Strategy Zoo / S0275
PriceMomentum_V0275
ARCHIVEDmomentumparameterchanged ret_20d threshold 0.1146 -> 0.2645
Fitness
0.5360
Generation
13
Complexity
4
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1146
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0275 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.2645:
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.5% | 55.0% | 11.4% | 24.6% |
| Total Return | 341.9% | 272.5% | 49.2% | 2428.6% |
| Sharpe | 0.96 | 1.26 | 0.56 | 0.93 |
| Sortino | 0.70 | 1.01 | 0.35 | 0.63 |
| Calmar | 0.63 | 1.63 | 0.43 | 0.73 |
| Volatility | 21.8% | 41.5% | 24.9% | 27.7% |
| Max DD | -32.4% | -33.8% | -26.6% | -33.8% |
| Win Rate | 44.4% | 62.5% | 42.9% | 50.0% |
| Avg Win | 78.2% | 40.6% | 26.6% | 53.9% |
| Avg Loss | -7.4% | -6.7% | -7.4% | -7.2% |
| Payoff | 10.00 | 6.03 | 3.60 | 7.46 |
| Expectancy | 30.6% | 22.9% | 7.2% | 23.3% |
| Profit Factor | 8.49 | 10.00 | 2.70 | 7.46 |
| Trades | 9 | 8 | 7 | 24 |
| Avg Holding Days | 33.0 | 31.4 | 26.4 | 32.5 |
| Turnover | 3.6 | 6.0 | 5.2 | 4.4 |
| Exposure | 15.2% | 27.0% | 16.9% | 18.0% |
Growth of $100
PriceMomentum_V0275 vs TSLA Buy & Hold
PriceMomentum_V0275 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 | -3.1% | -0.27 | -14.3% | 2 |
| 2017 | -4.3% | -0.19 | -16.8% | 1 |
| 2018 | -16.8% | -1.51 | -16.7% | 2 |
| 2019 | 45.0% | 2.35 | -8.5% | 1 |
| 2020 | 344.5% | 2.58 | -33.8% | 3 |
| 2021 | 1.2% | 0.17 | -18.8% | 2 |
| 2022 | -19.7% | -1.78 | -19.6% | 3 |
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 | 18.7% | 1.20 | 4% |
| hidden test | EXPENSIVE | 83 | -11.6% | -0.33 | 49% |
| hidden test | EXTREME | 48 | 202.3% | 3.48 | 72% |
| hidden test | HIGH VOLATILITY | 254 | 16.2% | 0.44 | 26% |
| hidden test | LOW VOLATILITY | 429 | 25.8% | 1.79 | 10% |
| hidden test | MEDIUM VOLATILITY | 248 | -8.8% | -0.36 | 19% |
| hidden test | NORMAL | 800 | 5.3% | 0.27 | 10% |
| hidden test | SIDEWAYS | 293 | -7.2% | -0.76 | 1% |
| hidden test | UPTREND | 371 | 27.2% | 0.75 | 38% |
| train | DOWNTREND | 518 | 10.7% | 1.61 | 4% |
| train | EXPENSIVE | 311 | 12.1% | 0.42 | 40% |
| train | EXTREME | 100 | 400.8% | 5.56 | 94% |
| train | HIGH VOLATILITY | 699 | 42.7% | 1.34 | 23% |
| train | LOW VOLATILITY | 745 | 12.5% | 1.01 | 11% |
| train | MEDIUM VOLATILITY | 568 | 5.1% | 0.34 | 11% |
| train | NORMAL | 1,601 | -1.1% | -0.13 | 5% |
| train | SIDEWAYS | 592 | -2.4% | -0.47 | 1% |
| train | UPTREND | 902 | 42.0% | 1.32 | 31% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 31.5% | 0.67 | 43% |
| validation | EXTREME | 144 | 284.9% | 3.71 | 74% |
| validation | HIGH VOLATILITY | 258 | 113.0% | 1.80 | 38% |
| validation | LOW VOLATILITY | 183 | 6.1% | 0.40 | 11% |
| validation | MEDIUM VOLATILITY | 315 | 29.8% | 1.07 | 27% |
| validation | NORMAL | 474 | -12.0% | -0.77 | 8% |
| validation | SIDEWAYS | 206 | -8.1% | -0.78 | 2% |
| validation | UPTREND | 425 | 97.3% | 1.78 | 47% |
Trades (full period)
24 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-18 | 2025-11-21 | $416.85 | $391.09 | -7.17% | 47 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -9.43% | 11 | |
| 2024-11-11 | 2025-01-17 | $350.00 | $426.50 | 26.88% | 46 | |
| 2024-07-03 | 2024-08-02 | $246.39 | $207.67 | -7.50% | 22 | |
| 2024-05-22 | 2024-05-29 | $180.11 | $176.19 | -5.47% | 5 | |
| 2023-06-02 | 2023-08-03 | $213.97 | $259.32 | 23.90% | 43 | |
| 2023-01-27 | 2023-02-10 | $177.90 | $196.89 | 29.11% | 11 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.63% | 5 | |
| 2022-08-01 | 2022-08-02 | $297.28 | $300.59 | -0.11% | 2 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -16.47% | 16 | |
| 2021-10-26 | 2021-12-03 | $339.48 | $338.32 | 8.32% | 28 | |
| 2020-11-25 | 2021-02-23 | $191.33 | $232.95 | 12.92% | 60 | |
| 2020-06-02 | 2020-09-30 | $58.77 | $143.00 | 106.04% | 85 | |
| 2020-04-15 | 2020-04-30 | $48.66 | $52.13 | 12.54% | 12 | |
| 2019-10-28 | 2020-03-05 | $21.85 | $48.30 | 114.16% | 89 | |
| 2019-07-02 | 2019-07-22 | $14.97 | $17.05 | 13.85% | 14 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-06-19 | 2018-07-05 | $23.50 | $20.61 | -16.34% | 12 | |
| 2017-04-11 | 2017-07-07 | $20.58 | $20.88 | -4.31% | 61 | |
| 2016-04-07 | 2016-05-05 | $17.15 | $14.10 | -14.21% | 21 | |
| 2016-03-09 | 2016-03-21 | $13.91 | $15.89 | 12.93% | 9 | |
| 2014-02-11 | 2014-03-26 | $13.11 | $14.20 | 5.35% | 31 | |
| 2013-04-02 | 2013-10-24 | $2.96 | $11.54 | 280.49% | 145 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |