Strategy Zoo / S0344
PriceMomentum_V0344
ARCHIVEDmomentumstructuraladded exit filter: vol_chg > 1.8481
Fitness
0.5845
Generation
16
Complexity
5
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold -0.1657 -> -0.0789
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0344 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.05:
position = 1.0
if long and (ret_20d < -0.0789 or vol_chg > 1.8481):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 18.0% | 78.4% | 21.8% | 29.7% |
| Total Return | 273.7% | 467.6% | 107.4% | 4429.2% |
| Sharpe | 0.71 | 1.44 | 0.73 | 0.91 |
| Sortino | 0.68 | 1.41 | 0.66 | 0.85 |
| Calmar | 0.28 | 1.73 | 0.60 | 0.47 |
| Volatility | 29.0% | 48.3% | 35.8% | 35.4% |
| Max DD | -63.0% | -45.4% | -36.4% | -63.0% |
| Win Rate | 55.9% | 55.0% | 54.5% | 55.5% |
| Avg Win | 9.9% | 28.7% | 13.4% | 14.2% |
| Avg Loss | -6.9% | -9.1% | -7.4% | -7.4% |
| Payoff | 1.43 | 3.16 | 1.82 | 1.92 |
| Expectancy | 2.5% | 11.7% | 4.0% | 4.6% |
| Profit Factor | 1.81 | 3.86 | 2.18 | 2.39 |
| Trades | 68 | 20 | 22 | 110 |
| Avg Holding Days | 11.9 | 18.6 | 14.6 | 13.8 |
| Turnover | 17.2 | 13.3 | 12.2 | 15.1 |
| Exposure | 37.3% | 46.7% | 34.4% | 38.5% |
Growth of $100
PriceMomentum_V0344 vs TSLA Buy & Hold
PriceMomentum_V0344 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 | 22.4% | 1.47 | -15.3% | 7 |
| 2017 | 7.9% | 0.42 | -27.1% | 7 |
| 2018 | -44.9% | -2.20 | -44.9% | 11 |
| 2019 | 33.2% | 1.47 | -10.9% | 8 |
| 2020 | 502.6% | 2.93 | -33.7% | 9 |
| 2021 | 40.1% | 1.14 | -24.4% | 4 |
| 2022 | -35.6% | -1.45 | -38.1% | 7 |
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 | 27.7% | 0.71 | 37% |
| hidden test | EXPENSIVE | 83 | 77.7% | 1.68 | 69% |
| hidden test | EXTREME | 48 | 162.7% | 2.87 | 73% |
| hidden test | HIGH VOLATILITY | 254 | 25.4% | 0.50 | 43% |
| hidden test | LOW VOLATILITY | 429 | 47.0% | 2.02 | 27% |
| hidden test | MEDIUM VOLATILITY | 248 | -9.2% | -0.26 | 38% |
| hidden test | NORMAL | 800 | 12.5% | 0.38 | 28% |
| hidden test | SIDEWAYS | 293 | -2.9% | -0.19 | 4% |
| hidden test | UPTREND | 371 | 47.9% | 1.09 | 56% |
| train | DOWNTREND | 518 | 2.8% | 0.16 | 23% |
| train | EXPENSIVE | 311 | 26.0% | 0.69 | 66% |
| train | EXTREME | 100 | 333.6% | 4.95 | 95% |
| train | HIGH VOLATILITY | 699 | 30.4% | 0.81 | 32% |
| train | LOW VOLATILITY | 745 | 29.8% | 1.36 | 47% |
| train | MEDIUM VOLATILITY | 568 | -3.4% | -0.14 | 30% |
| train | NORMAL | 1,601 | 0.0% | 0.00 | 28% |
| train | SIDEWAYS | 592 | -1.0% | -0.09 | 4% |
| train | UPTREND | 902 | 45.1% | 1.12 | 67% |
| validation | DOWNTREND | 125 | 43.5% | 1.99 | 14% |
| validation | EXPENSIVE | 138 | 66.2% | 1.21 | 68% |
| validation | EXTREME | 144 | 320.9% | 4.05 | 85% |
| validation | HIGH VOLATILITY | 258 | 81.7% | 1.26 | 47% |
| validation | LOW VOLATILITY | 183 | 23.7% | 1.04 | 46% |
| validation | MEDIUM VOLATILITY | 315 | 86.2% | 2.00 | 47% |
| validation | NORMAL | 474 | -5.8% | -0.20 | 29% |
| validation | SIDEWAYS | 206 | -29.3% | -1.70 | 4% |
| validation | UPTREND | 425 | 125.1% | 2.02 | 77% |
Trades (full period)
latest 100 of 111
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 5.31% | 20 | OPEN |
| 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 | |
| 2025-12-15 | 2026-01-13 | $475.31 | $447.20 | -2.37% | 20 | |
| 2025-09-12 | 2025-11-17 | $395.94 | $408.92 | 9.42% | 47 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-07 | 2025-08-11 | $322.27 | $339.03 | 2.84% | 3 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2025-04-29 | 2025-05-12 | $292.03 | $318.38 | 4.12% | 10 | |
| 2025-04-08 | 2025-04-22 | $221.86 | $237.97 | -2.68% | 10 | |
| 2024-11-12 | 2025-01-17 | $328.49 | $426.50 | 17.99% | 45 | |
| 2024-11-07 | 2024-11-11 | $296.91 | $350.00 | 11.11% | 3 | |
| 2024-10-03 | 2024-10-18 | $240.66 | $220.70 | -11.48% | 12 | |
| 2024-09-04 | 2024-09-27 | $219.41 | $260.46 | 20.48% | 18 | |
| 2024-07-05 | 2024-08-02 | $251.52 | $207.67 | -12.16% | 21 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2024-04-15 | 2024-04-17 | $161.48 | $155.45 | -8.34% | 3 | |
| 2024-02-26 | 2024-03-12 | $199.40 | $177.54 | -7.58% | 12 | |
| 2023-06-02 | 2023-08-03 | $213.97 | $259.32 | 22.21% | 43 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 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 | |
| 2022-07-14 | 2022-08-02 | $238.31 | $300.59 | 25.16% | 14 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -17.18% | 12 | |
| 2021-10-28 | 2021-12-03 | $359.01 | $338.32 | 4.30% | 26 | |
| 2021-08-24 | 2021-10-27 | $236.16 | $345.95 | 43.90% | 46 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-12-22 | 2021-02-23 | $213.45 | $232.95 | 9.73% | 42 | |
| 2020-11-23 | 2020-12-21 | $173.95 | $216.62 | 41.67% | 20 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 2.39% | 2 | |
| 2020-10-07 | 2020-10-30 | $141.77 | $129.35 | -0.96% | 18 | |
| 2020-08-14 | 2020-09-25 | $110.05 | $135.78 | 19.38% | 30 | |
| 2020-05-15 | 2020-08-12 | $53.28 | $103.65 | 70.74% | 62 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-02-05 | 2020-03-05 | $48.98 | $48.30 | -15.69% | 21 | |
| 2020-01-10 | 2020-02-04 | $31.88 | $59.14 | 61.72% | 17 | |
| 2019-12-17 | 2020-01-09 | $25.27 | $32.09 | 28.74% | 16 | |
| 2019-11-29 | 2019-12-09 | $22.00 | $22.64 | 1.19% | 7 | |
| 2019-11-11 | 2019-11-25 | $23.01 | $22.42 | -1.41% | 11 | |
| 2019-10-29 | 2019-11-08 | $21.08 | $22.48 | 2.18% | 9 | |
| 2019-10-25 | 2019-10-28 | $21.88 | $21.85 | 9.28% | 2 | |
| 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 | |
| 2019-06-18 | 2019-07-22 | $14.98 | $17.05 | 14.50% | 24 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2018-12-13 | 2018-12-21 | $25.12 | $21.32 | -14.14% | 7 | |
| 2018-11-29 | 2018-12-10 | $22.74 | $24.34 | 2.70% | 7 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-10-04 | 2018-10-09 | $18.79 | $17.52 | -15.18% | 4 | |
| 2018-08-22 | 2018-08-28 | $21.44 | $20.79 | -1.02% | 5 | |
| 2018-08-09 | 2018-08-20 | $23.50 | $20.56 | -17.68% | 8 | |
| 2018-08-03 | 2018-08-08 | $23.21 | $24.69 | 8.37% | 4 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-06-07 | 2018-06-12 | $21.07 | $22.85 | 3.73% | 4 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-09-18 | 2017-10-17 | $25.67 | $23.72 | -7.87% | 22 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | 1.44% | 15 | |
| 2017-06-13 | 2017-07-07 | $25.06 | $20.88 | -14.15% | 18 | |
| 2017-05-11 | 2017-06-12 | $21.54 | $23.93 | 9.65% | 22 | |
| 2017-03-28 | 2017-05-05 | $18.50 | $20.56 | 9.12% | 28 | |
| 2017-02-13 | 2017-02-24 | $18.71 | $17.13 | -5.10% | 9 | |
| 2017-01-05 | 2017-02-10 | $15.12 | $17.95 | 18.36% | 26 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 10.57% | 10 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -6.63% | 26 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-08 | 2016-05-04 | $16.67 | $14.84 | -9.86% | 19 | |
| 2016-04-05 | 2016-04-07 | $17.03 | $17.15 | 7.25% | 3 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 2.12% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 18.67% | 12 | |
| 2015-12-03 | 2015-12-29 | $15.51 | $15.81 | -1.51% | 18 | |
| 2015-11-19 | 2015-12-02 | $14.79 | $15.47 | 7.08% | 9 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-05-11 | 2015-07-22 | $15.97 | $17.86 | 12.52% | 51 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-23 | 2015-04-28 | $14.57 | $15.37 | 5.31% | 4 | |
| 2015-04-08 | 2015-04-14 | $13.84 | $13.83 | 3.01% | 5 | |
| 2015-02-13 | 2015-03-06 | $13.58 | $12.93 | -1.31% | 15 | |
| 2015-02-10 | 2015-02-12 | $14.42 | $13.53 | -2.35% | 3 | |
| 2014-09-09 | 2014-09-16 | $18.57 | $17.38 | -10.19% | 6 | |
| 2014-08-05 | 2014-09-08 | $15.90 | $18.81 | 16.06% | 24 | |
| 2014-06-23 | 2014-08-04 | $15.81 | $15.90 | 1.40% | 30 | |
| 2014-02-27 | 2014-03-26 | $16.84 | $14.20 | -13.04% | 20 | |
| 2014-02-24 | 2014-02-26 | $14.51 | $16.87 | 18.09% | 3 | |
| 2014-01-24 | 2014-02-21 | $11.64 | $13.97 | 15.45% | 20 | |
| 2013-10-07 | 2013-10-24 | $12.20 | $11.54 | -9.29% | 14 | |
| 2013-08-28 | 2013-10-04 | $11.10 | $12.07 | 3.56% | 27 | |
| 2013-08-09 | 2013-08-27 | $10.20 | $11.13 | 6.78% | 13 | |
| 2013-07-18 | 2013-08-08 | $7.94 | $10.23 | 11.40% | 16 | |
| 2013-05-15 | 2013-07-17 | $5.66 | $8.02 | 30.75% | 44 | |
| 2013-05-13 | 2013-05-14 | $5.85 | $5.55 | 14.17% | 2 | |
| 2013-04-05 | 2013-05-10 | $2.76 | $5.12 | 64.87% | 26 | |
| 2013-04-03 | 2013-04-04 | $2.74 | $2.80 | -7.50% | 2 | |
| 2013-03-26 | 2013-04-02 | $2.52 | $2.96 | 16.82% | 5 |