Strategy Zoo / S0239
PriceMomentum_V0239
ARCHIVEDmomentumparameterchanged ret_20d threshold 0.0392 -> 0.1097
Fitness
0.5569
Generation
11
Complexity
3
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> 0.0392
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0239 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.05:
position = 1.0
if long and ret_20d < 0.1097:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 12.7% | 76.5% | 15.2% | 24.4% |
| Total Return | 159.5% | 449.5% | 68.5% | 2374.5% |
| Sharpe | 0.61 | 1.48 | 0.62 | 0.86 |
| Sortino | 0.53 | 1.40 | 0.46 | 0.72 |
| Calmar | 0.28 | 1.99 | 0.31 | 0.50 |
| Volatility | 24.5% | 45.4% | 29.9% | 31.2% |
| Max DD | -45.5% | -38.3% | -49.3% | -49.3% |
| Win Rate | 45.5% | 49.0% | 44.2% | 45.9% |
| Avg Win | 5.1% | 12.5% | 7.3% | 7.3% |
| Avg Loss | -2.4% | -3.2% | -3.3% | -2.8% |
| Payoff | 2.14 | 3.87 | 2.22 | 2.66 |
| Expectancy | 1.0% | 4.5% | 1.4% | 1.9% |
| Profit Factor | 1.78 | 3.72 | 1.76 | 2.26 |
| Trades | 143 | 51 | 52 | 246 |
| Avg Holding Days | 4.5 | 6.3 | 5.2 | 5.1 |
| Turnover | 35.9 | 34.0 | 28.2 | 33.5 |
| Exposure | 25.4% | 35.8% | 23.4% | 27.1% |
Growth of $100
PriceMomentum_V0239 vs TSLA Buy & Hold
PriceMomentum_V0239 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 | 25.3% | 1.86 | -9.9% | 15 |
| 2017 | 17.6% | 1.00 | -12.6% | 21 |
| 2018 | -29.9% | -2.15 | -31.6% | 15 |
| 2019 | 10.5% | 0.61 | -11.7% | 12 |
| 2020 | 441.5% | 2.82 | -33.7% | 16 |
| 2021 | 31.1% | 1.02 | -17.6% | 21 |
| 2022 | -25.8% | -1.38 | -29.2% | 14 |
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 | 9.3% | 0.32 | 22% |
| hidden test | EXPENSIVE | 83 | 35.5% | 0.88 | 47% |
| hidden test | EXTREME | 48 | 139.2% | 2.60 | 60% |
| hidden test | HIGH VOLATILITY | 254 | -2.5% | -0.06 | 33% |
| hidden test | LOW VOLATILITY | 429 | 46.5% | 2.20 | 20% |
| hidden test | MEDIUM VOLATILITY | 248 | -8.0% | -0.29 | 20% |
| hidden test | NORMAL | 800 | 9.6% | 0.36 | 19% |
| hidden test | SIDEWAYS | 293 | -9.7% | -0.65 | 3% |
| hidden test | UPTREND | 371 | 47.7% | 1.25 | 40% |
| train | DOWNTREND | 518 | 6.4% | 0.54 | 12% |
| train | EXPENSIVE | 311 | 27.3% | 0.87 | 49% |
| train | EXTREME | 100 | 317.4% | 4.57 | 91% |
| train | HIGH VOLATILITY | 699 | 25.1% | 0.75 | 27% |
| train | LOW VOLATILITY | 745 | 16.3% | 0.94 | 30% |
| train | MEDIUM VOLATILITY | 568 | 0.3% | 0.02 | 17% |
| train | NORMAL | 1,601 | -6.4% | -0.41 | 17% |
| train | SIDEWAYS | 592 | -2.8% | -0.34 | 2% |
| train | UPTREND | 902 | 31.4% | 0.90 | 48% |
| validation | DOWNTREND | 125 | 38.5% | 2.71 | 9% |
| validation | EXPENSIVE | 138 | 94.1% | 1.82 | 54% |
| validation | EXTREME | 144 | 284.3% | 3.61 | 79% |
| validation | HIGH VOLATILITY | 258 | 85.1% | 1.35 | 41% |
| validation | LOW VOLATILITY | 183 | 5.8% | 0.33 | 22% |
| validation | MEDIUM VOLATILITY | 315 | 87.9% | 2.25 | 40% |
| validation | NORMAL | 474 | -6.8% | -0.29 | 17% |
| validation | SIDEWAYS | 206 | -6.6% | -0.73 | 2% |
| validation | UPTREND | 425 | 111.2% | 1.87 | 60% |
Trades (full period)
latest 100 of 246
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-16 | 2026-09-17 | $358.08 | $366.20 | 0.22% | 2 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.32% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-03 | 2026-09-08 | $376.37 | $368.16 | -1.01% | 3 | |
| 2026-08-21 | 2026-09-02 | $362.86 | $357.01 | 2.97% | 9 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-04 | 2026-05-08 | $392.51 | $428.35 | 5.16% | 5 | |
| 2026-04-29 | 2026-04-30 | $372.80 | $381.63 | -1.06% | 2 | |
| 2026-04-21 | 2026-04-22 | $386.42 | $387.51 | -1.75% | 2 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | -0.05% | 11 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-09-12 | 2025-10-13 | $395.94 | $435.90 | 11.90% | 22 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-07 | 2025-08-08 | $322.27 | $329.65 | 0.54% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2025-05-05 | 2025-05-09 | $280.26 | $298.26 | -1.03% | 5 | |
| 2025-04-29 | 2025-05-01 | $292.03 | $280.52 | -1.50% | 3 | |
| 2025-04-15 | 2025-04-17 | $254.11 | $241.37 | -4.47% | 3 | |
| 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 | |
