Strategy Zoo / S0362
PriceMomentum_V0362
ARCHIVEDhybridcrossoverentry from PriceMomentum_V0298, exit from Breakout20_V0191
Fitness
0.6102
Generation
17
Complexity
12
Created
2026-09-18
Lineage
Parents (2)
added entry filter: dist_sma_20 > -0.0187
changed ret_20d threshold 0.05 -> 0.0923
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0362 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > 0.05 and cumret_252d > -0.1997)):
position = 1.0
if long and close < sma_20:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 16.3% | 86.8% | 12.8% | 27.4% |
| Total Return | 233.5% | 551.8% | 56.0% | 3391.1% |
| Sharpe | 0.69 | 1.60 | 0.57 | 0.91 |
| Sortino | 0.62 | 1.53 | 0.43 | 0.79 |
| Calmar | 0.36 | 2.08 | 0.45 | 0.60 |
| Volatility | 27.1% | 45.7% | 27.8% | 32.0% |
| Max DD | -45.4% | -41.8% | -28.1% | -45.4% |
| Win Rate | 40.0% | 54.5% | 35.7% | 43.0% |
| Avg Win | 13.5% | 18.1% | 11.7% | 15.2% |
| Avg Loss | -3.7% | -4.5% | -3.3% | -3.8% |
| Payoff | 3.64 | 4.00 | 3.55 | 4.02 |
| Expectancy | 3.2% | 7.8% | 2.1% | 4.4% |
| Profit Factor | 2.42 | 4.80 | 1.97 | 3.03 |
| Trades | 60 | 33 | 28 | 121 |
| Avg Holding Days | 10.4 | 10.0 | 8.5 | 10.0 |
| Turnover | 15.2 | 22.0 | 15.2 | 16.5 |
| Exposure | 28.5% | 39.4% | 22.6% | 29.3% |
Growth of $100
PriceMomentum_V0362 vs TSLA Buy & Hold
PriceMomentum_V0362 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 | 30.1% | 2.07 | -7.5% | 6 |
| 2017 | 6.5% | 0.39 | -20.8% | 8 |
| 2018 | -29.4% | -1.53 | -29.3% | 8 |
| 2019 | 17.9% | 1.11 | -8.5% | 5 |
| 2020 | 496.9% | 2.97 | -33.8% | 12 |
| 2021 | 38.3% | 1.19 | -18.3% | 10 |
| 2022 | -24.3% | -1.09 | -32.2% | 11 |
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 | -20.1% | -0.97 | 18% |
| hidden test | EXPENSIVE | 83 | 39.6% | 0.97 | 49% |
| hidden test | EXTREME | 48 | 181.1% | 3.22 | 60% |
| hidden test | HIGH VOLATILITY | 254 | -19.9% | -0.55 | 29% |
| hidden test | LOW VOLATILITY | 429 | 49.8% | 2.50 | 18% |
| hidden test | MEDIUM VOLATILITY | 248 | -6.0% | -0.20 | 23% |
| hidden test | NORMAL | 800 | 3.5% | 0.15 | 18% |
| hidden test | SIDEWAYS | 293 | 8.6% | 1.26 | 2% |
| hidden test | UPTREND | 371 | 47.6% | 1.19 | 42% |
| train | DOWNTREND | 518 | 2.8% | 0.32 | 8% |
| train | EXPENSIVE | 311 | 23.8% | 0.67 | 57% |
| train | EXTREME | 100 | 359.6% | 4.96 | 93% |
| train | HIGH VOLATILITY | 699 | 47.9% | 1.30 | 28% |
| train | LOW VOLATILITY | 745 | 13.2% | 0.72 | 35% |
| train | MEDIUM VOLATILITY | 568 | -10.1% | -0.46 | 20% |
| train | NORMAL | 1,601 | -3.6% | -0.20 | 19% |
| train | SIDEWAYS | 592 | -2.1% | -0.23 | 3% |
| train | UPTREND | 902 | 41.4% | 1.06 | 57% |
| validation | DOWNTREND | 125 | 45.2% | 2.08 | 12% |
| validation | EXPENSIVE | 138 | 38.7% | 0.75 | 58% |
| validation | EXTREME | 144 | 343.3% | 4.43 | 82% |
| validation | HIGH VOLATILITY | 258 | 76.1% | 1.21 | 41% |
