Strategy Zoo / S0212
PriceMomentum_V0212
ARCHIVEDhybridstructuralreduce exposure to 38% during EXPENSIVE
Fitness
0.4270
Generation
10
Complexity
8
Created
2026-09-18
Lineage
Parents (1)
entry = PriceMomentum_V0078 OR Breakout20_V0040
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0212 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 or (breakout_20 == 1 and sma_50 > sma_200)):
position = 1.0
if long and close < sma_20:
position = 0.0 # exit to cash
if regime.bubble == "EXPENSIVE": position *= 0.38Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 9.8% | 46.3% | 27.7% | 21.0% |
| Total Return | 110.9% | 213.4% | 146.6% | 1548.2% |
| Sharpe | 0.49 | 1.11 | 0.98 | 0.78 |
| Sortino | 0.42 | 1.00 | 0.81 | 0.66 |
| Calmar | 0.19 | 1.10 | 0.94 | 0.40 |
| Volatility | 25.3% | 42.3% | 29.3% | 30.5% |
| Max DD | -52.3% | -42.3% | -29.6% | -52.3% |
| Win Rate | 40.0% | 50.0% | 45.7% | 43.8% |
| Avg Win | 9.6% | 13.8% | 10.4% | 11.2% |
| Avg Loss | -3.6% | -4.6% | -3.1% | -3.7% |
| Payoff | 2.69 | 3.02 | 3.38 | 3.06 |
| Expectancy | 1.7% | 4.6% | 3.1% | 2.8% |
| Profit Factor | 1.79 | 3.02 | 2.85 | 2.38 |
| Trades | 75 | 34 | 35 | 144 |
| Avg Holding Days | 9.4 | 10.0 | 8.6 | 9.4 |
| Turnover | 18.5 | 22.3 | 19.6 | 19.5 |
| Exposure | 26.4% | 34.0% | 25.5% | 27.7% |
Growth of $100
PriceMomentum_V0212 vs TSLA Buy & Hold
PriceMomentum_V0212 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 | 33.1% | 2.21 | -7.8% | 6 |
| 2017 | 10.0% | 0.87 | -12.1% | 8 |
| 2018 | -30.0% | -1.49 | -30.1% | 11 |
| 2019 | 4.2% | 0.29 | -22.6% | 8 |
| 2020 | 242.7% | 2.27 | -37.0% | 12 |
| 2021 | 28.2% | 1.03 | -16.8% | 10 |
| 2022 | -30.0% | -1.39 | -32.7% | 12 |
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 | 20.1% | 0.65 | 32% |
| hidden test | EXPENSIVE | 83 | 67.8% | 1.93 | 27% |
| hidden test | EXTREME | 48 | 82.6% | 1.71 | 54% |
| hidden test | HIGH VOLATILITY | 254 | 14.1% | 0.35 | 34% |
| hidden test | LOW VOLATILITY | 429 | 51.3% | 2.40 | 22% |
| hidden test | MEDIUM VOLATILITY | 248 | 4.6% | 0.16 | 24% |
| hidden test | NORMAL | 800 | 21.4% | 0.79 | 24% |
| hidden test | SIDEWAYS | 293 | 8.6% | 1.01 | 3% |
| hidden test | UPTREND | 371 | 50.8% | 1.35 | 38% |
| train | DOWNTREND | 518 | 2.4% | 0.16 | 17% |
| train | EXPENSIVE | 311 | 6.9% | 0.34 | 25% |
| train | EXTREME | 100 | 316.9% | 4.58 | 92% |
| train | HIGH VOLATILITY | 699 | 27.3% | 0.78 | 25% |
| train | LOW VOLATILITY | 745 | 12.2% | 0.69 | 34% |
| train | MEDIUM VOLATILITY | 568 | -5.3% | -0.28 | 18% |
| train | NORMAL | 1,601 | -5.5% | -0.27 | 23% |
| train | SIDEWAYS | 592 | -0.9% | -0.09 | 3% |
| train | UPTREND | 902 | 27.1% | 0.77 | 47% |
| validation | DOWNTREND | 125 | 43.5% | 1.99 | 14% |
| validation | EXPENSIVE | 138 | -44.9% | -1.18 | 25% |
| validation | EXTREME | 144 | 295.5% | 3.96 | 79% |
| validation | HIGH VOLATILITY | 258 | 64.1% | 1.04 | 41% |
| validation | LOW VOLATILITY | 183 | 16.4% | 0.91 | 34% |
| validation | MEDIUM VOLATILITY | 315 | 50.8% | 1.60 | 29% |
| validation | NORMAL | 474 | -1.7% | -0.07 | 23% |
| validation | SIDEWAYS | 206 | -11.5% | -1.15 | 2% |
| validation | UPTREND | 425 | 76.4% | 1.40 | 55% |
Trades (full period)
latest 100 of 145
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-17 | — | $366.20 | — | 1.39% | 2 | OPEN |
| 2026-08-21 | 2026-09-16 | $362.86 | $358.08 | 3.12% | 18 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-21 | 2026-05-08 | $386.42 | $428.35 | 4.70% | 14 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-12-08 | 2025-12-30 | $439.58 | $454.43 | 0.81% | 16 | |
| 2025-10-29 | 2025-11-10 | $461.51 | $445.23 | -2.56% | 9 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -1.37% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -0.66% | 2 | |
| 2025-09-12 | 2025-10-13 | $395.94 | $435.90 | 9.20% | 22 | |
| 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 | 2025-06-05 | $341.04 | $284.70 | 1.81% | 10 | |
| 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 | |
