Strategy Zoo / S0206
PriceMomentum_V0206
ARCHIVEDhybridcrossoverentry = PriceMomentum_V0201 OR VolumeBreakout_V0013
Fitness
0.6091
Generation
10
Complexity
7
Created
2026-09-18
Lineage
Parents (2)
seed strategy
changed ret_20d threshold -0.03 -> -0.1657
Children (3)
Strategy Logic (pseudocode)
# PriceMomentum_V0206 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 or (breakout_50 == 1 and rel_volume > 1.5)):
position = 1.0
if long and close < sma_50:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 22.6% | 78.7% | 16.5% | 31.0% |
| Total Return | 408.5% | 470.8% | 75.9% | 5157.0% |
| Sharpe | 0.83 | 1.39 | 0.62 | 0.93 |
| Sortino | 0.83 | 1.40 | 0.54 | 0.87 |
| Calmar | 0.41 | 1.57 | 0.42 | 0.56 |
| Volatility | 29.8% | 51.0% | 34.1% | 36.2% |
| Max DD | -55.5% | -50.0% | -39.3% | -55.5% |
| Win Rate | 42.6% | 47.1% | 54.3% | 47.2% |
| Avg Win | 20.5% | 40.9% | 8.8% | 20.5% |
| Avg Loss | -4.5% | -7.0% | -5.6% | -5.2% |
| Payoff | 4.59 | 5.81 | 1.59 | 3.96 |
| Expectancy | 6.2% | 15.5% | 2.2% | 6.9% |
| Profit Factor | 3.40 | 5.17 | 1.88 | 3.53 |
| Trades | 54 | 17 | 35 | 106 |
| Avg Holding Days | 14.2 | 22.6 | 9.3 | 14.4 |
| Turnover | 13.7 | 11.3 | 19.2 | 14.5 |
| Exposure | 37.7% | 48.5% | 32.1% | 38.5% |
Growth of $100
PriceMomentum_V0206 vs TSLA Buy & Hold
PriceMomentum_V0206 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% | 1.07 | -19.4% | 6 |
| 2017 | 18.8% | 0.81 | -22.8% | 4 |
| 2018 | -34.9% | -1.68 | -38.2% | 11 |
| 2019 | 33.8% | 1.46 | -11.7% | 8 |
| 2020 | 527.9% | 2.83 | -33.8% | 3 |
| 2021 | 27.4% | 0.84 | -24.4% | 3 |
| 2022 | -31.7% | -1.31 | -36.3% | 11 |
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 | 10.1% | 0.37 | 26% |
| hidden test | EXPENSIVE | 83 | 99.1% | 1.85 | 76% |
| hidden test | EXTREME | 48 | 179.2% | 2.92 | 92% |
| hidden test | HIGH VOLATILITY | 254 | 8.3% | 0.17 | 46% |
| hidden test | LOW VOLATILITY | 429 | 49.4% | 2.24 | 23% |
| hidden test | MEDIUM VOLATILITY | 248 | -14.7% | -0.42 | 35% |
| hidden test | NORMAL | 800 | 3.5% | 0.12 | 24% |
| hidden test | SIDEWAYS | 293 | -3.6% | -0.23 | 4% |
| hidden test | UPTREND | 371 | 48.6% | 1.04 | 59% |
| train | DOWNTREND | 518 | 0.1% | 0.01 | 16% |
| train | EXPENSIVE | 311 | 42.5% | 1.10 | 68% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 48.8% | 1.25 | 33% |
| train | LOW VOLATILITY | 745 | 29.5% | 1.29 | 49% |
| train | MEDIUM VOLATILITY | 568 | -11.1% | -0.45 | 29% |
| train | NORMAL | 1,601 | -3.2% | -0.15 | 28% |
| train | SIDEWAYS | 592 | -4.0% | -0.37 | 3% |
| train | UPTREND | 902 | 57.7% | 1.36 | 73% |
| validation | DOWNTREND | 125 | 52.4% | 2.56 | 10% |
| validation | EXPENSIVE | 138 | 51.1% | 0.89 | 75% |
| validation | EXTREME | 144 | 349.1% | 4.10 | 90% |
| validation | HIGH VOLATILITY | 258 | 107.5% | 1.55 | 49% |
| validation | LOW VOLATILITY | 183 | 19.3% | 0.84 | 46% |
| validation | MEDIUM VOLATILITY | 315 | 71.4% | 1.59 | 50% |
| validation | NORMAL | 474 | -7.5% | -0.25 | 28% |
| validation | SIDEWAYS | 206 | -25.2% | -1.50 | 3% |
| validation | UPTREND | 425 | 123.3% | 1.87 | 82% |
Trades (full period)
latest 100 of 107
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-09 | — | $367.81 | — | -1.39% | 8 | OPEN |
| 2026-09-03 | 2026-09-08 | $376.37 | $368.16 | -1.01% | 3 | |
| 2026-08-31 | 2026-09-02 | $367.95 | $357.01 | 1.91% | 3 | |
| 2026-08-27 | 2026-08-28 | $354.81 | $348.75 | 2.40% | 2 | |
| 2026-08-25 | 2026-08-26 | $350.25 | $345.82 | 0.17% | 2 | |
| 2026-08-21 | 2026-08-24 | $362.86 | $348.95 | 4.93% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-04 | 2026-05-08 | $392.51 | $428.35 | 5.16% | 5 | |
| 2026-04-29 | 2026-04-30 | $372.80 | $381.63 | -1.06% | 2 | |
| 2026-04-21 | 2026-04-22 | $386.42 | $387.51 | -1.75% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 8.79% | 46 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-07 | 2025-08-11 | $322.27 | $339.03 | 2.84% | 3 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2025-04-29 | 2025-05-12 | $292.03 | $318.38 | 4.12% | 10 | |
| 2025-04-15 | 2025-04-16 | $254.11 | $241.55 | 0.50% | 2 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -7.47% | 2 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2024-10-28 | 2025-01-30 | $262.51 | $400.28 | 44.25% | 64 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.71% | 8 | |
| 2024-09-10 | 2024-09-27 | $226.17 | $260.46 | 17.32% | 14 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 3.98% | 2 | |
| 2024-07-02 | 2024-08-05 | $231.26 | $198.88 | -1.23% | 24 | |
| 2024-05-14 | 2024-05-29 | $177.55 | $176.19 | 2.63% | 11 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -5.79% | 2 | |
| 2024-03-04 | 2024-03-05 | $188.14 | $180.74 | -7.35% | 2 | |
| 2024-02-29 | 2024-03-01 | $201.88 | $202.64 | -0.28% | 2 | |
| 2024-02-26 | 2024-02-27 | $199.40 | $199.73 | 3.67% | 2 | |
| 2023-06-02 | 2023-08-08 | $213.97 | $249.70 | 20.93% | 46 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-01-27 | 2023-02-10 | $177.90 | $196.89 | 29.11% | 11 | |
| 2023-01-25 | 2023-01-26 | $144.43 | $160.27 | 0.17% | 2 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 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 | |
| 2022-07-19 | 2022-08-02 | $245.53 | $300.59 | 23.34% | 11 | |
| 2022-07-14 | 2022-07-15 | $238.31 | $240.07 | 0.34% | 2 | |
| 2022-06-24 | 2022-06-27 | $245.71 | $244.92 | 4.32% | 2 | |
| 2022-06-22 | 2022-06-23 | $236.09 | $235.07 | -0.60% | 2 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -2.02% | 2 | |
| 2022-01-12 | 2022-01-14 | $368.74 | $349.87 | -3.28% | 3 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-08-24 | 2021-12-14 | $236.16 | $319.50 | 36.55% | 79 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 46.53% | 64 | |
| 2020-05-15 | 2020-10-29 | $53.28 | $136.94 | 152.20% | 117 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-10 | $21.88 | $43.02 | 102.50% | 93 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2019-09-27 | 2019-10-07 | $16.14 | $15.85 | -4.78% | 7 | |
| 2019-06-28 | 2019-07-22 | $14.90 | $17.05 | 15.63% | 16 | |
| 2019-06-26 | 2019-06-27 | $14.62 | $14.86 | -0.42% | 2 | |
| 2019-06-24 | 2019-06-25 | $14.91 | $14.65 | 0.60% | 2 | |
| 2019-06-20 | 2019-06-21 | $14.64 | $14.79 | -3.20% | 2 | |
| 2019-06-18 | 2019-06-19 | $14.98 | $15.10 | -0.33% | 2 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2018-11-29 | 2018-12-21 | $22.74 | $21.32 | -9.52% | 16 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-10-04 | 2018-10-05 | $18.79 | $17.46 | -4.60% | 2 | |
| 2018-08-27 | 2018-08-28 | $21.28 | $20.79 | -1.30% | 2 | |
| 2018-08-22 | 2018-08-23 | $21.44 | $21.34 | -0.28% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-06-07 | 2018-06-12 | $21.07 | $22.85 | 3.73% | 4 | |
| 2018-05-01 | 2018-05-02 | $19.99 | $20.08 | 1.85% | 2 | |
| 2018-04-27 | 2018-04-30 | $19.61 | $19.59 | 2.81% | 2 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -9.35% | 7 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.09% | 12 | |
| 2017-03-28 | 2017-07-06 | $18.50 | $20.59 | 20.81% | 70 | |
| 2017-01-05 | 2017-03-09 | $15.12 | $16.33 | 8.54% | 44 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 10.57% | 10 | |
| 2016-07-26 | 2016-08-29 | $15.30 | $14.35 | -4.55% | 25 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-05-05 | $17.03 | $14.10 | -10.07% | 23 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 2.12% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 18.67% | 12 | |
| 2015-12-17 | 2015-12-29 | $15.56 | $15.81 | -2.57% | 8 | |
| 2015-12-15 | 2015-12-16 | $14.74 | $15.63 | 0.95% | 2 | |
| 2015-12-03 | 2015-12-14 | $15.51 | $14.57 | -6.64% | 8 | |
| 2015-11-27 | 2015-12-02 | $15.44 | $15.47 | 3.08% | 4 | |
| 2015-11-23 | 2015-11-24 | $14.52 | $14.55 | -1.23% | 2 | |
| 2015-11-19 | 2015-11-20 | $14.79 | $14.67 | 0.13% | 2 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-05-11 | 2015-07-28 | $15.97 | $17.65 | 6.72% | 55 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-23 | 2015-04-28 | $14.57 | $15.37 | 5.31% | 4 | |
| 2015-04-08 | 2015-04-14 | $13.84 | $13.83 | 3.01% | 5 | |
| 2015-02-19 | 2015-02-24 | $14.11 | $13.61 | 1.21% | 4 | |
| 2015-02-17 | 2015-02-18 | $13.62 | $13.63 | 0.08% | 2 | |
| 2015-02-10 | 2015-02-13 | $14.42 | $13.58 | -6.90% | 4 | |
| 2014-06-23 | 2014-09-23 | $15.81 | $16.69 | 8.69% | 65 | |
| 2014-01-24 | 2014-03-28 | $11.64 | $14.16 | 13.99% | 45 | |
| 2013-03-26 | 2013-10-24 | $2.52 | $11.54 | 337.44% | 149 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 |