Strategy Zoo / S0309
PriceMomentum_V0309
ARCHIVEDmomentumstructuralrestricted to bubble regimes ['NORMAL', 'EXPENSIVE']; added entry filter: sma_50_slope < 0.0002
Fitness
0.3568
Generation
14
Complexity
6
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> -0.1437
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0309 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['NORMAL', 'EXPENSIVE']
if flat and (ret_20d > 0.05 and sma_50_slope < 0.0002):
position = 1.0
if long and ret_20d < -0.1437:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 5.6% | 16.7% | 9.1% | 8.7% |
| Total Return | 54.5% | 58.8% | 37.9% | 238.5% |
| Sharpe | 0.40 | 1.20 | 0.50 | 0.55 |
| Sortino | 0.27 | 0.55 | 0.35 | 0.35 |
| Calmar | 0.20 | 1.88 | 0.23 | 0.22 |
| Volatility | 17.2% | 13.6% | 22.0% | 17.9% |
| Max DD | -28.0% | -8.9% | -38.8% | -38.8% |
| Win Rate | 60.0% | 66.7% | 70.0% | 63.6% |
| Avg Win | 9.0% | 28.4% | 10.7% | 11.4% |
| Avg Loss | -6.8% | -3.6% | -12.2% | -7.9% |
| Payoff | 1.32 | 7.93 | 0.88 | 1.44 |
| Expectancy | 2.7% | 17.7% | 3.8% | 4.4% |
| Profit Factor | 1.98 | 10.00 | 2.04 | 2.53 |
| Trades | 20 | 3 | 10 | 33 |
| Avg Holding Days | 18.7 | 14.7 | 10.7 | 15.9 |
| Turnover | 5.0 | 2.0 | 5.7 | 4.6 |
| Exposure | 17.6% | 5.4% | 12.6% | 13.8% |
Growth of $100
PriceMomentum_V0309 vs TSLA Buy & Hold
PriceMomentum_V0309 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 | 35.6% | 3.26 | -1.7% | 4 |
| 2017 | -11.4% | -1.22 | -12.5% | 1 |
| 2018 | 23.9% | 0.94 | -15.2% | 2 |
| 2019 | -2.7% | -0.07 | -21.7% | 3 |
| 2020 | 31.5% | 1.99 | -3.1% | 1 |
| 2021 | 0.0% | 0.00 | 0.0% | 0 |
| 2022 | 20.8% | 1.10 | -8.8% | 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 | 20.0% | 0.50 | 40% |
| hidden test | EXPENSIVE | 83 | 0.0% | 0.00 | 0% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | 35.0% | 1.00 | 19% |
| hidden test | LOW VOLATILITY | 429 | 5.3% | 0.35 | 11% |
| hidden test | MEDIUM VOLATILITY | 248 | -3.6% | -0.28 | 9% |
| hidden test | NORMAL | 800 | 12.8% | 0.54 | 15% |
| hidden test | SIDEWAYS | 293 | 12.2% | 1.61 | 2% |
| hidden test | UPTREND | 371 | 3.6% | 0.75 | 1% |
| train | DOWNTREND | 518 | 14.5% | 0.56 | 38% |
| train | EXPENSIVE | 311 | -4.3% | -0.82 | 3% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 12.6% | 0.73 | 9% |
| train | LOW VOLATILITY | 745 | 12.9% | 0.73 | 24% |
| train | MEDIUM VOLATILITY | 568 | -8.0% | -0.48 | 20% |
| train | NORMAL | 1,601 | 9.5% | 0.50 | 22% |
| train | SIDEWAYS | 592 | 15.0% | 1.45 | 3% |
| train | UPTREND | 902 | -2.8% | -0.19 | 16% |
| validation | DOWNTREND | 125 | 48.7% | 1.87 | 22% |
| validation | EXPENSIVE | 138 | 39.2% | 2.34 | 8% |
| validation | EXTREME | 144 | 12.3% | 1.30 | 1% |
| validation | HIGH VOLATILITY | 258 | -14.4% | -1.39 | 4% |
| validation | LOW VOLATILITY | 183 | 1.1% | 1.17 | 1% |
| validation | MEDIUM VOLATILITY | 315 | 50.3% | 2.70 | 9% |
| validation | NORMAL | 474 | 10.9% | 0.80 | 6% |
| validation | SIDEWAYS | 206 | -4.5% | -1.16 | 1% |
| validation | UPTREND | 425 | 16.9% | 1.53 | 3% |
Trades (full period)
34 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 5.31% | 20 | OPEN |
| 2026-04-21 | 2026-05-08 | $386.42 | $428.35 | 4.70% | 14 | |
| 2025-08-07 | 2025-08-11 | $322.27 | $339.03 | 2.84% | 3 | |
| 2025-04-29 | 2025-05-12 | $292.03 | $318.38 | 4.12% | 10 | |
| 2025-04-08 | 2025-04-23 | $221.86 | $250.74 | 1.80% | 11 | |
| 2024-09-20 | 2024-09-27 | $238.25 | $260.46 | 4.01% | 6 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2024-04-15 | 2024-04-19 | $161.48 | $147.05 | -12.53% | 5 | |
| 2024-02-26 | 2024-03-18 | $199.40 | $173.80 | -14.96% | 16 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 2022-06-22 | 2022-08-02 | $236.09 | $300.59 | 25.16% | 29 | |
| 2022-01-19 | 2022-01-20 | $331.88 | $332.09 | -3.58% | 2 | |
| 2020-11-19 | 2020-12-08 | $166.42 | $216.63 | 31.62% | 13 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 5.72% | 13 | |
| 2019-06-18 | 2019-07-22 | $14.98 | $17.05 | 14.50% | 24 | |
| 2019-04-04 | 2019-04-29 | $17.85 | $16.10 | -19.59% | 17 | |
| 2018-10-04 | 2018-10-26 | $18.79 | $22.06 | 6.59% | 17 | |
| 2018-04-27 | 2018-06-12 | $19.61 | $22.85 | 16.10% | 32 | |
| 2017-09-18 | 2017-10-25 | $25.67 | $21.72 | -11.36% | 28 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 10.57% | 10 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 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 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-23 | 2015-04-28 | $14.57 | $15.37 | 5.31% | 4 | |
| 2015-02-10 | 2015-04-14 | $14.42 | $13.83 | -3.73% | 44 | |
| 2014-06-23 | 2014-10-01 | $15.81 | $16.02 | 5.49% | 71 | |
| 2012-10-03 | 2012-10-15 | $1.95 | $1.82 | -7.44% | 9 | |
| 2012-08-30 | 2012-09-18 | $1.89 | $2.09 | 14.31% | 13 | |
| 2012-02-23 | 2012-04-25 | $2.30 | $2.19 | -7.20% | 44 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |