Strategy Zoo / S0291
PriceMomentum_V0291
ARCHIVEDhybridstructuraladded exit filter: volume_breakout == 1
Fitness
0.5992
Generation
13
Complexity
14
Created
2026-09-18
Lineage
Parents (1)
entry = PriceMomentum_V0028 AND LongTermTrend_V0140
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0291 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) and ret_20d > 0.05 and cumret_252d > -0.1997)):
position = 1.0
if long and (ret_20d < -0.03 or volume_breakout == 1):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.5% | 92.6% | 0.1% | 23.9% |
| Total Return | 215.6% | 614.7% | 0.3% | 2228.1% |
| Sharpe | 0.64 | 1.61 | 0.16 | 0.80 |
| Sortino | 0.61 | 1.55 | 0.13 | 0.71 |
| Calmar | 0.25 | 2.18 | 0.00 | 0.39 |
| Volatility | 28.6% | 47.8% | 31.8% | 34.2% |
| Max DD | -61.0% | -42.4% | -45.3% | -61.0% |
| Win Rate | 50.0% | 50.0% | 45.8% | 49.1% |
| Avg Win | 10.4% | 32.7% | 10.4% | 14.9% |
| Avg Loss | -6.1% | -8.4% | -8.1% | -7.0% |
| Payoff | 1.71 | 3.90 | 1.29 | 2.14 |
| Expectancy | 2.2% | 12.2% | 0.4% | 3.8% |
| Profit Factor | 1.71 | 3.90 | 1.09 | 2.07 |
| Trades | 68 | 22 | 24 | 114 |
| Avg Holding Days | 11.1 | 16.3 | 12.0 | 12.4 |
| Turnover | 17.2 | 14.7 | 13.3 | 15.6 |
| Exposure | 34.6% | 44.4% | 30.5% | 35.6% |
Growth of $100
PriceMomentum_V0291 vs TSLA Buy & Hold
PriceMomentum_V0291 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 | 23.1% | 1.50 | -14.8% | 6 |
| 2017 | -3.3% | -0.02 | -26.6% | 8 |
| 2018 | -39.6% | -1.88 | -39.6% | 10 |
| 2019 | 22.3% | 1.11 | -12.1% | 7 |
| 2020 | 504.7% | 2.94 | -33.7% | 10 |
| 2021 | 75.7% | 1.87 | -17.6% | 5 |
| 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 | -33.4% | -1.29 | 29% |
| hidden test | EXPENSIVE | 83 | 66.3% | 1.44 | 67% |
| hidden test | EXTREME | 48 | 147.2% | 2.77 | 67% |
| hidden test | HIGH VOLATILITY | 254 | -38.0% | -0.94 | 37% |
| hidden test | LOW VOLATILITY | 429 | 41.3% | 1.84 | 24% |
| hidden test | MEDIUM VOLATILITY | 248 | -13.1% | -0.38 | 35% |
| hidden test | NORMAL | 800 | -9.7% | -0.35 | 25% |
| hidden test | SIDEWAYS | 293 | -6.1% | -0.39 | 3% |
| hidden test | UPTREND | 371 | 41.8% | 0.97 | 53% |
| train | DOWNTREND | 518 | -6.2% | -0.41 | 17% |
| train | EXPENSIVE | 311 | 23.1% | 0.63 | 61% |
| train | EXTREME | 100 | 357.6% | 5.10 | 90% |
| train | HIGH VOLATILITY | 699 | 34.7% | 0.91 | 31% |
| train | LOW VOLATILITY | 745 | 26.2% | 1.21 | 45% |
| train | MEDIUM VOLATILITY | 568 | -11.8% | -0.52 | 26% |
| train | NORMAL | 1,601 | -3.7% | -0.18 | 26% |
| train | SIDEWAYS | 592 | -2.6% | -0.23 | 3% |
| train | UPTREND | 902 | 46.3% | 1.15 | 65% |
| validation | DOWNTREND | 125 | 43.5% | 1.99 | 14% |
| validation | EXPENSIVE | 138 | 71.5% | 1.32 | 62% |
| validation | EXTREME | 144 | 317.4% | 4.00 | 84% |
| validation | HIGH VOLATILITY | 258 | 77.9% | 1.20 | 45% |
| validation | LOW VOLATILITY | 183 | 26.0% | 1.16 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 105.9% | 2.53 | 45% |
| validation | NORMAL | 474 | 5.6% | 0.20 | 27% |
| validation | SIDEWAYS | 206 | -29.3% | -1.70 | 4% |
| validation | UPTREND | 425 | 138.4% | 2.26 | 73% |
Trades (full period)
latest 100 of 115
| 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 | |
| 2026-04-29 | 2026-05-08 | $372.80 | $428.35 | 9.29% | 8 | |
| 2026-04-21 | 2026-04-24 | $386.42 | $376.30 | -4.98% | 4 | |
| 2025-12-15 | 2026-01-07 | $475.31 | $431.41 | -5.85% | 16 | |
| 2025-09-16 | 2025-11-14 | $421.62 | $404.35 | -2.16% | 44 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 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 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2024-11-12 | 2025-01-14 | $328.49 | $396.36 | 14.99% | 42 | |
| 2024-11-07 | 2024-11-11 | $296.91 | $350.00 | 11.11% | 3 | |
| 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 | |
