Strategy Zoo / S0367
PriceMomentum_V0367
ARCHIVEDmomentumstructuralswapped indicator ret_20d -> ret_5d
Fitness
0.5762
Generation
17
Complexity
4
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1146
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0367 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_5d > 0.1372:
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 21.6% | 60.8% | 31.5% | 31.6% |
| Total Return | 375.7% | 315.5% | 175.4% | 5504.1% |
| Sharpe | 1.01 | 1.31 | 1.07 | 1.08 |
| Sortino | 0.73 | 1.16 | 0.88 | 0.80 |
| Calmar | 0.57 | 1.80 | 1.43 | 0.84 |
| Volatility | 21.7% | 43.5% | 29.5% | 29.4% |
| Max DD | -37.8% | -33.8% | -22.0% | -37.8% |
| Win Rate | 27.3% | 62.5% | 72.7% | 55.3% |
| Avg Win | 109.8% | 22.1% | 17.0% | 36.1% |
| Avg Loss | -6.5% | -6.0% | -4.5% | -6.0% |
| Payoff | 10.00 | 3.68 | 3.80 | 6.06 |
| Expectancy | 25.2% | 11.6% | 11.2% | 17.3% |
| Profit Factor | 6.37 | 6.13 | 10.00 | 7.49 |
| Trades | 11 | 16 | 11 | 38 |
| Avg Holding Days | 24.5 | 19.1 | 21.0 | 22.4 |
| Turnover | 3.5 | 11.9 | 7.2 | 6.1 |
| Exposure | 14.1% | 32.7% | 21.6% | 19.8% |
Growth of $100
PriceMomentum_V0367 vs TSLA Buy & Hold
PriceMomentum_V0367 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 | 9.0% | 0.74 | -14.3% | 3 |
| 2017 | -4.0% | -0.74 | -6.6% | 1 |
| 2018 | -18.8% | -1.20 | -19.6% | 3 |
| 2019 | 62.1% | 2.44 | -8.5% | 2 |
| 2020 | 362.1% | 2.58 | -33.8% | 7 |
| 2021 | 2.3% | 0.22 | -18.1% | 3 |
| 2022 | -22.0% | -1.40 | -24.0% | 6 |
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 | 31.1% | 1.08 | 18% |
| hidden test | EXPENSIVE | 83 | 46.5% | 1.01 | 60% |
| hidden test | EXTREME | 48 | 202.9% | 3.49 | 72% |
| hidden test | HIGH VOLATILITY | 254 | 65.2% | 1.39 | 44% |
| hidden test | LOW VOLATILITY | 429 | 26.2% | 1.82 | 10% |
| hidden test | MEDIUM VOLATILITY | 248 | 7.0% | 0.27 | 18% |
| hidden test | NORMAL | 800 | 19.9% | 0.82 | 15% |
| hidden test | SIDEWAYS | 293 | 9.9% | 1.53 | 2% |
| hidden test | UPTREND | 371 | 49.4% | 1.25 | 40% |
| train | DOWNTREND | 518 | 16.0% | 1.50 | 9% |
| train | EXPENSIVE | 311 | -0.3% | -0.01 | 27% |
| train | EXTREME | 100 | 397.5% | 5.56 | 83% |
| train | HIGH VOLATILITY | 699 | 46.7% | 1.43 | 24% |
| train | LOW VOLATILITY | 745 | 12.1% | 1.02 | 9% |
| train | MEDIUM VOLATILITY | 568 | 3.8% | 0.30 | 8% |
| train | NORMAL | 1,601 | 2.6% | 0.23 | 7% |
| train | SIDEWAYS | 592 | -1.3% | -0.21 | 1% |
| train | UPTREND | 902 | 40.3% | 1.30 | 26% |
| validation | DOWNTREND | 125 | -7.9% | -0.47 | 11% |
| validation | EXPENSIVE | 138 | 51.0% | 0.96 | 67% |
| validation | EXTREME | 144 | 275.4% | 3.62 | 70% |
| validation | HIGH VOLATILITY | 258 | 108.2% | 1.62 | 51% |