| 2025-01-06 | 2025-01-08 | $411.05 | $394.94 | -4.11% | 3 | |
| 2024-11-07 | 2025-01-03 | $296.91 | $410.44 | 31.19% | 39 | |
| 2024-10-10 | 2024-10-11 | $238.77 | $217.80 | -1.14% | 2 | |
| 2024-10-07 | 2024-10-09 | $240.83 | $241.05 | -2.43% | 3 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-09-20 | 2024-09-27 | $238.25 | $260.46 | 4.01% | 6 | |
| 2024-09-13 | 2024-09-16 | $230.29 | $226.78 | 0.01% | 2 | |
| 2024-09-10 | 2024-09-12 | $226.17 | $229.81 | 5.28% | 3 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 3.98% | 2 | |
| 2024-07-02 | 2024-07-31 | $231.26 | $232.07 | 5.88% | 21 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-05-14 | 2024-05-24 | $177.55 | $179.24 | 0.88% | 9 | |
| 2024-05-06 | 2024-05-07 | $184.76 | $177.81 | 1.77% | 2 | |
| 2024-05-02 | 2024-05-03 | $180.01 | $181.19 | -0.19% | 2 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -5.79% | 2 | |
| 2024-03-04 | 2024-03-05 | $188.14 | $180.74 | -7.35% | 2 | |
| 2024-02-29 | 2024-03-01 | $201.88 | $202.64 | -0.28% | 2 | |
| 2024-02-26 | 2024-02-27 | $199.40 | $199.73 | 3.67% | 2 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.55% | 2 | |
| 2023-07-17 | 2023-07-20 | $290.38 | $262.90 | 3.31% | 4 | |
| 2023-07-13 | 2023-07-14 | $277.90 | $281.38 | 1.97% | 2 | |
| 2023-06-02 | 2023-07-12 | $213.97 | $271.99 | 29.75% | 27 | |
| 2023-05-23 | 2023-05-31 | $185.77 | $203.93 | 6.29% | 6 | |
| 2023-05-19 | 2023-05-22 | $180.14 | $188.87 | 1.64% | 2 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -2.77% | 2 | |
| 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 | |
| 2022-07-27 | 2022-08-02 | $274.82 | $300.59 | 14.62% | 5 | |
| 2022-07-22 | 2022-07-26 | $272.24 | $258.86 | -1.40% | 3 | |
| 2022-07-19 | 2022-07-21 | $245.53 | $271.71 | 2.69% | 3 | |
| 2022-07-14 | 2022-07-15 | $238.31 | $240.07 | 0.34% | 2 | |
| 2022-06-24 | 2022-06-28 | $245.71 | $232.66 | 3.99% | 3 | |
| 2022-06-22 | 2022-06-23 | $236.09 | $235.07 | -0.60% | 2 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -5.15% | 2 | |
| 2022-04-05 | 2022-04-19 | $363.75 | $342.72 | -12.50% | 10 | |
| 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 | 2022-01-06 | $383.20 | $354.90 | -9.49% | 3 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -3.25% | 2 | |
| 2021-10-18 | 2021-11-24 | $290.04 | $372.00 | 31.29% | 28 | |
| 2021-10-14 | 2021-10-15 | $272.77 | $281.01 | 0.69% | 2 | |
| 2021-10-12 | 2021-10-13 | $268.57 | $270.36 | 1.54% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-10-04 | 2021-10-05 | $260.51 | $260.20 | 0.61% | 2 | |
| 2021-09-30 | 2021-10-01 | $258.49 | $258.41 | -0.95% | 2 | |
| 2021-09-27 | 2021-09-29 | $263.79 | $260.44 | 0.21% | 3 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.03% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -4.06% | 2 | |
| 2021-09-15 | 2021-09-17 | $251.94 | $253.16 | 1.48% | 3 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -2.66% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.61% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.11% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-08-13 | 2021-08-17 | $239.06 | $221.90 | -5.19% | 3 | |
| 2021-08-11 | 2021-08-12 | $235.94 | $240.75 | -0.51% | 2 | |
| 2021-08-09 | 2021-08-10 | $237.92 | $236.66 | 1.90% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.32% | 2 | |
| 2020-11-19 | 2021-02-08 | $166.42 | $287.81 | 74.78% | 54 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.54% | 2 | |
| 2020-10-16 | 2020-10-19 | $146.56 | $143.61 | -2.25% | 2 | |
| 2020-10-07 | 2020-10-13 | $141.77 | $148.88 | 6.63% | 5 | |
| 2020-09-22 | 2020-09-23 | $141.41 | $126.79 | -5.79% | 2 | |
| 2020-08-18 | 2020-09-21 | $125.81 | $149.80 | 20.20% | 24 | |
| 2020-08-14 | 2020-08-17 | $110.05 | $122.38 | 1.63% | 2 | |
| 2020-08-07 | 2020-08-10 | $96.85 | $94.57 | -2.67% | 2 | |
| 2020-08-05 | 2020-08-06 | $99.00 | $99.31 | -0.33% | 2 | |
| 2020-06-08 | 2020-08-04 | $63.33 | $99.13 | 67.35% | 41 | |
| 2020-06-01 | 2020-06-05 | $59.87 | $59.04 | 3.32% | 5 | |
| 2020-05-28 | 2020-05-29 | $53.72 | $55.67 | -1.96% | 2 | |
| 2020-05-19 | 2020-05-27 | $53.87 | $54.68 | 0.44% | 6 | |
| 2020-05-15 | 2020-05-18 | $53.28 | $54.24 | -0.72% | 2 |