# PriceMomentum_V0227  [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and rel_volume > 1.2635):
    position = 1.0
if long and (ret_20d < -0.1357 or roll_high_50 < sma_20):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	25.1%	100.7%	26.6%	38.5%
Total Return	497.1%	708.5%	139.2%	11791.0%
Sharpe	0.89	1.71	0.88	1.10
Sortino	0.88	1.54	0.80	1.03
Calmar	0.44	2.84	0.83	0.68
Volatility	30.3%	47.4%	33.0%	35.1%
Max DD	-56.7%	-35.4%	-32.2%	-56.7%
Win Rate	59.1%	85.7%	77.8%	68.4%
Avg Win	35.3%	49.2%	15.5%	36.1%
Avg Loss	-9.4%	-17.2%	-5.2%	-9.4%
Payoff	3.74	2.87	3.00	3.85
Expectancy	17.0%	39.8%	10.9%	21.7%
Profit Factor	5.40	10.00	10.00	8.35
Trades	22	7	9	38
Avg Holding Days	35.1	41.9	30.6	36.5
Turnover	5.6	4.7	5.1	5.2
Exposure	39.6%	37.8%	30.6%	37.0%

Growth of $100

PriceMomentum_V0227 vs TSLA Buy & Hold

PriceMomentum_V0227 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	0.6%	0.11	-16.2%	3
2017	20.5%	0.79	-28.6%	3
2018	-38.1%	-1.93	-40.3%	4
2019	61.7%	2.56	-8.5%	2
2020	474.2%	2.84	-33.7%	3
2021	30.3%	0.94	-22.4%	2
2022	3.7%	0.27	-21.7%	2

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	14.3%	0.44	22%
hidden test	EXPENSIVE	83	60.4%	1.35	65%
hidden test	EXTREME	48	189.8%	3.11	88%
hidden test	HIGH VOLATILITY	254	23.2%	0.49	42%
hidden test	LOW VOLATILITY	429	38.5%	1.85	22%
hidden test	MEDIUM VOLATILITY	248	18.5%	0.57	34%
hidden test	NORMAL	800	16.1%	0.56	24%
hidden test	SIDEWAYS	293	4.3%	0.85	2%
hidden test	UPTREND	371	59.0%	1.34	60%
train	DOWNTREND	518	6.3%	0.50	15%
train	EXPENSIVE	311	38.9%	1.02	67%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	43.6%	1.14	29%
train	LOW VOLATILITY	745	30.3%	1.28	50%
train	MEDIUM VOLATILITY	568	1.8%	0.07	38%
train	NORMAL	1,601	0.2%	0.01	30%
train	SIDEWAYS	592	-2.2%	-0.18	3%
train	UPTREND	902	57.8%	1.34	78%
validation	DOWNTREND	125	48.7%	1.87	22%
validation	EXPENSIVE	138	66.8%	1.22	59%
validation	EXTREME	144	312.5%	3.90	75%
validation	HIGH VOLATILITY	258	96.2%	1.43	47%
validation	LOW VOLATILITY	183	27.6%	1.78	22%
validation	MEDIUM VOLATILITY	315	99.4%	2.54	40%
validation	NORMAL	474	14.7%	0.56	20%
validation	SIDEWAYS	206	0.5%	0.09	1%
validation	UPTREND	425	129.4%	2.11	60%

Trades (full period)

39 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	0.04%	19	OPEN
2025-09-12	2026-01-13	$395.94	$447.20	21.50%	85
2025-04-08	2025-04-23	$221.86	$250.74	1.80%	11
2024-11-07	2025-01-28	$296.91	$398.09	37.37%	54
2024-09-06	2024-09-27	$210.73	$260.46	10.22%	16
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
2023-06-05	2023-08-14	$217.61	$239.76	13.18%	49
2023-05-24	2023-05-31	$182.90	$203.93	8.07%	5
2023-01-30	2023-02-10	$166.66	$196.89	16.30%	10
2022-06-22	2022-08-02	$236.09	$300.59	25.16%	29
2022-01-04	2022-01-20	$383.20	$332.09	-17.18%	12
2021-09-20	2021-12-06	$243.39	$336.34	33.37%	55
2020-11-19	2021-02-23	$166.42	$232.95	46.53%	64
2020-06-11	2020-09-30	$64.86	$143.00	103.99%	78
2020-04-15	2020-04-30	$48.66	$52.13	12.54%	12
2019-10-25	2020-03-05	$21.88	$48.30	149.62%	90
2019-09-27	2019-10-15	$16.14	$17.19	5.72%	13
2019-07-05	2019-07-22	$15.54	$17.05	9.69%	12
2018-12-06	2018-12-26	$24.20	$21.74	-18.04%	14
2018-08-03	2018-08-20	$23.21	$20.56	-12.77%	12
2018-06-19	2018-07-05	$23.50	$20.61	-16.34%	12
2018-06-07	2018-06-12	$21.07	$22.85	3.73%	4
2017-09-19	2017-10-25	$25.01	$21.72	-12.56%	27
2017-08-04	2017-08-24	$23.79	$23.53	1.44%	15
2017-01-05	2017-07-07	$15.12	$20.88	35.78%	127
2016-12-14	2016-12-28	$13.25	$14.65	10.57%	10
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
2015-12-17	2015-12-29	$15.56	$15.81	-2.57%	8
2015-05-13	2015-08-18	$16.21	$17.38	3.98%	68
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
2015-02-11	2015-04-14	$14.19	$13.83	-3.21%	43
2014-06-24	2014-10-01	$15.50	$16.02	2.10%	70
2014-02-11	2014-03-27	$13.11	$13.82	8.13%	32
2012-12-19	2013-10-29	$2.31	$10.96	369.89%	217
2012-11-29	2012-12-14	$2.25	$2.25	0.94%	12
2012-02-23	2012-04-25	$2.30	$2.19	-7.20%	44