Strategy Zoo / S0203
PriceMomentum_V0203
ARCHIVEDmomentumcrossoverentry from PriceMomentum_V0053, exit from PriceMomentum_V0186
Fitness
0.5303
Generation
10
Complexity
4
Created
2026-09-18
Lineage
Parents (2)
changed ret_20d threshold 0.05 -> -0.0698
changed ret_20d threshold -0.03 -> -0.1357
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0203 [momentum]
if flat and ret_20d > -0.0698:
position = 1.0
if long and (ret_20d < -0.1357 or roll_high_50 < sma_20):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.0% | 77.1% | 0.3% | 22.7% |
| Total Return | 250.2% | 455.1% | 1.0% | 1922.3% |
| Sharpe | 0.57 | 1.26 | 0.25 | 0.66 |
| Sortino | 0.77 | 1.67 | 0.36 | 0.90 |
| Calmar | 0.26 | 1.36 | 0.01 | 0.34 |
| Volatility | 45.4% | 58.9% | 50.1% | 49.7% |
| Max DD | -66.5% | -56.8% | -54.6% | -66.5% |
| Win Rate | 31.0% | 35.3% | 31.3% | 32.3% |
| Avg Win | 71.5% | 79.2% | 35.3% | 72.9% |
| Avg Loss | -11.9% | -10.2% | -12.6% | -11.7% |
| Payoff | 6.00 | 7.75 | 2.79 | 6.25 |
| Expectancy | 14.0% | 21.3% | 2.3% | 15.6% |
| Profit Factor | 2.70 | 4.23 | 1.27 | 2.98 |
| Trades | 29 | 17 | 16 | 62 |
| Avg Holding Days | 57.7 | 34.9 | 46.9 | 50.1 |
| Turnover | 7.4 | 11.3 | 8.9 | 8.5 |
| Exposure | 86.2% | 76.3% | 81.1% | 82.9% |
Growth of $100
PriceMomentum_V0203 vs TSLA Buy & Hold
PriceMomentum_V0203 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 | -10.8% | -0.23 | -39.7% | 4 |
| 2017 | 20.8% | 0.73 | -33.3% | 2 |
| 2018 | 2.6% | 0.31 | -35.4% | 3 |
| 2019 | 8.1% | 0.40 | -45.4% | 5 |
| 2020 | 728.9% | 3.08 | -33.7% | 3 |
| 2021 | 4.9% | 0.33 | -40.1% | 7 |
| 2022 | -46.3% | -1.21 | -50.2% | 7 |
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 | -0.8% | -0.02 | 61% |
| hidden test | EXPENSIVE | 83 | 65.8% | 1.16 | 89% |
| hidden test | EXTREME | 48 | 179.5% | 2.87 | 94% |
| hidden test | HIGH VOLATILITY | 254 | 49.6% | 0.74 | 74% |
| hidden test | LOW VOLATILITY | 429 | 33.8% | 0.91 | 83% |
| hidden test | MEDIUM VOLATILITY | 248 | -61.4% | -1.25 | 84% |
| hidden test | NORMAL | 800 | -2.7% | -0.06 | 80% |
| hidden test | SIDEWAYS | 293 | -45.0% | -1.00 | 87% |
| hidden test | UPTREND | 371 | 68.1% | 1.28 | 90% |
| train | DOWNTREND | 518 | -35.4% | -0.84 | 78% |
| train | EXPENSIVE | 311 | 73.4% | 1.56 | 87% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 43.0% | 0.73 | 82% |
| train | LOW VOLATILITY | 745 | 36.4% | 1.14 | 89% |
| train | MEDIUM VOLATILITY | 568 | -8.8% | -0.21 | 87% |
| train | NORMAL | 1,601 | -7.6% | -0.18 | 85% |
| train | SIDEWAYS | 592 | 5.7% | 0.13 | 85% |
| train | UPTREND | 902 | 74.4% | 1.53 | 91% |
| validation | DOWNTREND | 125 | -60.4% | -1.65 | 38% |
| validation | EXPENSIVE | 138 | 82.4% | 1.34 | 85% |
| validation | EXTREME | 144 | 373.6% | 4.21 | 97% |
| validation | HIGH VOLATILITY | 258 | 91.3% | 1.21 | 62% |
| validation | LOW VOLATILITY | 183 | 44.1% | 1.30 | 91% |
| validation | MEDIUM VOLATILITY | 315 | 78.4% | 1.42 | 79% |
| validation | NORMAL | 474 | -18.7% | -0.43 | 68% |
| validation | SIDEWAYS | 206 | -11.4% | -0.25 | 73% |
| validation | UPTREND | 425 | 155.8% | 2.27 | 89% |
Trades (full period)
63 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-20 | — | $345.13 | — | 3.39% | 21 | OPEN |
| 2026-06-30 | 2026-07-24 | $420.60 | $313.03 | -22.53% | 18 | |
| 2026-04-16 | 2026-06-26 | $388.90 | $379.71 | -4.49% | 50 | |
| 2025-04-25 | 2026-04-09 | $284.95 | $345.62 | 32.02% | 240 | |
| 2025-03-26 | 2025-04-23 | $272.06 | $250.74 | -17.58% | 20 | |
| 2025-01-31 | 2025-02-12 | $404.60 | $336.51 | -18.10% | 9 | |
| 2024-10-25 | 2025-01-28 | $269.19 | $398.09 | 52.17% | 63 | |
| 2024-08-22 | 2024-10-23 | $210.66 | $213.65 | -2.57% | 44 | |
| 2024-04-26 | 2024-08-05 | $168.29 | $198.88 | 21.78% | 69 | |
| 2024-04-04 | 2024-04-19 | $171.11 | $147.05 | -11.13% | 12 | |
| 2024-02-16 | 2024-03-15 | $199.95 | $163.57 | -19.09% | 20 | |
| 2023-11-15 | 2024-01-18 | $242.84 | $211.88 | -9.39% | 43 | |
| 2023-08-30 | 2023-10-20 | $256.90 | $211.99 | -14.59% | 37 | |
| 2023-05-09 | 2023-08-14 | $169.15 | $239.76 | 40.96% | 67 | |
| 2023-03-22 | 2023-04-21 | $191.15 | $165.08 | -17.67% | 22 | |
| 2023-03-15 | 2023-03-16 | $180.45 | $184.13 | -1.73% | 2 | |
| 2023-01-23 | 2023-03-10 | $143.75 | $173.44 | 29.36% | 34 | |
| 2022-12-09 | 2022-12-13 | $179.05 | $160.95 | -3.43% | 3 | |
| 2022-11-14 | 2022-11-17 | $190.95 | $183.17 | -4.81% | 4 | |
| 2022-11-01 | 2022-11-10 | $227.82 | $190.72 | -22.11% | 8 | |
| 2022-06-22 | 2022-10-06 | $236.09 | $238.13 | 1.39% | 75 | |
| 2022-06-10 | 2022-06-14 | $232.23 | $220.89 | -10.18% | 3 | |
| 2022-02-28 | 2022-04-27 | $290.14 | $293.84 | 8.01% | 42 | |
| 2021-12-27 | 2022-01-26 | $364.65 | $312.47 | -14.10% | 22 | |
| 2021-12-09 | 2021-12-17 | $334.60 | $310.86 | -13.47% | 7 | |
| 2021-06-09 | 2021-12-06 | $199.59 | $336.34 | 67.82% | 126 | |
| 2021-05-28 | 2021-06-04 | $208.41 | $199.68 | -9.38% | 5 | |
| 2021-04-01 | 2021-05-12 | $220.58 | $196.63 | -7.78% | 29 | |
| 2021-03-26 | 2021-03-30 | $206.24 | $211.87 | -4.74% | 3 | |
| 2021-03-23 | 2021-03-25 | $220.72 | $213.46 | -6.12% | 3 | |
| 2020-10-02 | 2021-02-23 | $138.36 | $232.95 | 59.10% | 98 | |
| 2020-04-13 | 2020-09-30 | $43.40 | $143.00 | 264.99% | 120 | |
| 2020-03-06 | 2020-03-10 | $46.90 | $43.02 | -16.25% | 3 | |
| 2019-08-23 | 2020-03-05 | $14.09 | $48.30 | 236.69% | 134 | |
| 2019-06-12 | 2019-08-15 | $13.95 | $14.38 | 0.95% | 46 | |
| 2019-05-06 | 2019-05-14 | $17.02 | $15.49 | -11.16% | 7 | |
| 2019-03-12 | 2019-04-29 | $18.89 | $16.10 | -19.34% | 34 | |
| 2019-01-09 | 2019-03-07 | $22.57 | $18.44 | -17.79% | 40 | |
| 2018-09-18 | 2019-01-04 | $19.00 | $21.18 | 1.67% | 75 | |
| 2018-08-02 | 2018-09-05 | $23.30 | $18.72 | -4.13% | 24 | |
| 2018-04-19 | 2018-07-30 | $20.01 | $19.34 | 1.11% | 71 | |
| 2017-11-22 | 2018-03-26 | $20.84 | $20.28 | -5.31% | 84 | |
| 2017-07-27 | 2017-11-03 | $22.30 | $20.41 | -13.14% | 71 | |
| 2016-09-26 | 2017-07-07 | $13.93 | $20.88 | 48.57% | 197 | |
| 2016-06-30 | 2016-09-06 | $14.15 | $13.52 | -6.09% | 47 | |
| 2016-06-02 | 2016-06-27 | $14.60 | $13.24 | -12.20% | 18 | |
| 2016-02-26 | 2016-05-05 | $12.69 | $14.10 | 18.51% | 49 | |
| 2015-11-05 | 2016-01-21 | $15.45 | $13.33 | -14.39% | 52 | |
| 2015-08-31 | 2015-10-13 | $16.60 | $14.62 | -13.41% | 31 | |
| 2014-12-31 | 2015-08-26 | $14.83 | $14.99 | -1.19% | 165 | |
| 2014-10-22 | 2014-12-11 | $15.41 | $13.93 | -11.02% | 36 | |
| 2014-10-08 | 2014-10-13 | $17.29 | $14.97 | -8.91% | 4 | |
| 2014-05-14 | 2014-10-01 | $12.71 | $16.02 | 27.36% | 98 | |
| 2014-04-23 | 2014-05-09 | $13.87 | $12.15 | -18.49% | 13 | |
| 2013-12-09 | 2014-03-27 | $9.44 | $13.82 | 54.73% | 75 | |
| 2013-11-05 | 2013-11-08 | $11.79 | $9.20 | -20.38% | 4 | |
| 2012-10-24 | 2013-10-29 | $1.83 | $10.96 | 472.49% | 254 | |
| 2012-08-08 | 2012-10-16 | $1.94 | $1.87 | -9.84% | 49 | |
| 2012-06-07 | 2012-08-02 | $1.93 | $1.74 | -10.34% | 40 | |
| 2012-05-23 | 2012-06-06 | $2.07 | $1.95 | -9.56% | 10 | |
| 2012-05-08 | 2012-05-18 | $2.01 | $1.84 | -12.19% | 9 | |
| 2012-01-19 | 2012-04-25 | $1.78 | $2.19 | 18.45% | 68 | |
| 2012-01-13 | 2012-01-17 | $1.52 | $1.77 | -19.51% | 2 |