Strategy Zoo / S0234
PriceMomentum_V0234
ARCHIVEDmomentumstructuralremoved entry condition: ret_20d > 0.05
Fitness
0.5405
Generation
11
Complexity
6
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> -0.1357
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0234 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat 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
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 23.4% | 61.3% | 21.0% | 30.0% |
| Total Return | 436.3% | 319.4% | 102.1% | 4580.7% |
| Sharpe | 0.78 | 1.23 | 0.69 | 0.87 |
| Sortino | 0.91 | 1.11 | 0.77 | 0.92 |
| Calmar | 0.42 | 1.32 | 0.46 | 0.53 |
| Volatility | 34.4% | 48.3% | 37.4% | 38.4% |
| Max DD | -56.2% | -46.4% | -45.3% | -56.2% |
| Win Rate | 50.7% | 50.0% | 59.3% | 52.3% |
| Avg Win | 16.4% | 18.5% | 11.8% | 16.9% |
| Avg Loss | -5.9% | -6.1% | -8.5% | -6.4% |
| Payoff | 2.80 | 3.04 | 1.40 | 2.64 |
| Expectancy | 5.4% | 6.2% | 3.5% | 5.8% |
| Profit Factor | 2.88 | 3.04 | 2.03 | 2.90 |
| Trades | 69 | 32 | 27 | 128 |
| Avg Holding Days | 15.9 | 11.7 | 14.9 | 15.0 |
| Turnover | 19.7 | 20.5 | 16.9 | 19.1 |
| Exposure | 48.9% | 39.0% | 38.9% | 44.4% |
Growth of $100
PriceMomentum_V0234 vs TSLA Buy & Hold
PriceMomentum_V0234 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 | -12.8% | -0.57 | -25.6% | 12 |
| 2017 | 24.0% | 0.97 | -19.8% | 5 |
| 2018 | -12.1% | -0.06 | -28.4% | 12 |
| 2019 | 5.9% | 0.35 | -34.8% | 12 |
| 2020 | 188.6% | 1.86 | -46.4% | 6 |
| 2021 | 64.4% | 1.70 | -18.1% | 9 |
| 2022 | -21.4% | -0.66 | -29.9% | 17 |
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 | 17.8% | 0.40 | 43% |
| hidden test | EXPENSIVE | 83 | 45.1% | 0.90 | 68% |
| hidden test | EXTREME | 48 | 174.8% | 2.90 | 88% |
| hidden test | HIGH VOLATILITY | 254 | 53.5% | 0.96 | 53% |
| hidden test | LOW VOLATILITY | 429 | 29.6% | 1.15 | 35% |
| hidden test | MEDIUM VOLATILITY | 248 | -8.7% | -0.29 | 31% |
| hidden test | NORMAL | 800 | 15.0% | 0.44 | 33% |
| hidden test | SIDEWAYS | 293 | 11.3% | 1.59 | 3% |
| hidden test | UPTREND | 371 | 43.3% | 0.96 | 64% |
| train | DOWNTREND | 518 | 3.3% | 0.09 | 55% |
| train | EXPENSIVE | 311 | 22.1% | 0.62 | 63% |
| train | EXTREME | 100 | 400.8% | 5.56 | 94% |
| train | HIGH VOLATILITY | 699 | 46.6% | 0.99 | 46% |
| train | LOW VOLATILITY | 745 | 34.4% | 1.34 | 60% |
| train | MEDIUM VOLATILITY | 568 | -7.4% | -0.30 | 37% |
| train | NORMAL | 1,601 | 4.4% | 0.15 | 43% |
| train | SIDEWAYS | 592 | 10.8% | 0.55 | 5% |
| train | UPTREND | 902 | 50.9% | 1.24 | 74% |
| validation | DOWNTREND | 125 | 17.6% | 0.50 | 29% |
| validation | EXPENSIVE | 138 | 14.0% | 0.26 | 46% |
| validation | EXTREME | 144 | 259.6% | 3.44 | 69% |
| validation | HIGH VOLATILITY | 258 | 78.0% | 1.07 | 51% |
| validation | LOW VOLATILITY | 183 | 29.9% | 1.70 | 32% |
| validation | MEDIUM VOLATILITY | 315 | 61.8% | 1.84 | 33% |
| validation | NORMAL | 474 | 12.1% | 0.37 | 28% |
| validation | SIDEWAYS | 206 | -24.6% | -1.10 | 3% |
| validation | UPTREND | 425 | 112.8% | 1.90 | 59% |
Trades (full period)
latest 100 of 129
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | -0.79% | 19 | OPEN |
| 2026-07-24 | 2026-07-27 | $313.03 | $309.22 | -2.28% | 2 | |
| 2026-04-24 | 2026-05-08 | $376.30 | $428.35 | 9.75% | 11 | |
| 2026-04-16 | 2026-04-20 | $388.90 | $392.50 | 1.37% | 3 | |
| 2026-03-23 | 2026-04-09 | $380.85 | $345.62 | -6.90% | 13 | |
| 2026-02-02 | 2026-02-18 | $421.81 | $411.32 | -4.79% | 12 | |
| 2025-09-12 | 2026-01-13 | $395.94 | $447.20 | 16.46% | 85 | |
| 2025-06-24 | 2025-07-09 | $340.47 | $295.88 | -15.12% | 11 | |
| 2025-04-03 | 2025-04-23 | $267.28 | $250.74 | -16.01% | 14 | |
| 2025-03-25 | 2025-03-26 | $288.14 | $272.06 | 3.30% | 2 | |
| 2025-03-13 | 2025-03-14 | $240.68 | $249.98 | -3.18% | 2 | |
| 2025-03-11 | 2025-03-12 | $230.58 | $248.09 | 3.59% | 2 | |
| 2025-03-05 | 2025-03-06 | $279.10 | $263.45 | 1.63% | 2 | |
| 2025-02-13 | 2025-02-14 | $355.94 | $355.84 | 3.79% | 2 | |
| 2025-01-31 | 2025-02-12 | $404.60 | $336.51 | -15.52% | 9 | |
| 2024-10-25 | 2025-01-28 | $269.19 | $398.09 | 50.16% | 63 | |
| 2024-10-14 | 2024-10-23 | $219.16 | $213.65 | -0.57% | 8 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 9.15% | 16 | |
| 2024-07-02 | 2024-08-05 | $231.26 | $198.88 | -2.45% | 24 | |
| 2024-04-24 | 2024-05-29 | $162.13 | $176.19 | 21.94% | 25 | |
| 2024-04-05 | 2024-04-19 | $164.90 | $147.05 | -12.35% | 11 | |
| 2024-03-05 | 2024-03-15 | $180.74 | $163.57 | -13.80% | 9 | |
| 2023-08-21 | 2023-08-22 | $231.28 | $233.19 | 7.12% | 2 | |
| 2023-06-05 | 2023-08-14 | $217.61 | $239.76 | 14.74% | 49 | |
| 2023-05-15 | 2023-05-31 | $166.35 | $203.93 | 18.78% | 12 | |
| 2023-01-30 | 2023-02-10 | $166.66 | $196.89 | 16.30% | 10 | |
| 2023-01-09 | 2023-01-10 | $119.77 | $118.85 | 5.73% | 2 | |
| 2023-01-04 | 2023-01-05 | $113.64 | $110.34 | 4.92% | 2 | |
| 2022-12-29 | 2022-12-30 | $121.82 | $123.18 | 7.87% | 2 | |
| 2022-12-27 | 2022-12-28 | $109.10 | $112.71 | -7.89% | 2 | |
| 2022-12-22 | 2022-12-23 | $125.35 | $123.15 | -9.07% | 2 | |
| 2022-12-20 | 2022-12-21 | $137.80 | $137.57 | -5.61% | 2 | |
| 2022-12-16 | 2022-12-19 | $150.23 | $149.87 | -3.34% | 2 | |
| 2022-12-14 | 2022-12-15 | $156.80 | $157.67 | -1.89% | 2 | |
| 2022-11-11 | 2022-11-17 | $195.97 | $183.17 | -1.50% | 5 | |
| 2022-11-09 | 2022-11-10 | $177.59 | $190.72 | -5.01% | 2 | |
| 2022-10-21 | 2022-10-24 | $214.44 | $211.25 | 3.25% | 2 | |
| 2022-10-17 | 2022-10-18 | $219.35 | $220.19 | 4.62% | 2 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-06-22 | 2022-08-02 | $236.09 | $300.59 | 19.81% | 29 | |
| 2022-05-23 | 2022-05-24 | $224.97 | $209.39 | 1.46% | 2 | |
| 2022-05-13 | 2022-05-16 | $256.53 | $241.46 | 5.51% | 2 | |
| 2022-04-22 | 2022-04-27 | $335.02 | $293.84 | -9.07% | 4 | |
| 2022-02-25 | 2022-03-01 | $269.96 | $288.12 | 6.07% | 3 | |
| 2021-12-23 | 2022-01-20 | $355.67 | $332.09 | -7.81% | 19 | |
| 2021-12-20 | 2021-12-21 | $299.98 | $312.84 | -2.51% | 2 | |
| 2021-09-01 | 2021-12-06 | $244.70 | $336.34 | 44.21% | 67 | |
| 2021-05-14 | 2021-05-17 | $196.58 | $192.28 | 2.95% | 2 | |
| 2021-03-11 | 2021-03-15 | $233.20 | $235.98 | 3.64% | 3 | |
| 2021-03-09 | 2021-03-10 | $224.53 | $222.69 | 13.21% | 2 | |
| 2021-03-05 | 2021-03-08 | $199.32 | $187.67 | -2.70% | 2 | |
| 2021-02-26 | 2021-03-01 | $225.17 | $239.48 | -0.81% | 2 | |
| 2021-02-24 | 2021-02-25 | $247.34 | $227.41 | 4.06% | 2 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 23.65% | 64 | |
| 2020-06-11 | 2020-09-30 | $64.86 | $143.00 | 79.56% | 78 | |
| 2020-04-15 | 2020-04-30 | $48.66 | $52.13 | 12.54% | 12 | |
| 2020-03-20 | 2020-03-23 | $28.50 | $28.95 | -0.23% | 2 | |
| 2020-03-18 | 2020-03-19 | $24.08 | $28.51 | -16.22% | 2 | |
| 2020-03-16 | 2020-03-17 | $29.67 | $28.68 | -18.76% | 2 | |
| 2019-10-25 | 2020-03-05 | $21.88 | $48.30 | 134.52% | 90 | |
| 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 | |
| 2019-06-07 | 2019-06-10 | $13.63 | $14.19 | -0.90% | 2 | |
| 2019-05-24 | 2019-05-28 | $12.71 | $12.58 | -2.68% | 2 | |
| 2019-05-22 | 2019-05-23 | $12.85 | $13.03 | -6.22% | 2 | |
| 2019-05-20 | 2019-05-21 | $13.69 | $13.67 | -2.88% | 2 | |
| 2019-05-03 | 2019-05-14 | $17.00 | $15.49 | -4.88% | 8 | |
| 2019-04-30 | 2019-05-01 | $15.91 | $15.60 | -0.92% | 2 | |
| 2019-03-18 | 2019-04-29 | $17.97 | $16.10 | -11.69% | 30 | |
| 2019-03-04 | 2019-03-07 | $19.02 | $18.44 | -4.43% | 4 | |
| 2019-01-22 | 2019-01-23 | $19.93 | $19.17 | -1.30% | 2 | |
| 2018-12-31 | 2019-01-04 | $22.19 | $21.18 | -10.22% | 4 | |
| 2018-12-04 | 2018-12-26 | $23.98 | $21.74 | -13.55% | 15 | |
| 2018-09-19 | 2018-10-26 | $19.93 | $22.06 | 10.28% | 28 | |
| 2018-09-10 | 2018-09-11 | $19.03 | $18.63 | 8.25% | 2 | |
| 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 | |
| 2018-06-19 | 2018-07-05 | $23.50 | $20.61 | -16.34% | 12 | |
| 2018-04-05 | 2018-06-12 | $20.38 | $22.85 | 13.79% | 48 | |
| 2018-04-03 | 2018-04-04 | $17.84 | $19.13 | 5.75% | 2 | |
| 2018-03-29 | 2018-04-02 | $17.74 | $16.83 | 3.04% | 2 | |
| 2018-03-27 | 2018-03-28 | $18.61 | $17.19 | -5.72% | 2 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -8.82% | 2 | |
| 2018-01-05 | 2018-01-09 | $21.11 | $22.25 | 6.50% | 3 | |
| 2017-11-03 | 2017-11-06 | $20.41 | $20.19 | 2.08% | 2 | |
| 2017-09-19 | 2017-10-25 | $25.01 | $21.72 | -10.58% | 27 | |
| 2017-08-03 | 2017-08-24 | $23.14 | $23.53 | 4.61% | 16 | |
| 2017-07-10 | 2017-07-14 | $21.07 | $21.85 | 3.05% | 5 | |
| 2017-01-05 | 2017-07-07 | $15.12 | $20.88 | 25.88% | 127 | |
| 2016-10-07 | 2016-12-28 | $13.11 | $14.65 | 4.75% | 57 | |
| 2016-08-24 | 2016-08-30 | $14.84 | $14.09 | -4.48% | 5 | |
| 2016-06-27 | 2016-07-06 | $13.24 | $14.30 | 10.57% | 7 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-05-20 | 2016-05-24 | $14.69 | $14.53 | 0.19% | 3 | |
| 2016-05-06 | 2016-05-09 | $14.33 | $13.93 | 1.41% | 2 | |
| 2016-04-05 | 2016-05-05 | $17.03 | $14.10 | -9.88% | 23 | |
| 2016-02-12 | 2016-02-16 | $10.07 | $10.34 | 0.18% | 2 | |
| 2016-02-10 | 2016-02-11 | $9.58 | $10.03 | -3.29% | 2 | |
| 2016-02-08 | 2016-02-09 | $9.87 | $9.88 | -9.18% | 2 | |
| 2016-02-03 | 2016-02-04 | $11.57 | $11.69 | -3.59% | 2 |