Strategy Zoo / S0312

PriceMomentum_V0312

ARCHIVEDmomentum

structuraladded entry filter: dist_52w_high > -0.0249

Fitness

0.5656

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

PriceMomentum_V0261S0261 · gen 12ARCHIVEDstructural

changed ret_20d threshold -0.03 -> -0.1437

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0312  [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and dist_52w_high > -0.0249):
    position = 1.0
if long and ret_20d < -0.1437:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	13.3%	78.8%	1.9%	21.4%
Total Return	171.7%	471.9%	7.1%	1613.7%
Sharpe	0.59	1.50	0.19	0.79
Sortino	0.47	1.25	0.11	0.58
Calmar	0.24	2.34	0.05	0.39
Volatility	27.1%	45.6%	17.5%	30.1%
Max DD	-54.9%	-33.7%	-38.0%	-54.9%
Win Rate	30.0%	80.0%	50.0%	47.1%
Avg Win	118.3%	67.4%	13.6%	82.5%
Avg Loss	-10.5%	-17.2%	-5.7%	-10.7%
Payoff	10.00	3.92	2.38	7.72
Expectancy	28.1%	50.5%	3.9%	33.2%
Profit Factor	4.84	10.00	2.38	6.86
Trades	10	5	2	17
Avg Holding Days	48.9	47.6	42.0	48.4
Turnover	2.6	3.3	1.1	2.3
Exposure	24.3%	30.8%	8.8%	21.8%

Growth of $100

PriceMomentum_V0312 vs TSLA Buy & Hold

PriceMomentum_V0312 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	0.0%	0.00	0.0%	0
2017	5.8%	0.34	-27.7%	2
2018	-37.3%	-2.87	-37.2%	2
2019	9.5%	1.31	-3.8%	0
2020	482.3%	2.89	-33.7%	2
2021	13.8%	0.55	-19.8%	2
2022	-17.2%	-1.47	-17.2%	1

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	0.0%	0.00	0%
hidden test	EXPENSIVE	83	-52.7%	-1.87	19%
hidden test	EXTREME	48	185.0%	2.93	100%
hidden test	HIGH VOLATILITY	254	24.2%	0.90	18%
hidden test	LOW VOLATILITY	429	3.8%	0.36	6%
hidden test	MEDIUM VOLATILITY	248	-18.7%	-1.26	5%
hidden test	NORMAL	800	-1.7%	-0.30	2%
hidden test	SIDEWAYS	293	0.7%	0.82	0%
hidden test	UPTREND	371	7.9%	0.29	22%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	22.5%	0.61	59%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	38.9%	1.08	23%
train	LOW VOLATILITY	745	10.0%	0.59	22%
train	MEDIUM VOLATILITY	568	-4.0%	-0.16	29%
train	NORMAL	1,601	-10.1%	-0.61	13%
train	SIDEWAYS	592	-5.6%	-0.67	1%
train	UPTREND	902	39.6%	0.99	54%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	66.8%	1.22	59%
validation	EXTREME	144	313.8%	3.99	72%
validation	HIGH VOLATILITY	258	94.2%	1.46	39%
validation	LOW VOLATILITY	183	14.1%	0.90	13%
validation	MEDIUM VOLATILITY	315	79.1%	2.10	35%
validation	NORMAL	474	-5.5%	-0.25	10%
validation	SIDEWAYS	206	-4.3%	-1.14	0%
validation	UPTREND	425	123.9%	2.05	55%

Trades (full period)

17 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-16	2026-01-13	$489.88	$447.20	-5.73%	19
2024-11-07	2025-02-12	$296.91	$336.51	13.63%	65
2022-01-04	2022-01-20	$383.20	$332.09	-17.18%	12
2021-10-19	2021-12-06	$288.09	$336.34	16.41%	34
2020-11-19	2021-02-23	$166.42	$232.95	46.53%	64
2020-06-02	2020-09-30	$58.77	$143.00	132.84%	85
2019-12-17	2020-03-05	$25.27	$48.30	96.07%	54
2018-12-14	2018-12-26	$24.38	$21.74	-21.76%	8
2018-08-08	2018-08-20	$24.69	$20.56	-19.68%	9
2017-09-18	2017-10-25	$25.67	$21.72	-11.36%	28
2017-02-09	2017-07-10	$17.95	$21.07	19.28%	104
2015-07-06	2015-08-18	$18.65	$17.38	-9.12%	32
2014-08-07	2014-10-01	$16.83	$16.02	-2.70%	39
2014-02-11	2014-03-27	$13.11	$13.82	8.13%	32
2013-01-29	2013-10-29	$2.53	$10.96	327.38%	191
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