| validation | LOW VOLATILITY | 183 | 1.4% | 0.08 | 15% |
| validation | MEDIUM VOLATILITY | 315 | 47.2% | 1.80 | 29% |
| validation | NORMAL | 474 | -7.7% | -0.40 | 12% |
| validation | SIDEWAYS | 206 | -1.4% | -0.23 | 2% |
| validation | UPTREND | 425 | 104.3% | 1.83 | 54% |
Trades (full period)
38 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-04-16 | 2026-04-20 | $388.90 | $392.50 | 1.37% | 3 | |
| 2025-09-16 | 2025-11-21 | $421.62 | $391.09 | -3.58% | 49 | |
| 2025-04-28 | 2025-05-12 | $285.88 | $318.38 | 4.46% | 11 | |
| 2025-04-16 | 2025-04-23 | $241.55 | $250.74 | -6.54% | 5 | |
| 2025-03-27 | 2025-03-31 | $273.13 | $259.16 | -3.32% | 3 | |
| 2025-03-25 | 2025-03-26 | $288.14 | $272.06 | 3.30% | 2 | |
| 2024-10-25 | 2025-01-17 | $269.19 | $426.50 | 56.46% | 57 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 1.87% | 23 | |
| 2024-04-29 | 2024-05-29 | $194.05 | $176.19 | 4.83% | 22 | |
| 2023-06-05 | 2023-08-03 | $217.61 | $259.32 | 20.16% | 42 | |
| 2023-01-24 | 2023-02-10 | $143.89 | $196.89 | 43.93% | 14 | |
| 2022-12-01 | 2022-12-06 | $194.70 | $179.82 | -6.48% | 4 | |
| 2022-07-22 | 2022-08-02 | $272.24 | $300.59 | 6.26% | 8 | |
| 2022-06-27 | 2022-07-05 | $244.92 | $233.07 | -7.69% | 6 | |
| 2022-06-02 | 2022-06-03 | $258.33 | $234.52 | 4.47% | 2 | |
| 2022-05-31 | 2022-06-01 | $252.75 | $246.79 | -0.38% | 2 | |
| 2021-12-27 | 2022-01-20 | $364.65 | $332.09 | -11.28% | 18 | |
| 2021-10-26 | 2021-12-03 | $339.48 | $338.32 | 8.32% | 28 | |
| 2021-03-15 | 2021-03-16 | $235.98 | $225.63 | 1.85% | 2 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 23.65% | 64 | |
| 2020-10-02 | 2020-11-13 | $138.36 | $136.17 | -7.40% | 31 | |
| 2020-06-11 | 2020-09-30 | $64.86 | $143.00 | 79.56% | 78 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-03-31 | 2020-04-01 | $34.93 | $32.10 | 4.15% | 2 | |
| 2020-03-27 | 2020-03-30 | $34.29 | $33.48 | -2.81% | 2 | |
| 2020-03-25 | 2020-03-26 | $35.95 | $35.21 | 6.58% | 2 | |
| 2019-10-25 | 2020-03-05 | $21.88 | $48.30 | 134.52% | 90 | |
| 2019-06-11 | 2019-07-22 | $14.47 | $17.05 | 20.12% | 29 | |
| 2019-01-11 | 2019-01-15 | $23.15 | $22.96 | -3.26% | 3 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-04-11 | 2018-04-12 | $20.06 | $19.61 | -1.44% | 2 | |
| 2018-04-06 | 2018-04-10 | $19.95 | $20.31 | -5.44% | 3 | |
| 2017-08-09 | 2017-08-24 | $24.24 | $23.53 | -3.95% | 12 | |
| 2016-04-07 | 2016-05-05 | $17.15 | $14.10 | -14.21% | 21 | |
| 2016-02-23 | 2016-03-21 | $11.81 | $15.89 | 28.72% | 20 | |
| 2016-02-18 | 2016-02-19 | $11.12 | $11.11 | -1.33% | 2 | |
| 2014-02-26 | 2014-03-26 | $16.87 | $14.20 | -9.33% | 21 | |
| 2013-04-02 | 2013-10-24 | $2.96 | $11.54 | 280.49% | 145 |