Strategy Zoo / S0376
PriceMomentum_V0376
ARCHIVEDhybridstructuraladded exit filter: dist_sma_200 < 0.1009
Fitness
0.6280
Generation
17
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_V0376 [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 < -0.03 or dist_sma_200 < 0.1009):
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 25.3% | 69.0% | 12.7% | 30.0% |
| Total Return | 507.0% | 382.3% | 55.6% | 4589.3% |
| Sharpe | 0.94 | 1.44 | 0.57 | 0.98 |
| Sortino | 0.99 | 1.34 | 0.44 | 0.91 |
| Calmar | 0.68 | 2.04 | 0.40 | 0.81 |
| Volatility | 28.2% | 42.9% | 27.9% | 31.7% |
| Max DD | -37.2% | -33.8% | -31.6% | -37.2% |
| Win Rate | 46.5% | 48.6% | 58.3% | 50.0% |
| Avg Win | 6.3% | 14.9% | 4.2% | 7.6% |
| Avg Loss | -1.9% | -3.1% | -3.5% | -2.5% |
| Payoff | 3.36 | 4.74 | 1.18 | 3.11 |
| Expectancy | 1.9% | 5.6% | 1.0% | 2.6% |
| Profit Factor | 2.92 | 4.49 | 1.65 | 3.11 |
| Trades | 127 | 37 | 60 | 224 |
| Avg Holding Days | 5.6 | 9.2 | 5.0 | 6.3 |
| Turnover | 31.1 | 23.8 | 32.8 | 30.0 |
| Exposure | 29.3% | 34.6% | 23.2% | 28.9% |
Growth of $100
PriceMomentum_V0376 vs TSLA Buy & Hold
PriceMomentum_V0376 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 | 5.2% | 0.57 | -13.1% | 24 |
| 2017 | 2.7% | 0.23 | -19.4% | 10 |
| 2018 | -8.3% | -0.22 | -18.1% | 21 |
| 2019 | 18.6% | 0.94 | -16.8% | 19 |
| 2020 | 377.7% | 2.68 | -33.8% | 6 |
| 2021 | 40.2% | 1.43 | -19.3% | 17 |
| 2022 | -30.2% | -2.13 | -30.1% | 14 |
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 | -0.4% | -0.02 | 15% |
| hidden test | EXPENSIVE | 83 | 66.5% | 1.62 | 57% |
| hidden test | EXTREME | 48 | 187.4% | 3.43 | 65% |
| hidden test | HIGH VOLATILITY | 254 | 11.8% | 0.33 | 29% |
| hidden test | LOW VOLATILITY | 429 | 39.1% | 1.92 | 20% |
| hidden test | MEDIUM VOLATILITY | 248 | -20.2% | -0.68 | 24% |
| hidden test | NORMAL | 800 | 0.3% | 0.01 | 17% |
| hidden test | SIDEWAYS | 293 | -1.5% | -0.30 | 2% |
| hidden test | UPTREND | 371 | 41.3% | 1.04 | 46% |
| train | DOWNTREND | 518 | 3.5% | 0.22 | 9% |
| train | EXPENSIVE | 311 | 31.9% | 0.94 | 60% |
| train | EXTREME | 100 | 392.1% | 5.44 | 92% |
| train | HIGH VOLATILITY | 699 | 59.7% | 1.53 | 30% |
| train | LOW VOLATILITY | 745 | 26.1% | 1.28 | 37% |
| train | MEDIUM VOLATILITY | 568 | -14.1% | -0.73 | 18% |
| train | NORMAL | 1,601 | 2.5% | 0.12 | 19% |
| train | SIDEWAYS | 592 | 7.7% | 0.57 | 3% |
| train | UPTREND | 902 | 51.9% | 1.34 | 58% |
| validation | DOWNTREND | 125 | 8.1% | 1.04 | 4% |
| validation | EXPENSIVE | 138 | 37.7% | 0.79 | 48% |
| validation | EXTREME | 144 | 293.4% | 3.82 | 79% |
| validation | HIGH VOLATILITY | 258 | 89.0% | 1.39 | 44% |
| validation | LOW VOLATILITY | 183 | 16.4% | 0.86 | 29% |
| validation | MEDIUM VOLATILITY | 315 | 65.6% | 2.22 | 30% |
| validation | NORMAL | 474 | -1.8% | -0.09 | 17% |
| validation | SIDEWAYS | 206 | -5.5% | -0.71 | 2% |
| validation | UPTREND | 425 | 110.0% | 1.94 | 60% |
Trades (full period)
latest 100 of 224
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-16 | 2026-09-17 | $358.08 | $366.20 | 0.15% | 2 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.22% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.20% | 2 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-02 | 2026-09-03 | $357.01 | $376.37 | 0.06% | 2 | |
| 2026-08-31 | 2026-09-01 | $367.95 | $356.09 | 5.30% | 2 | |
| 2026-08-27 | 2026-08-28 | $354.81 | $348.75 | 2.40% | 2 | |
| 2026-08-25 | 2026-08-26 | $350.25 | $345.82 | 0.17% | 2 | |
| 2026-08-21 | 2026-08-24 | $362.86 | $348.95 | 4.93% | 2 | |
| 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 | |
| 2025-12-15 | 2026-01-07 | $475.31 | $431.41 | -5.85% | 16 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 8.43% | 46 | |
| 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 | |
| 2025-05-22 | 2025-06-05 | $341.04 | $284.70 | 0.30% | 10 | |
| 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 | |
| 2024-11-07 | 2025-01-14 | $296.91 | $396.36 | 37.66% | 45 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.81% | 8 | |
| 2024-09-10 | 2024-09-27 | $226.17 | $260.46 | 12.84% | 14 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -5.88% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 2.71% | 2 | |
| 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 | 1.46% | 17 | |
| 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 | |
| 2023-06-06 | 2023-08-02 | $221.31 | $254.11 | 21.47% | 40 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.91% | 2 | |
| 2023-05-30 | 2023-05-31 | $201.16 | $203.93 | 3.93% | 2 | |
| 2023-05-25 | 2023-05-26 | $184.47 | $193.17 | 0.66% | 2 | |
| 2023-05-23 | 2023-05-24 | $185.77 | $182.90 | -1.84% | 2 | |
| 2023-05-19 | 2023-05-22 | $180.14 | $188.87 | 1.64% | 2 | |
| 2023-02-08 | 2023-02-09 | $201.29 | $207.32 | 2.07% | 2 | |
| 2023-02-06 | 2023-02-07 | $194.76 | $196.81 | 2.31% | 2 | |
| 2023-02-02 | 2023-02-03 | $188.27 | $189.98 | 3.58% | 2 | |
| 2023-01-31 | 2023-02-01 | $173.22 | $181.41 | 3.73% | 2 | |
| 2023-01-27 | 2023-01-30 | $177.90 | $166.66 | 10.79% | 2 | |
| 2023-01-25 | 2023-01-26 | $144.43 | $160.27 | 0.17% | 2 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -2.77% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.39% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -0.74% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.64% | 2 | |
| 2022-08-01 | 2022-08-02 | $297.28 | $300.59 | -0.11% | 2 | |
| 2022-07-28 | 2022-07-29 | $280.90 | $297.15 | 1.37% | 2 | |
| 2022-07-26 | 2022-07-27 | $258.86 | $274.82 | -2.56% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-07-19 | 2022-07-20 | $245.53 | $247.50 | 1.27% | 2 | |
| 2022-07-14 | 2022-07-15 | $238.31 | $240.07 | 0.23% | 2 | |
| 2022-06-24 | 2022-06-27 | $245.71 | $244.92 | 4.32% | 2 | |
| 2022-06-22 | 2022-06-23 | $236.09 | $235.07 | -0.60% | 2 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -10.23% | 12 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -18.24% | 12 | |
| 2021-09-27 | 2021-12-01 | $263.79 | $365.00 | 48.59% | 47 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.03% | 2 | |
| 2021-09-21 | 2021-09-22 | $246.46 | $250.65 | 1.06% | 2 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.13% | 2 | |
| 2021-09-15 | 2021-09-16 | $251.94 | $252.33 | 1.32% | 2 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -2.66% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.61% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.11% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-08-17 | 2021-08-18 | $221.90 | $229.66 | -3.18% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.90% | 2 | |
| 2021-08-11 | 2021-08-12 | $235.94 | $240.75 | -0.51% | 2 | |
| 2021-08-09 | 2021-08-10 | $237.92 | $236.66 | 1.90% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.32% | 2 | |
| 2021-03-08 | 2021-03-09 | $187.67 | $224.53 | -4.11% | 2 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 39.28% | 57 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -3.98% | 6 | |
| 2020-10-07 | 2020-10-20 | $141.77 | $140.65 | 4.77% | 10 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 10.59% | 29 | |
| 2020-05-15 | 2020-08-10 | $53.28 | $94.57 | 67.59% | 60 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 133.27% | 89 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.05% | 2 | |
| 2019-10-03 | 2019-10-04 | $15.54 | $15.43 | -2.96% | 2 | |
| 2019-10-01 | 2019-10-02 | $16.31 | $16.21 | 0.94% | 2 |