Strategy Zoo / S0211
PriceMomentum_V0211
REJECTEDmomentumstructuralreduce exposure to 59% during MEDIUM_VOLATILITY; swapped indicator ret_20d -> ret_5d | rejected: stage1: sharpe -0.53 below screen
Fitness
—
Generation
10
Complexity
3
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_V0211 [momentum]
if flat and ret_20d > 0.3:
position = 1.0
if long and ret_5d < -0.07:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.59Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | — | — | — | — |
| Total Return | — | — | — | — |
| Sharpe | — | — | — | — |
| Sortino | — | — | — | — |
| Calmar | — | — | — | — |
| Volatility | — | — | — | — |
| Max DD | — | — | — | — |
| Win Rate | — | — | — | — |
| Avg Win | — | — | — | — |
| Avg Loss | — | — | — | — |
| Payoff | — | — | — | — |
| Expectancy | — | — | — | — |
| Profit Factor | — | — | — | — |
| Trades | — | — | — | — |
| Avg Holding Days | — | — | — | — |
| Turnover | — | — | — | — |
| Exposure | — | — | — | — |
Walk-Forward Years
year-by-year stability matters more than any single year
| Year | CAGR | Sharpe | Max DD | Trades |
|---|---|---|---|---|
| No walk-forward results | ||||
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 |
|---|---|---|---|---|---|
| No regime results | |||||
Trades (full period)
0 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| No trades recorded | ||||||