Strategy Zoo / S0303
PriceMomentum_V0303
ARCHIVEDmomentumstructuralremoved entry condition: ret_20d > 0.05; removed exit condition: ret_20d < -0.03
Fitness
0.5446
Generation
14
Complexity
3
Created
2026-09-18
Lineage
Parents (1)
added exit filter: roll_high_50 < sma_20; added entry filter: rel_volume > 1.2635
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0303 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and rel_volume > 1.2635:
position = 1.0
if long and roll_high_50 < sma_20:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 33.0% | 45.6% | 68.3% | 42.7% |
| Total Return | 873.6% | 208.5% | 583.6% | 18468.0% |
| Sharpe | 0.91 | 0.92 | 1.34 | 0.99 |
| Sortino | 1.09 | 1.04 | 1.78 | 1.16 |
| Calmar | 0.51 | 0.75 | 1.60 | 0.66 |
| Volatility | 40.2% | 62.0% | 46.8% | 47.2% |
| Max DD | -65.1% | -60.7% | -42.6% | -65.1% |
| Win Rate | 60.0% | 75.0% | 76.9% | 67.7% |
| Avg Win | 22.2% | 27.7% | 25.2% | 21.9% |
| Avg Loss | -8.5% | -11.4% | -8.6% | -8.6% |
| Payoff | 2.61 | 2.42 | 2.93 | 2.55 |
| Expectancy | 9.9% | 17.9% | 17.4% | 12.1% |
| Profit Factor | 3.91 | 7.26 | 9.77 | 5.35 |
| Trades | 40 | 12 | 13 | 65 |
| Avg Holding Days | 31.6 | 36.0 | 38.2 | 35.3 |
| Turnover | 10.1 | 8.3 | 7.3 | 8.9 |
| Exposure | 63.2% | 62.6% | 56.3% | 61.4% |
Growth of $100
PriceMomentum_V0303 vs TSLA Buy & Hold
PriceMomentum_V0303 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 | 20.8% | 0.77 | -29.1% | 6 |
| 2017 | 38.6% | 1.21 | -19.6% | 3 |
| 2018 | -22.0% | -0.26 | -28.9% | 8 |
| 2019 | 24.0% | 0.77 | -47.9% | 3 |
| 2020 | 206.4% | 1.78 | -60.7% | 4 |
| 2021 | 36.8% | 0.90 | -36.2% | 2 |
| 2022 | -37.8% | -0.72 | -52.3% | 6 |
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 | 109.3% | 1.88 | 75% |
| hidden test | EXPENSIVE | 83 | 115.3% | 1.69 | 89% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 147.0% | 2.06 | 83% |
| hidden test | LOW VOLATILITY | 429 | 33.9% | 1.15 | 46% |
| hidden test | MEDIUM VOLATILITY | 248 | 26.6% | 0.69 | 47% |
| hidden test | NORMAL | 800 | 50.0% | 1.17 | 50% |
| hidden test | SIDEWAYS | 293 | 7.7% | 0.71 | 4% |
| hidden test | UPTREND | 371 | 72.9% | 1.34 | 84% |
| train | DOWNTREND | 518 | 29.6% | 0.68 | 80% |
| train | EXPENSIVE | 311 | 43.1% | 0.97 | 80% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 64.7% | 1.21 | 59% |
| train | LOW VOLATILITY | 745 | 37.2% | 1.36 | 67% |
| train | MEDIUM VOLATILITY | 568 | 0.9% | 0.03 | 64% |
| train | NORMAL | 1,601 | 11.5% | 0.32 | 58% |
| train | SIDEWAYS | 592 | 13.2% | 0.63 | 7% |
| train | UPTREND | 902 | 55.8% | 1.18 | 91% |
| validation | DOWNTREND | 125 | -22.7% | -0.36 | 82% |
| validation | EXPENSIVE | 138 | 17.3% | 0.24 | 91% |
| validation | EXTREME | 144 | 293.5% | 3.52 | 79% |
| validation | HIGH VOLATILITY | 258 | 99.2% | 1.11 | 79% |
| validation | LOW VOLATILITY | 183 | 29.3% | 1.33 | 40% |
| validation | MEDIUM VOLATILITY | 315 | 38.1% | 0.77 | 63% |
| validation | NORMAL | 474 | -3.6% | -0.07 | 49% |
| validation | SIDEWAYS | 206 | -37.5% | -1.35 | 6% |
| validation | UPTREND | 425 | 125.9% | 1.74 | 84% |
Trades (full period)
66 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-24 | — | $313.03 | — | 13.68% | 40 | OPEN |
| 2026-04-24 | 2026-05-08 | $376.30 | $428.35 | 9.97% | 11 | |
| 2026-03-23 | 2026-04-20 | $380.85 | $392.50 | 8.66% | 20 | |
| 2026-02-02 | 2026-02-18 | $421.81 | $411.32 | -4.79% | 12 | |
| 2025-09-12 | 2026-01-13 | $395.94 | $447.20 | 21.50% | 85 | |
| 2025-06-24 | 2025-07-09 | $340.47 | $295.88 | -14.76% | 11 | |
