Strategy Zoo / S0281
PriceMomentum_V0281
ARCHIVEDmomentumstructuralchanged ret_20d threshold 0.05 -> 0.1913; reduce exposure to 31% during EXPENSIVE
Fitness
0.4798
Generation
13
Complexity
5
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> -0.1003
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0281 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.1913:
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68
if regime.bubble == "EXPENSIVE": position *= 0.31Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.5% | 31.2% | 11.9% | 19.9% |
| Total Return | 315.2% | 126.0% | 51.4% | 1334.0% |
| Sharpe | 0.94 | 0.89 | 0.59 | 0.82 |
| Sortino | 0.79 | 0.68 | 0.37 | 0.59 |
| Calmar | 0.90 | 0.80 | 0.39 | 0.51 |
| Volatility | 21.3% | 39.1% | 23.9% | 26.5% |
| Max DD | -21.7% | -38.8% | -30.5% | -38.8% |
| Win Rate | 53.3% | 60.0% | 50.0% | 54.3% |
| Avg Win | 28.6% | 22.8% | 15.6% | 25.7% |
| Avg Loss | -4.8% | -8.1% | -5.6% | -5.9% |
| Payoff | 5.95 | 2.80 | 2.76 | 4.35 |
| Expectancy | 13.0% | 10.4% | 5.0% | 11.2% |
| Profit Factor | 6.79 | 4.20 | 2.76 | 5.17 |
| Trades | 15 | 10 | 10 | 35 |
| Avg Holding Days | 35.8 | 28.8 | 22.8 | 31.4 |
| Turnover | 6.2 | 8.5 | 8.2 | 7.2 |
| Exposure | 20.4% | 23.3% | 17.4% | 20.3% |
Growth of $100
PriceMomentum_V0281 vs TSLA Buy & Hold
PriceMomentum_V0281 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 | 1.9% | 0.23 | -14.1% | 3 |
| 2017 | 19.0% | 1.53 | -9.4% | 1 |
| 2018 | -13.7% | -1.14 | -16.6% | 2 |
| 2019 | 50.7% | 2.41 | -8.5% | 1 |
| 2020 | 149.6% | 1.79 | -35.2% | 4 |
| 2021 | 12.4% | 0.62 | -16.0% | 2 |
| 2022 | -20.4% | -1.64 | -20.3% | 4 |
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 | 26.5% | 1.54 | 6% |
| hidden test | EXPENSIVE | 83 | 2.6% | 0.12 | 21% |
| hidden test | EXTREME | 48 | 91.8% | 1.83 | 64% |
| hidden test | HIGH VOLATILITY | 254 | 15.0% | 0.42 | 27% |
| hidden test | LOW VOLATILITY | 429 | 17.4% | 1.12 | 13% |
| hidden test | MEDIUM VOLATILITY | 248 | 7.5% | 0.36 | 15% |
| hidden test | NORMAL | 800 | 10.6% | 0.49 | 14% |
| hidden test | SIDEWAYS | 293 | -3.2% | -0.31 | 2% |
| hidden test | UPTREND | 371 | 18.9% | 0.56 | 38% |
| train | DOWNTREND | 518 | 10.6% | 1.57 | 4% |
| train | EXPENSIVE | 311 | 7.5% | 0.46 | 19% |
| train | EXTREME | 100 | 331.9% | 4.92 | 89% |
| train | HIGH VOLATILITY | 699 | 33.5% | 1.15 | 21% |
| train | LOW VOLATILITY | 745 | 17.5% | 1.07 | 25% |
| train | MEDIUM VOLATILITY | 568 | 6.7% | 0.46 | 14% |
| train | NORMAL | 1,601 | 3.0% | 0.20 | 16% |
| train | SIDEWAYS | 592 | -5.0% | -0.80 | 1% |
| train | UPTREND | 902 | 41.9% | 1.35 | 42% |
| validation | DOWNTREND | 125 | 7.8% | 1.42 | 1% |
| validation | EXPENSIVE | 138 | -45.7% | -1.29 | 21% |
| validation | EXTREME | 144 | 236.0% | 3.19 | 72% |
| validation | HIGH VOLATILITY | 258 | 84.6% | 1.41 | 36% |
| validation | LOW VOLATILITY | 183 | 9.8% | 0.81 | 11% |
| validation | MEDIUM VOLATILITY | 315 | 8.6% | 0.34 | 20% |
| validation | NORMAL | 474 | -2.8% | -0.15 | 9% |
| validation | SIDEWAYS | 206 | -14.3% | -1.23 | 2% |
| validation | UPTREND | 425 | 66.6% | 1.30 | 40% |
Trades (full period)
35 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-17 | 2026-01-13 | $467.26 | $447.20 | -8.54% | 18 | |
| 2025-09-16 | 2025-11-21 | $421.62 | $391.09 | -4.81% | 49 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -6.76% | 11 | |
| 2025-05-08 | 2025-05-12 | $284.82 | $318.38 | 7.77% | 3 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 7.84% | 48 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 9.15% | 16 | |
| 2024-07-03 | 2024-08-02 | $246.39 | $207.67 | -7.50% | 22 | |
| 2024-05-20 | 2024-05-29 | $174.95 | $176.19 | -0.60% | 7 | |
| 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 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.64% | 2 | |
| 2022-07-29 | 2022-08-02 | $297.15 | $300.59 | 3.83% | 3 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -16.47% | 16 | |
| 2021-10-19 | 2021-12-03 | $288.09 | $338.32 | 27.50% | 33 | |
| 2020-11-24 | 2021-02-23 | $185.13 | $232.95 | -7.81% | 61 | |
| 2020-10-07 | 2020-11-13 | $141.77 | $136.17 | 0.25% | 28 | |
| 2020-06-02 | 2020-09-30 | $58.77 | $143.00 | 52.82% | 85 | |
| 2020-04-15 | 2020-04-30 | $48.66 | $52.13 | 12.54% | 12 | |
| 2019-10-25 | 2020-03-05 | $21.88 | $48.30 | 84.73% | 90 | |
| 2019-07-01 | 2019-07-22 | $15.14 | $17.05 | 15.13% | 15 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2017-01-05 | 2017-07-07 | $15.12 | $20.88 | 18.96% | 127 | |
| 2016-04-05 | 2016-05-05 | $17.03 | $14.10 | -9.88% | 23 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 1.44% | 2 | |
| 2016-03-08 | 2016-03-21 | $13.51 | $15.89 | 11.45% | 10 | |
| 2015-05-18 | 2015-08-12 | $16.58 | $15.88 | 0.10% | 61 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2014-08-14 | 2014-10-01 | $17.43 | $16.02 | -4.77% | 34 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 4.59% | 43 | |
| 2013-04-02 | 2013-10-24 | $2.96 | $11.54 | 176.00% | 145 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-02-23 | 2012-04-25 | $2.30 | $2.19 | -1.63% | 44 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |