Strategy Zoo / S0345
PriceMomentum_V0345
ARCHIVEDhybridstructuralchanged ret_20d threshold 0.05 -> 0.0846; swapped indicator ret_20d -> ret_60d
Fitness
0.5023
Generation
16
Complexity
15
Created
2026-09-18
Lineage
Parents (1)
entry = PriceMomentum_V0267 AND LongTermTrend_V0182
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0345 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.1146 and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0846) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05)):
position = 1.0
if long and ret_60d < -0.0636:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 28.5% | 36.9% | 4.7% | 23.9% |
| Total Return | 640.1% | 156.8% | 18.6% | 2220.5% |
| Sharpe | 1.00 | 0.89 | 0.30 | 0.79 |
| Sortino | 1.03 | 0.81 | 0.27 | 0.72 |
| Calmar | 0.91 | 0.61 | 0.11 | 0.39 |
| Volatility | 29.1% | 49.5% | 30.6% | 34.6% |
| Max DD | -31.4% | -60.7% | -43.8% | -60.7% |
| Win Rate | 61.5% | 50.0% | 39.1% | 52.4% |
| Avg Win | 24.3% | 27.1% | 9.1% | 20.4% |
| Avg Loss | -5.4% | -6.3% | -4.2% | -4.5% |
| Payoff | 4.49 | 4.32 | 2.19 | 4.54 |
| Expectancy | 12.9% | 10.4% | 1.0% | 8.6% |
| Profit Factor | 7.19 | 4.32 | 1.41 | 4.99 |
| Trades | 26 | 14 | 23 | 63 |
| Avg Holding Days | 30.9 | 27.5 | 14.6 | 25.0 |
| Turnover | 9.0 | 10.2 | 14.9 | 10.7 |
| Exposure | 37.3% | 41.7% | 30.3% | 36.5% |
Growth of $100
PriceMomentum_V0345 vs TSLA Buy & Hold
PriceMomentum_V0345 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 | -4.3% | -0.23 | -21.7% | 8 |
| 2017 | 39.3% | 1.44 | -16.8% | 1 |
| 2018 | -23.4% | -1.23 | -27.3% | 4 |
| 2019 | 45.6% | 2.18 | -8.5% | 3 |
| 2020 | 174.5% | 1.71 | -60.7% | 3 |
| 2021 | 20.1% | 0.74 | -29.8% | 1 |
| 2022 | -30.8% | -1.97 | -30.7% | 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 | -13.1% | -0.96 | 6% |
| hidden test | EXPENSIVE | 83 | -0.6% | -0.01 | 68% |
| hidden test | EXTREME | 48 | 175.2% | 2.89 | 94% |
| hidden test | HIGH VOLATILITY | 254 | 2.9% | 0.07 | 37% |
| hidden test | LOW VOLATILITY | 429 | 25.2% | 1.12 | 27% |
| hidden test | MEDIUM VOLATILITY | 248 | -11.7% | -0.37 | 30% |
| hidden test | NORMAL | 800 | 0.4% | 0.01 | 23% |
| hidden test | SIDEWAYS | 293 | -12.3% | -1.00 | 3% |
| hidden test | UPTREND | 371 | 42.4% | 0.93 | 70% |
| train | DOWNTREND | 518 | 5.3% | 1.01 | 4% |
| train | EXPENSIVE | 311 | 41.3% | 1.07 | 73% |
| train | EXTREME | 100 | 400.8% | 5.56 | 94% |
| train | HIGH VOLATILITY | 699 | 50.1% | 1.32 | 34% |
| train | LOW VOLATILITY | 745 | 29.0% | 1.27 | 47% |
| train | MEDIUM VOLATILITY | 568 | 3.8% | 0.16 | 29% |
| train | NORMAL | 1,601 | 3.7% | 0.18 | 27% |
| train | SIDEWAYS | 592 | -4.0% | -0.36 | 3% |
| train | UPTREND | 902 | 64.7% | 1.54 | 79% |
| validation | DOWNTREND | 125 | 14.0% | 2.05 | 2% |
| validation | EXPENSIVE | 138 | -26.7% | -0.44 | 69% |
| validation | EXTREME | 144 | 297.6% | 3.68 | 83% |
| validation | HIGH VOLATILITY | 258 | 54.8% | 0.75 | 51% |
| validation | LOW VOLATILITY | 183 | 31.4% | 1.40 | 34% |
| validation | MEDIUM VOLATILITY | 315 | 42.0% | 1.22 | 39% |
| validation | NORMAL | 474 | -12.7% | -0.46 | 21% |
| validation | SIDEWAYS | 206 | -39.4% | -1.83 | 3% |
| validation | UPTREND | 425 | 92.9% | 1.45 | 72% |
Trades (full period)
63 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.91% | 2 | |
| 2026-08-26 | 2026-08-27 | $345.82 | $354.81 | -1.46% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 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 | |
| 2025-09-15 | 2026-01-13 | $410.04 | $447.20 | 8.47% | 84 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -9.43% | 11 | |
| 2025-05-08 | 2025-05-09 | $284.82 | $298.26 | 2.91% | 2 | |
| 2025-05-06 | 2025-05-07 | $275.35 | $276.22 | -1.95% | 2 | |
| 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 | 2025-02-24 | $296.91 | $330.53 | 14.78% | 72 | |
| 2024-10-07 | 2024-10-14 | $240.83 | $219.16 | -13.09% | 6 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.42% | 2 | |
| 2024-07-02 | 2024-09-27 | $231.26 | $260.46 | 14.18% | 62 | |
| 2024-05-21 | 2024-05-22 | $186.60 | $180.11 | 6.45% | 2 | |
| 2024-05-17 | 2024-05-20 | $177.46 | $174.95 | 1.30% | 2 | |
| 2024-05-15 | 2024-05-16 | $173.99 | $174.84 | -2.20% | 2 | |
| 2023-06-02 | 2023-09-05 | $213.97 | $256.49 | 19.46% | 65 | |
| 2023-05-26 | 2023-05-31 | $193.17 | $203.93 | 8.83% | 3 | |
| 2023-05-24 | 2023-05-25 | $182.90 | $184.47 | -1.74% | 2 | |
| 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 | |
| 2022-08-01 | 2022-08-02 | $297.28 | $300.59 | -0.11% | 2 | |
| 2022-07-28 | 2022-07-29 | $280.90 | $297.15 | 1.37% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-07-19 | 2022-07-20 | $245.53 | $247.50 | 1.27% | 2 | |
| 2022-06-24 | 2022-06-27 | $245.71 | $244.92 | 4.32% | 2 | |
| 2022-04-12 | 2022-04-27 | $328.98 | $293.84 | -6.93% | 11 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -7.32% | 5 | |
| 2021-09-16 | 2022-01-20 | $252.33 | $332.09 | 29.34% | 88 | |
| 2020-11-19 | 2021-03-08 | $166.42 | $187.67 | 9.83% | 73 | |
| 2020-05-20 | 2020-11-13 | $54.37 | $136.17 | 120.68% | 125 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-19 | $21.88 | $28.51 | 13.02% | 100 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 3.91% | 13 | |
| 2019-07-18 | 2019-07-22 | $16.90 | $17.05 | 1.10% | 3 | |
| 2019-07-16 | 2019-07-17 | $16.83 | $16.99 | -0.64% | 2 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-05-01 | 2018-05-02 | $19.99 | $20.08 | 1.85% | 2 | |
| 2017-01-05 | 2017-08-24 | $15.12 | $23.53 | 39.15% | 161 | |
| 2016-12-21 | 2016-12-28 | $13.85 | $14.65 | 5.11% | 5 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -6.63% | 26 | |
| 2016-04-05 | 2016-06-02 | $17.03 | $14.60 | -11.64% | 42 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 1.44% | 2 | |
| 2016-03-17 | 2016-03-21 | $15.09 | $15.89 | 3.16% | 3 | |
| 2016-03-10 | 2016-03-16 | $13.68 | $14.80 | 4.40% | 5 | |
| 2016-03-08 | 2016-03-09 | $13.51 | $13.91 | -1.51% | 2 | |
| 2016-03-04 | 2016-03-07 | $13.40 | $13.69 | 2.51% | 2 | |
| 2015-05-11 | 2015-08-18 | $15.97 | $17.38 | 10.58% | 70 | |
| 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 | |
| 2014-06-23 | 2014-10-22 | $15.81 | $15.41 | 5.54% | 86 | |
| 2014-01-24 | 2014-05-08 | $11.64 | $11.91 | 6.17% | 73 | |
| 2013-01-29 | 2013-11-12 | $2.53 | $9.19 | 295.04% | 201 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-02-23 | 2012-05-04 | $2.30 | $2.12 | 0.29% | 51 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 | |
| 2012-01-04 | 2012-01-06 | $1.85 | $1.79 | -3.61% | 3 |