Strategy Zoo / S0306
PriceMomentum_V0306
ARCHIVEDmomentumstructuraladded entry filter: sma_10 < sma_200; swapped indicator ret_20d -> cumret_252d
Fitness
0.1035
Generation
14
Complexity
5
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> 0.0392
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0306 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (cumret_252d > -0.4091 and sma_10 < sma_200):
position = 1.0
if long and ret_20d < 0.0392:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.5% | 1.2% | 22.1% | 4.6% |
| Total Return | -11.3% | 3.6% | 109.3% | 92.4% |
| Sharpe | 0.02 | 0.15 | 0.84 | 0.31 |
| Sortino | 0.02 | 0.07 | 0.63 | 0.22 |
| Calmar | -0.03 | 0.05 | 0.75 | 0.08 |
| Volatility | 20.0% | 15.9% | 28.8% | 21.8% |
| Max DD | -56.7% | -24.3% | -29.6% | -56.7% |
| Win Rate | 47.4% | 54.1% | 56.2% | 50.3% |
| Avg Win | 2.9% | 3.5% | 4.4% | 3.4% |
| Avg Loss | -2.6% | -3.6% | -3.4% | -2.9% |
| Payoff | 1.14 | 0.97 | 1.27 | 1.19 |
| Expectancy | 0.0% | 0.2% | 1.0% | 0.3% |
| Profit Factor | 1.02 | 1.15 | 1.63 | 1.20 |
| Trades | 230 | 37 | 89 | 356 |
| Avg Holding Days | 2.5 | 2.5 | 3.2 | 2.7 |
| Turnover | 57.6 | 24.7 | 48.5 | 48.6 |
| Exposure | 17.0% | 7.3% | 23.0% | 16.5% |
Growth of $100
PriceMomentum_V0306 vs TSLA Buy & Hold
PriceMomentum_V0306 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 | 46.0% | 1.96 | -12.7% | 53 |
| 2017 | 7.3% | 1.26 | -1.5% | 4 |
| 2018 | -39.2% | -1.21 | -44.1% | 48 |
| 2019 | -1.6% | 0.04 | -25.7% | 44 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 0.0% | 0.00 | 0.0% | 0 |
| 2022 | 3.7% | 0.27 | -24.3% | 37 |
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 | 10.9% | 0.25 | 54% |
| hidden test | EXPENSIVE | 83 | 0.0% | 0.00 | 0% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | 0.0% | 0.00 | 31% |
| hidden test | LOW VOLATILITY | 429 | 34.0% | 1.59 | 22% |
| hidden test | MEDIUM VOLATILITY | 248 | 31.8% | 1.29 | 17% |
| hidden test | NORMAL | 800 | 28.1% | 0.91 | 27% |
| hidden test | SIDEWAYS | 293 | 14.8% | 1.57 | 3% |
| hidden test | UPTREND | 371 | 41.1% | 1.58 | 17% |
| train | DOWNTREND | 518 | -16.1% | -0.49 | 55% |
| train | EXPENSIVE | 311 | 0.0% | 0.00 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -1.1% | -0.04 | 20% |
| train | LOW VOLATILITY | 745 | 6.8% | 0.54 | 14% |
| train | MEDIUM VOLATILITY | 568 | -5.8% | -0.39 | 18% |
| train | NORMAL | 1,601 | 0.6% | 0.03 | 21% |
| train | SIDEWAYS | 592 | 16.7% | 1.02 | 4% |
| train | UPTREND | 902 | -0.6% | -0.07 | 4% |
| validation | DOWNTREND | 125 | 18.6% | 0.51 | 34% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | 5.2% | 0.27 | 9% |
| validation | LOW VOLATILITY | 183 | -1.6% | -0.33 | 4% |
| validation | MEDIUM VOLATILITY | 315 | 2.5% | 0.15 | 8% |
| validation | NORMAL | 474 | 3.9% | 0.20 | 12% |
| validation | SIDEWAYS | 206 | -0.5% | -0.05 | 2% |
| validation | UPTREND | 425 | -0.9% | -0.30 | 2% |
Trades (full period)
latest 100 of 357
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-20 | — | $345.13 | — | 3.50% | 21 | OPEN |
| 2026-08-18 | 2026-08-19 | $336.87 | $351.12 | -0.92% | 2 | |
| 2026-08-14 | 2026-08-17 | $342.27 | $339.30 | 0.48% | 2 | |
| 2026-08-12 | 2026-08-13 | $327.51 | $339.96 | -1.79% | 2 | |
| 2026-08-10 | 2026-08-11 | $330.88 | $332.81 | 0.50% | 2 | |
| 2026-08-06 | 2026-08-07 | $319.53 | $328.58 | -0.83% | 2 | |
| 2026-08-04 | 2026-08-05 | $327.35 | $321.55 | 1.43% | 2 | |
| 2026-07-31 | 2026-08-03 | $311.21 | $322.08 | 0.56% | 2 | |
| 2026-07-29 | 2026-07-30 | $298.32 | $308.85 | -3.16% | 2 | |
| 2026-07-27 | 2026-07-28 | $309.22 | $307.44 | -1.42% | 2 | |
| 2026-07-23 | 2026-07-24 | $319.69 | $313.03 | -14.71% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.92% | 2 | |
| 2026-05-01 | 2026-05-08 | $390.82 | $428.35 | 7.69% | 6 | |
| 2026-04-27 | 2026-04-30 | $378.67 | $381.63 | -1.13% | 4 | |
| 2026-04-23 | 2026-04-24 | $373.72 | $376.30 | -3.75% | 2 | |
| 2026-04-21 | 2026-04-22 | $386.42 | $387.51 | -1.75% | 2 | |
| 2026-04-17 | 2026-04-20 | $400.62 | $392.50 | 2.81% | 2 | |
| 2026-04-15 | 2026-04-16 | $391.95 | $388.90 | 7.41% | 2 | |
| 2026-04-13 | 2026-04-14 | $352.42 | $364.20 | 0.79% | 2 | |
| 2026-04-09 | 2026-04-10 | $345.62 | $348.95 | 0.49% | 2 | |
| 2026-04-07 | 2026-04-08 | $346.65 | $343.25 | -1.95% | 2 | |
| 2026-04-02 | 2026-04-06 | $360.59 | $352.82 | -5.62% | 2 | |
| 2026-03-31 | 2026-04-01 | $371.75 | $381.26 | 4.43% | 2 | |
| 2026-03-27 | 2026-03-30 | $361.83 | $355.28 | -2.96% | 2 | |
| 2026-03-25 | 2026-03-26 | $385.95 | $372.11 | 0.56% | 2 | |
| 2026-03-23 | 2026-03-24 | $380.85 | $383.03 | 3.30% | 2 | |
| 2025-08-06 | 2025-08-11 | $319.91 | $339.03 | 6.57% | 4 | |
| 2025-07-22 | 2025-07-23 | $332.11 | $332.56 | 0.90% | 2 | |
| 2025-07-18 | 2025-07-21 | $329.65 | $328.49 | 3.00% | 2 | |
| 2025-07-16 | 2025-07-17 | $321.67 | $319.41 | 3.30% | 2 | |
| 2025-07-14 | 2025-07-15 | $316.90 | $310.78 | 0.88% | 2 | |
| 2025-07-10 | 2025-07-11 | $309.87 | $313.51 | 4.52% | 2 | |
| 2025-05-05 | 2025-05-12 | $280.26 | $318.38 | 3.64% | 6 | |
| 2025-04-25 | 2025-05-02 | $284.95 | $287.21 | 7.89% | 6 | |
| 2025-04-23 | 2025-04-24 | $250.74 | $259.51 | 5.16% | 2 | |
| 2025-04-21 | 2025-04-22 | $227.50 | $237.97 | -5.94% | 2 | |
| 2025-04-15 | 2025-04-17 | $254.11 | $241.37 | -4.47% | 3 | |
| 2025-04-10 | 2025-04-14 | $252.40 | $252.35 | -7.50% | 3 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2025-04-04 | 2025-04-07 | $239.43 | $233.29 | -10.61% | 2 | |
| 2025-04-02 | 2025-04-03 | $282.76 | $267.28 | 5.12% | 2 | |
| 2025-03-31 | 2025-04-01 | $259.16 | $268.46 | -1.86% | 2 | |
| 2025-03-27 | 2025-03-28 | $273.13 | $263.55 | 0.19% | 2 | |
| 2025-03-25 | 2025-03-26 | $288.14 | $272.06 | 3.30% | 2 | |
| 2025-03-21 | 2025-03-24 | $248.71 | $278.39 | 5.06% | 2 | |
| 2025-03-19 | 2025-03-20 | $235.86 | $236.26 | 4.48% | 2 | |
| 2025-03-17 | 2025-03-18 | $238.01 | $225.31 | -4.98% | 2 | |
| 2025-03-13 | 2025-03-14 | $240.68 | $249.98 | -3.18% | 2 | |
| 2025-03-11 | 2025-03-12 | $230.58 | $248.09 | 3.59% | 2 | |
| 2024-08-19 | 2024-08-20 | $222.72 | $221.10 | 2.85% | 2 | |