| 2024-07-05 | 2024-08-02 | $251.52 | $207.67 | -12.16% | 21 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 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 | 2024-03-07 | $199.40 | $178.65 | -8.22% | 9 | |
| 2023-06-02 | 2023-08-02 | $213.97 | $254.11 | 25.56% | 42 | |
| 2023-05-24 | 2023-05-31 | $182.90 | $203.93 | 8.07% | 5 | |
| 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 | |
| 2021-11-03 | 2021-12-01 | $404.62 | $365.00 | -2.52% | 20 | |
| 2021-10-27 | 2021-11-02 | $345.95 | $390.67 | 18.44% | 5 | |
| 2021-08-24 | 2021-10-26 | $236.16 | $339.48 | 44.81% | 45 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-12-22 | 2021-02-11 | $213.45 | $270.55 | 23.60% | 35 | |
| 2020-11-19 | 2020-12-21 | $166.42 | $216.62 | 42.53% | 22 | |
| 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 | |
| 2020-07-15 | 2020-08-10 | $103.07 | $94.57 | -4.42% | 19 | |
| 2020-05-15 | 2020-07-14 | $53.28 | $101.12 | 85.98% | 41 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-02-05 | 2020-03-04 | $48.98 | $49.97 | -16.14% | 20 | |
| 2020-01-10 | 2020-02-04 | $31.88 | $59.14 | 61.72% | 17 | |
| 2019-12-23 | 2020-01-09 | $27.95 | $32.09 | 21.10% | 12 | |
| 2019-12-18 | 2019-12-20 | $26.21 | $27.04 | 6.40% | 3 | |
| 2019-10-29 | 2019-12-17 | $21.08 | $25.27 | 16.18% | 35 | |
| 2019-10-25 | 2019-10-28 | $21.88 | $21.85 | 9.28% | 2 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2019-09-27 | 2019-10-04 | $16.14 | $15.43 | -4.12% | 6 | |
| 2019-07-16 | 2019-07-22 | $16.83 | $17.05 | 1.64% | 5 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 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 | |
| 2018-10-04 | 2018-10-09 | $18.79 | $17.52 | -15.18% | 4 | |
| 2018-08-22 | 2018-08-28 | $21.44 | $20.79 | -1.02% | 5 | |
| 2018-08-09 | 2018-08-20 | $23.50 | $20.56 | -17.68% | 8 | |
| 2018-08-03 | 2018-08-08 | $23.21 | $24.69 | 8.37% | 4 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-06-07 | 2018-06-12 | $21.07 | $22.85 | 3.73% | 4 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 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 | |
| 2017-06-13 | 2017-07-06 | $25.06 | $20.59 | -9.07% | 17 | |
| 2017-06-01 | 2017-06-12 | $22.69 | $23.93 | 4.57% | 8 | |
| 2017-05-11 | 2017-05-24 | $21.54 | $20.68 | -6.76% | 10 | |
| 2017-04-05 | 2017-05-05 | $19.67 | $20.56 | -2.91% | 22 | |
| 2017-03-28 | 2017-04-04 | $18.50 | $20.25 | 10.26% | 6 | |
| 2017-01-05 | 2017-02-24 | $15.12 | $17.13 | 12.55% | 35 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 10.57% | 10 | |
| 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 | |
| 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 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-07-07 | 2015-07-28 | $17.86 | $17.65 | -9.73% | 16 | |
| 2015-05-11 | 2015-07-06 | $15.97 | $18.65 | 18.11% | 39 | |
| 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 | |
| 2015-02-13 | 2015-03-03 | $13.58 | $13.30 | -2.93% | 12 | |
| 2015-02-10 | 2015-02-12 | $14.42 | $13.53 | -2.35% | 3 | |
| 2014-09-09 | 2014-09-16 | $18.57 | $17.38 | -10.19% | 6 | |
| 2014-08-05 | 2014-09-08 | $15.90 | $18.81 | 16.06% | 24 | |
| 2014-06-23 | 2014-07-17 | $15.81 | $14.36 | -5.60% | 18 | |
| 2014-02-27 | 2014-03-26 | $16.84 | $14.20 | -13.04% | 20 | |
| 2014-02-21 | 2014-02-26 | $13.97 | $16.87 | 17.88% | 4 | |
| 2014-01-24 | 2014-02-20 | $11.64 | $14.00 | 6.47% | 19 | |
| 2013-10-07 | 2013-10-22 | $12.20 | $11.44 | -4.82% | 12 | |
| 2013-08-28 | 2013-10-03 | $11.10 | $11.55 | 8.13% | 26 | |
| 2013-08-12 | 2013-08-27 | $9.83 | $11.13 | 7.11% | 12 | |
| 2013-07-18 | 2013-08-09 | $7.94 | $10.20 | 27.38% | 17 | |
| 2013-07-01 | 2013-07-17 | $7.81 | $8.02 | 1.38% | 12 | |
| 2013-05-20 | 2013-06-26 | $6.00 | $7.05 | 11.69% | 27 |