Strategy Zoo / S0322
PriceMomentum_V0322
ARCHIVEDmomentumstructuralreduce exposure to 56% during MEDIUM_VOLATILITY
Fitness
0.6266
Generation
15
Complexity
3
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold -0.1003 -> -0.1446
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0322 [momentum]
if flat and ret_20d > 0.05:
position = 1.0
if long and ret_20d < -0.1446:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.56Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 26.0% | 90.7% | 1.5% | 30.1% |
| Total Return | 531.0% | 594.0% | 5.6% | 4659.3% |
| Sharpe | 0.81 | 1.60 | 0.24 | 0.85 |
| Sortino | 1.11 | 1.84 | 0.32 | 1.10 |
| Calmar | 0.42 | 2.61 | 0.02 | 0.48 |
| Volatility | 36.8% | 47.4% | 41.9% | 40.5% |
| Max DD | -62.5% | -34.7% | -60.9% | -62.5% |
| Win Rate | 47.4% | 50.0% | 42.9% | 46.3% |
| Avg Win | 58.7% | 82.2% | 17.6% | 56.1% |
| Avg Loss | -11.4% | -7.5% | -10.7% | -10.5% |
| Payoff | 5.13 | 10.00 | 1.64 | 5.36 |
| Expectancy | 21.8% | 37.4% | 1.4% | 20.4% |
| Profit Factor | 4.61 | 10.00 | 1.23 | 4.63 |
| Trades | 19 | 8 | 14 | 41 |
| Avg Holding Days | 76.6 | 65.6 | 48.3 | 66.7 |
| Turnover | 12.6 | 9.1 | 13.4 | 12.0 |
| Exposure | 65.7% | 56.3% | 64.7% | 63.6% |
Growth of $100
PriceMomentum_V0322 vs TSLA Buy & Hold
PriceMomentum_V0322 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 | -13.5% | -0.39 | -32.8% | 2 |
| 2017 | 7.6% | 0.41 | -29.2% | 2 |
| 2018 | -5.8% | 0.07 | -43.9% | 3 |
| 2019 | 17.9% | 0.63 | -33.3% | 3 |
| 2020 | 482.6% | 2.90 | -33.8% | 2 |
| 2021 | 57.2% | 1.57 | -21.7% | 3 |
| 2022 | -26.3% | -0.94 | -29.8% | 3 |
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 | -9.1% | -0.22 | 47% |
| hidden test | EXPENSIVE | 83 | 30.1% | 0.71 | 62% |
| hidden test | EXTREME | 48 | 171.5% | 2.86 | 92% |
| hidden test | HIGH VOLATILITY | 254 | 54.0% | 0.99 | 60% |
| hidden test | LOW VOLATILITY | 429 | 28.1% | 0.79 | 78% |
| hidden test | MEDIUM VOLATILITY | 248 | -65.7% | -1.80 | 47% |
| hidden test | NORMAL | 800 | -1.6% | -0.04 | 63% |
| hidden test | SIDEWAYS | 293 | -16.3% | -0.45 | 71% |
| hidden test | UPTREND | 371 | 45.0% | 0.99 | 73% |
| train | DOWNTREND | 518 | -4.5% | -0.15 | 54% |
| train | EXPENSIVE | 311 | 73.7% | 1.98 | 72% |
| train | EXTREME | 100 | 395.1% | 5.51 | 92% |
| train | HIGH VOLATILITY | 699 | 63.6% | 1.31 | 64% |
| train | LOW VOLATILITY | 745 | 34.4% | 1.16 | 81% |
| train | MEDIUM VOLATILITY | 568 | -18.0% | -0.65 | 49% |
| train | NORMAL | 1,601 | -1.6% | -0.05 | 63% |
| train | SIDEWAYS | 592 | -17.8% | -0.52 | 57% |
| train | UPTREND | 902 | 80.6% | 1.93 | 78% |
| validation | DOWNTREND | 125 | 35.2% | 1.70 | 16% |
| validation | EXPENSIVE | 138 | 66.3% | 1.32 | 59% |
| validation | EXTREME | 144 | 298.6% | 3.79 | 86% |
| validation | HIGH VOLATILITY | 258 | 101.4% | 1.53 | 55% |
| validation | LOW VOLATILITY | 183 | 58.4% | 1.78 | 86% |