| 2025-04-03 | 2025-05-12 | $267.28 | $318.38 | 5.26% | 27 | |
| 2025-03-05 | 2025-03-26 | $279.10 | $272.06 | 5.71% | 16 | |
| 2024-10-14 | 2025-02-24 | $219.16 | $330.53 | 54.79% | 90 | |
| 2024-07-02 | 2024-09-27 | $231.26 | $260.46 | 20.91% | 62 | |
| 2024-03-05 | 2024-05-29 | $180.74 | $176.19 | -6.25% | 60 | |
| 2023-06-05 | 2023-09-05 | $217.61 | $256.49 | 14.28% | 64 | |
| 2023-05-15 | 2023-05-31 | $166.35 | $203.93 | 19.51% | 12 | |
| 2022-10-17 | 2023-02-10 | $219.35 | $196.89 | 0.94% | 81 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-05-23 | 2022-08-02 | $224.97 | $300.59 | 34.07% | 49 | |
| 2022-05-13 | 2022-05-18 | $256.53 | $236.60 | 4.41% | 4 | |
| 2022-04-22 | 2022-04-27 | $335.02 | $293.84 | -13.29% | 4 | |
| 2022-02-25 | 2022-03-01 | $269.96 | $288.12 | 8.48% | 3 | |
| 2021-09-01 | 2022-01-20 | $244.70 | $332.09 | 35.06% | 98 | |
| 2021-05-14 | 2021-05-17 | $196.58 | $192.28 | 2.95% | 2 | |
| 2020-11-19 | 2021-03-17 | $166.42 | $233.94 | 38.82% | 80 | |
| 2020-06-11 | 2020-11-13 | $64.86 | $136.17 | 100.44% | 110 | |
| 2020-04-15 | 2020-04-30 | $48.66 | $52.13 | 12.54% | 12 | |
| 2020-03-20 | 2020-04-02 | $28.50 | $30.30 | 12.38% | 10 | |
| 2019-10-25 | 2020-03-19 | $21.88 | $28.51 | 20.30% | 100 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 5.72% | 13 | |
| 2019-03-04 | 2019-07-22 | $19.02 | $17.05 | -12.60% | 98 | |
| 2018-12-31 | 2019-01-23 | $22.19 | $19.17 | -10.65% | 16 | |
| 2018-12-04 | 2018-12-26 | $23.98 | $21.74 | -17.77% | 15 | |
| 2018-09-10 | 2018-10-26 | $19.03 | $22.06 | 19.38% | 35 | |
| 2018-08-21 | 2018-08-28 | $21.46 | $20.79 | 3.31% | 6 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-19 | 2018-07-05 | $23.50 | $20.61 | -16.34% | 12 | |
| 2018-03-27 | 2018-06-12 | $18.61 | $22.85 | 8.95% | 54 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -8.82% | 2 | |
| 2018-01-05 | 2018-01-09 | $21.11 | $22.25 | 6.71% | 3 | |
| 2017-11-03 | 2017-11-06 | $20.41 | $20.19 | 2.08% | 2 | |
| 2017-09-19 | 2017-10-25 | $25.01 | $21.72 | -12.56% | 27 | |
| 2017-01-05 | 2017-08-24 | $15.12 | $23.53 | 55.10% | 161 | |
| 2016-10-07 | 2016-12-28 | $13.11 | $14.65 | 9.00% | 57 | |
| 2016-08-24 | 2016-08-30 | $14.84 | $14.09 | -4.48% | 5 | |
| 2016-06-27 | 2016-07-06 | $13.24 | $14.30 | 10.57% | 7 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-06-02 | $17.03 | $14.60 | -11.28% | 42 | |
| 2016-01-21 | 2016-03-21 | $13.33 | $15.89 | 16.90% | 42 | |
| 2015-12-17 | 2015-12-29 | $15.56 | $15.81 | -2.57% | 8 | |
| 2015-10-21 | 2015-11-03 | $14.01 | $13.89 | 0.15% | 10 | |
| 2015-10-12 | 2015-10-20 | $14.37 | $14.20 | 3.15% | 7 | |
| 2015-05-13 | 2015-08-18 | $16.21 | $17.38 | 3.98% | 68 | |
| 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 | |
| 2015-01-15 | 2015-04-14 | $12.79 | $13.83 | 8.65% | 61 | |
| 2014-12-11 | 2014-12-19 | $13.93 | $14.62 | 3.80% | 7 | |
| 2014-12-02 | 2014-12-10 | $15.43 | $13.99 | -6.55% | 7 | |
| 2014-06-24 | 2014-10-22 | $15.50 | $15.41 | -0.99% | 85 | |
| 2014-02-11 | 2014-05-08 | $13.11 | $11.91 | 2.23% | 61 | |
| 2012-12-19 | 2013-11-12 | $2.31 | $9.19 | 317.49% | 227 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-09-24 | 2012-10-15 | $2.04 | $1.82 | -8.11% | 16 | |
| 2012-09-11 | 2012-09-18 | $1.85 | $2.09 | 18.65% | 6 | |
| 2012-07-31 | 2012-08-20 | $1.83 | $1.97 | 9.51% | 15 | |
| 2012-07-27 | 2012-07-30 | $1.97 | $1.82 | 4.70% | 2 | |
| 2012-02-23 | 2012-05-04 | $2.30 | $2.12 | -5.33% | 51 | |
| 2012-01-17 | 2012-01-18 | $1.77 | $1.79 | 16.50% | 2 | |
| 2012-01-04 | 2012-01-06 | $1.85 | $1.79 | -3.61% | 3 |