 | -6.0% | -0.14 | 94% |
| train | NORMAL | 1,601 | 9.7% | 0.21 | 94% |
| train | SIDEWAYS | 592 | 49.8% | 1.07 | 93% |
| train | UPTREND | 902 | 51.5% | 1.15 | 87% |
| validation | DOWNTREND | 125 | -112.5% | -1.64 | 99% |
| validation | EXPENSIVE | 138 | 35.9% | 0.51 | 78% |
| validation | EXTREME | 144 | 181.6% | 2.66 | 65% |
| validation | HIGH VOLATILITY | 258 | 36.1% | 0.41 | 82% |
| validation | LOW VOLATILITY | 183 | 48.5% | 1.36 | 96% |
| validation | MEDIUM VOLATILITY | 315 | 2.0% | 0.04 | 80% |
| validation | NORMAL | 474 | -25.9% | -0.42 | 92% |
| validation | SIDEWAYS | 206 | -54.4% | -0.93 | 90% |
| validation | UPTREND | 425 | 103.8% | 1.58 | 77% |
Trades (full period)
latest 100 of 355
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-06-01 | — | $415.88 | — | -16.70% | 77 | OPEN |
| 2026-05-13 | 2026-05-29 | $445.27 | $435.79 | 1.79% | 12 | |
| 2026-05-11 | 2026-05-12 | $445.00 | $433.45 | 3.68% | 2 | |
| 2025-12-24 | 2026-05-08 | $485.40 | $428.35 | -15.36% | 93 | |
| 2025-12-22 | 2025-12-23 | $488.73 | $485.56 | 1.36% | 2 | |
| 2025-12-18 | 2025-12-19 | $483.37 | $481.20 | 3.24% | 2 | |
| 2025-10-14 | 2025-12-17 | $429.24 | $467.26 | 12.16% | 46 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-10-03 | 2025-10-06 | $429.83 | $453.25 | -1.61% | 2 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-29 | 2025-09-30 | $443.21 | $444.72 | 0.44% | 2 | |
| 2025-09-25 | 2025-09-26 | $423.39 | $440.40 | -4.58% | 2 | |
| 2025-09-23 | 2025-09-24 | $425.85 | $442.79 | -2.12% | 2 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 2.01% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 2 | |
| 2025-07-31 | 2025-09-16 | $308.27 | $421.62 | 28.26% | 33 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.29% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.23% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 6.73% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.72% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.31% | 2 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.89% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 3.87% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2025-01-02 | 2025-05-08 | $379.28 | $284.82 | -31.74% | 87 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.50% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.96% | 2 | |
| 2024-12-23 | 2024-12-24 | $430.60 | $462.28 | 2.06% | 2 | |
| 2024-12-19 | 2024-12-20 | $436.17 | $421.06 | -1.10% | 2 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-13 | 2024-12-16 | $436.23 | $463.02 | 4.13% | 2 | |
| 2024-12-11 | 2024-12-12 | $424.77 | $418.10 | 5.72% | 2 | |
| 2024-12-09 | 2024-12-10 | $389.79 | $400.99 | -0.05% | 2 | |
| 2024-12-05 | 2024-12-06 | $369.49 | $389.22 | 3.03% | 2 | |
| 2024-12-03 | 2024-12-04 | $351.42 | $357.93 | -1.79% | 2 | |
| 2024-11-29 | 2024-12-02 | $345.16 | $357.09 | 3.48% | 2 | |
| 2024-11-26 | 2024-11-27 | $338.23 | $332.89 | -0.31% | 2 | |
| 2024-11-22 | 2024-11-25 | $352.56 | $338.59 | 3.60% | 2 | |
| 2024-11-20 | 2024-11-21 | $342.03 | $339.64 | -1.35% | 2 | |
| 2024-11-18 | 2024-11-19 | $338.74 | $346.00 | 5.41% | 2 | |
| 2024-11-14 | 2024-11-15 | $311.18 | $320.72 | -5.97% | 2 | |
| 2024-11-12 | 2024-11-13 | $328.49 | $330.24 | -6.34% | 2 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 7.98% | 2 | |
| 2024-10-08 | 2024-11-07 | $244.50 | $296.91 | 19.57% | 23 | |
| 2024-10-02 | 2024-10-07 | $249.02 | $240.83 | -3.27% | 4 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.25% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -1.29% | 2 | |
| 2024-09-09 | 2024-09-25 | $216.27 | $257.02 | 20.42% | 13 | |
| 2024-07-25 | 2024-09-06 | $220.25 | $210.73 | 6.35% | 31 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -2.24% | 2 | |
| 2024-07-19 | 2024-07-22 | $239.20 | $251.51 | -4.22% | 2 | |
| 2024-07-17 | 2024-07-18 | $248.50 | $249.23 | -3.34% | 2 | |
| 2024-07-15 | 2024-07-16 | $252.64 | $256.56 | 1.57% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -8.64% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-05-23 | 2024-07-03 | $173.74 | $246.39 | 28.14% | 28 | |
| 2024-05-21 | 2024-05-22 | $186.60 | $180.11 | 6.45% | 2 | |
| 2023-11-30 | 2024-05-20 | $240.08 | $174.95 | -27.46% | 118 | |
| 2023-09-20 | 2023-11-29 | $262.59 | $244.14 | -7.61% | 50 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -3.52% | 2 | |
| 2023-07-11 | 2023-09-15 | $269.79 | $274.39 | 2.18% | 48 | |
| 2023-07-07 | 2023-07-10 | $274.43 | $269.61 | -0.96% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.75% | 2 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -6.25% | 2 | |
| 2023-06-22 | 2023-06-23 | $264.61 | $256.60 | 1.78% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 5.13% | 2 | |
| 2023-06-15 | 2023-06-16 | $255.90 | $260.54 | -0.55% | 2 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 3.35% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 3.86% | 2 | |
| 2023-06-07 | 2023-06-08 | $224.57 | $234.86 | 1.27% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.50% | 2 | |
| 2023-06-01 | 2023-06-02 | $207.52 | $213.97 | 1.56% | 2 | |
| 2023-05-26 | 2023-05-31 | $193.17 | $203.93 | 8.83% | 3 | |
| 2023-03-02 | 2023-05-25 | $190.90 | $184.47 | -9.99% | 60 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -1.12% | 2 | |
| 2023-02-24 | 2023-02-27 | $196.88 | $207.63 | -2.77% | 2 | |
| 2023-02-22 | 2023-02-23 | $200.86 | $202.07 | 1.57% | 2 | |
| 2023-02-17 | 2023-02-21 | $208.31 | $197.37 | 2.90% | 2 | |
| 2023-02-15 | 2023-02-16 | $214.24 | $202.04 | 2.18% | 2 | |
| 2023-02-13 | 2023-02-14 | $194.64 | $209.25 | -1.34% | 2 | |
| 2023-02-09 | 2023-02-10 | $207.32 | $196.89 | 2.79% | 2 | |
| 2023-02-07 | 2023-02-08 | $196.81 | $201.29 | 0.85% | 2 | |
| 2023-02-03 | 2023-02-06 | $189.98 | $194.76 | 0.71% | 2 | |
| 2023-02-01 | 2023-02-02 | $181.41 | $188.27 | 4.52% | 2 | |
| 2023-01-30 | 2023-01-31 | $166.66 | $173.22 | -6.51% | 2 | |
| 2022-08-18 | 2023-01-27 | $302.87 | $177.90 | -47.38% | 112 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -1.09% | 2 | |
| 2022-08-12 | 2022-08-15 | $300.03 | $309.32 | 4.47% | 2 | |
| 2022-08-10 | 2022-08-11 | $294.36 | $286.63 | 3.69% | 2 | |
| 2022-08-08 | 2022-08-09 | $290.42 | $283.33 | 0.58% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.20% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.91% | 2 | |
| 2022-07-29 | 2022-08-01 | $297.15 | $297.28 | 5.58% | 2 | |
| 2022-04-18 | 2022-07-28 | $334.76 | $280.90 | -16.46% | 71 | |
| 2022-04-13 | 2022-04-14 | $340.79 | $328.33 | 3.39% | 2 |