Strategy Zoo / S0285
PriceMomentum_V0285
ARCHIVEDmomentumstructuralswapped indicator ret_20d -> ret_60d; changed rel_volume threshold 1.2635 -> 1.8072
Fitness
0.2567
Generation
13
Complexity
8
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> -0.1357
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0285 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and rel_volume > 1.8072):
position = 1.0
if long and (ret_60d < 0.3205 or roll_high_50 < sma_20):
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 12.5% | 4.6% | 4.0% | 8.9% |
| Total Return | 155.7% | 14.4% | 15.5% | 248.1% |
| Sharpe | 0.67 | 0.32 | 0.31 | 0.46 |
| Sortino | 0.43 | 0.21 | 0.14 | 0.24 |
| Calmar | 0.40 | 0.08 | 0.20 | 0.16 |
| Volatility | 20.5% | 41.0% | 18.3% | 25.6% |
| Max DD | -31.0% | -54.8% | -20.4% | -54.8% |
| Win Rate | 36.4% | 60.0% | 50.0% | 45.2% |
| Avg Win | 28.5% | 7.8% | 16.0% | 20.9% |
| Avg Loss | -2.9% | -3.9% | -6.8% | -3.4% |
| Payoff | 9.92 | 2.01 | 2.36 | 6.07 |
| Expectancy | 8.5% | 3.1% | 4.6% | 7.6% |
| Profit Factor | 5.67 | 3.02 | 2.36 | 5.00 |
| Trades | 22 | 5 | 4 | 31 |
| Avg Holding Days | 10.4 | 42.2 | 20.3 | 17.2 |
| Turnover | 5.8 | 4.2 | 2.7 | 4.6 |
| Exposure | 10.1% | 23.6% | 7.8% | 12.3% |
Growth of $100
PriceMomentum_V0285 vs TSLA Buy & Hold
PriceMomentum_V0285 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 | -0.1% | -0.01 | -2.3% | 2 |
| 2017 | -2.0% | -0.26 | -5.6% | 3 |
| 2018 | -4.4% | -1.59 | -4.4% | 3 |
| 2019 | 14.3% | 1.14 | -5.3% | 1 |
| 2020 | 21.0% | 0.63 | -54.8% | 3 |
| 2021 | -7.7% | -0.21 | -20.0% | 2 |
| 2022 | 0.0% | 0.00 | 0.0% | 0 |
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 | -5.4% | -0.99 | 0% |
| hidden test | EXPENSIVE | 83 | -0.8% | -0.03 | 16% |
| hidden test | EXTREME | 48 | 175.2% | 2.89 | 94% |
| hidden test | HIGH VOLATILITY | 254 | 4.0% | 0.13 | 22% |
| hidden test | LOW VOLATILITY | 429 | 10.3% | 1.57 | 1% |
| hidden test | MEDIUM VOLATILITY | 248 | -0.9% | -0.07 | 5% |
| hidden test | NORMAL | 800 | -3.9% | -0.39 | 2% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 17.9% | 0.63 | 19% |
| train | DOWNTREND | 518 | -0.5% | -0.59 | 0% |
| train | EXPENSIVE | 311 | 4.6% | 0.18 | 26% |
| train | EXTREME | 100 | 350.2% | 4.92 | 85% |
| train | HIGH VOLATILITY | 699 | 36.7% | 1.23 | 14% |
| train | LOW VOLATILITY | 745 | 3.6% | 0.32 | 9% |
| train | MEDIUM VOLATILITY | 568 | -1.0% | -0.07 | 6% |
| train | NORMAL | 1,601 | -5.5% | -0.71 | 2% |
| train | SIDEWAYS | 592 | -2.1% | -0.67 | 0% |
| train | UPTREND | 902 | 32.4% | 1.06 | 22% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | -57.1% | -1.01 | 51% |
| validation | EXTREME | 144 | 141.5% | 1.99 | 54% |
| validation | HIGH VOLATILITY | 258 | 29.6% | 0.46 | 38% |
| validation | LOW VOLATILITY | 183 | -10.1% | -0.70 | 11% |
| validation | MEDIUM VOLATILITY | 315 | 13.0% | 0.58 | 19% |
| validation | NORMAL | 474 | -5.6% | -0.39 | 6% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 23.2% | 0.42 | 42% |
Trades (full period)
31 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-15 | 2025-09-16 | $410.04 | $421.62 | 3.36% | 2 | |
| 2024-11-07 | 2025-02-06 | $296.91 | $374.32 | 28.73% | 61 | |
| 2024-07-03 | 2024-07-25 | $246.39 | $220.25 | -7.88% | 16 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2021-10-26 | 2021-12-14 | $339.48 | $319.50 | 0.29% | 35 | |
| 2020-12-21 | 2021-02-24 | $216.62 | $247.34 | -4.78% | 44 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 1.63% | 2 | |
| 2020-07-14 | 2020-11-02 | $101.12 | $133.50 | 21.58% | 79 | |
| 2019-12-17 | 2020-03-17 | $25.27 | $28.68 | 9.38% | 62 | |
| 2019-10-25 | 2019-11-04 | $21.88 | $21.16 | 4.35% | 7 | |
| 2018-08-08 | 2018-08-09 | $24.69 | $23.50 | -2.63% | 2 | |
| 2018-08-03 | 2018-08-06 | $23.21 | $22.80 | -0.59% | 2 | |
| 2018-06-07 | 2018-06-08 | $21.07 | $21.18 | -1.27% | 2 | |
| 2017-06-12 | 2017-06-28 | $23.93 | $24.75 | -0.34% | 13 | |
| 2017-04-04 | 2017-04-06 | $20.25 | $19.91 | -1.38% | 3 | |
| 2017-01-05 | 2017-01-06 | $15.12 | $15.27 | -0.31% | 2 | |
| 2016-04-07 | 2016-04-08 | $17.15 | $16.67 | -2.24% | 2 | |
| 2016-04-05 | 2016-04-06 | $17.03 | $17.69 | 2.20% | 2 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -6.17% | 2 | |
| 2015-07-06 | 2015-07-08 | $18.65 | $17.00 | -4.53% | 3 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.37% | 2 | |
| 2015-02-13 | 2015-02-17 | $13.58 | $13.62 | 0.24% | 2 | |
| 2014-09-03 | 2014-09-11 | $18.75 | $18.69 | -1.26% | 7 | |
| 2014-02-20 | 2014-04-11 | $14.00 | $13.59 | 0.88% | 37 | |
| 2013-05-01 | 2013-10-23 | $3.55 | $10.97 | 216.90% | 123 | |
| 2013-04-04 | 2013-04-05 | $2.80 | $2.76 | 2.01% | 2 | |
| 2013-04-02 | 2013-04-03 | $2.96 | $2.74 | 0.73% | 2 | |
| 2013-02-21 | 2013-02-22 | $2.34 | $2.41 | -8.96% | 2 | |
| 2013-02-12 | 2013-02-13 | $2.53 | $2.56 | -1.58% | 2 | |
| 2012-12-13 | 2012-12-14 | $2.24 | $2.25 | -4.87% | 2 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -4.03% | 8 |