Strategy Zoo / S0248
PriceMomentum_V0248
ARCHIVEDhybridcrossoverentry from PriceMomentum_V0160, exit from SMACross_50_200_V0223
Fitness
0.4667
Generation
12
Complexity
3
Created
2026-09-18
Lineage
Parents (2)
changed ret_20d threshold -0.03 -> 0.0392
entry = SMACross_50_200_V0161 AND PriceMomentum_V0125
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0248 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.05:
position = 1.0
if long and sma_50 < sma_200:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 18.9% | 47.3% | 21.5% | 25.2% |
| Total Return | 299.3% | 219.3% | 105.2% | 2593.8% |
| Sharpe | 0.70 | 0.97 | 0.70 | 0.76 |
| Sortino | 0.72 | 1.01 | 0.79 | 0.78 |
| Calmar | 0.30 | 0.78 | 0.54 | 0.40 |
| Volatility | 32.2% | 56.5% | 37.7% | 39.7% |
| Max DD | -62.7% | -60.7% | -39.9% | -62.7% |
| Win Rate | 47.1% | 42.3% | 62.0% | 51.8% |
| Avg Win | 8.0% | 23.7% | 3.9% | 8.0% |
| Avg Loss | -2.5% | -4.3% | -3.3% | -2.8% |
| Payoff | 3.26 | 5.52 | 1.19 | 2.85 |
| Expectancy | 2.5% | 7.5% | 1.2% | 2.8% |
| Profit Factor | 2.91 | 4.05 | 1.94 | 3.07 |
| Trades | 121 | 26 | 71 | 218 |
| Avg Holding Days | 7.7 | 16.3 | 5.8 | 8.3 |
| Turnover | 30.4 | 17.3 | 38.4 | 29.7 |
| Exposure | 42.3% | 52.6% | 36.7% | 43.0% |
Growth of $100
PriceMomentum_V0248 vs TSLA Buy & Hold
PriceMomentum_V0248 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 | 5.0% | 0.47 | -13.8% | 24 |
| 2017 | 29.9% | 1.01 | -19.5% | 11 |
| 2018 | -46.9% | -2.61 | -46.7% | 18 |
| 2019 | 20.9% | 1.03 | -14.0% | 21 |
| 2020 | 279.0% | 2.05 | -60.7% | 3 |
| 2021 | 21.7% | 0.65 | -36.2% | 9 |
| 2022 | -41.6% | -2.20 | -41.5% | 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 | 17.5% | 0.55 | 16% |
| hidden test | EXPENSIVE | 83 | 125.3% | 1.82 | 90% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 65.3% | 1.21 | 45% |
| hidden test | LOW VOLATILITY | 429 | 25.7% | 1.09 | 29% |
| hidden test | MEDIUM VOLATILITY | 248 | -12.4% | -0.33 | 42% |
| hidden test | NORMAL | 800 | 6.6% | 0.22 | 27% |
| hidden test | SIDEWAYS | 293 | -10.7% | -1.26 | 3% |
| hidden test | UPTREND | 371 | 62.0% | 1.17 | 78% |
| train | DOWNTREND | 518 | -4.4% | -0.42 | 9% |
| train | EXPENSIVE | 311 | 50.8% | 1.11 | 83% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 36.5% | 0.89 | 35% |
| train | LOW VOLATILITY | 745 | 30.6% | 1.34 | 48% |
| train | MEDIUM VOLATILITY | 568 | -5.6% | -0.18 | 43% |
| train | NORMAL | 1,601 | -7.6% | -0.34 | 31% |
| train | SIDEWAYS | 592 | -6.4% | -0.49 | 4% |
| train | UPTREND | 902 | 56.8% | 1.23 | 86% |
| validation | DOWNTREND | 125 | 8.4% | 0.91 | 6% |
| validation | EXPENSIVE | 138 | -11.2% | -0.17 | 86% |
| validation | EXTREME | 144 | 357.0% | 4.17 | 92% |
| validation | HIGH VOLATILITY | 258 | 92.4% | 1.17 | 56% |
| validation | LOW VOLATILITY | 183 | 20.9% | 0.88 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 43.5% | 0.92 | 56% |
| validation | NORMAL | 474 | -17.9% | -0.47 | 31% |
| validation | SIDEWAYS | 206 | -50.1% | -2.04 | 4% |
| validation | UPTREND | 425 | 119.2% | 1.63 | 90% |
Trades (full period)
latest 100 of 218
| 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 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-02 | 2026-09-03 | $357.01 | $376.37 | 0.06% | 2 | |
| 2026-08-31 | 2026-09-01 | $367.95 | $356.09 | 5.30% | 2 | |
| 2026-08-27 | 2026-08-28 | $354.81 | $348.75 | 2.40% | 2 | |
| 2026-08-25 | 2026-08-26 | $350.25 | $345.82 | 0.17% | 2 | |
| 2026-08-21 | 2026-08-24 | $362.86 | $348.95 | 4.93% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-06 | 2026-05-07 | $398.73 | $411.79 | 2.20% | 2 | |
| 2026-05-04 | 2026-05-05 | $392.51 | $389.37 | 0.23% | 2 | |
| 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 | |
| 2025-09-16 | 2026-01-13 | $421.62 | $447.20 | 9.28% | 83 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 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 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.29% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.23% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 6.73% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.72% | 2 | |
