Strategy Zoo / S0379
PriceMomentum_V0379
ARCHIVEDmomentumstructuralswapped indicator ret_20d -> cumret_252d; reduce exposure to 41% during EXPENSIVE
Fitness
0.3175
Generation
17
Complexity
6
Created
2026-09-18
Lineage
Parents (1)
added entry filter: sma_50_slope > -0.005
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0379 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and sma_50_slope > -0.005):
position = 1.0
if long and cumret_252d < 0.2308:
position = 0.0 # exit to cash
if regime.bubble == "EXPENSIVE": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 9.6% | 22.7% | -2.8% | 8.9% |
| Total Return | 108.4% | 84.9% | -9.8% | 251.7% |
| Sharpe | 0.49 | 0.66 | 0.01 | 0.43 |
| Sortino | 0.47 | 0.66 | 0.01 | 0.37 |
| Calmar | 0.23 | 0.47 | -0.07 | 0.15 |
| Volatility | 24.8% | 50.6% | 24.8% | 31.8% |
| Max DD | -41.6% | -48.6% | -39.8% | -58.2% |
| Win Rate | 48.1% | 28.6% | 54.9% | 49.2% |
| Avg Win | 4.3% | 39.7% | 2.7% | 4.8% |
| Avg Loss | -2.0% | -6.0% | -3.4% | -2.7% |
| Payoff | 2.09 | 6.60 | 0.80 | 1.78 |
| Expectancy | 1.0% | 7.0% | -0.0% | 1.0% |
| Profit Factor | 1.94 | 2.64 | 0.97 | 1.72 |
| Trades | 160 | 14 | 82 | 256 |
| Avg Holding Days | 5.2 | 30.1 | 3.7 | 6.1 |
| Turnover | 39.4 | 12.1 | 46.3 | 35.5 |
| Exposure | 26.0% | 44.7% | 19.5% | 28.2% |
Growth of $100
PriceMomentum_V0379 vs TSLA Buy & Hold
PriceMomentum_V0379 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 | 6.9% | 0.65 | -15.5% | 26 |
| 2017 | 6.0% | 0.46 | -11.7% | 19 |
| 2018 | -27.1% | -1.63 | -27.0% | 24 |
| 2019 | -2.4% | -0.05 | -10.2% | 29 |
| 2020 | 140.6% | 1.60 | -48.6% | 3 |
| 2021 | 20.7% | 0.64 | -34.9% | 2 |
| 2022 | -45.1% | -2.49 | -45.0% | 9 |
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 | 5.0% | 0.28 | 15% |
| hidden test | EXPENSIVE | 83 | 13.7% | 0.47 | 39% |
| hidden test | EXTREME | 48 | 90.1% | 1.60 | 94% |
| hidden test | HIGH VOLATILITY | 254 | -18.3% | -0.58 | 25% |
| hidden test | LOW VOLATILITY | 429 | 27.7% | 1.64 | 14% |
| hidden test | MEDIUM VOLATILITY | 248 | -28.0% | -0.99 | 23% |
| hidden test | NORMAL | 800 | -6.4% | -0.31 | 13% |
| hidden test | SIDEWAYS | 293 | -8.1% | -0.52 | 4% |
| hidden test | UPTREND | 371 | 3.6% | 0.11 | 35% |
| train | DOWNTREND | 518 | 1.2% | 0.11 | 9% |
| train | EXPENSIVE | 311 | -0.3% | -0.01 | 34% |
| train | EXTREME | 100 | 354.6% | 5.10 | 96% |
| train | HIGH VOLATILITY | 699 | 23.4% | 0.74 | 23% |
| train | LOW VOLATILITY | 745 | 15.4% | 0.86 | 31% |
| train | MEDIUM VOLATILITY | 568 | -5.8% | -0.25 | 23% |
| train | NORMAL | 1,601 | -6.7% | -0.36 | 20% |
| train | SIDEWAYS | 592 | -0.4% | -0.04 | 3% |
| train | UPTREND | 902 | 26.8% | 0.76 | 51% |
| validation | DOWNTREND | 125 | 5.9% | 0.57 | 4% |
| validation | EXPENSIVE | 138 | -84.9% | -1.87 | 39% |
| validation | EXTREME | 144 | 293.2% | 3.59 | 88% |
| validation | HIGH VOLATILITY | 258 | 75.5% | 1.04 | 50% |
| validation | LOW VOLATILITY | 183 | 28.8% | 1.46 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 1.3% | 0.03 | 42% |
| validation | NORMAL | 474 | -11.2% | -0.30 | 33% |
| validation | SIDEWAYS | 206 | -34.4% | -1.88 | 4% |
| validation | UPTREND | 425 | 74.2% | 1.12 | 76% |
Trades (full period)
latest 100 of 256
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-16 | 2026-09-17 | $358.08 | $366.20 | 0.22% | 2 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.32% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 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 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-21 | 2026-05-08 | $386.42 | $428.35 | 4.70% | 14 | |
