Strategy Zoo / S0192
PriceMomentum_V0192
ARCHIVEDhybridstructuralrestricted to bubble regimes ['NORMAL']
Fitness
0.0568
Generation
9
Complexity
6
Created
2026-09-18
Lineage
Parents (1)
removed entry condition: ret_20d > 0.05
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0192 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['NORMAL']
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 cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -6.5% | -1.2% | -1.3% | -4.2% |
| Total Return | -41.8% | -3.6% | -4.9% | -46.6% |
| Sharpe | -0.51 | -0.00 | -0.08 | -0.29 |
| Sortino | -0.16 | -0.00 | -0.02 | -0.09 |
| Calmar | -0.14 | -0.03 | -0.07 | -0.08 |
| Volatility | 11.9% | 15.3% | 10.2% | 12.3% |
| Max DD | -45.2% | -39.0% | -19.5% | -52.7% |
| Win Rate | 23.5% | 25.0% | 50.0% | 28.0% |
| Avg Win | 4.5% | 33.2% | 5.5% | 8.9% |
| Avg Loss | -5.3% | -10.0% | -7.4% | -6.3% |
| Payoff | 0.86 | 3.33 | 0.74 | 1.41 |
| Expectancy | -3.0% | 0.8% | -1.0% | -2.0% |
| Profit Factor | 0.26 | 1.11 | 0.74 | 0.55 |
| Trades | 17 | 4 | 4 | 25 |
| Avg Holding Days | 8.5 | 15.5 | 10.3 | 9.9 |
| Turnover | 4.3 | 2.7 | 2.2 | 3.4 |
| Exposure | 6.3% | 7.7% | 4.0% | 6.0% |
Growth of $100
PriceMomentum_V0192 vs TSLA Buy & Hold
PriceMomentum_V0192 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 | 2.5% | 0.96 | -0.1% | 1 |
| 2018 | -15.5% | -0.89 | -22.0% | 2 |
| 2019 | -8.9% | -0.48 | -14.4% | 3 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 32.8% | 1.31 | -16.8% | 2 |
| 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 | 0.0% | 0.00 | 0% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | -1.3% | -0.11 | 1% |
| hidden test | LOW VOLATILITY | 429 | 5.4% | 0.65 | 5% |
| hidden test | MEDIUM VOLATILITY | 248 | -11.0% | -0.92 | 5% |
| hidden test | NORMAL | 800 | -0.9% | -0.09 | 5% |
| hidden test | SIDEWAYS | 293 | -1.0% | -1.01 | 0% |
| hidden test | UPTREND | 371 | -1.2% | -0.08 | 10% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 9.8% | 1.41 | 1% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -9.1% | -0.66 | 4% |
| train | LOW VOLATILITY | 745 | -3.4% | -0.28 | 12% |
| train | MEDIUM VOLATILITY | 568 | -5.7% | -0.68 | 2% |
| train | NORMAL | 1,601 | -9.5% | -0.73 | 8% |
| train | SIDEWAYS | 592 | -4.0% | -0.66 | 1% |
| train | UPTREND | 902 | -10.9% | -0.64 | 14% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | -25.8% | -1.71 | 3% |
| validation | LOW VOLATILITY | 183 | 22.2% | 2.10 | 19% |
| validation | MEDIUM VOLATILITY | 315 | 8.2% | 0.46 | 5% |
| validation | NORMAL | 474 | -0.1% | -0.00 | 12% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | -0.1% | -0.00 | 14% |
Trades (full period)
25 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-08 | 2025-12-30 | $439.58 | $454.43 | 0.81% | 16 | |
| 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 | |
| 2019-12-13 | 2019-12-17 | $23.89 | $25.27 | 5.85% | 3 | |
| 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 | |
| 2017-03-27 | 2017-03-28 | $18.01 | $18.50 | 2.48% | 2 | |
| 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 | |
| 2013-04-02 | 2013-04-11 | $2.96 | $2.91 | -4.90% | 8 | |
| 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 |