| validation | LOW VOLATILITY | 183 | 29.3% | 1.57 | 32% |
| validation | MEDIUM VOLATILITY | 315 | 95.7% | 2.39 | 42% |
| validation | NORMAL | 474 | 0.8% | 0.03 | 21% |
| validation | SIDEWAYS | 206 | -6.4% | -0.71 | 2% |
| validation | UPTREND | 425 | 119.6% | 2.01 | 66% |
Trades (full period)
latest 100 of 121
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-16 | $348.95 | $358.08 | -1.93% | 17 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-05 | 2026-05-08 | $389.37 | $428.35 | 4.70% | 4 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | -0.05% | 11 | |
| 2025-11-03 | 2025-11-10 | $468.37 | $445.23 | -6.11% | 6 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-09-12 | 2025-10-13 | $395.94 | $435.90 | 11.90% | 22 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-05-22 | 2025-06-05 | $341.04 | $284.70 | -0.96% | 10 | |
| 2025-04-30 | 2025-05-12 | $282.16 | $318.38 | 1.93% | 9 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -5.14% | 2 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -7.47% | 2 | |
| 2025-01-07 | 2025-01-08 | $394.36 | $394.94 | -4.26% | 2 | |
| 2025-01-03 | 2025-01-06 | $410.44 | $411.05 | 8.01% | 2 | |
| 2024-11-07 | 2025-01-02 | $296.91 | $379.28 | 39.69% | 38 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-03 | 2024-10-08 | $240.66 | $244.50 | -3.49% | 4 | |
| 2024-09-11 | 2024-09-27 | $228.13 | $260.46 | 12.18% | 13 | |
| 2024-09-05 | 2024-09-09 | $230.17 | $216.27 | -4.14% | 3 | |
| 2024-07-30 | 2024-07-31 | $222.62 | $232.07 | -4.28% | 2 | |
| 2024-07-26 | 2024-07-29 | $219.80 | $232.10 | -0.40% | 2 | |
| 2024-07-02 | 2024-07-25 | $231.26 | $220.25 | 2.72% | 17 | |
| 2024-04-30 | 2024-05-24 | $183.28 | $179.24 | -10.65% | 19 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.55% | 2 | |
| 2023-06-02 | 2023-07-21 | $213.97 | $260.02 | 26.44% | 34 | |
| 2023-05-24 | 2023-05-31 | $182.90 | $203.93 | 8.07% | 5 | |
| 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 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -1.22% | 4 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -5.15% | 2 | |
| 2022-04-18 | 2022-04-19 | $334.76 | $342.72 | 1.76% | 2 | |
| 2022-04-13 | 2022-04-14 | $340.79 | $328.33 | 3.39% | 2 | |
| 2022-04-05 | 2022-04-12 | $363.75 | $328.98 | -14.97% | 6 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -2.02% | 2 | |
| 2022-01-12 | 2022-01-14 | $368.74 | $349.87 | -3.28% | 3 | |
| 2022-01-04 | 2022-01-10 | $383.20 | $352.71 | -14.58% | 5 | |
| 2021-11-26 | 2021-11-29 | $360.64 | $379.00 | -3.25% | 2 | |
| 2021-11-18 | 2021-11-24 | $365.46 | $372.00 | 1.64% | 5 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.88% | 2 | |
| 2021-09-23 | 2021-11-15 | $251.21 | $337.80 | 37.16% | 38 | |
| 2021-09-08 | 2021-09-21 | $251.29 | $246.46 | -3.22% | 10 | |
| 2021-08-24 | 2021-08-27 | $236.16 | $237.31 | -0.93% | 4 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -3.67% | 9 | |
| 2021-02-02 | 2021-02-10 | $290.93 | $268.27 | 0.95% | 7 | |
| 2020-11-19 | 2021-02-01 | $166.42 | $279.94 | 62.74% | 49 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.54% | 2 | |
| 2020-10-07 | 2020-10-21 | $141.77 | $140.88 | 1.72% | 11 | |
| 2020-09-14 | 2020-09-24 | $139.87 | $129.26 | 1.86% | 9 | |
| 2020-09-10 | 2020-09-11 | $123.78 | $124.24 | 1.18% | 2 | |
| 2020-08-14 | 2020-09-09 | $110.05 | $122.09 | 1.65% | 18 | |
| 2020-08-06 | 2020-08-07 | $99.31 | $96.85 | 0.11% | 2 | |
| 2020-08-04 | 2020-08-05 | $99.13 | $99.00 | -0.07% | 2 | |
| 2020-05-15 | 2020-08-03 | $53.28 | $99.00 | 77.75% | 55 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-03-03 | 2020-03-04 | $49.70 | $49.97 | 0.05% | 2 | |
| 2020-02-28 | 2020-03-02 | $44.53 | $49.57 | -1.82% | 2 | |
| 2019-12-17 | 2020-02-27 | $25.27 | $45.27 | 103.73% | 49 | |
| 2019-12-03 | 2019-12-04 | $22.41 | $22.20 | 0.20% | 2 | |
| 2019-11-29 | 2019-12-02 | $22.00 | $22.32 | -0.61% | 2 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-09-27 | 2019-10-04 | $16.14 | $15.43 | -4.12% | 6 | |
| 2019-07-16 | 2019-07-22 | $16.83 | $17.05 | 1.64% | 5 | |
| 2018-12-06 | 2018-12-18 | $24.20 | $22.47 | -3.33% | 9 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -2.12% | 2 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-08-27 | 2018-08-28 | $21.28 | $20.79 | -1.30% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-15 | 2018-07-03 | $23.88 | $20.72 | -6.52% | 13 | |
| 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 | 2017-09-25 | $25.67 | $23.00 | -7.75% | 6 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.09% | 12 | |
| 2017-07-03 | 2017-07-05 | $23.51 | $21.81 | -2.68% | 2 | |
| 2017-06-29 | 2017-06-30 | $24.05 | $24.11 | -3.02% | 2 | |
| 2017-06-01 | 2017-06-28 | $22.69 | $24.75 | 6.05% | 20 | |
| 2017-05-11 | 2017-05-18 | $21.54 | $20.87 | -6.06% | 6 | |
| 2017-03-28 | 2017-05-05 | $18.50 | $20.56 | 9.12% | 28 | |
| 2017-01-05 | 2017-02-24 | $15.12 | $17.13 | 12.55% | 35 | |
| 2016-12-20 | 2016-12-28 | $13.92 | $14.65 | 8.07% | 6 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.87% | 11 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-04-29 | $17.03 | $16.05 | 0.09% | 19 | |
| 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 | |
| 2015-12-17 | 2015-12-29 | $15.56 | $15.81 | -2.57% | 8 | |
| 2015-12-03 | 2015-12-14 | $15.51 | $14.57 | -6.64% | 8 | |
| 2015-11-30 | 2015-12-02 | $15.35 | $15.47 | 2.20% | 3 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-05-11 | 2015-07-09 | $15.97 | $17.19 | 7.54% | 42 | |
| 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 | |
| 2015-04-13 | 2015-04-14 | $13.99 | $13.83 | -0.73% | 2 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-07-15 | 2014-07-16 | $14.64 | $14.48 | -3.34% | 2 | |
| 2014-07-11 | 2014-07-14 | $14.54 | $15.11 | -0.81% | 2 |