Strategy Zoo / S0346
PriceMomentum_V0346
ARCHIVEDmomentumstructuralreduce exposure to 32% during HIGH_VOLATILITY
Fitness
0.5490
Generation
16
Complexity
5
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> -0.1003
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0346 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.05:
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68
if regime.volatility == "HIGH_VOLATILITY": position *= 0.32Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 12.7% | 57.5% | 11.9% | 20.7% |
| Total Return | 160.3% | 290.6% | 51.4% | 1485.4% |
| Sharpe | 0.66 | 1.70 | 0.58 | 0.90 |
| Sortino | 0.63 | 1.94 | 0.47 | 0.86 |
| Calmar | 0.27 | 1.86 | 0.31 | 0.44 |
| Volatility | 21.8% | 29.3% | 24.8% | 24.3% |
| Max DD | -46.9% | -30.9% | -38.2% | -46.9% |
| Win Rate | 48.6% | 42.9% | 60.0% | 50.7% |
| Avg Win | 11.4% | 38.1% | 8.9% | 16.2% |
| Avg Loss | -5.0% | -5.7% | -7.4% | -5.7% |
| Payoff | 2.30 | 6.66 | 1.20 | 2.85 |
| Expectancy | 3.0% | 13.1% | 2.4% | 5.4% |
| Profit Factor | 2.18 | 4.99 | 1.81 | 2.93 |
| Trades | 37 | 14 | 20 | 71 |
| Avg Holding Days | 24.9 | 27.9 | 16.7 | 23.8 |
| Turnover | 10.6 | 9.0 | 11.1 | 10.4 |
| Exposure | 33.0% | 31.7% | 24.4% | 30.6% |
Growth of $100
PriceMomentum_V0346 vs TSLA Buy & Hold
PriceMomentum_V0346 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 | 2.0% | 0.22 | -19.1% | 6 |
| 2017 | 11.5% | 0.61 | -20.6% | 3 |
| 2018 | -19.0% | -1.42 | -20.7% | 8 |
| 2019 | 23.2% | 1.18 | -17.5% | 4 |
| 2020 | 263.0% | 3.65 | -13.4% | 4 |
| 2021 | 29.0% | 1.05 | -23.4% | 3 |
| 2022 | -19.0% | -1.03 | -21.5% | 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 | -0.3% | -0.01 | 25% |
| hidden test | EXPENSIVE | 83 | 66.3% | 1.94 | 48% |
| hidden test | EXTREME | 48 | 80.3% | 2.46 | 32% |
| hidden test | HIGH VOLATILITY | 254 | 2.6% | 0.13 | 15% |
| hidden test | LOW VOLATILITY | 429 | 38.2% | 1.62 | 28% |
| hidden test | MEDIUM VOLATILITY | 248 | -15.0% | -0.50 | 28% |
| hidden test | NORMAL | 800 | 5.0% | 0.22 | 21% |
| hidden test | SIDEWAYS | 293 | -1.2% | -0.11 | 3% |
| hidden test | UPTREND | 371 | 37.1% | 1.14 | 41% |
| train | DOWNTREND | 518 | -0.8% | -0.05 | 21% |
| train | EXPENSIVE | 311 | 33.4% | 1.18 | 46% |
| train | EXTREME | 100 | 165.5% | 5.19 | 47% |
| train | HIGH VOLATILITY | 699 | 15.5% | 0.78 | 13% |
| train | LOW VOLATILITY | 745 | 32.4% | 1.39 | 52% |
| train | MEDIUM VOLATILITY | 568 | -10.7% | -0.48 | 32% |
| train | NORMAL | 1,601 | 1.2% | 0.06 | 30% |
| train | SIDEWAYS | 592 | -1.7% | -0.22 | 3% |
| train | UPTREND | 902 | 33.6% | 1.14 | 60% |
| validation | DOWNTREND | 125 | 35.6% | 2.09 | 9% |
| validation | EXPENSIVE | 138 | 51.1% | 1.37 | 57% |
| validation | EXTREME | 144 | 203.6% | 5.37 | 39% |
| validation | HIGH VOLATILITY | 258 | 52.3% | 1.96 | 17% |
| validation | LOW VOLATILITY | 183 | 26.5% | 1.03 | 50% |
| validation | MEDIUM VOLATILITY | 315 | 61.0% | 1.84 | 33% |
| validation | NORMAL | 474 | 2.5% | 0.11 | 22% |
| validation | SIDEWAYS | 206 | -24.0% | -2.03 | 3% |
| validation | UPTREND | 425 | 89.5% | 2.43 | 52% |
Trades (full period)
72 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 4.40% | 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 | 6.17% | 14 | |
| 2025-12-15 | 2026-01-13 | $475.31 | $447.20 | -2.37% | 20 | |
| 2025-09-12 | 2025-11-21 | $395.94 | $391.09 | 7.20% | 51 | |
| 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 | -2.43% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -9.43% | 11 | |
| 2025-04-29 | 2025-05-12 | $292.03 | $318.38 | 1.37% | 10 | |
| 2025-04-08 | 2025-04-23 | $221.86 | $250.74 | 1.22% | 11 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 15.26% | 48 | |
| 2024-10-03 | 2024-10-22 | $240.66 | $217.97 | -12.84% | 14 | |
| 2024-09-04 | 2024-09-27 | $219.41 | $260.46 | 10.99% | 18 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 9.95% | 23 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -2.83% | 21 | |
| 2024-04-15 | 2024-04-19 | $161.48 | $147.05 | -11.81% | 5 | |
| 2024-02-26 | 2024-03-15 | $199.40 | $163.57 | -15.52% | 15 | |
| 2023-06-02 | 2023-08-03 | $213.97 | $259.32 | 23.90% | 43 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 12.73% | 13 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 3 | |
| 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 | |
| 2022-07-14 | 2022-08-02 | $238.31 | $300.59 | 20.07% | 14 | |
| 2022-06-22 | 2022-07-05 | $236.09 | $233.07 | -1.34% | 9 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -16.47% | 16 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -4.44% | 12 | |
| 2021-08-24 | 2021-12-03 | $236.16 | $338.32 | 44.62% | 72 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 23.65% | 64 | |
| 2020-10-07 | 2020-11-13 | $141.77 | $136.17 | -4.08% | 28 | |
| 2020-05-15 | 2020-09-30 | $53.28 | $143.00 | 84.07% | 96 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 7.18% | 13 | |
| 2019-10-25 | 2020-03-05 | $21.88 | $48.30 | 91.16% | 90 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.05% | 2 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 3.91% | 13 | |
| 2019-06-18 | 2019-07-22 | $14.98 | $17.05 | 15.62% | 24 | |
| 2019-04-04 | 2019-04-29 | $17.85 | $16.10 | -16.75% | 17 | |
| 2018-11-29 | 2018-12-26 | $22.74 | $21.74 | -7.61% | 18 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.14% | 2 | |
| 2018-10-04 | 2018-10-09 | $18.79 | $17.52 | -5.04% | 4 | |
| 2018-08-22 | 2018-08-28 | $21.44 | $20.79 | -0.32% | 5 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -4.02% | 12 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -4.29% | 14 | |
| 2018-04-27 | 2018-06-12 | $19.61 | $22.85 | 6.55% | 32 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -5.21% | 4 | |
| 2017-09-18 | 2017-10-25 | $25.67 | $21.72 | -9.75% | 28 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | 1.68% | 15 | |
| 2017-01-05 | 2017-07-07 | $15.12 | $20.88 | 21.41% | 127 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 9.89% | 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 | |
| 2016-04-05 | 2016-05-05 | $17.03 | $14.10 | -9.88% | 23 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 1.44% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 7.44% | 12 | |
| 2015-12-03 | 2015-12-29 | $15.51 | $15.81 | -0.39% | 18 | |
| 2015-11-19 | 2015-12-02 | $14.79 | $15.47 | 2.25% | 9 | |
| 2015-05-11 | 2015-08-12 | $15.97 | $15.88 | 6.75% | 66 | |
| 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 | |
| 2015-02-10 | 2015-03-09 | $14.42 | $12.73 | -11.03% | 19 | |
| 2014-06-23 | 2014-10-01 | $15.81 | $16.02 | 7.97% | 71 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 12.63% | 43 | |
| 2013-03-26 | 2013-10-24 | $2.52 | $11.54 | 92.82% | 149 | |
| 2012-12-18 | 2013-03-20 | $2.31 | $2.40 | 2.05% | 63 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-10-03 | 2012-10-15 | $1.95 | $1.82 | -4.46% | 9 | |
| 2012-08-30 | 2012-09-12 | $1.89 | $1.89 | -2.30% | 9 | |
| 2012-02-23 | 2012-04-25 | $2.30 | $2.19 | -1.63% | 44 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |