Strategy Zoo / S0258
PriceMomentum_V0258
ARCHIVEDmomentumstructuralrestricted to trend regimes ['UPTREND']
Fitness
0.5947
Generation
12
Complexity
3
Created
2026-09-18
Lineage
Parents (1)
restricted to trend regimes ['DOWNTREND', 'UPTREND']
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0258 [momentum]
require regime.trend in ['UPTREND']
if flat and ret_20d > 0.05:
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.6% | 81.6% | 13.3% | 28.7% |
| Total Return | 317.0% | 499.1% | 58.5% | 3976.6% |
| Sharpe | 0.77 | 1.49 | 0.58 | 0.92 |
| Sortino | 0.71 | 1.41 | 0.38 | 0.78 |
| Calmar | 0.40 | 1.60 | 0.42 | 0.56 |
| Volatility | 28.5% | 47.8% | 28.9% | 33.5% |
| Max DD | -48.6% | -51.1% | -31.3% | -51.1% |
| Win Rate | 35.7% | 50.0% | 54.5% | 43.4% |
| Avg Win | 29.4% | 46.3% | 16.4% | 34.4% |
| Avg Loss | -5.1% | -9.6% | -7.8% | -6.6% |
| Payoff | 5.76 | 4.81 | 2.11 | 5.21 |
| Expectancy | 7.2% | 18.3% | 5.4% | 11.2% |
| Profit Factor | 3.20 | 4.81 | 2.54 | 4.00 |
| Trades | 28 | 14 | 11 | 53 |
| Avg Holding Days | 22.1 | 24.1 | 19.5 | 23.0 |
| Turnover | 7.1 | 9.3 | 6.0 | 7.2 |
| Exposure | 31.7% | 42.9% | 21.9% | 31.5% |
Growth of $100
PriceMomentum_V0258 vs TSLA Buy & Hold
PriceMomentum_V0258 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 | -8.1% | -0.72 | -14.4% | 3 |
| 2017 | 6.3% | 0.37 | -22.9% | 5 |
| 2018 | -32.5% | -1.67 | -32.4% | 6 |
| 2019 | 37.3% | 1.92 | -8.5% | 1 |
| 2020 | 542.3% | 2.97 | -33.7% | 6 |
| 2021 | 70.0% | 1.76 | -17.6% | 3 |
| 2022 | -47.5% | -2.73 | -47.4% | 5 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 77.7% | 1.68 | 69% |
| hidden test | EXTREME | 48 | 195.3% | 3.47 | 69% |
| hidden test | HIGH VOLATILITY | 254 | 1.1% | 0.03 | 23% |
| hidden test | LOW VOLATILITY | 429 | 33.8% | 1.83 | 17% |
| hidden test | MEDIUM VOLATILITY | 248 | 3.1% | 0.09 | 30% |
| hidden test | NORMAL | 800 | -0.4% | -0.02 | 14% |
| hidden test | SIDEWAYS | 293 | -16.9% | -1.23 | 2% |
| hidden test | UPTREND | 371 | 55.2% | 1.25 | 54% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 42.9% | 1.12 | 66% |
| train | EXTREME | 100 | 403.3% | 5.47 | 97% |
| train | HIGH VOLATILITY | 699 | 46.3% | 1.22 | 29% |
| train | LOW VOLATILITY | 745 | 24.4% | 1.17 | 41% |
| train | MEDIUM VOLATILITY | 568 | -11.6% | -0.50 | 22% |
| train | NORMAL | 1,601 | -6.1% | -0.32 | 21% |
| train | SIDEWAYS | 592 | -11.6% | -1.30 | 2% |
| train | UPTREND | 902 | 56.3% | 1.35 | 69% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 56.4% | 1.02 | 63% |
| validation | EXTREME | 144 | 344.5% | 4.26 | 85% |
| validation | HIGH VOLATILITY | 258 | 94.8% | 1.44 | 44% |
| validation | LOW VOLATILITY | 183 | 22.1% | 0.98 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 80.3% | 1.97 | 42% |
| validation | NORMAL | 474 | -7.6% | -0.29 | 24% |
| validation | SIDEWAYS | 206 | -29.3% | -1.70 | 3% |
| validation | UPTREND | 425 | 140.7% | 2.26 | 75% |
Trades (full period)
53 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2025-12-15 | 2026-01-07 | $475.31 | $431.41 | -5.85% | 16 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 8.79% | 46 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 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 | |
| 2024-11-07 | 2025-01-14 | $296.91 | $396.36 | 39.51% | 45 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.71% | 8 | |
| 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 | |
| 2023-06-02 | 2023-08-02 | $213.97 | $254.11 | 25.56% | 42 | |
| 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 | |
| 2022-04-05 | 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 | 2021-12-01 | $236.16 | $365.00 | 61.75% | 70 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 65.06% | 57 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -4.12% | 6 | |
| 2020-10-07 | 2020-10-20 | $141.77 | $140.65 | 3.87% | 10 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 17.09% | 29 | |
| 2020-05-15 | 2020-08-10 | $53.28 | $94.57 | 80.47% | 60 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 148.29% | 89 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2018-11-29 | 2018-12-19 | $22.74 | $22.20 | -3.31% | 14 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 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 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-09-18 | 2017-09-29 | $25.67 | $22.74 | -10.76% | 10 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | 1.44% | 15 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.27% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 12.23% | 41 | |
| 2017-01-05 | 2017-03-08 | $15.12 | $16.46 | 9.30% | 43 | |
| 2016-07-26 | 2016-08-23 | $15.30 | $14.99 | -3.27% | 21 | |
| 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 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-05-11 | 2015-07-28 | $15.97 | $17.65 | 6.72% | 55 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-23 | 2014-07-17 | $15.81 | $14.36 | -5.60% | 18 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 21.21% | 43 | |
| 2013-07-01 | 2013-10-22 | $7.81 | $11.44 | 60.46% | 80 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 172.31% | 65 | |
| 2013-01-24 | 2013-02-26 | $2.47 | $2.30 | -4.69% | 23 | |
| 2012-12-18 | 2013-01-11 | $2.31 | $2.19 | -2.72% | 17 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | -3.32% | 33 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |