Strategy Zoo / S0315
PriceMomentum_V0315
ARCHIVEDhybridcrossoverentry from PriceMomentum_V0267, exit from LongTermTrend_V0221
Fitness
0.6152
Generation
15
Complexity
4
Created
2026-09-18
Lineage
Parents (2)
changed ret_20d threshold -0.03 -> 0.0728
changed ret_20d threshold 0.05 -> 0.1146
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0315 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.1146:
position = 1.0
if long and ret_20d < 0.0728:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 22.7% | 62.7% | 27.8% | 31.6% |
| Total Return | 412.0% | 331.1% | 147.4% | 5521.0% |
| Sharpe | 0.99 | 1.40 | 1.05 | 1.10 |
| Sortino | 0.84 | 1.15 | 0.75 | 0.85 |
| Calmar | 0.85 | 1.86 | 0.92 | 0.94 |
| Volatility | 23.4% | 40.6% | 26.7% | 28.5% |
| Max DD | -26.8% | -33.8% | -30.1% | -33.8% |
| Win Rate | 51.4% | 60.0% | 50.0% | 53.2% |
| Avg Win | 15.5% | 19.1% | 14.7% | 16.6% |
| Avg Loss | -3.9% | -5.7% | -3.6% | -4.2% |
| Payoff | 4.00 | 3.32 | 4.10 | 3.94 |
| Expectancy | 6.1% | 9.1% | 5.6% | 6.9% |
| Profit Factor | 4.23 | 4.98 | 4.10 | 4.49 |
| Trades | 37 | 20 | 20 | 77 |
| Avg Holding Days | 13.2 | 13.3 | 10.7 | 12.6 |
| Turnover | 9.6 | 13.1 | 11.3 | 10.7 |
| Exposure | 21.5% | 27.4% | 19.2% | 22.2% |
Growth of $100
PriceMomentum_V0315 vs TSLA Buy & Hold
PriceMomentum_V0315 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 | 21.0% | 1.86 | -8.0% | 6 |
| 2017 | 23.5% | 1.33 | -10.1% | 4 |
| 2018 | -14.7% | -0.80 | -19.4% | 4 |
| 2019 | 32.9% | 1.80 | -7.5% | 3 |
| 2020 | 326.6% | 2.60 | -33.8% | 7 |
| 2021 | 38.3% | 1.48 | -12.5% | 3 |
| 2022 | -29.2% | -2.14 | -29.1% | 10 |
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 | 27.9% | 1.13 | 16% |
| hidden test | EXPENSIVE | 83 | 34.3% | 0.99 | 37% |
| hidden test | EXTREME | 48 | 175.5% | 3.22 | 59% |
| hidden test | HIGH VOLATILITY | 254 | 26.1% | 0.67 | 29% |
| hidden test | LOW VOLATILITY | 429 | 41.5% | 2.22 | 17% |
| hidden test | MEDIUM VOLATILITY | 248 | 6.8% | 0.30 | 14% |
| hidden test | NORMAL | 800 | 18.6% | 0.81 | 15% |
| hidden test | SIDEWAYS | 293 | -1.9% | -0.18 | 2% |
| hidden test | UPTREND | 371 | 51.8% | 1.47 | 36% |
| train | DOWNTREND | 518 | 15.4% | 2.03 | 6% |
| train | EXPENSIVE | 311 | 21.2% | 0.76 | 43% |
| train | EXTREME | 100 | 348.2% | 4.94 | 89% |
| train | HIGH VOLATILITY | 699 | 45.6% | 1.37 | 26% |
| train | LOW VOLATILITY | 745 | 16.2% | 1.00 | 26% |
| train | MEDIUM VOLATILITY | 568 | 4.5% | 0.29 | 10% |
| train | NORMAL | 1,601 | 3.2% | 0.22 | 13% |
| train | SIDEWAYS | 592 | -1.3% | -0.17 | 2% |
| train | UPTREND | 902 | 43.5% | 1.29 | 43% |
| validation | DOWNTREND | 125 | 15.8% | 1.64 | 5% |
| validation | EXPENSIVE | 138 | 79.3% | 1.80 | 39% |
| validation | EXTREME | 144 | 239.5% | 3.23 | 71% |
| validation | HIGH VOLATILITY | 258 | 72.5% | 1.19 | 39% |
| validation | LOW VOLATILITY | 183 | 22.6% | 1.53 | 12% |
| validation | MEDIUM VOLATILITY | 315 | 64.2% | 2.24 | 27% |
| validation | NORMAL | 474 | -5.0% | -0.27 | 11% |
| validation | SIDEWAYS | 206 | -7.8% | -0.96 | 2% |
| validation | UPTREND | 425 | 100.5% | 1.88 | 46% |
Trades (full period)
77 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-15 | $348.95 | $356.58 | -1.68% | 16 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-06 | 2026-05-08 | $398.73 | $428.35 | 5.55% | 3 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | -0.05% | 11 | |
| 2025-09-15 | 2025-10-13 | $410.04 | $435.90 | 4.51% | 21 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -9.43% | 11 | |
| 2025-05-06 | 2025-05-09 | $275.35 | $298.26 | 1.42% | 4 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -3.58% | 2 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -5.14% | 2 | |
| 2024-11-07 | 2025-01-08 | $296.91 | $394.94 | 34.61% | 42 | |
| 2024-10-07 | 2024-10-10 | $240.83 | $238.77 | -3.81% | 4 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.42% | 2 | |
| 2024-09-23 | 2024-09-27 | $250.00 | $260.46 | 4.40% | 5 | |
| 2024-09-11 | 2024-09-17 | $228.13 | $227.87 | 0.57% | 5 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.88% | 2 | |
| 2024-07-02 | 2024-07-31 | $231.26 | $232.07 | 4.58% | 21 | |
| 2024-05-15 | 2024-05-24 | $173.99 | $179.24 | -2.34% | 8 | |
| 2023-06-02 | 2023-07-20 | $213.97 | $262.90 | 41.65% | 33 | |
| 2023-05-23 | 2023-05-31 | $185.77 | $203.93 | 6.29% | 6 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.63% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.64% | 2 | |
| 2022-07-28 | 2022-08-02 | $280.90 | $300.59 | 5.39% | 4 | |
| 2022-07-22 | 2022-07-27 | $272.24 | $274.82 | -3.36% | 4 | |
| 2022-07-19 | 2022-07-21 | $245.53 | $271.71 | 1.82% | 3 | |
| 2022-06-24 | 2022-06-28 | $245.71 | $232.66 | 3.99% | 3 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -10.23% | 12 | |
| 2022-01-18 | 2022-01-20 | $343.50 | $332.09 | -5.33% | 3 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -9.49% | 3 | |
| 2021-10-19 | 2021-11-29 | $288.09 | $379.00 | 27.22% | 29 | |
| 2021-09-16 | 2021-09-22 | $252.33 | $250.65 | -2.37% | 5 | |
| 2020-11-19 | 2021-02-08 | $166.42 | $287.81 | 47.42% | 54 | |
| 2020-10-07 | 2020-10-13 | $141.77 | $148.88 | 6.63% | 5 | |
| 2020-08-18 | 2020-09-23 | $125.81 | $126.79 | 8.92% | 26 | |
| 2020-06-02 | 2020-08-05 | $58.77 | $99.00 | 58.03% | 46 | |
| 2020-05-20 | 2020-05-27 | $54.37 | $54.68 | 1.14% | 5 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-03-03 | 2020-03-04 | $49.70 | $49.97 | 0.05% | 2 | |
| 2019-12-20 | 2020-03-02 | $27.04 | $49.57 | 55.01% | 48 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-09-27 | 2019-10-01 | $16.14 | $16.31 | -0.61% | 3 | |
| 2019-06-21 | 2019-07-22 | $14.79 | $17.05 | 16.51% | 21 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-08-03 | 2018-08-16 | $23.21 | $22.36 | -3.30% | 10 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-05-01 | 2018-05-03 | $19.99 | $18.96 | 2.26% | 3 | |
| 2017-08-04 | 2017-08-18 | $23.79 | $23.16 | 1.38% | 11 | |
| 2017-06-05 | 2017-06-30 | $23.15 | $24.11 | 2.55% | 20 | |
| 2017-04-04 | 2017-05-03 | $20.25 | $20.73 | 5.46% | 21 | |
| 2017-01-05 | 2017-02-24 | $15.12 | $17.13 | 12.55% | 35 | |
| 2016-12-21 | 2016-12-28 | $13.85 | $14.65 | 5.11% | 5 | |
| 2016-07-26 | 2016-08-02 | $15.30 | $15.15 | -0.20% | 6 | |
| 2016-04-22 | 2016-05-02 | $16.92 | $16.12 | -2.72% | 7 | |
| 2016-04-05 | 2016-04-20 | $17.03 | $16.66 | 0.04% | 12 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 1.44% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 16.89% | 12 | |
| 2015-07-06 | 2015-07-08 | $18.65 | $17.00 | -4.53% | 3 | |
| 2015-05-11 | 2015-05-27 | $15.97 | $16.50 | 4.38% | 12 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-24 | 2015-04-28 | $14.56 | $15.37 | 5.71% | 3 | |
| 2014-08-07 | 2014-09-15 | $16.83 | $16.92 | 11.94% | 27 | |
| 2014-06-23 | 2014-07-08 | $15.81 | $14.60 | -3.21% | 11 | |
| 2014-01-24 | 2014-03-25 | $11.64 | $14.70 | 13.99% | 42 | |
| 2013-10-08 | 2013-10-09 | $11.65 | $11.25 | -3.23% | 2 | |
| 2013-09-11 | 2013-10-03 | $10.90 | $11.55 | 8.54% | 17 | |
| 2013-07-18 | 2013-09-10 | $7.94 | $11.09 | 33.37% | 38 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -3.46% | 11 | |
| 2013-04-12 | 2013-06-25 | $2.92 | $6.83 | 137.97% | 52 | |
| 2013-04-02 | 2013-04-10 | $2.96 | $2.79 | -7.99% | 7 | |
| 2013-02-07 | 2013-02-22 | $2.63 | $2.41 | -10.42% | 11 | |
| 2013-01-29 | 2013-02-01 | $2.53 | $2.55 | -1.56% | 4 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -5.40% | 7 | |
| 2012-03-13 | 2012-03-15 | $2.41 | $2.33 | -2.20% | 3 | |
| 2012-02-23 | 2012-03-07 | $2.30 | $2.21 | -3.44% | 10 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |