Strategy Zoo / S0350
PriceMomentum_V0350
ARCHIVEDhybridstructuraladded exit filter: vol_chg < 0.2597; changed ret_20d threshold -0.03 -> 0.0558
Fitness
0.2868
Generation
16
Complexity
8
Created
2026-09-18
Lineage
Parents (1)
swapped indicator vol_chg -> rel_volume; removed entry condition: ret_20d > 0.05
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0350 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (rel_volume > 2.5844 or ret_20d > 0.05):
position = 1.0
if long and (ret_20d < 0.0558 or vol_chg < 0.2597):
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 11.7% | 14.5% | 6.3% | 11.1% |
| Total Return | 141.5% | 50.2% | 25.3% | 366.4% |
| Sharpe | 0.57 | 0.57 | 0.37 | 0.53 |
| Sortino | 0.59 | 0.48 | 0.27 | 0.46 |
| Calmar | 0.34 | 0.40 | 0.21 | 0.30 |
| Volatility | 24.2% | 34.1% | 24.6% | 26.6% |
| Max DD | -34.8% | -36.7% | -29.5% | -36.7% |
| Win Rate | 49.1% | 56.4% | 56.8% | 52.7% |
| Avg Win | 2.8% | 3.0% | 2.8% | 2.9% |
| Avg Loss | -1.9% | -3.0% | -3.0% | -2.4% |
| Payoff | 1.47 | 1.03 | 0.93 | 1.21 |
| Expectancy | 0.4% | 0.4% | 0.3% | 0.4% |
| Profit Factor | 1.42 | 1.33 | 1.22 | 1.35 |
| Trades | 283 | 133 | 111 | 528 |
| Avg Holding Days | 2.4 | 2.4 | 2.4 | 2.4 |
| Turnover | 66.6 | 76.3 | 57.0 | 66.3 |
| Exposure | 18.7% | 21.2% | 15.3% | 18.4% |
Growth of $100
PriceMomentum_V0350 vs TSLA Buy & Hold
PriceMomentum_V0350 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 | 9.4% | 0.98 | -9.8% | 27 |
| 2017 | 0.6% | 0.12 | -18.1% | 46 |
| 2018 | -8.3% | -0.27 | -22.1% | 25 |
| 2019 | -7.1% | -0.32 | -15.4% | 30 |
| 2020 | 68.9% | 1.24 | -36.7% | 70 |
| 2021 | -2.3% | -0.03 | -23.0% | 43 |
| 2022 | -11.2% | -0.82 | -15.2% | 20 |
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 | -10.5% | -0.43 | 17% |
| hidden test | EXPENSIVE | 83 | 54.1% | 1.62 | 30% |
| hidden test | EXTREME | 48 | 66.5% | 1.44 | 35% |
| hidden test | HIGH VOLATILITY | 254 | -2.2% | -0.07 | 21% |
| hidden test | LOW VOLATILITY | 429 | 29.7% | 1.63 | 13% |
| hidden test | MEDIUM VOLATILITY | 248 | -14.9% | -0.61 | 13% |
| hidden test | NORMAL | 800 | 1.0% | 0.05 | 13% |
| hidden test | SIDEWAYS | 293 | -1.9% | -0.45 | 2% |
| hidden test | UPTREND | 371 | 31.9% | 0.98 | 25% |
| train | DOWNTREND | 518 | 4.7% | 0.29 | 10% |
| train | EXPENSIVE | 311 | 6.1% | 0.23 | 34% |
| train | EXTREME | 100 | 223.9% | 3.42 | 58% |
| train | HIGH VOLATILITY | 699 | 40.3% | 1.14 | 20% |
| train | LOW VOLATILITY | 745 | 9.5% | 0.63 | 23% |
| train | MEDIUM VOLATILITY | 568 | -13.0% | -0.83 | 12% |
| train | NORMAL | 1,601 | 2.2% | 0.12 | 13% |
| train | SIDEWAYS | 592 | 4.2% | 0.33 | 2% |
| train | UPTREND | 902 | 25.3% | 0.79 | 34% |
| validation | DOWNTREND | 125 | 24.6% | 2.36 | 5% |
| validation | EXPENSIVE | 138 | -0.0% | -0.00 | 25% |
| validation | EXTREME | 144 | 115.1% | 1.82 | 49% |
| validation | HIGH VOLATILITY | 258 | 21.4% | 0.41 | 27% |
| validation | LOW VOLATILITY | 183 | -2.3% | -0.17 | 19% |
| validation | MEDIUM VOLATILITY | 315 | 30.6% | 1.46 | 17% |
| validation | NORMAL | 474 | -3.9% | -0.26 | 12% |
| validation | SIDEWAYS | 206 | -10.6% | -1.67 | 1% |
| validation | UPTREND | 425 | 32.5% | 0.73 | 36% |
Trades (full period)
latest 100 of 528
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-16 | 2026-09-17 | $358.08 | $366.20 | 0.15% | 2 | |
| 2026-09-14 | 2026-09-15 | $358.97 | $356.58 | -1.34% | 2 | |
| 2026-09-10 | 2026-09-11 | $363.56 | $365.44 | -0.92% | 2 | |
| 2026-09-03 | 2026-09-09 | $376.37 | $367.81 | 1.66% | 4 | |
| 2026-08-31 | 2026-09-02 | $367.95 | $357.01 | 1.91% | 3 | |
| 2026-08-27 | 2026-08-28 | $354.81 | $348.75 | 2.40% | 2 | |
| 2026-08-21 | 2026-08-26 | $362.86 | $345.82 | 1.29% | 4 | |
| 2026-07-24 | 2026-07-27 | $313.03 | $309.22 | -2.28% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-06 | 2026-05-07 | $398.73 | $411.79 | 2.20% | 2 | |
| 2026-05-04 | 2026-05-05 | $392.51 | $389.37 | 0.23% | 2 | |
| 2026-04-29 | 2026-04-30 | $372.80 | $381.63 | -1.06% | 2 | |
| 2026-04-21 | 2026-04-22 | $386.42 | $387.51 | -1.19% | 2 | |
| 2025-12-30 | 2025-12-31 | $454.43 | $449.72 | -1.33% | 2 | |
| 2025-12-26 | 2025-12-29 | $475.19 | $459.64 | -2.30% | 2 | |
| 2025-12-23 | 2025-12-24 | $485.56 | $485.40 | -0.85% | 2 | |
| 2025-12-15 | 2025-12-22 | $475.31 | $488.73 | 4.64% | 6 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.51% | 2 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 1.62% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.45% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.17% | 2 | |
| 2025-10-10 | 2025-10-13 | $413.49 | $435.90 | -3.58% | 2 | |
| 2025-10-08 | 2025-10-09 | $438.69 | $435.54 | 0.74% | 2 | |
| 2025-10-02 | 2025-10-07 | $436.00 | $433.09 | -2.74% | 4 | |
| 2025-09-30 | 2025-10-01 | $444.72 | $459.46 | 0.14% | 2 | |
| 2025-09-26 | 2025-09-29 | $440.40 | $443.21 | 2.59% | 2 | |
| 2025-09-24 | 2025-09-25 | $442.79 | $423.39 | 3.77% | 2 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.71% | 2 | |
| 2025-09-12 | 2025-09-19 | $395.94 | $426.07 | 12.81% | 6 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-07 | 2025-08-08 | $322.27 | $329.65 | 0.54% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.43% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.55% | 2 | |
| 2025-05-30 | 2025-06-03 | $346.46 | $344.27 | -4.25% | 3 | |
| 2025-05-27 | 2025-05-29 | $362.89 | $358.43 | 5.53% | 3 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.17% | 2 | |
| 2025-05-07 | 2025-05-08 | $276.22 | $284.82 | 0.12% | 2 | |
| 2025-05-05 | 2025-05-06 | $280.26 | $275.35 | -2.62% | 2 | |
| 2025-05-01 | 2025-05-02 | $280.52 | $287.21 | -0.78% | 2 | |
| 2025-04-29 | 2025-04-30 | $292.03 | $282.16 | 1.95% | 2 | |
| 2025-04-15 | 2025-04-16 | $254.11 | $241.55 | 0.50% | 2 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -7.47% | 2 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2025-01-07 | 2025-01-08 | $394.36 | $394.94 | -4.26% | 2 | |
| 2025-01-02 | 2025-01-06 | $379.28 | $411.05 | 1.42% | 3 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.50% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.96% | 2 | |
| 2024-12-18 | 2024-12-24 | $440.13 | $462.28 | -9.22% | 5 | |
| 2024-12-16 | 2024-12-17 | $463.02 | $479.86 | 5.94% | 2 | |
| 2024-12-11 | 2024-12-13 | $424.77 | $436.23 | 2.78% | 3 | |
| 2024-12-06 | 2024-12-10 | $389.22 | $400.99 | 5.29% | 3 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-11-27 | 2024-11-29 | $332.89 | $345.16 | -1.78% | 2 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -4.16% | 2 | |
| 2024-11-21 | 2024-11-22 | $339.64 | $352.56 | -0.90% | 2 | |
| 2024-11-19 | 2024-11-20 | $346.00 | $342.03 | 1.94% | 2 | |
| 2024-11-15 | 2024-11-18 | $320.72 | $338.74 | 2.86% | 2 | |
| 2024-11-07 | 2024-11-14 | $296.91 | $311.18 | 14.23% | 6 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.42% | 2 | |
| 2024-09-20 | 2024-09-26 | $238.25 | $254.22 | 2.67% | 5 | |
| 2024-09-13 | 2024-09-16 | $230.29 | $226.78 | 0.01% | 2 | |
| 2024-09-11 | 2024-09-12 | $228.13 | $229.81 | 0.67% | 2 | |
| 2024-09-04 | 2024-09-10 | $219.41 | $226.17 | 2.60% | 5 | |
| 2024-07-29 | 2024-07-31 | $232.10 | $232.07 | 1.09% | 3 | |
| 2024-07-24 | 2024-07-26 | $215.99 | $219.80 | -10.80% | 3 | |
| 2024-07-22 | 2024-07-23 | $251.51 | $246.38 | 4.94% | 2 | |
| 2024-07-18 | 2024-07-19 | $249.23 | $239.20 | 0.09% | 2 | |
| 2024-07-16 | 2024-07-17 | $256.56 | $248.50 | 1.35% | 2 | |
| 2024-07-11 | 2024-07-15 | $241.03 | $252.64 | -3.12% | 3 | |
| 2024-07-02 | 2024-07-10 | $231.26 | $263.26 | 19.91% | 6 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-05-22 | 2024-05-23 | $180.11 | $173.74 | -3.67% | 2 | |
| 2024-05-20 | 2024-05-21 | $174.95 | $186.60 | -1.61% | 2 | |
| 2024-05-16 | 2024-05-17 | $174.84 | $177.46 | 0.29% | 2 | |
| 2024-05-14 | 2024-05-15 | $177.55 | $173.99 | 3.09% | 2 | |
| 2024-05-06 | 2024-05-07 | $184.76 | $177.81 | 1.77% | 2 | |
| 2024-05-02 | 2024-05-03 | $180.01 | $181.19 | -0.19% | 2 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -5.79% | 2 | |
| 2024-03-04 | 2024-03-05 | $188.14 | $180.74 | -7.35% | 2 | |
| 2024-02-29 | 2024-03-01 | $201.88 | $202.64 | -0.28% | 2 | |
| 2024-02-26 | 2024-02-27 | $199.40 | $199.73 | 3.67% | 2 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.55% | 2 | |
| 2023-07-19 | 2023-07-21 | $291.26 | $260.02 | -10.56% | 3 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 3.00% | 2 | |
| 2023-07-13 | 2023-07-14 | $277.90 | $281.38 | 1.97% | 2 | |
| 2023-07-11 | 2023-07-12 | $269.79 | $271.99 | -0.09% | 2 | |
| 2023-07-07 | 2023-07-10 | $274.43 | $269.61 | -0.65% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.51% | 2 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-06-26 | 2023-06-27 | $241.05 | $250.21 | -6.25% | 2 | |
| 2023-06-22 | 2023-06-23 | $264.61 | $256.60 | 1.78% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 5.13% | 2 | |
| 2023-06-15 | 2023-06-16 | $255.90 | $260.54 | -0.55% | 2 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 3.35% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 3.86% | 2 |