Strategy Zoo / S0375
PriceMomentum_V0375
ARCHIVEDmomentumstructuralswapped indicator ret_20d -> ret_60d
Fitness
0.5123
Generation
17
Complexity
3
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> -0.1657
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0375 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_60d > 0.2018:
position = 1.0
if long and ret_20d < -0.1657:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 14.9% | 66.0% | 6.7% | 21.8% |
| Total Return | 202.1% | 357.3% | 27.1% | 1707.8% |
| Sharpe | 0.60 | 1.24 | 0.36 | 0.72 |
| Sortino | 0.52 | 1.28 | 0.31 | 0.65 |
| Calmar | 0.25 | 1.50 | 0.14 | 0.37 |
| Volatility | 31.3% | 51.5% | 33.6% | 36.8% |
| Max DD | -58.8% | -43.9% | -46.5% | -58.8% |
| Win Rate | 25.0% | 27.8% | 41.7% | 30.0% |
| Avg Win | 75.8% | 60.2% | 13.8% | 54.0% |
| Avg Loss | -7.6% | -4.9% | -5.4% | -6.2% |
| Payoff | 9.93 | 10.00 | 2.54 | 8.74 |
| Expectancy | 13.2% | 13.2% | 2.6% | 11.9% |
| Profit Factor | 3.31 | 4.71 | 1.81 | 3.74 |
| Trades | 20 | 18 | 12 | 50 |
| Avg Holding Days | 34.7 | 21.3 | 26.3 | 28.8 |
| Turnover | 5.1 | 12.0 | 6.5 | 6.8 |
| Exposure | 35.8% | 48.4% | 32.7% | 37.6% |
Growth of $100
PriceMomentum_V0375 vs TSLA Buy & Hold
PriceMomentum_V0375 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 | -23.0% | -2.14 | -24.4% | 5 |
| 2017 | 44.6% | 1.42 | -19.5% | 1 |
| 2018 | -38.2% | -2.26 | -41.5% | 3 |
| 2019 | 34.2% | 1.35 | -14.0% | 1 |
| 2020 | 469.4% | 2.68 | -39.8% | 7 |
| 2021 | 5.4% | 0.33 | -35.6% | 6 |
| 2022 | -35.8% | -2.27 | -35.7% | 5 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 23.5% | 0.43 | 81% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | -8.2% | -0.18 | 42% |
| hidden test | LOW VOLATILITY | 429 | 27.7% | 1.38 | 22% |
| hidden test | MEDIUM VOLATILITY | 248 | 6.1% | 0.16 | 42% |
| hidden test | NORMAL | 800 | 0.6% | 0.02 | 24% |
| hidden test | SIDEWAYS | 293 | -33.3% | -1.86 | 3% |
| hidden test | UPTREND | 371 | 56.7% | 1.12 | 80% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 49.9% | 1.13 | 77% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 36.6% | 0.90 | 34% |
| train | LOW VOLATILITY | 745 | 21.9% | 1.06 | 36% |
| train | MEDIUM VOLATILITY | 568 | -7.7% | -0.26 | 38% |
| train | NORMAL | 1,601 | -12.2% | -0.56 | 24% |
| train | SIDEWAYS | 592 | -12.4% | -1.13 | 2% |
| train | UPTREND | 902 | 49.8% | 1.09 | 79% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 40.8% | 0.69 | 85% |
| validation | EXTREME | 144 | 343.0% | 4.02 | 87% |
| validation | HIGH VOLATILITY | 258 | 104.7% | 1.48 | 50% |
| validation | LOW VOLATILITY | 183 | 21.9% | 0.84 | 50% |
| validation | MEDIUM VOLATILITY | 315 | 55.0% | 1.28 | 46% |
| validation | NORMAL | 474 | -14.1% | -0.47 | 26% |
| validation | SIDEWAYS | 206 | -27.7% | -1.70 | 4% |
| validation | UPTREND | 425 | 127.1% | 1.88 | 84% |
Trades (full period)
50 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-02 | 2026-07-06 | $393.45 | $419.77 | -7.68% | 2 | |