| validation | MEDIUM VOLATILITY | 315 | 65.1% | 1.88 | 40% |
| validation | NORMAL | 474 | 11.0% | 0.37 | 46% |
| validation | SIDEWAYS | 206 | -9.8% | -0.29 | 52% |
| validation | UPTREND | 425 | 129.4% | 2.25 | 70% |
Trades (full period)
42 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 4.05% | 20 | OPEN |
| 2026-07-13 | 2026-07-24 | $394.76 | $313.03 | -13.49% | 10 | |
| 2026-04-20 | 2026-06-26 | $392.50 | $379.71 | -1.97% | 48 | |
| 2025-04-29 | 2026-04-10 | $292.03 | $348.95 | 15.68% | 239 | |
| 2025-04-08 | 2025-04-23 | $221.86 | $250.74 | 1.80% | 11 | |
| 2024-11-07 | 2025-02-12 | $296.91 | $336.51 | 14.84% | 65 | |
| 2024-09-04 | 2024-10-24 | $219.41 | $260.48 | -3.95% | 37 | |
| 2024-04-30 | 2024-08-05 | $183.28 | $198.88 | 4.96% | 67 | |
| 2024-04-15 | 2024-04-19 | $161.48 | $147.05 | -11.54% | 5 | |
| 2024-02-26 | 2024-03-18 | $199.40 | $173.80 | -14.96% | 16 | |
| 2023-11-17 | 2024-01-18 | $234.30 | $211.88 | -7.91% | 41 | |
| 2023-09-12 | 2023-10-27 | $267.48 | $207.30 | -20.51% | 34 | |
| 2023-05-19 | 2023-08-15 | $180.14 | $232.96 | 37.84% | 60 | |
| 2023-04-10 | 2023-04-21 | $184.51 | $165.08 | -11.32% | 10 | |
| 2023-01-25 | 2023-03-13 | $144.43 | $174.48 | 30.37% | 33 | |
| 2022-06-22 | 2022-10-06 | $236.09 | $238.13 | -0.58% | 75 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -2.29% | 26 | |
| 2022-01-04 | 2022-01-26 | $383.20 | $312.47 | -24.03% | 16 | |
| 2021-06-14 | 2021-12-06 | $205.90 | $336.34 | 76.81% | 123 | |
| 2021-04-05 | 2021-05-12 | $230.35 | $196.63 | -3.12% | 28 | |
| 2020-10-07 | 2021-02-23 | $141.77 | $232.95 | 32.24% | 95 | |
| 2020-04-14 | 2020-09-30 | $47.33 | $143.00 | 160.33% | 119 | |
| 2019-09-12 | 2020-03-05 | $16.39 | $48.30 | 162.27% | 121 | |
| 2019-06-18 | 2019-08-16 | $14.98 | $14.66 | -5.36% | 43 | |
| 2019-02-28 | 2019-04-29 | $21.33 | $16.10 | -19.32% | 42 | |
| 2018-10-04 | 2019-01-04 | $18.79 | $21.18 | 4.39% | 63 | |
| 2018-08-03 | 2018-09-05 | $23.21 | $18.72 | -17.50% | 23 | |
| 2018-04-27 | 2018-07-30 | $19.61 | $19.34 | 1.73% | 65 | |
| 2017-12-12 | 2018-03-27 | $22.74 | $18.61 | -6.42% | 72 | |
| 2017-08-04 | 2017-11-03 | $23.79 | $20.41 | -11.50% | 65 | |
| 2016-06-08 | 2017-07-10 | $15.70 | $21.07 | 14.63% | 274 | |
| 2016-03-04 | 2016-05-05 | $13.40 | $14.10 | 6.93% | 44 | |
| 2015-11-09 | 2016-01-26 | $15.02 | $12.90 | -9.31% | 53 | |
| 2015-09-21 | 2015-10-13 | $17.61 | $14.62 | -16.92% | 17 | |
| 2015-02-10 | 2015-08-26 | $14.42 | $14.99 | 8.15% | 138 | |
| 2014-11-11 | 2014-12-11 | $16.74 | $13.93 | -14.33% | 22 | |
| 2014-05-28 | 2014-10-01 | $14.02 | $16.02 | 19.36% | 89 | |
| 2013-12-13 | 2014-03-27 | $9.84 | $13.82 | 32.49% | 71 | |
| 2012-11-06 | 2013-10-29 | $2.08 | $10.96 | 424.18% | 247 | |
| 2012-08-24 | 2012-10-16 | $1.97 | $1.87 | -1.93% | 37 | |
| 2012-06-19 | 2012-08-03 | $2.14 | $1.82 | -11.84% | 33 | |
| 2012-02-02 | 2012-04-25 | $2.02 | $2.19 | 16.28% | 58 |