Strategy Zoo / S0247
PriceMomentum_V0247
ARCHIVEDhybridcrossoverentry = PriceMomentum_V0054 OR VolumeBreakout_V0205
Fitness
0.6335
Generation
12
Complexity
8
Created
2026-09-18
Lineage
Parents (2)
reduce exposure to 68% during MEDIUM_VOLATILITY
entry = VolumeBreakout_V0113 OR PriceMomentum_V0003
Children (1)
Strategy Logic (pseudocode)
# PriceMomentum_V0247 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 or (vol_chg > 1.1148 or ret_20d > 0.05)):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 25.0% | 83.0% | 23.2% | 34.9% |
| Total Return | 493.5% | 513.2% | 116.1% | 7998.4% |
| Sharpe | 0.87 | 1.58 | 0.80 | 1.04 |
| Sortino | 0.95 | 1.53 | 0.72 | 1.03 |
| Calmar | 0.48 | 2.46 | 0.61 | 0.67 |
| Volatility | 30.9% | 44.4% | 32.7% | 34.5% |
| Max DD | -51.8% | -33.8% | -38.0% | -51.8% |
| Win Rate | 39.8% | 47.8% | 50.0% | 43.0% |
| Avg Win | 12.4% | 28.0% | 15.5% | 17.2% |
| Avg Loss | -3.5% | -5.6% | -7.0% | -4.4% |
| Payoff | 3.56 | 5.04 | 2.20 | 3.95 |
| Expectancy | 2.8% | 10.5% | 4.2% | 4.9% |
| Profit Factor | 2.35 | 4.62 | 2.20 | 2.97 |
| Trades | 88 | 23 | 24 | 135 |
| Avg Holding Days | 9.8 | 16.3 | 13.2 | 11.9 |
| Turnover | 22.6 | 15.5 | 14.6 | 19.1 |
| Exposure | 38.0% | 40.1% | 30.6% | 36.6% |
Growth of $100
PriceMomentum_V0247 vs TSLA Buy & Hold
PriceMomentum_V0247 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 | 1.5% | 0.18 | -20.1% | 16 |
| 2017 | 14.0% | 0.70 | -12.3% | 10 |
| 2018 | -25.3% | -0.67 | -31.6% | 14 |
| 2019 | 20.6% | 0.92 | -27.9% | 13 |
| 2020 | 398.0% | 2.74 | -33.8% | 6 |
| 2021 | 59.5% | 1.81 | -15.4% | 8 |
| 2022 | -25.2% | -1.12 | -29.0% | 9 |
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 | 8.3% | 0.26 | 34% |
| hidden test | EXPENSIVE | 83 | 98.0% | 1.99 | 65% |
| hidden test | EXTREME | 48 | 187.4% | 3.43 | 65% |
| hidden test | HIGH VOLATILITY | 254 | 31.2% | 0.67 | 45% |
| hidden test | LOW VOLATILITY | 429 | 45.5% | 2.01 | 24% |
| hidden test | MEDIUM VOLATILITY | 248 | -12.3% | -0.40 | 27% |
| hidden test | NORMAL | 800 | 9.1% | 0.32 | 25% |
| hidden test | SIDEWAYS | 293 | 1.7% | 0.14 | 3% |
| hidden test | UPTREND | 371 | 58.4% | 1.37 | 50% |
| train | DOWNTREND | 518 | -11.1% | -0.44 | 26% |
| train | EXPENSIVE | 311 | 44.8% | 1.30 | 62% |
| train | EXTREME | 100 | 392.1% | 5.44 | 92% |
| train | HIGH VOLATILITY | 699 | 54.2% | 1.27 | 37% |
| train | LOW VOLATILITY | 745 | 29.7% | 1.28 | 49% |
| train | MEDIUM VOLATILITY | 568 | -10.2% | -0.48 | 25% |
| train | NORMAL | 1,601 | 0.7% | 0.03 | 30% |
| train | SIDEWAYS | 592 | 11.0% | 0.66 | 4% |
| train | UPTREND | 902 | 59.3% | 1.49 | 67% |
| validation | DOWNTREND | 125 | 41.8% | 2.13 | 12% |
| validation | EXPENSIVE | 138 | 37.7% | 0.79 | 48% |
| validation | EXTREME | 144 | 300.9% | 3.91 | 79% |
| validation | HIGH VOLATILITY | 258 | 89.3% | 1.39 | 47% |
| validation | LOW VOLATILITY | 183 | 24.9% | 1.11 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 81.2% | 2.49 | 34% |
| validation | NORMAL | 474 | 9.8% | 0.40 | 26% |
| validation | SIDEWAYS | 206 | -15.8% | -1.11 | 4% |
| validation | UPTREND | 425 | 120.4% | 2.11 | 66% |
Trades (full period)
latest 100 of 136
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 4.32% | 20 | OPEN |
| 2026-07-24 | 2026-07-27 | $313.03 | $309.22 | -2.28% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-29 | 2026-05-08 | $372.80 | $428.35 | 9.29% | 8 | |
| 2026-04-21 | 2026-04-24 | $386.42 | $376.30 | -3.39% | 4 | |
| 2025-12-15 | 2026-01-07 | $475.31 | $431.41 | -5.85% | 16 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 8.43% | 46 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-07 | 2025-08-11 | $322.27 | $339.03 | 2.84% | 3 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.43% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -9.43% | 11 | |
| 2025-04-29 | 2025-05-12 | $292.03 | $318.38 | 4.12% | 10 | |
| 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 | |
| 2024-10-25 | 2025-01-14 | $269.19 | $396.36 | 52.49% | 54 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.81% | 8 | |
| 2024-09-04 | 2024-09-27 | $219.41 | $260.46 | 16.00% | 18 | |
| 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 | |
| 2024-04-25 | 2024-04-26 | $170.18 | $168.29 | 4.76% | 2 | |
| 2024-04-15 | 2024-04-17 | $161.48 | $155.45 | -7.52% | 3 | |
| 2024-02-26 | 2024-03-07 | $199.40 | $178.65 | -8.22% | 9 | |
| 2023-06-02 | 2023-08-02 | $213.97 | $254.11 | 27.37% | 42 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 2022-11-11 | 2022-11-14 | $195.97 | $190.95 | 2.55% | 2 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.63% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.64% | 2 | |
| 2022-07-14 | 2022-08-02 | $238.31 | $300.59 | 20.07% | 14 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -16.47% | 16 | |
| 2022-02-25 | 2022-03-01 | $269.96 | $288.12 | 6.07% | 3 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -18.24% | 12 | |
| 2021-12-06 | 2021-12-07 | $336.34 | $350.58 | -0.54% | 2 | |
| 2021-08-24 | 2021-12-01 | $236.16 | $365.00 | 62.91% | 70 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2021-03-10 | 2021-03-11 | $222.69 | $233.20 | -1.02% | 2 | |
| 2021-03-08 | 2021-03-09 | $187.67 | $224.53 | -4.11% | 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 | 2021-02-11 | $166.42 | $270.55 | 39.28% | 57 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -3.98% | 6 | |
| 2020-10-07 | 2020-10-20 | $141.77 | $140.65 | 4.77% | 10 | |
| 2020-08-13 | 2020-09-24 | $108.07 | $129.26 | 15.30% | 30 | |
| 2020-05-15 | 2020-08-10 | $53.28 | $94.57 | 67.59% | 60 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 133.27% | 89 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.05% | 2 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 3.91% | 13 | |
| 2019-06-18 | 2019-07-22 | $14.98 | $17.05 | 13.63% | 24 | |
| 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 | |
| 2019-04-26 | 2019-04-29 | $15.68 | $16.10 | -3.56% | 2 | |
| 2019-04-08 | 2019-04-09 | $18.21 | $18.15 | -0.84% | 2 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2019-03-06 | 2019-03-07 | $18.42 | $18.44 | -0.21% | 2 | |
| 2019-03-04 | 2019-03-05 | $19.02 | $18.44 | -2.31% | 2 | |
| 2019-01-22 | 2019-01-23 | $19.93 | $19.17 | -1.30% | 2 | |
| 2018-11-29 | 2018-12-19 | $22.74 | $22.20 | -1.39% | 14 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-10-25 | 2018-10-26 | $20.99 | $22.06 | 8.93% | 2 | |
| 2018-10-01 | 2018-10-09 | $20.71 | $17.52 | -5.54% | 7 | |
| 2018-09-10 | 2018-09-11 | $19.03 | $18.63 | 8.25% | 2 | |
| 2018-08-22 | 2018-08-28 | $21.44 | $20.79 | -1.02% | 5 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-06-07 | 2018-06-12 | $21.07 | $22.85 | 3.73% | 4 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-04-04 | 2018-04-05 | $19.13 | $20.38 | 7.05% | 2 | |
| 2018-04-02 | 2018-04-03 | $16.83 | $17.84 | -5.32% | 2 | |
| 2018-03-28 | 2018-03-29 | $17.19 | $17.74 | -7.86% | 2 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -5.21% | 4 | |
| 2017-11-03 | 2017-11-06 | $20.41 | $20.19 | 2.08% | 2 | |
| 2017-09-18 | 2017-09-29 | $25.67 | $22.74 | -8.76% | 10 | |
| 2017-08-03 | 2017-08-24 | $23.14 | $23.53 | 4.61% | 16 | |
| 2017-07-11 | 2017-07-12 | $21.81 | $21.97 | 3.33% | 2 | |
| 2017-07-07 | 2017-07-10 | $20.88 | $21.07 | 1.22% | 2 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.38% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 6.51% | 41 | |
| 2017-03-20 | 2017-03-21 | $17.46 | $16.71 | -0.03% | 2 | |
| 2017-03-15 | 2017-03-16 | $17.05 | $17.47 | -0.73% | 2 | |
| 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 | |
| 2016-11-11 | 2016-11-14 | $12.57 | $12.10 | 1.53% | 2 | |
| 2016-11-02 | 2016-11-03 | $12.53 | $12.49 | -1.65% | 2 | |
| 2016-10-28 | 2016-11-01 | $13.33 | $12.72 | -3.27% | 3 | |
| 2016-10-19 | 2016-10-21 | $13.57 | $13.34 | -0.20% | 3 | |
| 2016-07-26 | 2016-08-23 | $15.30 | $14.99 | -3.27% | 21 | |
| 2016-06-27 | 2016-06-28 | $13.24 | $13.45 | 2.59% | 2 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-05-23 | 2016-05-24 | $14.41 | $14.53 | -1.39% | 2 | |
| 2016-05-05 | 2016-05-06 | $14.10 | $14.33 | -5.15% | 2 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -5.92% | 22 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 1.44% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 16.89% | 12 | |
| 2016-02-12 | 2016-02-16 | $10.07 | $10.34 | 0.18% | 2 | |
| 2016-02-08 | 2016-02-09 | $9.87 | $9.88 | -9.18% | 2 |