| 2025-09-15 | 2026-01-13 | $410.04 | $447.20 | 13.17% | 84 | |
| 2025-07-11 | 2025-07-25 | $313.51 | $316.06 | -1.67% | 11 | |
| 2025-06-10 | 2025-07-09 | $326.09 | $295.88 | -3.68% | 20 | |
| 2025-05-27 | 2025-06-06 | $362.89 | $295.14 | -16.26% | 9 | |
| 2024-10-28 | 2025-02-12 | $262.51 | $336.51 | 21.79% | 73 | |
| 2024-08-16 | 2024-09-27 | $216.12 | $260.46 | 18.48% | 30 | |
| 2024-07-02 | 2024-08-05 | $231.26 | $198.88 | -1.23% | 24 | |
| 2023-08-22 | 2023-09-05 | $233.19 | $256.49 | 5.73% | 10 | |
| 2023-08-16 | 2023-08-17 | $225.60 | $219.22 | -3.36% | 2 | |
| 2023-06-06 | 2023-08-15 | $221.31 | $232.96 | 9.96% | 49 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.71% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-04-26 | 2022-04-27 | $292.14 | $293.84 | -12.37% | 2 | |
| 2021-12-23 | 2022-01-20 | $355.67 | $332.09 | -1.50% | 19 | |
| 2021-12-07 | 2021-12-21 | $350.58 | $312.84 | -10.98% | 11 | |
| 2021-08-30 | 2021-12-06 | $243.64 | $336.34 | 42.29% | 69 | |
| 2021-08-10 | 2021-08-23 | $236.66 | $235.43 | -4.88% | 10 | |
| 2021-03-02 | 2021-03-03 | $228.81 | $217.73 | -4.65% | 2 | |
| 2021-02-25 | 2021-02-26 | $227.41 | $225.17 | -8.25% | 2 | |
| 2020-11-19 | 2021-02-24 | $166.42 | $247.34 | 43.32% | 65 | |
| 2020-05-26 | 2020-11-13 | $54.59 | $136.17 | 151.53% | 122 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-03-30 | 2020-03-31 | $33.48 | $34.93 | -2.58% | 2 | |
| 2020-03-26 | 2020-03-27 | $35.21 | $34.29 | -2.25% | 2 | |
| 2020-03-13 | 2020-03-16 | $36.44 | $29.67 | -2.68% | 2 | |
| 2020-03-11 | 2020-03-12 | $42.28 | $37.37 | -1.92% | 2 | |
| 2019-10-25 | 2020-03-10 | $21.88 | $43.02 | 102.50% | 93 | |
| 2018-12-27 | 2019-01-23 | $21.08 | $19.17 | -8.52% | 18 | |
| 2018-11-29 | 2018-12-26 | $22.74 | $21.74 | -15.26% | 18 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -19.68% | 9 | |
| 2018-06-22 | 2018-07-05 | $22.24 | $20.61 | -10.73% | 9 | |
| 2017-01-20 | 2017-08-24 | $16.32 | $23.53 | 44.43% | 151 | |
| 2016-05-20 | 2016-06-02 | $14.69 | $14.60 | 1.82% | 9 | |
| 2016-05-17 | 2016-05-18 | $13.64 | $14.08 | -1.94% | 2 | |
| 2016-05-13 | 2016-05-16 | $13.84 | $13.89 | -0.04% | 2 | |
| 2016-05-09 | 2016-05-12 | $13.93 | $13.82 | -2.97% | 4 | |
| 2016-04-07 | 2016-05-06 | $17.15 | $14.33 | -20.47% | 22 | |
| 2015-05-22 | 2015-08-18 | $16.52 | $17.38 | 3.61% | 61 | |
| 2014-08-05 | 2014-10-22 | $15.90 | $15.41 | -1.53% | 56 | |
| 2014-04-23 | 2014-05-08 | $13.87 | $11.91 | -8.10% | 12 | |
| 2014-04-02 | 2014-04-16 | $15.35 | $13.27 | -10.80% | 11 | |
| 2014-03-31 | 2014-04-01 | $13.90 | $14.46 | -2.04% | 2 | |
| 2014-02-06 | 2014-03-28 | $11.89 | $14.16 | 18.63% | 36 | |
| 2012-12-24 | 2013-11-08 | $2.29 | $9.20 | 310.27% | 222 | |
| 2012-12-03 | 2012-12-14 | $2.31 | $2.25 | -0.82% | 10 | |
| 2012-03-13 | 2012-05-04 | $2.41 | $2.12 | -10.04% | 38 | |
| 2012-01-04 | 2012-01-05 | $1.85 | $1.81 | -1.52% | 2 |