| 2025-05-07 | 2025-05-08 | $276.22 | $284.82 | 0.12% | 2 | |
| 2025-05-05 | 2025-05-06 | $280.26 | $275.35 | -2.62% | 2 | |
| 2025-05-01 | 2025-05-02 | $280.52 | $287.21 | -0.78% | 2 | |
| 2025-04-29 | 2025-04-30 | $292.03 | $282.16 | 1.95% | 2 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -5.14% | 2 | |
| 2025-04-08 | 2025-04-15 | $221.86 | $254.11 | 7.95% | 6 | |
| 2024-10-03 | 2025-02-24 | $240.66 | $330.53 | 35.38% | 97 | |
| 2024-07-29 | 2024-09-27 | $232.10 | $260.46 | 15.43% | 44 | |
| 2024-07-25 | 2024-07-26 | $220.25 | $219.80 | 1.77% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -2.24% | 2 | |
| 2024-07-19 | 2024-07-22 | $239.20 | $251.51 | -4.22% | 2 | |
| 2024-07-17 | 2024-07-18 | $248.50 | $249.23 | -3.34% | 2 | |
| 2024-07-15 | 2024-07-16 | $252.64 | $256.56 | 1.57% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -8.64% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-05-22 | 2024-05-23 | $180.11 | $173.74 | -3.67% | 2 | |
| 2024-05-20 | 2024-05-21 | $174.95 | $186.60 | -1.61% | 2 | |
| 2024-05-16 | 2024-05-17 | $174.84 | $177.46 | 0.29% | 2 | |
| 2024-05-14 | 2024-05-15 | $177.55 | $173.99 | 3.09% | 2 | |
| 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 | |
| 2023-06-23 | 2023-09-05 | $256.60 | $256.49 | -7.60% | 51 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -5.66% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.61% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.94% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 2.02% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 4.38% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.50% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.91% | 2 | |
| 2023-05-30 | 2023-05-31 | $201.16 | $203.93 | 3.93% | 2 | |
| 2023-05-25 | 2023-05-26 | $184.47 | $193.17 | 0.66% | 2 | |
| 2023-05-23 | 2023-05-24 | $185.77 | $182.90 | -1.84% | 2 | |
| 2023-05-19 | 2023-05-22 | $180.14 | $188.87 | 1.64% | 2 | |
| 2023-02-08 | 2023-02-09 | $201.29 | $207.32 | 2.07% | 2 | |
| 2023-02-06 | 2023-02-07 | $194.76 | $196.81 | 2.31% | 2 | |
| 2023-02-02 | 2023-02-03 | $188.27 | $189.98 | 3.58% | 2 | |
| 2023-01-31 | 2023-02-01 | $173.22 | $181.41 | 3.73% | 2 | |
| 2023-01-27 | 2023-01-30 | $177.90 | $166.66 | 10.79% | 2 | |
| 2023-01-25 | 2023-01-26 | $144.43 | $160.27 | 0.17% | 2 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -2.77% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.57% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -1.09% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-08-01 | 2022-08-02 | $297.28 | $300.59 | -0.16% | 2 | |
| 2022-07-28 | 2022-07-29 | $280.90 | $297.15 | 2.01% | 2 | |
| 2022-07-26 | 2022-07-27 | $258.86 | $274.82 | -3.76% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-07-19 | 2022-07-20 | $245.53 | $247.50 | 1.87% | 2 | |
| 2022-07-14 | 2022-07-15 | $238.31 | $240.07 | 0.34% | 2 | |
| 2022-06-24 | 2022-06-27 | $245.71 | $244.92 | 4.32% | 2 | |
| 2022-06-22 | 2022-06-23 | $236.09 | $235.07 | -0.60% | 2 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2021-09-08 | 2022-01-20 | $251.29 | $332.09 | 31.97% | 94 | |
| 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 | |
| 2021-08-17 | 2021-08-18 | $221.90 | $229.66 | -3.18% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.90% | 2 | |
| 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 | 2021-03-17 | $166.42 | $233.94 | 38.82% | 80 | |
| 2020-05-15 | 2020-11-13 | $53.28 | $136.17 | 155.77% | 128 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-11-06 | 2020-03-19 | $21.77 | $28.51 | 13.65% | 92 | |
| 2019-11-04 | 2019-11-05 | $21.16 | $21.15 | 1.13% | 2 | |
| 2019-10-31 | 2019-11-01 | $20.99 | $20.89 | -0.23% | 2 | |
| 2019-10-29 | 2019-10-30 | $21.08 | $21.00 | -3.70% | 2 |