Strategy Zoo / S0220
PriceMomentum_V0220
ARCHIVEDmomentumstructuralswapped indicator ret_20d -> ret_60d
Fitness
0.5559
Generation
10
Complexity
3
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> -0.1657
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0220 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_60d > -0.0939:
position = 1.0
if long and ret_20d < -0.1657:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 23.1% | 67.1% | 1.1% | 25.0% |
| Total Return | 426.8% | 366.8% | 4.1% | 2535.9% |
| Sharpe | 0.73 | 1.20 | 0.22 | 0.74 |
| Sortino | 0.86 | 1.39 | 0.22 | 0.82 |
| Calmar | 0.36 | 1.41 | 0.02 | 0.38 |
| Volatility | 38.4% | 55.9% | 37.6% | 42.4% |
| Max DD | -65.1% | -47.7% | -47.2% | -65.1% |
| Win Rate | 50.0% | 34.4% | 44.4% | 44.4% |
| Avg Win | 18.5% | 32.3% | 8.5% | 19.4% |
| Avg Loss | -6.8% | -5.1% | -5.9% | -6.0% |
| Payoff | 2.73 | 6.32 | 1.44 | 3.23 |
| Expectancy | 5.8% | 7.8% | 0.5% | 5.3% |
| Profit Factor | 2.73 | 3.31 | 1.15 | 2.58 |
| Trades | 56 | 32 | 36 | 124 |
| Avg Holding Days | 21.9 | 14.9 | 12.4 | 17.7 |
| Turnover | 14.2 | 21.3 | 19.8 | 17.0 |
| Exposure | 60.4% | 58.7% | 45.3% | 56.3% |
Growth of $100
PriceMomentum_V0220 vs TSLA Buy & Hold
PriceMomentum_V0220 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 | -18.7% | -0.76 | -35.5% | 13 |
| 2017 | 31.6% | 1.04 | -22.1% | 2 |
| 2018 | -40.4% | -0.87 | -47.6% | 13 |
| 2019 | 23.5% | 0.88 | -30.2% | 7 |
| 2020 | 492.1% | 2.67 | -39.2% | 12 |
| 2021 | 4.0% | 0.30 | -41.3% | 10 |
| 2022 | -36.1% | -1.08 | -44.3% | 10 |
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 | -10.3% | -0.44 | 21% |
| hidden test | EXPENSIVE | 83 | 50.8% | 0.88 | 88% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | -21.0% | -0.42 | 54% |
| hidden test | LOW VOLATILITY | 429 | 34.2% | 1.41 | 36% |
| hidden test | MEDIUM VOLATILITY | 248 | -6.9% | -0.17 | 53% |
| hidden test | NORMAL | 800 | -6.8% | -0.21 | 38% |
| hidden test | SIDEWAYS | 293 | -34.2% | -1.70 | 7% |
| hidden test | UPTREND | 371 | 55.0% | 1.04 | 93% |
| train | DOWNTREND | 518 | 5.1% | 0.14 | 59% |
| train | EXPENSIVE | 311 | 46.5% | 1.02 | 83% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 46.3% | 0.93 | 52% |
| train | LOW VOLATILITY | 745 | 37.3% | 1.36 | 68% |
| train | MEDIUM VOLATILITY | 568 | -6.3% | -0.18 | 61% |
| train | NORMAL | 1,601 | 0.3% | 0.01 | 54% |
| train | SIDEWAYS | 592 | 3.1% | 0.16 | 7% |
| train | UPTREND | 902 | 57.7% | 1.20 | 96% |
| validation | DOWNTREND | 125 | 55.8% | 1.58 | 30% |
| validation | EXPENSIVE | 138 | 49.3% | 0.76 | 88% |
| validation | EXTREME | 144 | 344.9% | 4.04 | 89% |
| validation | HIGH VOLATILITY | 258 | 90.2% | 1.18 | 62% |
| validation | LOW VOLATILITY | 183 | 24.7% | 0.93 | 55% |
| validation | MEDIUM VOLATILITY | 315 | 72.5% | 1.50 | 58% |
| validation | NORMAL | 474 | -12.3% | -0.32 | 41% |
| validation | SIDEWAYS | 206 | -61.5% | -2.76 | 7% |
| validation | UPTREND | 425 | 132.6% | 1.89 | 92% |
Trades (full period)
latest 100 of 125
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-02 | — | $357.01 | — | 1.95% | 12 | OPEN |
| 2026-07-23 | 2026-07-28 | $319.69 | $307.44 | -17.50% | 4 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-28 | 2026-05-08 | $376.02 | $428.35 | 8.53% | 9 | |
| 2026-04-17 | 2026-04-20 | $400.62 | $392.50 | 2.81% | 2 | |
| 2026-02-02 | 2026-02-18 | $421.81 | $411.32 | -4.79% | 12 | |
| 2025-09-12 | 2026-01-13 | $395.94 | $447.20 | 21.50% | 85 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-21 | 2025-08-22 | $320.11 | $340.01 | -1.37% | 2 | |
| 2025-08-06 | 2025-08-11 | $319.91 | $339.03 | 6.57% | 4 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -5.51% | 4 | |
| 2025-07-10 | 2025-07-25 | $309.87 | $316.06 | 2.98% | 12 | |
| 2025-06-10 | 2025-07-09 | $326.09 | $295.88 | -3.68% | 20 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2025-02-20 | 2025-02-24 | $354.40 | $330.53 | -6.50% | 3 | |
| 2025-02-18 | 2025-02-19 | $354.11 | $360.56 | -0.69% | 2 | |
| 2025-02-13 | 2025-02-14 | $355.94 | $355.84 | 5.57% | 2 | |
| 2024-10-25 | 2025-02-12 | $269.19 | $336.51 | 25.87% | 74 | |
| 2024-10-03 | 2024-10-24 | $240.66 | $260.48 | -14.38% | 16 | |
| 2024-08-16 | 2024-09-27 | $216.12 | $260.46 | 18.48% | 30 | |
| 2024-08-14 | 2024-08-15 | $201.38 | $214.14 | -3.30% | 2 | |
| 2024-08-12 | 2024-08-13 | $197.49 | $207.83 | -1.45% | 2 | |
| 2024-08-08 | 2024-08-09 | $198.84 | $200.00 | 3.49% | 2 | |
| 2024-08-06 | 2024-08-07 | $200.64 | $191.76 | 0.68% | 2 | |
| 2024-07-02 | 2024-08-05 | $231.26 | $198.88 | -1.23% | 24 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2024-01-03 | 2024-01-12 | $238.45 | $218.89 | -8.72% | 8 | |
| 2023-08-22 | 2023-09-05 | $233.19 | $256.49 | 5.73% | 10 | |
| 2023-08-18 | 2023-08-21 | $215.49 | $231.28 | -1.90% | 2 | |
| 2023-08-16 | 2023-08-17 | $225.60 | $219.22 | -3.36% | 2 | |
| 2023-06-02 | 2023-08-15 | $213.97 | $232.96 | 15.31% | 51 | |
| 2023-05-23 | 2023-05-31 | $185.77 | $203.93 | 6.29% | 6 | |
| 2023-04-28 | 2023-05-02 | $164.31 | $160.31 | 0.82% | 3 | |
| 2023-04-24 | 2023-04-27 | $162.55 | $160.19 | -7.05% | 4 | |
| 2023-02-03 | 2023-02-10 | $189.98 | $196.89 | 9.90% | 6 | |
| 2022-10-10 | 2022-10-11 | $222.96 | $216.50 | -0.25% | 2 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.71% | 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 | |
| 2022-06-09 | 2022-08-02 | $239.71 | $300.59 | 22.66% | 37 | |
| 2022-06-02 | 2022-06-03 | $258.33 | $234.52 | 4.47% | 2 | |
| 2022-05-04 | 2022-05-06 | $317.54 | $288.55 | -4.14% | 3 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2021-12-22 | 2022-01-20 | $336.29 | $332.09 | 5.88% | 20 | |
| 2021-12-07 | 2021-12-21 | $350.58 | $312.84 | -10.98% | 11 | |
| 2021-08-24 | 2021-12-06 | $236.16 | $336.34 | 43.42% | 73 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2021-03-12 | 2021-03-17 | $231.24 | $233.94 | -3.44% | 4 | |
| 2021-03-10 | 2021-03-11 | $222.69 | $233.20 | -1.02% | 2 | |
| 2021-03-08 | 2021-03-09 | $187.67 | $224.53 | -6.04% | 2 | |
| 2021-03-04 | 2021-03-05 | $207.15 | $199.32 | -5.06% | 2 | |
| 2021-03-01 | 2021-03-03 | $239.48 | $217.73 | 1.42% | 3 | |
| 2021-02-25 | 2021-02-26 | $227.41 | $225.17 | -8.25% | 2 | |
| 2020-11-19 | 2021-02-24 | $166.42 | $247.34 | 43.32% | 65 | |
| 2020-05-20 | 2020-11-13 | $54.37 | $136.17 | 154.29% | 125 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-04-08 | 2020-04-09 | $36.59 | $38.20 | 0.42% | 2 | |
| 2020-04-01 | 2020-04-02 | $32.10 | $30.30 | -8.29% | 2 | |
| 2020-03-30 | 2020-03-31 | $33.48 | $34.93 | -2.58% | 2 | |
| 2020-03-26 | 2020-03-27 | $35.21 | $34.29 | -2.25% | 2 | |
| 2020-03-24 | 2020-03-25 | $33.67 | $35.95 | 16.07% | 2 | |
| 2020-03-20 | 2020-03-23 | $28.50 | $28.95 | -0.23% | 2 | |
| 2020-03-17 | 2020-03-18 | $28.68 | $24.08 | -3.54% | 2 | |
| 2020-03-13 | 2020-03-16 | $36.44 | $29.67 | -2.68% | 2 | |
| 2020-03-11 | 2020-03-12 | $42.28 | $37.37 | -1.92% | 2 | |
| 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 | 2019-10-15 | $16.14 | $17.19 | 5.72% | 13 | |
| 2019-09-09 | 2019-09-10 | $15.45 | $15.70 | 1.71% | 2 | |
| 2019-09-05 | 2019-09-06 | $15.31 | $15.16 | 3.83% | 2 | |
| 2019-07-16 | 2019-07-22 | $16.83 | $17.05 | 1.64% | 5 | |
| 2019-04-02 | 2019-05-01 | $19.06 | $15.60 | -17.63% | 21 | |
| 2018-12-27 | 2019-01-23 | $21.08 | $19.17 | -8.52% | 18 | |
| 2018-11-27 | 2018-12-26 | $22.93 | $21.74 | -14.80% | 20 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-09-27 | 2018-10-26 | $20.50 | $22.06 | 1.50% | 22 | |
| 2018-08-21 | 2018-08-28 | $21.46 | $20.79 | 3.31% | 6 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-07-18 | 2018-07-23 | $21.59 | $20.21 | -3.02% | 4 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-04-05 | 2018-06-12 | $20.38 | $22.85 | 15.51% | 48 | |
| 2018-03-26 | 2018-03-28 | $20.28 | $17.19 | -7.60% | 3 | |
| 2018-02-26 | 2018-03-02 | $23.83 | $22.34 | -6.19% | 5 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -8.82% | 2 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-12-26 | 2018-01-09 | $21.15 | $22.25 | 3.24% | 10 | |
| 2017-09-18 | 2017-10-25 | $25.67 | $21.72 | -11.36% | 28 | |
| 2017-01-05 | 2017-08-24 | $15.12 | $23.53 | 55.10% | 161 | |
| 2016-10-06 | 2016-12-28 | $13.40 | $14.65 | 5.10% | 58 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -6.63% | 26 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-05-19 | 2016-06-02 | $14.35 | $14.60 | 3.77% | 10 | |
| 2016-05-17 | 2016-05-18 | $13.64 | $14.08 | -1.94% | 2 | |
| 2016-05-13 | 2016-05-16 | $13.84 | $13.89 | -0.04% | 2 | |
| 2016-05-09 | 2016-05-12 | $13.93 | $13.82 | -2.97% | 4 | |
| 2016-04-05 | 2016-05-06 | $17.03 | $14.33 | -14.53% | 24 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 2.12% | 2 |