Strategy Zoo / S0343
PriceMomentum_V0343
ARCHIVEDmomentumstructuralswapped indicator ret_20d -> ret_5d; changed ret_20d threshold -0.1437 -> -0.2071
Fitness
0.5746
Generation
16
Complexity
3
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> -0.1437
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0343 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_5d > -0.1429:
position = 1.0
if long and ret_20d < -0.2071:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 35.7% | 50.2% | 36.5% | 39.0% |
| Total Return | 1045.9% | 238.8% | 215.7% | 12503.0% |
| Sharpe | 0.95 | 0.98 | 0.88 | 0.93 |
| Sortino | 1.21 | 1.22 | 1.19 | 1.18 |
| Calmar | 0.55 | 0.82 | 0.85 | 0.60 |
| Volatility | 40.8% | 59.9% | 48.9% | 47.3% |
| Max DD | -65.5% | -61.1% | -43.2% | -65.5% |
| Win Rate | 53.4% | 50.0% | 52.2% | 52.5% |
| Avg Win | 16.6% | 18.3% | 10.3% | 15.7% |
| Avg Loss | -6.6% | -7.3% | -4.9% | -6.3% |
| Payoff | 2.50 | 2.52 | 2.12 | 2.49 |
| Expectancy | 5.8% | 5.5% | 3.1% | 5.3% |
| Profit Factor | 2.87 | 2.52 | 2.31 | 2.76 |
| Trades | 73 | 40 | 46 | 160 |
| Avg Holding Days | 19.5 | 13.9 | 13.6 | 16.6 |
| Turnover | 18.4 | 27.0 | 25.2 | 21.9 |
| Exposure | 69.5% | 68.4% | 65.5% | 68.3% |
Growth of $100
PriceMomentum_V0343 vs TSLA Buy & Hold
PriceMomentum_V0343 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 | 21.3% | 0.79 | -22.9% | 11 |
| 2017 | 45.8% | 1.35 | -19.5% | 6 |
| 2018 | -37.0% | -0.69 | -44.6% | 16 |
| 2019 | 42.9% | 1.17 | -41.1% | 11 |
| 2020 | 497.7% | 2.66 | -39.0% | 8 |
| 2021 | 13.8% | 0.52 | -35.5% | 11 |
| 2022 | -58.1% | -1.52 | -58.4% | 21 |
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 | 77.9% | 1.34 | 87% |
| hidden test | EXPENSIVE | 83 | 132.6% | 1.92 | 93% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 97.0% | 1.35 | 83% |
| hidden test | LOW VOLATILITY | 429 | 29.3% | 0.91 | 56% |
| hidden test | MEDIUM VOLATILITY | 248 | 11.1% | 0.25 | 64% |
| hidden test | NORMAL | 800 | 25.1% | 0.55 | 61% |
| hidden test | SIDEWAYS | 293 | -26.5% | -1.27 | 8% |
| hidden test | UPTREND | 371 | 72.6% | 1.28 | 95% |
| train | DOWNTREND | 518 | 26.5% | 0.60 | 90% |
| train | EXPENSIVE | 311 | 47.3% | 1.04 | 84% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 62.7% | 1.18 | 63% |
| train | LOW VOLATILITY | 745 | 45.6% | 1.57 | 74% |
| train | MEDIUM VOLATILITY | 568 | 0.4% | 0.01 | 71% |
| train | NORMAL | 1,601 | 13.6% | 0.37 | 65% |
| train | SIDEWAYS | 592 | 14.8% | 0.74 | 10% |
| train | UPTREND | 902 | 61.6% | 1.28 | 97% |
| validation | DOWNTREND | 125 | -54.3% | -0.92 | 80% |
| validation | EXPENSIVE | 138 | 39.5% | 0.60 | 87% |
| validation | EXTREME | 144 | 357.0% | 4.17 | 92% |
| validation | HIGH VOLATILITY | 258 | 94.1% | 1.16 | 74% |
| validation | LOW VOLATILITY | 183 | 26.0% | 0.96 | 57% |
| validation | MEDIUM VOLATILITY | 315 | 48.5% | 0.92 | 70% |
| validation | NORMAL | 474 | -26.5% | -0.58 | 56% |
| validation | SIDEWAYS | 206 | -37.6% | -1.48 | 10% |
| validation | UPTREND | 425 | 138.5% | 1.96 | 93% |
Trades (full period)
latest 100 of 161
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-10 | — | $330.88 | — | 10.61% | 29 | OPEN |
| 2026-08-04 | 2026-08-07 | $327.35 | $328.58 | -0.99% | 4 | |
| 2026-07-31 | 2026-08-03 | $311.21 | $322.08 | 0.56% | 2 | |
| 2026-07-23 | 2026-07-29 | $319.69 | $298.32 | -17.98% | 5 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-21 | 2026-05-08 | $386.42 | $428.35 | 4.70% | 14 | |
| 2026-03-19 | 2026-04-20 | $380.30 | $392.50 | 1.79% | 22 | |
| 2026-03-16 | 2026-03-17 | $395.56 | $399.27 | 0.91% | 2 | |
| 2026-02-02 | 2026-02-18 | $421.81 | $411.32 | -4.79% | 12 | |
| 2025-09-12 | 2026-01-13 | $395.94 | $447.20 | 21.50% | 85 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-21 | 2025-08-22 | $320.11 | $340.01 | -1.37% | 2 | |
| 2025-08-06 | 2025-08-11 | $319.91 | $339.03 | 6.57% | 4 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -5.51% | 4 | |
| 2025-07-10 | 2025-07-25 | $309.87 | $316.06 | 2.98% | 12 | |
| 2025-06-10 | 2025-07-09 | $326.09 | $295.88 | -3.68% | 20 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2025-03-27 | 2025-05-12 | $273.13 | $318.38 | 9.41% | 32 | |
| 2025-03-25 | 2025-03-26 | $288.14 | $272.06 | 3.30% | 2 | |
| 2025-03-21 | 2025-03-24 | $248.71 | $278.39 | 5.06% | 2 | |
| 2025-03-19 | 2025-03-20 | $235.86 | $236.26 | 4.48% | 2 | |
| 2025-03-17 | 2025-03-18 | $238.01 | $225.31 | -4.98% | 2 | |
| 2025-03-13 | 2025-03-14 | $240.68 | $249.98 | -3.18% | 2 | |
| 2025-03-07 | 2025-03-10 | $262.67 | $222.15 | -0.50% | 2 | |
| 2025-03-05 | 2025-03-06 | $279.10 | $263.45 | 2.39% | 2 | |
| 2024-10-03 | 2025-02-24 | $240.66 | $330.53 | 35.38% | 97 | |
| 2024-08-14 | 2024-09-27 | $201.38 | $260.46 | 22.07% | 32 | |
| 2024-08-09 | 2024-08-13 | $200.00 | $207.83 | -0.88% | 3 | |
| 2024-08-07 | 2024-08-08 | $191.76 | $198.84 | -4.62% | 2 | |
| 2024-07-02 | 2024-08-06 | $231.26 | $200.64 | -5.41% | 25 | |
| 2024-02-08 | 2024-05-29 | $189.56 | $176.19 | -5.96% | 77 | |
| 2024-02-06 | 2024-02-07 | $185.10 | $187.58 | 2.03% | 2 | |
| 2024-02-02 | 2024-02-05 | $187.91 | $181.06 | -0.70% | 2 | |
| 2024-01-03 | 2024-01-12 | $238.45 | $218.89 | -8.72% | 8 | |
| 2023-11-01 | 2023-11-02 | $205.66 | $218.51 | 2.20% | 2 | |
| 2023-10-26 | 2023-10-31 | $205.76 | $200.84 | -7.28% | 4 | |
| 2023-08-18 | 2023-09-05 | $215.49 | $256.49 | 11.54% | 12 | |
| 2023-06-02 | 2023-08-17 | $213.97 | $219.22 | 8.50% | 53 | |
| 2023-05-03 | 2023-05-31 | $160.61 | $203.93 | 25.23% | 20 | |
| 2023-04-24 | 2023-05-02 | $162.55 | $160.31 | -2.17% | 7 | |
| 2023-01-17 | 2023-02-10 | $131.49 | $196.89 | 69.05% | 19 | |
| 2023-01-12 | 2023-01-13 | $123.56 | $122.40 | 0.08% | 2 | |
| 2023-01-10 | 2023-01-11 | $118.85 | $123.22 | -0.97% | 2 | |
| 2023-01-06 | 2023-01-09 | $113.06 | $119.77 | 2.26% | 2 | |
| 2023-01-04 | 2023-01-05 | $113.64 | $110.34 | 4.92% | 2 | |
| 2022-12-30 | 2023-01-03 | $123.18 | $108.10 | 0.92% | 2 | |