| 2025-01-07 | 2025-01-08 | $394.36 | $394.94 | -4.26% | 2 | |
| 2025-01-03 | 2025-01-06 | $410.44 | $411.05 | 3.04% | 2 | |
| 2024-10-28 | 2025-01-02 | $262.51 | $379.28 | 31.55% | 46 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-03 | 2024-10-08 | $240.66 | $244.50 | -3.49% | 4 | |
| 2024-09-10 | 2024-09-27 | $226.17 | $260.46 | 17.32% | 14 | |
| 2024-09-04 | 2024-09-09 | $219.41 | $216.27 | -0.13% | 4 | |
| 2024-07-30 | 2024-07-31 | $222.62 | $232.07 | -4.28% | 2 | |
| 2024-07-26 | 2024-07-29 | $219.80 | $232.10 | -0.40% | 2 | |
| 2024-07-02 | 2024-07-25 | $231.26 | $220.25 | 2.72% | 17 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-04-30 | 2024-05-24 | $183.28 | $179.24 | -10.65% | 19 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -5.79% | 2 | |
| 2024-02-26 | 2024-03-05 | $199.40 | $180.74 | -2.19% | 7 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.55% | 2 | |
| 2023-06-02 | 2023-07-21 | $213.97 | $260.02 | 26.44% | 34 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 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 | |
| 2022-07-14 | 2022-08-02 | $238.31 | $300.59 | 25.16% | 14 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -5.15% | 2 | |
| 2022-04-18 | 2022-04-19 | $334.76 | $342.72 | 1.76% | 2 | |
| 2022-04-13 | 2022-04-14 | $340.79 | $328.33 | 3.39% | 2 | |
| 2022-04-05 | 2022-04-12 | $363.75 | $328.98 | -14.97% | 6 | |
| 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 | 2022-01-10 | $383.20 | $352.71 | -14.58% | 5 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -3.25% | 2 | |
| 2021-11-18 | 2021-11-24 | $365.46 | $372.00 | 1.64% | 5 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.88% | 2 | |
| 2021-09-23 | 2021-11-15 | $251.21 | $337.80 | 37.16% | 38 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-24 | 2021-08-27 | $236.16 | $237.31 | -0.93% | 4 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -3.67% | 9 | |
| 2021-02-02 | 2021-02-10 | $290.93 | $268.27 | 0.39% | 7 | |
| 2020-11-19 | 2021-02-01 | $166.42 | $279.94 | 10.75% | 49 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.21% | 2 | |
| 2020-10-07 | 2020-10-21 | $141.77 | $140.88 | 0.70% | 11 | |
| 2020-09-14 | 2020-09-24 | $139.87 | $129.26 | -5.21% | 9 | |
| 2020-09-10 | 2020-09-11 | $123.78 | $124.24 | 0.45% | 2 | |
| 2020-08-14 | 2020-09-09 | $110.05 | $122.09 | 1.65% | 18 | |
| 2020-08-06 | 2020-08-07 | $99.31 | $96.85 | 0.11% | 2 | |
| 2020-08-04 | 2020-08-05 | $99.13 | $99.00 | -0.07% | 2 | |
| 2020-05-15 | 2020-08-03 | $53.28 | $99.00 | 68.34% | 55 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-03-03 | 2020-03-04 | $49.70 | $49.97 | 0.05% | 2 | |
| 2020-02-28 | 2020-03-02 | $44.53 | $49.57 | -1.82% | 2 | |
| 2019-12-13 | 2020-02-27 | $23.89 | $45.27 | 73.13% | 51 | |
| 2019-12-03 | 2019-12-04 | $22.41 | $22.20 | 0.20% | 2 | |
| 2019-11-29 | 2019-12-02 | $22.00 | $22.32 | -0.61% | 2 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2019-09-27 | 2019-10-04 | $16.14 | $15.43 | -4.12% | 6 | |
| 2019-06-18 | 2019-07-22 | $14.98 | $17.05 | 14.50% | 24 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 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 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -2.12% | 2 | |
| 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 | 2018-07-03 | $23.88 | $20.72 | -6.52% | 13 | |
| 2018-06-07 | 2018-06-12 | $21.07 | $22.85 | 3.73% | 4 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -2.98% | 6 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | 0.01% | 12 | |
| 2017-07-03 | 2017-07-05 | $23.51 | $21.81 | -1.02% | 2 | |
| 2017-06-29 | 2017-06-30 | $24.05 | $24.11 | -3.02% | 2 | |
| 2017-05-31 | 2017-06-28 | $22.73 | $24.75 | 0.56% | 21 | |
| 2017-05-11 | 2017-05-18 | $21.54 | $20.87 | -2.33% | 6 | |
| 2017-03-27 | 2017-05-05 | $18.01 | $20.56 | 6.91% | 29 | |
| 2017-01-05 | 2017-02-24 | $15.12 | $17.13 | 12.42% | 35 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 10.57% | 10 | |
| 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 |