Strategy Zoo / S0307
PriceMomentum_V0307
ARCHIVEDmomentumstructuraladded exit filter: sma_10 > sma_200
Fitness
0.3129
Generation
14
Complexity
8
Created
2026-09-18
Lineage
Parents (1)
logic of PriceMomentum_V0186 with risk overlay of PriceMomentum_V0160
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0307 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and rel_volume > 1.2635):
position = 1.0
if long and (ret_20d < -0.1357 or roll_high_50 < sma_20 or sma_10 > sma_200):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 6.5% | 17.9% | 19.1% | 11.9% |
| Total Return | 65.8% | 63.9% | 90.8% | 417.8% |
| Sharpe | 0.45 | 0.93 | 0.93 | 0.68 |
| Sortino | 0.31 | 0.60 | 0.58 | 0.45 |
| Calmar | 0.21 | 0.74 | 1.16 | 0.38 |
| Volatility | 17.3% | 19.8% | 21.0% | 18.9% |
| Max DD | -31.5% | -24.2% | -16.4% | -31.5% |
| Win Rate | 48.4% | 60.5% | 76.9% | 56.4% |
| Avg Win | 3.9% | 4.3% | 4.8% | 4.2% |
| Avg Loss | -2.4% | -3.2% | -4.4% | -2.8% |
| Payoff | 1.62 | 1.32 | 1.09 | 1.50 |
| Expectancy | 0.6% | 1.3% | 2.7% | 1.1% |
| Profit Factor | 1.52 | 2.02 | 3.62 | 1.94 |
| Trades | 93 | 43 | 26 | 163 |
| Avg Holding Days | 2.9 | 2.6 | 3.6 | 2.9 |
| Turnover | 23.4 | 28.7 | 14.3 | 22.3 |
| Exposure | 8.8% | 9.3% | 9.2% | 9.0% |
Growth of $100
PriceMomentum_V0307 vs TSLA Buy & Hold
PriceMomentum_V0307 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 | 10.5% | 1.40 | -4.4% | 5 |
| 2017 | -4.5% | -0.37 | -7.0% | 19 |
| 2018 | -5.5% | -0.28 | -14.2% | 6 |
| 2019 | 29.4% | 1.86 | -5.4% | 8 |
| 2020 | 52.1% | 1.72 | -9.9% | 31 |
| 2021 | -10.1% | -0.89 | -14.5% | 10 |
| 2022 | 19.8% | 1.05 | -9.5% | 2 |
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 | 14.4% | 0.44 | 22% |
| hidden test | EXPENSIVE | 83 | 23.1% | 1.45 | 7% |
| hidden test | EXTREME | 48 | 69.1% | 3.09 | 8% |
| hidden test | HIGH VOLATILITY | 254 | 21.0% | 0.63 | 17% |
| hidden test | LOW VOLATILITY | 429 | 24.1% | 1.93 | 6% |
| hidden test | MEDIUM VOLATILITY | 248 | 10.4% | 0.66 | 7% |
| hidden test | NORMAL | 800 | 16.3% | 0.76 | 10% |
| hidden test | SIDEWAYS | 293 | 4.7% | 0.95 | 1% |
| hidden test | UPTREND | 371 | 35.1% | 1.95 | 6% |
| train | DOWNTREND | 518 | 6.3% | 0.50 | 15% |
| train | EXPENSIVE | 311 | 6.7% | 0.47 | 10% |
| train | EXTREME | 100 | 131.7% | 2.40 | 14% |
| train | HIGH VOLATILITY | 699 | 17.7% | 0.73 | 5% |
| train | LOW VOLATILITY | 745 | 5.9% | 0.49 | 14% |
| train | MEDIUM VOLATILITY | 568 | -2.1% | -0.17 | 7% |
| train | NORMAL | 1,601 | 0.2% | 0.02 | 8% |
| train | SIDEWAYS | 592 | 3.4% | 0.43 | 2% |
| train | UPTREND | 902 | 11.5% | 0.50 | 10% |
| validation | DOWNTREND | 125 | 48.7% | 1.87 | 22% |
| validation | EXPENSIVE | 138 | 16.8% | 0.85 | 9% |
| validation | EXTREME | 144 | 49.4% | 1.59 | 14% |
| validation | HIGH VOLATILITY | 258 | 12.1% | 0.49 | 10% |
| validation | LOW VOLATILITY | 183 | 1.3% | 0.16 | 5% |
| validation | MEDIUM VOLATILITY | 315 | 33.5% | 1.64 | 11% |
| validation | NORMAL | 474 | 9.4% | 0.63 | 8% |
| validation | SIDEWAYS | 206 | -0.1% | -0.58 | 0% |
| validation | UPTREND | 425 | 18.4% | 0.82 | 10% |
Trades (full period)
latest 100 of 164
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 0.15% | 19 | OPEN |
| 2025-12-22 | 2025-12-23 | $488.73 | $485.56 | 1.36% | 2 | |
| 2025-12-18 | 2025-12-19 | $483.37 | $481.20 | 3.24% | 2 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.86% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-03 | 2025-10-06 | $429.83 | $453.25 | -1.61% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-04-08 | 2025-04-23 | $221.86 | $250.74 | 1.80% | 11 | |
| 2024-12-23 | 2024-12-24 | $430.60 | $462.28 | 2.06% | 2 | |
| 2024-12-19 | 2024-12-20 | $436.17 | $421.06 | -1.10% | 2 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-11-13 | 2024-11-14 | $330.24 | $311.18 | 0.33% | 2 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 8.75% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2024-09-20 | 2024-09-23 | $238.25 | $250.00 | -2.52% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-12 | 2024-07-15 | $248.23 | $252.64 | 2.78% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-02 | 2024-07-08 | $231.26 | $252.94 | 19.62% | 4 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2023-06-22 | 2023-06-23 | $264.61 | $256.60 | 1.78% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 2.02% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 4.38% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.50% | 2 | |
| 2023-05-24 | 2023-05-31 | $182.90 | $203.93 | 8.07% | 5 | |
| 2023-01-30 | 2023-02-10 | $166.66 | $196.89 | 16.30% | 10 | |
| 2022-06-22 | 2022-08-02 | $236.09 | $300.59 | 25.16% | 29 | |
| 2022-01-04 | 2022-01-05 | $383.20 | $362.71 | -4.38% | 2 | |
| 2021-11-10 | 2021-11-11 | $355.98 | $354.50 | 4.14% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -3.22% | 2 | |
| 2021-10-28 | 2021-10-29 | $359.01 | $371.33 | 3.57% | 2 | |
| 2021-10-26 | 2021-10-27 | $339.48 | $345.95 | -0.83% | 2 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 1.55% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.87% | 2 | |
| 2021-10-05 | 2021-10-06 | $260.20 | $260.92 | -0.32% | 2 | |
| 2021-09-28 | 2021-09-29 | $259.19 | $260.44 | -1.94% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -4.06% | 2 | |
| 2021-01-11 | 2021-01-12 | $270.40 | $283.15 | -8.01% | 2 | |
| 2020-12-21 | 2020-12-22 | $216.62 | $213.45 | -6.69% | 2 | |
| 2020-12-10 | 2020-12-11 | $209.02 | $203.33 | 3.53% | 2 | |
| 2020-12-08 | 2020-12-09 | $216.63 | $201.49 | 1.06% | 2 | |
| 2020-12-01 | 2020-12-02 | $194.92 | $189.61 | 2.82% | 2 | |
| 2020-11-27 | 2020-11-30 | $195.25 | $189.20 | 1.85% | 2 | |
| 2020-11-24 | 2020-11-25 | $185.13 | $191.33 | 6.22% | 2 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 2.39% | 2 | |
| 2020-09-01 | 2020-09-02 | $158.35 | $149.12 | -4.86% | 2 | |
| 2020-08-28 | 2020-08-31 | $147.56 | $166.11 | -1.33% | 2 | |
| 2020-08-25 | 2020-08-26 | $134.89 | $143.54 | 0.25% | 2 | |
| 2020-08-21 | 2020-08-24 | $136.67 | $134.28 | 2.20% | 2 | |