| 2022-11-25 | 2022-12-23 | $182.86 | $123.15 | -31.71% | 21 | |
| 2022-10-27 | 2022-11-23 | $225.09 | $183.20 | -24.51% | 20 | |
| 2022-10-25 | 2022-10-26 | $222.42 | $224.64 | 5.08% | 2 | |
| 2022-10-21 | 2022-10-24 | $214.44 | $211.25 | 3.25% | 2 | |
| 2022-10-19 | 2022-10-20 | $222.04 | $207.28 | 0.64% | 2 | |
| 2022-10-17 | 2022-10-18 | $219.35 | $220.19 | 6.80% | 2 | |
| 2022-10-13 | 2022-10-14 | $221.72 | $204.99 | 1.86% | 2 | |
| 2022-10-11 | 2022-10-12 | $216.50 | $217.24 | -3.09% | 2 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.71% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-05-26 | 2022-08-02 | $235.91 | $300.59 | 35.11% | 46 | |
| 2022-05-23 | 2022-05-24 | $224.97 | $209.39 | 1.46% | 2 | |
| 2022-05-16 | 2022-05-17 | $241.46 | $253.87 | -6.07% | 2 | |
| 2022-05-04 | 2022-05-06 | $317.54 | $288.55 | -4.14% | 3 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2022-03-14 | 2022-03-16 | $255.46 | $280.08 | 0.62% | 3 | |
| 2022-03-07 | 2022-03-10 | $268.19 | $279.43 | 2.26% | 4 | |
| 2022-02-23 | 2022-03-01 | $254.68 | $288.12 | 5.73% | 5 | |
| 2021-12-22 | 2022-01-20 | $336.29 | $332.09 | 5.88% | 20 | |
| 2021-08-24 | 2021-12-21 | $236.16 | $312.84 | 27.16% | 84 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2021-06-10 | 2021-06-11 | $203.37 | $203.30 | 1.69% | 2 | |
| 2021-05-21 | 2021-05-24 | $193.63 | $202.15 | -1.20% | 2 | |
| 2021-05-18 | 2021-05-20 | $192.62 | $195.59 | -2.51% | 3 | |
| 2021-05-14 | 2021-05-17 | $196.58 | $192.28 | 2.95% | 2 | |
| 2021-03-12 | 2021-03-17 | $231.24 | $233.94 | -3.44% | 4 | |
| 2021-03-10 | 2021-03-11 | $222.69 | $233.20 | -1.02% | 2 | |
| 2021-03-05 | 2021-03-08 | $199.32 | $187.67 | -3.98% | 2 | |
| 2021-03-01 | 2021-03-04 | $239.48 | $207.15 | -3.49% | 4 | |
| 2020-11-19 | 2021-02-26 | $166.42 | $225.17 | 39.91% | 67 | |
| 2020-05-15 | 2020-11-13 | $53.28 | $136.17 | 155.77% | 128 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-04-08 | 2020-04-09 | $36.59 | $38.20 | 0.42% | 2 | |
| 2020-04-01 | 2020-04-02 | $32.10 | $30.30 | -8.29% | 2 | |
| 2020-03-30 | 2020-03-31 | $33.48 | $34.93 | -2.58% | 2 | |
| 2020-03-26 | 2020-03-27 | $35.21 | $34.29 | -2.25% | 2 | |
| 2020-03-24 | 2020-03-25 | $33.67 | $35.95 | 16.07% | 2 | |
| 2019-10-25 | 2020-03-13 | $21.88 | $36.44 | 86.69% | 96 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 5.72% | 13 | |
| 2019-09-09 | 2019-09-10 | $15.45 | $15.70 | 1.71% | 2 | |
| 2019-09-05 | 2019-09-06 | $15.31 | $15.16 | 3.83% | 2 | |
| 2019-06-06 | 2019-07-22 | $13.73 | $17.05 | 31.07% | 32 | |
| 2019-06-04 | 2019-06-05 | $12.91 | $13.11 | 7.97% | 2 | |
| 2019-05-30 | 2019-06-03 | $12.55 | $11.93 | -2.67% | 3 | |
| 2019-05-28 | 2019-05-29 | $12.58 | $12.66 | -1.21% | 2 | |
| 2019-05-21 | 2019-05-22 | $13.67 | $12.85 | -0.34% | 2 | |
| 2019-03-04 | 2019-05-20 | $19.02 | $13.69 | -28.56% | 55 | |
| 2018-12-27 | 2019-01-23 | $21.08 | $19.17 | -8.52% | 18 | |
| 2018-11-27 | 2018-12-26 | $22.93 | $21.74 | -14.80% | 20 |