| 2024-08-15 | 2024-08-16 | $214.14 | $216.12 | 6.13% | 2 | |
| 2024-07-02 | 2024-08-01 | $231.26 | $216.86 | 10.37% | 22 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-05-13 | 2024-05-24 | $171.89 | $179.24 | 2.92% | 10 | |
| 2024-05-09 | 2024-05-10 | $171.97 | $168.47 | -1.77% | 2 | |
| 2024-04-29 | 2024-05-08 | $194.05 | $174.72 | 5.46% | 8 | |
| 2024-04-25 | 2024-04-26 | $170.18 | $168.29 | 4.76% | 2 | |
| 2024-04-23 | 2024-04-24 | $144.68 | $162.13 | 1.65% | 2 | |
| 2024-04-19 | 2024-04-22 | $147.05 | $142.05 | -2.12% | 2 | |
| 2024-04-17 | 2024-04-18 | $155.45 | $149.93 | -1.26% | 2 | |
| 2024-04-12 | 2024-04-16 | $171.05 | $157.11 | -7.70% | 3 | |
| 2024-04-10 | 2024-04-11 | $171.76 | $174.60 | -3.09% | 2 | |
| 2024-04-08 | 2024-04-09 | $172.98 | $176.88 | 4.70% | 2 | |
| 2024-04-04 | 2024-04-05 | $171.11 | $164.90 | 1.42% | 2 | |
| 2024-04-02 | 2024-04-03 | $166.63 | $168.38 | -5.10% | 2 | |
| 2024-03-28 | 2024-04-01 | $175.79 | $175.22 | -2.44% | 2 | |
| 2024-03-26 | 2024-03-27 | $177.67 | $179.83 | 2.72% | 2 | |
| 2024-03-22 | 2024-03-25 | $170.83 | $172.63 | -1.35% | 2 | |
| 2024-03-20 | 2024-03-21 | $175.66 | $172.82 | 2.33% | 2 | |
| 2024-03-18 | 2024-03-19 | $173.80 | $171.32 | 6.05% | 2 | |
| 2024-03-14 | 2024-03-15 | $162.50 | $163.57 | -4.31% | 2 | |
| 2024-03-12 | 2024-03-13 | $177.54 | $169.48 | -0.33% | 2 | |
| 2024-03-08 | 2024-03-11 | $175.34 | $177.77 | -2.05% | 2 | |
| 2024-03-06 | 2024-03-07 | $176.54 | $178.65 | -2.52% | 2 | |
| 2024-02-23 | 2024-03-05 | $191.97 | $180.74 | -4.89% | 8 | |
| 2024-02-21 | 2024-02-22 | $194.77 | $197.41 | 0.32% | 2 | |
| 2024-02-16 | 2024-02-20 | $199.95 | $193.76 | -0.45% | 2 | |
| 2024-02-14 | 2024-02-15 | $188.71 | $200.45 | 2.35% | 2 | |
| 2024-02-12 | 2024-02-13 | $188.13 | $184.02 | -3.01% | 2 | |
| 2024-02-08 | 2024-02-09 | $189.56 | $193.57 | 0.85% | 2 | |
| 2024-02-06 | 2024-02-07 | $185.10 | $187.58 | 2.03% | 2 | |
| 2024-02-02 | 2024-02-05 | $187.91 | $181.06 | -0.70% | 2 | |
| 2023-11-01 | 2023-11-02 | $205.66 | $218.51 | 2.20% | 2 | |
| 2023-06-02 | 2023-07-21 | $213.97 | $260.02 | 26.44% | 34 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-05-17 | 2023-05-18 | $173.86 | $176.89 | 4.20% | 2 | |
| 2023-05-15 | 2023-05-16 | $166.35 | $166.52 | -1.17% | 2 | |
| 2023-05-11 | 2023-05-12 | $172.08 | $167.98 | 1.90% | 2 | |
| 2023-01-31 | 2023-02-10 | $173.22 | $196.89 | 24.15% | 9 | |
| 2022-11-01 | 2022-11-02 | $227.82 | $214.98 | -0.08% | 2 | |
| 2022-10-28 | 2022-10-31 | $228.52 | $227.54 | 1.32% | 2 | |
| 2022-10-26 | 2022-10-27 | $224.64 | $225.09 | 0.80% | 2 | |
| 2022-10-24 | 2022-10-25 | $211.25 | $222.42 | -1.69% | 2 | |
| 2022-10-20 | 2022-10-21 | $207.28 | $214.44 | -6.84% | 2 | |
| 2022-10-18 | 2022-10-19 | $220.19 | $222.04 | 0.18% | 2 | |
| 2022-10-14 | 2022-10-17 | $204.99 | $219.35 | -7.74% | 2 | |
| 2022-10-12 | 2022-10-13 | $217.24 | $221.72 | 0.14% | 2 | |
| 2022-10-10 | 2022-10-11 | $222.96 | $216.50 | -0.25% | 2 | |
| 2022-09-19 | 2022-09-22 | $309.07 | $288.59 | -1.04% | 4 |