Strategy Zoo / S0396
PriceMomentum_V0396
ARCHIVEDmomentumstructuralreplaced exit rule with: breakout_20 == 1
Fitness
0.3133
Generation
18
Complexity
3
Created
2026-09-18
Lineage
Parents (1)
restricted to trend regimes ['DOWNTREND', 'UPTREND']
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0396 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.05:
position = 1.0
if long and breakout_20 == 1:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 14.0% | 15.8% | 39.1% | 20.5% |
| Total Return | 184.2% | 55.2% | 238.4% | 1436.7% |
| Sharpe | 0.56 | 0.54 | 1.04 | 0.67 |
| Sortino | 0.61 | 0.56 | 1.17 | 0.71 |
| Calmar | 0.21 | 0.26 | 1.28 | 0.31 |
| Volatility | 33.5% | 52.0% | 39.0% | 39.3% |
| Max DD | -65.8% | -60.0% | -30.7% | -65.8% |
| Win Rate | 79.4% | 78.3% | 83.9% | 80.1% |
| Avg Win | 3.0% | 4.7% | 4.4% | 3.7% |
| Avg Loss | -7.4% | -10.6% | -9.3% | -8.5% |
| Payoff | 0.41 | 0.44 | 0.47 | 0.44 |
| Expectancy | 0.9% | 1.4% | 2.2% | 1.3% |
| Profit Factor | 1.58 | 1.60 | 2.47 | 1.75 |
| Trades | 160 | 69 | 62 | 291 |
| Avg Holding Days | 6.9 | 6.4 | 6.7 | 6.7 |
| Turnover | 40.2 | 46.0 | 33.8 | 39.7 |
| Exposure | 46.7% | 48.9% | 39.2% | 45.3% |
Growth of $100
PriceMomentum_V0396 vs TSLA Buy & Hold
PriceMomentum_V0396 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 | -1.5% | -0.01 | -23.6% | 15 |
| 2017 | 5.2% | 0.32 | -19.6% | 27 |
| 2018 | -30.0% | -0.93 | -37.4% | 14 |
| 2019 | 8.4% | 0.42 | -38.7% | 19 |
| 2020 | 96.3% | 1.31 | -60.0% | 37 |
| 2021 | -1.3% | 0.19 | -36.5% | 21 |
| 2022 | -29.6% | -1.10 | -37.6% | 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 | 85.3% | 2.08 | 35% |
| hidden test | EXPENSIVE | 83 | 109.8% | 1.89 | 69% |
| hidden test | EXTREME | 48 | 180.6% | 3.33 | 85% |
| hidden test | HIGH VOLATILITY | 254 | 100.1% | 1.71 | 52% |
| hidden test | LOW VOLATILITY | 429 | 23.3% | 0.99 | 31% |
| hidden test | MEDIUM VOLATILITY | 248 | 8.7% | 0.25 | 40% |
| hidden test | NORMAL | 800 | 24.8% | 0.70 | 33% |
| hidden test | SIDEWAYS | 293 | -14.2% | -0.86 | 4% |
| hidden test | UPTREND | 371 | 51.2% | 1.05 | 70% |
| train | DOWNTREND | 518 | 8.5% | 0.31 | 38% |
| train | EXPENSIVE | 311 | 5.0% | 0.12 | 71% |
| train | EXTREME | 100 | 386.4% | 5.60 | 74% |
| train | HIGH VOLATILITY | 699 | 41.4% | 0.98 | 39% |
| train | LOW VOLATILITY | 745 | 14.4% | 0.60 | 51% |
| train | MEDIUM VOLATILITY | 568 | -3.9% | -0.12 | 50% |
| train | NORMAL | 1,601 | -1.7% | -0.06 | 40% |
| train | SIDEWAYS | 592 | -0.9% | -0.06 | 5% |
| train | UPTREND | 902 | 37.2% | 0.85 | 79% |
| validation | DOWNTREND | 125 | 53.5% | 2.25 | 18% |
| validation | EXPENSIVE | 138 | -64.4% | -1.00 | 77% |
| validation | EXTREME | 144 | 252.5% | 3.60 | 74% |
| validation | HIGH VOLATILITY | 258 | 48.5% | 0.69 | 51% |
| validation | LOW VOLATILITY | 183 | 10.1% | 0.42 | 41% |
| validation | MEDIUM VOLATILITY | 315 | 22.3% | 0.49 | 52% |
| validation | NORMAL | 474 | -12.9% | -0.33 | 33% |
| validation | SIDEWAYS | 206 | -56.3% | -2.25 | 5% |
| validation | UPTREND | 425 | 61.9% | 0.94 | 80% |
Trades (full period)
latest 100 of 292
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-08 | — | $368.16 | — | 2.78% | 9 | OPEN |
| 2026-09-02 | 2026-09-04 | $357.01 | $354.08 | 5.48% | 3 | |
| 2026-08-25 | 2026-09-01 | $350.25 | $356.09 | 5.23% | 6 | |
| 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 | |
| 2025-12-17 | 2026-01-13 | $467.26 | $447.20 | -8.54% | 18 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 3.36% | 2 | |
| 2025-11-06 | 2025-12-08 | $445.91 | $439.58 | -1.73% | 22 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-03 | 2025-10-29 | $429.83 | $461.51 | 5.42% | 19 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-26 | 2025-09-30 | $440.40 | $444.72 | 4.48% | 3 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.77% | 3 | |
| 2025-09-18 | 2025-09-22 | $416.85 | $434.21 | -0.15% | 3 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 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 | |
| 2025-05-29 | 2025-06-06 | $358.43 | $295.14 | -20.39% | 7 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 8.23% | 4 | |
| 2025-05-01 | 2025-05-12 | $280.52 | $318.38 | 5.49% | 8 | |
| 2025-04-29 | 2025-04-30 | $292.03 | $282.16 | 1.95% | 2 | |
| 2025-04-08 | 2025-04-28 | $221.86 | $285.88 | 21.89% | 14 | |
| 2024-12-19 | 2025-02-24 | $436.17 | $330.53 | -23.40% | 43 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-12 | 2024-12-16 | $418.10 | $463.02 | 2.49% | 3 | |
| 2024-12-10 | 2024-12-11 | $400.99 | $424.77 | 2.67% | 2 | |
| 2024-12-06 | 2024-12-09 | $389.22 | $389.79 | 5.13% | 2 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-11-26 | 2024-12-03 | $338.23 | $351.42 | 5.25% | 5 | |
| 2024-11-13 | 2024-11-25 | $330.24 | $338.59 | 7.11% | 9 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 8.75% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2024-10-03 | 2024-10-28 | $240.66 | $262.51 | 7.88% | 18 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.88% | 2 | |
| 2024-09-20 | 2024-09-24 | $238.25 | $254.27 | 2.29% | 3 | |
| 2024-09-09 | 2024-09-16 | $216.27 | $226.78 | 9.07% | 6 | |
| 2024-07-11 | 2024-09-06 | $241.03 | $210.73 | -12.75% | 41 | |
| 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 | |
| 2024-05-01 | 2024-05-29 | $179.99 | $176.19 | -3.76% | 20 | |
| 2024-04-15 | 2024-04-30 | $161.48 | $183.28 | 13.21% | 12 | |
| 2024-03-01 | 2024-03-04 | $202.64 | $188.14 | 0.18% | 2 | |
| 2024-02-26 | 2024-02-29 | $199.40 | $201.88 | 5.04% | 4 | |
| 2023-07-19 | 2023-09-05 | $291.26 | $256.49 | -16.64% | 34 | |
| 2023-07-06 | 2023-07-18 | $276.54 | $293.34 | 2.59% | 9 | |
| 2023-06-21 | 2023-07-05 | $259.46 | $282.48 | 1.75% | 10 | |
| 2023-06-14 | 2023-06-20 | $256.79 | $274.45 | 0.51% | 4 | |
| 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 | |
| 2023-05-23 | 2023-05-30 | $185.77 | $201.16 | 2.07% | 5 | |
| 2023-05-19 | 2023-05-22 | $180.14 | $188.87 | 1.64% | 2 | |
| 2023-02-09 | 2023-02-10 | $207.32 | $196.89 | 2.79% | 2 | |
| 2023-02-07 | 2023-02-08 | $196.81 | $201.29 | 0.85% | 2 | |
| 2023-02-03 | 2023-02-06 | $189.98 | $194.76 | 0.71% | 2 | |
| 2023-01-31 | 2023-02-02 | $173.22 | $188.27 | 8.64% | 3 | |
| 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 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 3 | |
| 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 | |
| 2022-07-29 | 2022-08-01 | $297.15 | $297.28 | 5.58% | 2 | |
| 2022-07-25 | 2022-07-28 | $268.43 | $280.90 | 0.74% | 4 | |
| 2022-07-14 | 2022-07-22 | $238.31 | $272.24 | 14.40% | 7 | |
| 2022-06-22 | 2022-07-11 | $236.09 | $234.34 | 5.58% | 13 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2022-01-05 | 2022-01-20 | $362.71 | $332.09 | -13.57% | 11 | |
| 2021-11-05 | 2022-01-04 | $407.36 | $383.20 | -2.65% | 41 | |
| 2021-11-02 | 2021-11-04 | $390.67 | $409.97 | 0.23% | 3 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 3.23% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.71% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 12.45% | 2 | |
| 2021-10-20 | 2021-10-22 | $288.60 | $303.23 | 3.23% | 3 | |
| 2021-10-18 | 2021-10-19 | $290.04 | $288.09 | 3.01% | 2 | |
| 2021-10-14 | 2021-10-15 | $272.77 | $281.01 | 0.69% | 2 | |
| 2021-10-11 | 2021-10-13 | $263.98 | $270.36 | 2.37% | 3 | |
| 2021-09-28 | 2021-10-08 | $259.19 | $261.83 | 0.08% | 9 | |
| 2021-09-21 | 2021-09-27 | $246.46 | $263.79 | 5.85% | 5 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.13% | 2 | |
| 2021-09-10 | 2021-09-16 | $245.42 | $252.33 | -0.07% | 5 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 2021-08-24 | 2021-08-31 | $236.16 | $245.24 | 3.28% | 6 | |
| 2021-08-16 | 2021-08-23 | $228.72 | $235.43 | -5.34% | 6 | |
| 2021-08-09 | 2021-08-13 | $237.92 | $239.06 | 3.11% | 5 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.32% | 2 | |
| 2021-01-27 | 2021-03-17 | $288.05 | $233.94 | -23.51% | 35 | |
| 2021-01-11 | 2021-01-26 | $270.40 | $294.36 | -0.12% | 11 | |
| 2021-01-07 | 2021-01-08 | $272.01 | $293.34 | 7.74% | 2 | |
| 2021-01-05 | 2021-01-06 | $245.04 | $251.99 | 0.53% | 2 | |
| 2020-12-21 | 2021-01-04 | $216.62 | $243.26 | 1.33% | 9 | |
| 2020-12-09 | 2020-12-18 | $201.49 | $231.67 | 0.72% | 8 | |
| 2020-12-07 | 2020-12-08 | $213.92 | $216.63 | 6.92% | 2 | |
| 2020-11-30 | 2020-12-04 | $189.20 | $199.68 | 1.10% | 5 | |
| 2020-11-25 | 2020-11-27 | $191.33 | $195.25 | 3.15% | 2 | |
| 2020-11-23 | 2020-11-24 | $173.95 | $185.13 | 6.38% | 2 |