| 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 | |
| 2025-12-19 | 2025-12-22 | $481.20 | $488.73 | -0.65% | 2 | |
| 2025-12-17 | 2025-12-18 | $467.26 | $483.37 | -4.81% | 2 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 3.36% | 2 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 3.93% | 46 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-07 | 2025-08-11 | $322.27 | $339.03 | 2.84% | 3 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -12.82% | 11 | |
| 2025-05-07 | 2025-05-12 | $276.22 | $318.38 | 8.10% | 4 | |
| 2024-11-07 | 2025-02-24 | $296.91 | $330.53 | -0.59% | 72 | |
| 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 | -3.55% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -1.29% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.51% | 2 | |
| 2024-09-20 | 2024-09-23 | $238.25 | $250.00 | -2.52% | 2 | |
| 2024-09-16 | 2024-09-17 | $226.78 | $227.87 | -1.72% | 2 | |
| 2024-09-12 | 2024-09-13 | $229.81 | $230.29 | 0.54% | 2 | |
| 2024-09-10 | 2024-09-11 | $226.17 | $228.13 | 4.37% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 3.98% | 2 | |
| 2024-07-31 | 2024-08-01 | $232.07 | $216.86 | 4.04% | 2 | |
| 2024-07-29 | 2024-07-30 | $232.10 | $222.62 | 5.39% | 2 | |
| 2024-07-25 | 2024-07-26 | $220.25 | $219.80 | 1.77% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -2.24% | 2 | |
| 2024-07-19 | 2024-07-22 | $239.20 | $251.51 | -4.22% | 2 | |
| 2024-07-17 | 2024-07-18 | $248.50 | $249.23 | -3.34% | 2 | |
| 2024-07-15 | 2024-07-16 | $252.64 | $256.56 | 1.57% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -8.64% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 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 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -9.93% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 1.05% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.61% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.95% | 2 | |
| 2023-07-03 | 2023-07-07 | $279.82 | $274.43 | 5.44% | 4 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.29% | 2 | |
| 2023-06-27 | 2023-06-28 | $250.21 | $256.24 | 3.60% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -3.22% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -5.66% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.61% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.94% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 2.02% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 4.38% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.50% | 2 | |
| 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 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -2.77% | 2 | |
| 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 | |
| 2022-07-28 | 2022-08-02 | $280.90 | $300.59 | 7.96% | 4 | |
| 2022-07-22 | 2022-07-27 | $272.24 | $274.82 | -4.92% | 4 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 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 | |
| 2021-08-24 | 2022-01-10 | $236.16 | $352.71 | 45.11% | 97 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-11-19 | 2021-03-17 | $166.42 | $233.94 | -3.26% | 80 | |
| 2020-05-15 | 2020-11-13 | $53.28 | $136.17 | 83.05% | 128 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-12-23 | 2020-03-19 | $27.95 | $28.51 | -2.31% | 60 | |
| 2019-12-19 | 2019-12-20 | $26.94 | $27.04 | 1.05% | 2 | |
| 2019-12-17 | 2019-12-18 | $25.27 | $26.21 | -0.35% | 2 | |
| 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 |