Strategy Zoo / S0200
PriceMomentum_V0200
ARCHIVEDmomentumstructuraladded entry filter: breakout_20 == 1
Fitness
0.5554
Generation
9
Complexity
4
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1766; changed ret_20d threshold 0.1766 -> 0.3
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0200 [momentum]
if flat and (ret_20d > 0.3 and breakout_20 == 1):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.0% | 65.3% | 11.6% | 24.3% |
| Total Return | 249.2% | 351.6% | 49.9% | 2333.0% |
| Sharpe | 0.80 | 1.32 | 0.53 | 0.87 |
| Sortino | 0.55 | 1.12 | 0.35 | 0.59 |
| Calmar | 0.52 | 1.94 | 0.41 | 0.72 |
| Volatility | 22.8% | 46.0% | 28.2% | 30.3% |
| Max DD | -32.6% | -33.7% | -28.5% | -33.7% |
| Win Rate | 57.1% | 57.1% | 50.0% | 55.0% |
| Avg Win | 43.3% | 58.0% | 21.3% | 47.5% |
| Avg Loss | -8.4% | -7.0% | -5.6% | -7.0% |
| Payoff | 5.17 | 8.33 | 3.78 | 6.80 |
| Expectancy | 21.2% | 30.1% | 7.8% | 23.0% |
| Profit Factor | 6.90 | 10.00 | 3.78 | 8.31 |
| Trades | 7 | 7 | 6 | 20 |
| Avg Holding Days | 38.3 | 38.6 | 32.7 | 39.0 |
| Turnover | 1.9 | 4.7 | 3.2 | 2.7 |
| Exposure | 15.2% | 34.8% | 20.4% | 20.5% |
Growth of $100
PriceMomentum_V0200 vs TSLA Buy & Hold
PriceMomentum_V0200 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 | 11.1% | 0.81 | -12.6% | 1 |
| 2017 | 0.0% | 0.00 | 0.0% | 0 |
| 2018 | -19.3% | -1.10 | -21.8% | 2 |
| 2019 | 27.4% | 1.74 | -8.5% | 0 |
| 2020 | 322.7% | 2.41 | -33.7% | 3 |
| 2021 | 21.2% | 0.82 | -17.6% | 2 |
| 2022 | -15.3% | -0.60 | -27.2% | 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 | 22.4% | 1.55 | 3% |
| hidden test | EXPENSIVE | 83 | 8.2% | 0.19 | 65% |
| hidden test | EXTREME | 48 | 194.8% | 3.46 | 69% |
| hidden test | HIGH VOLATILITY | 254 | 18.9% | 0.47 | 31% |
| hidden test | LOW VOLATILITY | 429 | 27.1% | 1.91 | 10% |
| hidden test | MEDIUM VOLATILITY | 248 | -10.1% | -0.33 | 28% |
| hidden test | NORMAL | 800 | 4.9% | 0.21 | 13% |
| hidden test | SIDEWAYS | 293 | -11.5% | -0.55 | 9% |
| hidden test | UPTREND | 371 | 30.5% | 0.79 | 42% |
| train | DOWNTREND | 518 | 1.5% | 0.31 | 1% |
| train | EXPENSIVE | 311 | 12.0% | 0.41 | 27% |
| train | EXTREME | 100 | 335.9% | 4.69 | 75% |
| train | HIGH VOLATILITY | 699 | 37.7% | 1.18 | 20% |
| train | LOW VOLATILITY | 745 | 11.0% | 0.83 | 12% |
| train | MEDIUM VOLATILITY | 568 | 3.5% | 0.19 | 13% |
| train | NORMAL | 1,601 | -0.5% | -0.04 | 9% |
| train | SIDEWAYS | 592 | -2.9% | -0.34 | 4% |
| train | UPTREND | 902 | 41.5% | 1.25 | 30% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 31.6% | 0.60 | 50% |
| validation | EXTREME | 144 | 293.2% | 3.60 | 89% |
| validation | HIGH VOLATILITY | 258 | 79.8% | 1.24 | 41% |
| validation | LOW VOLATILITY | 183 | 4.6% | 0.30 | 11% |
| validation | MEDIUM VOLATILITY | 315 | 78.1% | 1.98 | 43% |
| validation | NORMAL | 474 | -1.1% | -0.05 | 14% |
| validation | SIDEWAYS | 206 | -4.7% | -0.18 | 17% |
| validation | UPTREND | 425 | 110.6% | 1.90 | 54% |
Trades (full period)
20 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-22 | 2025-11-14 | $434.21 | $404.35 | -5.84% | 40 | |
| 2025-05-14 | 2025-06-13 | $347.68 | $325.31 | -4.67% | 22 | |
| 2024-11-11 | 2025-01-14 | $350.00 | $396.36 | 25.32% | 43 | |
| 2024-07-03 | 2024-08-02 | $246.39 | $207.67 | -6.41% | 22 | |
| 2023-06-05 | 2023-08-02 | $217.61 | $254.11 | 21.77% | 41 | |
| 2023-01-27 | 2023-03-08 | $177.90 | $182.00 | 16.90% | 28 | |
| 2022-08-01 | 2022-08-29 | $297.28 | $284.82 | -3.24% | 21 | |
| 2022-03-24 | 2022-04-27 | $337.97 | $293.84 | -12.45% | 24 | |
| 2021-10-28 | 2021-12-01 | $359.01 | $365.00 | 10.08% | 24 | |
| 2020-11-25 | 2021-02-11 | $191.33 | $270.55 | 44.63% | 53 | |
| 2020-08-21 | 2020-09-24 | $136.67 | $129.26 | -5.18% | 24 | |
| 2020-04-15 | 2020-08-10 | $48.66 | $94.57 | 104.24% | 82 | |
| 2019-10-28 | 2020-03-04 | $21.85 | $49.97 | 126.75% | 88 | |
| 2018-11-05 | 2018-12-19 | $22.76 | $22.20 | -2.90% | 31 | |
| 2018-06-19 | 2018-07-06 | $23.50 | $20.59 | -16.80% | 13 | |
| 2016-03-10 | 2016-05-04 | $13.68 | $14.84 | 11.08% | 39 | |
| 2014-02-11 | 2014-03-26 | $13.11 | $14.20 | 11.92% | 31 | |
| 2013-07-15 | 2013-10-22 | $8.48 | $11.44 | 32.60% | 71 | |
| 2013-04-19 | 2013-06-26 | $3.19 | $7.05 | 117.58% | 48 | |
| 2012-02-21 | 2012-04-10 | $2.30 | $2.16 | -5.40% | 35 |