| 2020-08-18 | 2020-08-19 | $125.81 | $125.24 | 2.60% | 2 | |
| 2020-08-14 | 2020-08-17 | $110.05 | $122.38 | 1.63% | 2 | |
| 2020-07-24 | 2020-07-27 | $94.47 | $102.64 | -6.54% | 2 | |
| 2020-07-15 | 2020-07-16 | $103.07 | $100.04 | 1.72% | 2 | |
| 2020-07-13 | 2020-07-14 | $99.80 | $101.12 | -3.28% | 2 | |
| 2020-07-08 | 2020-07-09 | $91.06 | $92.95 | -1.92% | 2 | |
| 2020-07-06 | 2020-07-07 | $91.44 | $92.66 | 13.27% | 2 | |
| 2020-07-01 | 2020-07-02 | $74.64 | $80.58 | 3.48% | 2 | |
| 2020-06-15 | 2020-06-16 | $66.06 | $65.48 | 5.74% | 2 | |
| 2020-06-11 | 2020-06-12 | $64.86 | $62.35 | -5.29% | 2 | |
| 2020-04-15 | 2020-04-16 | $48.66 | $49.68 | 2.61% | 2 | |
| 2020-02-06 | 2020-02-07 | $49.93 | $49.87 | 1.74% | 2 | |
| 2020-02-04 | 2020-02-05 | $59.14 | $48.98 | 13.51% | 2 | |
| 2020-01-31 | 2020-02-03 | $43.37 | $52.00 | 1.32% | 2 | |
| 2020-01-23 | 2020-01-24 | $38.15 | $37.65 | 0.26% | 2 | |
| 2020-01-17 | 2020-01-21 | $34.03 | $36.48 | -0.78% | 2 | |
| 2020-01-14 | 2020-01-15 | $35.86 | $34.57 | 2.29% | 2 | |
| 2020-01-10 | 2020-01-13 | $31.88 | $34.99 | -0.86% | 2 | |
| 2020-01-08 | 2020-01-09 | $32.81 | $32.09 | 4.72% | 2 | |
| 2020-01-06 | 2020-01-07 | $30.10 | $31.27 | 1.72% | 2 | |
| 2019-12-31 | 2020-01-02 | $27.89 | $28.68 | 0.67% | 2 | |
| 2019-12-23 | 2019-12-24 | $27.95 | $28.35 | 3.16% | 2 | |
| 2019-12-19 | 2019-12-20 | $26.94 | $27.04 | 2.57% | 2 | |
| 2019-12-17 | 2019-12-18 | $25.27 | $26.21 | -0.86% | 2 | |
| 2019-11-08 | 2019-11-11 | $22.48 | $23.01 | 0.28% | 2 | |
| 2019-10-29 | 2019-10-30 | $21.08 | $21.00 | -3.70% | 2 | |
| 2019-10-25 | 2019-10-28 | $21.88 | $21.85 | 9.28% | 2 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 5.72% | 13 | |
| 2019-07-05 | 2019-07-22 | $15.54 | $17.05 | 9.69% | 12 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.73% | 2 | |
| 2018-08-09 | 2018-08-10 | $23.50 | $23.70 | -5.03% | 2 | |
| 2018-08-03 | 2018-08-08 | $23.21 | $24.69 | 8.37% | 4 | |
| 2018-07-03 | 2018-07-05 | $20.72 | $20.61 | -7.42% | 2 | |
| 2018-06-19 | 2018-06-20 | $23.50 | $24.15 | -5.12% | 2 | |
| 2018-06-07 | 2018-06-12 | $21.07 | $22.85 | 3.73% | 4 | |
| 2017-09-19 | 2017-09-20 | $25.01 | $24.93 | -2.77% | 2 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.63% | 2 | |
| 2017-06-15 | 2017-06-16 | $25.02 | $24.76 | -1.60% | 2 | |
| 2017-06-13 | 2017-06-14 | $25.06 | $25.38 | 4.51% | 2 | |
| 2017-06-09 | 2017-06-12 | $23.82 | $23.93 | -3.62% | 2 | |
| 2017-06-07 | 2017-06-08 | $23.98 | $24.67 | 1.73% | 2 | |
| 2017-06-01 | 2017-06-02 | $22.69 | $22.66 | -0.39% | 2 | |
| 2017-05-02 | 2017-05-03 | $21.26 | $20.73 | -1.42% | 2 | |
| 2017-04-17 | 2017-04-18 | $20.10 | $20.02 | -1.04% | 2 | |
| 2017-04-06 | 2017-04-07 | $19.91 | $20.17 | 1.05% | 2 | |
| 2017-04-04 | 2017-04-05 | $20.25 | $19.67 | 1.53% | 2 | |
| 2017-03-28 | 2017-03-29 | $18.50 | $18.49 | 2.47% | 2 | |
| 2017-02-23 | 2017-02-24 | $17.07 | $17.13 | -6.60% | 2 | |
| 2017-02-17 | 2017-02-21 | $18.15 | $18.49 | 1.02% | 2 | |
| 2017-02-14 | 2017-02-15 | $18.73 | $18.65 | -0.06% | 2 |