Strategy Zoo / S0330

PriceMomentum_V0330

ARCHIVEDmomentum

parameterchanged ret_20d threshold 0.05 -> 0.1606

Fitness

0.5288

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

PriceMomentum_V0054S0054 · gen 2ARCHIVEDparameter

reduce exposure to 68% during MEDIUM_VOLATILITY

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0330  [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.1606:
    position = 1.0
if long and ret_20d < -0.03:
    position = 0.0  # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	17.8%	58.2%	24.3%	27.1%
Total Return	270.1%	295.9%	123.2%	3266.1%
Sharpe	0.77	1.30	0.90	0.94
Sortino	0.68	1.09	0.67	0.76
Calmar	0.37	1.69	0.86	0.57
Volatility	25.2%	42.2%	28.5%	30.2%
Max DD	-47.6%	-34.4%	-28.4%	-47.6%
Win Rate	43.5%	58.3%	71.4%	55.1%
Avg Win	25.2%	33.0%	13.7%	25.6%
Avg Loss	-6.5%	-9.6%	-8.3%	-7.6%
Payoff	3.86	3.44	1.65	3.39
Expectancy	7.3%	15.3%	7.4%	10.7%
Profit Factor	2.97	4.82	4.12	4.16
Trades	23	12	14	49
Avg Holding Days	23.3	22.8	17.0	22.4
Turnover	6.8	8.9	9.5	7.8
Exposure	26.3%	29.0%	22.5%	25.9%

Growth of $100

PriceMomentum_V0330 vs TSLA Buy & Hold

PriceMomentum_V0330 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	2.9%	0.31	-13.3%	4
2017	-1.9%	-0.01	-20.7%	3
2018	-33.1%	-2.22	-34.6%	4
2019	60.5%	2.59	-8.5%	1
2020	317.7%	2.51	-33.8%	5
2021	39.1%	1.47	-12.5%	2
2022	-34.0%	-2.22	-33.9%	5

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	35.2%	1.60	11%
hidden test	EXPENSIVE	83	44.2%	1.13	56%
hidden test	EXTREME	48	187.4%	3.43	65%
hidden test	HIGH VOLATILITY	254	51.2%	1.28	30%
hidden test	LOW VOLATILITY	429	28.2%	1.59	17%
hidden test	MEDIUM VOLATILITY	248	-4.4%	-0.15	24%
hidden test	NORMAL	800	14.2%	0.58	16%
hidden test	SIDEWAYS	293	0.8%	0.07	3%
hidden test	UPTREND	371	38.8%	0.97	46%
train	DOWNTREND	518	9.0%	1.12	5%
train	EXPENSIVE	311	25.6%	0.82	48%
train	EXTREME	100	368.2%	5.13	91%
train	HIGH VOLATILITY	699	40.1%	1.18	27%
train	LOW VOLATILITY	745	20.5%	1.03	36%
train	MEDIUM VOLATILITY	568	-7.3%	-0.42	13%
train	NORMAL	1,601	-3.5%	-0.22	18%
train	SIDEWAYS	592	-8.8%	-1.03	1%
train	UPTREND	902	44.0%	1.21	55%
validation	DOWNTREND	125	10.8%	1.83	1%
validation	EXPENSIVE	138	41.7%	0.88	44%
validation	EXTREME	144	264.7%	3.50	75%
validation	HIGH VOLATILITY	258	69.3%	1.11	41%
validation	LOW VOLATILITY	183	16.2%	1.06	10%
validation	MEDIUM VOLATILITY	315	65.3%	2.15	30%
validation	NORMAL	474	-5.2%	-0.26	11%
validation	SIDEWAYS	206	-18.0%	-1.48	2%
validation	UPTREND	425	103.0%	1.86	50%

Trades (full period)

50 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-09-04	—	$354.08	—	-4.28%	10	OPEN
2026-05-29	2026-06-01	$435.79	$415.88	-1.63%	2
2026-05-07	2026-05-08	$411.79	$428.35	3.07%	2
2025-12-16	2026-01-07	$489.88	$431.41	-9.09%	15
2025-09-15	2025-11-14	$410.04	$404.35	1.00%	45
2025-05-22	2025-06-06	$341.04	$295.14	-9.43%	11
2025-05-06	2025-05-12	$275.35	$318.38	6.21%	5
2024-11-07	2025-01-14	$296.91	$396.36	37.66%	45
2024-10-07	2024-10-14	$240.83	$219.16	-13.09%	6
2024-09-06	2024-09-27	$210.73	$260.46	9.15%	16
2024-07-02	2024-08-02	$231.26	$207.67	1.87%	23
2024-05-17	2024-05-29	$177.46	$176.19	0.89%	8
2023-06-02	2023-08-02	$213.97	$254.11	27.37%	42
2023-05-23	2023-05-31	$185.77	$203.93	6.29%	6
2023-01-26	2023-02-10	$160.27	$196.89	43.27%	12
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
2022-04-05	2022-04-27	$363.75	$293.84	-16.47%	16
2022-01-04	2022-01-20	$383.20	$332.09	-18.24%	12
2021-10-19	2021-12-01	$288.09	$365.00	32.24%	31
2020-11-20	2021-02-11	$163.20	$270.55	36.86%	56
2020-10-07	2020-10-20	$141.77	$140.65	4.77%	10
2020-08-19	2020-09-24	$125.24	$129.26	-5.01%	26
2020-05-20	2020-08-10	$54.37	$94.57	66.62%	57
2020-04-14	2020-04-30	$47.33	$52.13	22.74%	13
2019-10-25	2020-03-04	$21.88	$49.97	133.27%	89
2019-06-25	2019-07-22	$14.65	$17.05	15.08%	19
2018-11-19	2018-11-20	$23.56	$23.17	-0.44%	2
2018-08-08	2018-08-20	$24.69	$20.56	-19.68%	9
2018-06-15	2018-07-05	$23.88	$20.61	-13.27%	14
2018-05-01	2018-05-04	$19.99	$19.61	-3.41%	4
2017-06-14	2017-07-06	$25.38	$20.59	-10.15%	16
2017-04-04	2017-05-24	$20.25	$20.68	-1.30%	36
2017-01-05	2017-03-08	$15.12	$16.46	10.62%	43
2016-07-26	2016-08-23	$15.30	$14.99	-3.27%	21
2016-04-05	2016-05-04	$17.03	$14.84	-5.92%	22
2016-03-24	2016-03-28	$15.18	$15.35	1.44%	2
2016-03-08	2016-03-21	$13.51	$15.89	11.45%	10
2015-05-13	2015-07-28	$16.21	$17.65	6.91%	53
2015-04-29	2015-05-01	$15.50	$15.07	-2.12%	3
2014-08-13	2014-09-16	$17.35	$17.38	-2.54%	24
2014-07-01	2014-07-17	$15.98	$14.36	-9.72%	12
2014-01-24	2014-03-26	$11.64	$14.20	14.08%	43
2013-07-02	2013-10-22	$7.85	$11.44	50.16%	79
2013-04-02	2013-06-26	$2.96	$7.05	138.25%	61
2013-02-07	2013-02-26	$2.63	$2.30	-11.74%	13
2012-11-23	2012-12-14	$2.14	$2.25	3.30%	16
2012-02-23	2012-04-10	$2.30	$2.16	1.10%	33
2012-02-21	2012-02-22	$2.30	$2.28	-1.54%	2