Strategy Zoo / S0231
PriceMomentum_V0231
ARCHIVEDmomentumstructuralreduce exposure to 40% during EXTREME
Fitness
0.5800
Generation
11
Complexity
9
Created
2026-09-18
Lineage
Parents (1)
added exit filter: roll_high_50 < sma_20; added entry filter: rel_volume > 1.2635
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0231 [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 < -0.03 or roll_high_50 < sma_20):
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68
if regime.bubble == "EXTREME": position *= 0.4Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.8% | 58.6% | 16.2% | 22.7% |
| Total Return | 180.7% | 298.6% | 74.1% | 1905.4% |
| Sharpe | 0.69 | 1.88 | 0.71 | 0.97 |
| Sortino | 0.60 | 1.79 | 0.52 | 0.82 |
| Calmar | 0.33 | 2.53 | 0.60 | 0.55 |
| Volatility | 22.2% | 26.4% | 25.8% | 24.1% |
| Max DD | -41.3% | -23.2% | -26.8% | -41.3% |
| Win Rate | 55.2% | 77.8% | 63.6% | 61.2% |
| Avg Win | 11.9% | 27.0% | 15.8% | 18.4% |
| Avg Loss | -6.6% | -10.1% | -10.0% | -7.7% |
| Payoff | 1.81 | 2.67 | 1.59 | 2.40 |
| Expectancy | 3.6% | 18.8% | 6.4% | 8.3% |
| Profit Factor | 2.22 | 9.34 | 2.77 | 3.79 |
| Trades | 29 | 9 | 11 | 49 |
| Avg Holding Days | 21.3 | 28.9 | 21.1 | 23.6 |
| Turnover | 9.3 | 6.5 | 8.8 | 8.5 |
| Exposure | 26.6% | 20.9% | 21.4% | 24.2% |
Growth of $100
PriceMomentum_V0231 vs TSLA Buy & Hold
PriceMomentum_V0231 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 | 4.6% | 0.54 | -10.4% | 3 |
| 2017 | 4.5% | 0.31 | -17.8% | 5 |
| 2018 | -27.1% | -1.41 | -29.7% | 4 |
| 2019 | 59.0% | 2.55 | -8.5% | 2 |
| 2020 | 176.7% | 3.12 | -14.5% | 4 |
| 2021 | 64.6% | 2.11 | -12.5% | 2 |
| 2022 | -14.9% | -0.98 | -22.5% | 3 |
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 | -12.5% | -0.53 | 20% |
| hidden test | EXPENSIVE | 83 | 66.2% | 1.77 | 51% |
| hidden test | EXTREME | 48 | 167.7% | 4.64 | 32% |
| hidden test | HIGH VOLATILITY | 254 | 13.1% | 0.37 | 31% |
| hidden test | LOW VOLATILITY | 429 | 31.5% | 1.68 | 16% |
| hidden test | MEDIUM VOLATILITY | 248 | 1.0% | 0.04 | 20% |
| hidden test | NORMAL | 800 | 4.4% | 0.19 | 18% |
| hidden test | SIDEWAYS | 293 | 4.0% | 0.80 | 1% |
| hidden test | UPTREND | 371 | 51.9% | 1.47 | 38% |
| train | DOWNTREND | 518 | 2.2% | 0.26 | 9% |
| train | EXPENSIVE | 311 | 39.1% | 1.33 | 54% |
| train | EXTREME | 100 | 207.9% | 5.31 | 40% |
| train | HIGH VOLATILITY | 699 | 29.4% | 1.11 | 21% |
| train | LOW VOLATILITY | 745 | 24.0% | 1.13 | 39% |
| train | MEDIUM VOLATILITY | 568 | -13.2% | -0.78 | 17% |
| train | NORMAL | 1,601 | -1.3% | -0.07 | 20% |
| train | SIDEWAYS | 592 | -1.7% | -0.16 | 2% |
| train | UPTREND | 902 | 34.1% | 1.09 | 53% |
| validation | DOWNTREND | 125 | 9.1% | 0.68 | 7% |
| validation | EXPENSIVE | 138 | 86.6% | 2.48 | 37% |
| validation | EXTREME | 144 | 126.6% | 3.62 | 28% |
| validation | HIGH VOLATILITY | 258 | 30.9% | 0.92 | 23% |
| validation | LOW VOLATILITY | 183 | 31.1% | 2.08 | 18% |
| validation | MEDIUM VOLATILITY | 315 | 75.6% | 3.06 | 21% |
| validation | NORMAL | 474 | 15.4% | 0.79 | 14% |
| validation | SIDEWAYS | 206 | -2.4% | -0.57 | 1% |
| validation | UPTREND | 425 | 86.6% | 2.54 | 35% |
Trades (full period)
50 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | -0.79% | 19 | OPEN |
| 2025-12-16 | 2026-01-07 | $489.88 | $431.41 | -9.09% | 15 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 8.43% | 46 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2024-11-07 | 2025-01-14 | $296.91 | $396.36 | 43.32% | 45 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 9.15% | 16 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 1.87% | 23 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2023-06-05 | 2023-08-02 | $217.61 | $254.11 | 23.53% | 41 | |
| 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 | |
| 2022-07-22 | 2022-08-02 | $272.24 | $300.59 | 6.26% | 8 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -18.24% | 12 | |
| 2021-09-20 | 2021-12-01 | $243.39 | $365.00 | 51.49% | 52 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 47.29% | 57 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 21.85% | 29 | |
| 2020-06-11 | 2020-08-10 | $64.86 | $94.57 | 15.79% | 42 | |
| 2020-04-15 | 2020-04-30 | $48.66 | $52.13 | 5.18% | 12 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 103.11% | 89 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 3.91% | 13 | |
| 2019-07-05 | 2019-07-22 | $15.54 | $17.05 | 9.69% | 12 | |
| 2018-12-06 | 2018-12-19 | $24.20 | $22.20 | -3.63% | 10 | |
| 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 | 2017-09-29 | $25.01 | $22.74 | -9.60% | 9 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | 0.18% | 15 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -2.11% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 6.51% | 41 | |
| 2017-01-05 | 2017-03-08 | $15.12 | $16.46 | 10.62% | 43 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 9.89% | 10 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -5.92% | 22 | |
| 2015-12-17 | 2015-12-29 | $15.56 | $15.81 | -2.03% | 8 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -6.17% | 2 | |
| 2015-05-13 | 2015-07-28 | $16.21 | $17.65 | 6.91% | 53 | |
| 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 | 2015-03-03 | $14.19 | $13.30 | -8.95% | 14 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.78% | 28 | |
| 2014-06-24 | 2014-07-17 | $15.50 | $14.36 | -8.64% | 17 | |
| 2014-02-11 | 2014-03-26 | $13.11 | $14.20 | 5.35% | 31 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 46.88% | 79 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 76.13% | 65 | |
| 2013-01-24 | 2013-02-26 | $2.47 | $2.30 | -3.97% | 23 | |
| 2012-12-19 | 2013-01-11 | $2.31 | $2.19 | -3.26% | 16 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | 1.10% | 33 |