Strategy Zoo / S0256
PriceMomentum_V0256
ARCHIVEDmomentumparameterchanged ret_20d threshold -0.1657 -> -0.0789
Fitness
0.6430
Generation
12
Complexity
3
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> -0.1657
Children (2)
Strategy Logic (pseudocode)
# PriceMomentum_V0256 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.05:
position = 1.0
if long and ret_20d < -0.0789:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 25.3% | 81.3% | 27.0% | 35.8% |
| Total Return | 504.1% | 495.9% | 141.5% | 8851.5% |
| Sharpe | 0.87 | 1.46 | 0.84 | 1.01 |
| Sortino | 0.92 | 1.46 | 0.77 | 1.00 |
| Calmar | 0.41 | 1.79 | 0.74 | 0.58 |
| Volatility | 31.3% | 49.1% | 36.2% | 36.8% |
| Max DD | -61.4% | -45.4% | -36.4% | -61.4% |
| Win Rate | 47.4% | 46.7% | 55.0% | 49.3% |
| Avg Win | 26.5% | 44.5% | 15.3% | 28.7% |
| Avg Loss | -6.3% | -8.3% | -6.9% | -6.9% |
| Payoff | 4.22 | 5.38 | 2.23 | 4.19 |
| Expectancy | 9.2% | 16.4% | 5.3% | 10.7% |
| Profit Factor | 3.80 | 4.71 | 2.72 | 4.07 |
| Trades | 38 | 15 | 20 | 73 |
| Avg Holding Days | 23.0 | 24.9 | 16.1 | 22.1 |
| Turnover | 9.6 | 10.0 | 11.1 | 10.0 |
| Exposure | 43.8% | 47.4% | 34.6% | 42.2% |
Growth of $100
PriceMomentum_V0256 vs TSLA Buy & Hold
PriceMomentum_V0256 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 | 18.8% | 1.24 | -17.7% | 6 |
| 2017 | 14.3% | 0.63 | -27.1% | 4 |
| 2018 | -37.8% | -1.47 | -44.8% | 8 |
| 2019 | 40.8% | 1.56 | -17.6% | 4 |
| 2020 | 519.6% | 2.92 | -33.7% | 5 |
| 2021 | 43.0% | 1.20 | -24.4% | 3 |
| 2022 | -35.6% | -1.45 | -38.1% | 7 |
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 | 27.6% | 0.71 | 37% |
| hidden test | EXPENSIVE | 83 | 77.7% | 1.68 | 69% |
| hidden test | EXTREME | 48 | 210.8% | 3.53 | 75% |
| hidden test | HIGH VOLATILITY | 254 | 34.5% | 0.67 | 43% |
| hidden test | LOW VOLATILITY | 429 | 47.0% | 2.02 | 27% |
| hidden test | MEDIUM VOLATILITY | 248 | -2.5% | -0.07 | 38% |
| hidden test | NORMAL | 800 | 14.6% | 0.44 | 29% |
| hidden test | SIDEWAYS | 293 | -2.9% | -0.19 | 4% |
| hidden test | UPTREND | 371 | 58.7% | 1.31 | 57% |
| train | DOWNTREND | 518 | 3.2% | 0.15 | 31% |
| train | EXPENSIVE | 311 | 48.1% | 1.23 | 69% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 49.8% | 1.23 | 37% |
| train | LOW VOLATILITY | 745 | 34.5% | 1.49 | 52% |
| train | MEDIUM VOLATILITY | 568 | -9.7% | -0.35 | 41% |
| train | NORMAL | 1,601 | -1.0% | -0.04 | 35% |
| train | SIDEWAYS | 592 | -3.0% | -0.27 | 4% |
| train | UPTREND | 902 | 61.1% | 1.43 | 78% |
| validation | DOWNTREND | 125 | 43.5% | 1.99 | 14% |
| validation | EXPENSIVE | 138 | 47.9% | 0.86 | 70% |
| validation | EXTREME | 144 | 345.2% | 4.27 | 86% |
| validation | HIGH VOLATILITY | 258 | 95.3% | 1.44 | 47% |
| validation | LOW VOLATILITY | 183 | 21.0% | 0.91 | 46% |
| validation | MEDIUM VOLATILITY | 315 | 81.5% | 1.87 | 48% |
| validation | NORMAL | 474 | -4.7% | -0.16 | 29% |
| validation | SIDEWAYS | 206 | -29.3% | -1.70 | 4% |
| validation | UPTREND | 425 | 128.7% | 2.04 | 78% |
Trades (full period)
74 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 5.19% | 20 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-21 | 2026-05-08 | $386.42 | $428.35 | 4.70% | 14 | |
| 2025-12-15 | 2026-01-13 | $475.31 | $447.20 | -2.37% | 20 | |
| 2025-09-12 | 2025-11-17 | $395.94 | $408.92 | 9.42% | 47 | |
| 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 | -3.57% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2025-04-29 | 2025-05-12 | $292.03 | $318.38 | 4.12% | 10 | |
| 2025-04-08 | 2025-04-22 | $221.86 | $237.97 | -2.68% | 10 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 43.14% | 48 | |
| 2024-10-03 | 2024-10-18 | $240.66 | $220.70 | -11.48% | 12 | |
| 2024-09-04 | 2024-09-27 | $219.41 | $260.46 | 20.48% | 18 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 3.14% | 23 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2024-04-15 | 2024-04-17 | $161.48 | $155.45 | -8.34% | 3 | |
| 2024-02-26 | 2024-03-12 | $199.40 | $177.54 | -7.58% | 12 | |
| 2023-06-02 | 2023-08-03 | $213.97 | $259.32 | 22.21% | 43 | |
| 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 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 3 | |
| 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 | |
| 2022-07-14 | 2022-08-02 | $238.31 | $300.59 | 25.16% | 14 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -17.18% | 12 | |
| 2021-08-24 | 2021-12-03 | $236.16 | $338.32 | 53.25% | 72 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 46.53% | 64 | |
| 2020-10-07 | 2020-10-30 | $141.77 | $129.35 | -0.96% | 18 | |
| 2020-08-14 | 2020-09-25 | $110.05 | $135.78 | 19.38% | 30 | |
| 2020-05-15 | 2020-08-12 | $53.28 | $103.65 | 70.74% | 62 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-05 | $21.88 | $48.30 | 149.62% | 90 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 5.72% | 13 | |
| 2019-06-18 | 2019-07-22 | $14.98 | $17.05 | 14.50% | 24 | |
| 2019-04-04 | 2019-04-26 | $17.85 | $15.68 | -15.32% | 16 | |
| 2018-11-29 | 2018-12-21 | $22.74 | $21.32 | -9.52% | 16 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-10-04 | 2018-10-09 | $18.79 | $17.52 | -15.18% | 4 | |
| 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 | |
| 2018-04-27 | 2018-06-12 | $19.61 | $22.85 | 16.10% | 32 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-09-18 | 2017-10-17 | $25.67 | $23.72 | -7.87% | 22 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | 1.44% | 15 | |
| 2017-03-28 | 2017-07-07 | $18.50 | $20.88 | 14.06% | 71 | |
| 2017-01-05 | 2017-03-13 | $15.12 | $16.41 | 7.14% | 46 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 10.57% | 10 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -6.63% | 26 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -6.12% | 22 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 2.12% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 18.67% | 12 | |
| 2015-12-03 | 2015-12-29 | $15.51 | $15.81 | -1.51% | 18 | |
| 2015-11-19 | 2015-12-02 | $14.79 | $15.47 | 7.08% | 9 | |
| 2015-05-11 | 2015-08-11 | $15.97 | $15.82 | 1.71% | 65 | |
| 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 | |
| 2015-04-08 | 2015-04-14 | $13.84 | $13.83 | 3.01% | 5 | |
| 2015-02-10 | 2015-03-06 | $14.42 | $12.93 | -7.93% | 18 | |
| 2014-06-23 | 2014-09-30 | $15.81 | $16.18 | 6.62% | 70 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 21.21% | 43 | |
| 2013-03-26 | 2013-10-24 | $2.52 | $11.54 | 337.44% | 149 | |
| 2012-12-18 | 2013-02-27 | $2.31 | $2.34 | -0.11% | 48 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-10-03 | 2012-10-15 | $1.95 | $1.82 | -7.44% | 9 | |
| 2012-08-30 | 2012-09-11 | $1.89 | $1.85 | -3.85% | 8 | |
| 2012-02-23 | 2012-04-11 | $2.30 | $2.21 | -5.33% | 34 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |