Strategy Zoo / S0400
PriceMomentum_V0400
ARCHIVEDhybridstructuraladded entry filter: vol_chg < 1.2824; swapped indicator vol_chg -> rel_volume
Fitness
0.6793
Generation
18
Complexity
13
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.0923
Children (9)
Strategy Logic (pseudocode)
# PriceMomentum_V0400 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > 0.05 and cumret_252d > -0.1997) and rel_volume < 1.5953):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 24.4% | 99.1% | 4.7% | 31.4% |
| Total Return | 471.2% | 689.3% | 18.4% | 5395.5% |
| Sharpe | 0.91 | 1.66 | 0.30 | 0.97 |
| Sortino | 0.86 | 1.60 | 0.23 | 0.85 |
| Calmar | 0.50 | 2.36 | 0.12 | 0.64 |
| Volatility | 28.2% | 48.5% | 30.3% | 33.8% |
| Max DD | -49.0% | -41.9% | -39.4% | -49.0% |
| Win Rate | 45.7% | 53.3% | 53.3% | 49.2% |
| Avg Win | 20.8% | 43.5% | 12.7% | 26.4% |
| Avg Loss | -4.8% | -8.8% | -10.4% | -6.9% |
| Payoff | 4.32 | 4.93 | 1.21 | 3.85 |
| Expectancy | 6.9% | 19.1% | 1.9% | 9.5% |
| Profit Factor | 3.64 | 5.63 | 1.39 | 3.73 |
| Trades | 35 | 15 | 15 | 65 |
| Avg Holding Days | 18.8 | 23.4 | 16.8 | 20.1 |
| Turnover | 8.9 | 10.0 | 8.4 | 8.9 |
| Exposure | 33.1% | 44.4% | 27.4% | 34.0% |
Growth of $100
PriceMomentum_V0400 vs TSLA Buy & Hold
PriceMomentum_V0400 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 | 15.5% | 1.18 | -11.9% | 6 |
| 2017 | 6.4% | 0.37 | -22.9% | 5 |
| 2018 | -33.6% | -2.02 | -33.5% | 7 |
| 2019 | 34.3% | 2.15 | -8.5% | 1 |
| 2020 | 538.4% | 2.97 | -33.7% | 6 |
| 2021 | 70.0% | 1.76 | -17.6% | 3 |
| 2022 | -30.4% | -1.19 | -37.5% | 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 | -10.7% | -0.51 | 21% |
| hidden test | EXPENSIVE | 83 | 68.9% | 1.49 | 67% |
| hidden test | EXTREME | 48 | 195.3% | 3.47 | 69% |
| hidden test | HIGH VOLATILITY | 254 | -23.3% | -0.57 | 35% |
| hidden test | LOW VOLATILITY | 429 | 45.0% | 2.19 | 20% |
| hidden test | MEDIUM VOLATILITY | 248 | -19.2% | -0.60 | 31% |
| hidden test | NORMAL | 800 | -8.1% | -0.32 | 21% |
| hidden test | SIDEWAYS | 293 | -4.9% | -0.33 | 3% |
| hidden test | UPTREND | 371 | 34.7% | 0.81 | 52% |
| train | DOWNTREND | 518 | 8.8% | 0.94 | 8% |
| train | EXPENSIVE | 311 | 40.7% | 1.07 | 65% |
| train | EXTREME | 100 | 403.3% | 5.47 | 97% |
| train | HIGH VOLATILITY | 699 | 51.5% | 1.40 | 30% |
| train | LOW VOLATILITY | 745 | 27.0% | 1.28 | 43% |
| train | MEDIUM VOLATILITY | 568 | -7.7% | -0.33 | 25% |
| train | NORMAL | 1,601 | -0.8% | -0.04 | 23% |
| train | SIDEWAYS | 592 | -3.8% | -0.37 | 3% |
| train | UPTREND | 902 | 54.8% | 1.35 | 67% |
| validation | DOWNTREND | 125 | 45.2% | 2.08 | 12% |
| validation | EXPENSIVE | 138 | 55.2% | 1.01 | 62% |
| validation | EXTREME | 144 | 344.5% | 4.26 | 85% |
| validation | HIGH VOLATILITY | 258 | 93.8% | 1.42 | 45% |
| validation | LOW VOLATILITY | 183 | 32.6% | 1.49 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 97.8% | 2.31 | 45% |
| validation | NORMAL | 474 | 7.9% | 0.28 | 27% |
| validation | SIDEWAYS | 206 | -24.2% | -1.46 | 3% |
| validation | UPTREND | 425 | 141.9% | 2.28 | 74% |
Trades (full period)
66 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-25 | — | $350.25 | — | 4.29% | 18 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-05 | 2026-05-08 | $389.37 | $428.35 | 4.70% | 4 | |
| 2025-12-15 | 2026-01-07 | $475.31 | $431.41 | -5.85% | 16 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 8.79% | 46 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2025-04-30 | 2025-05-12 | $282.16 | $318.38 | 1.93% | 9 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2024-11-08 | 2025-01-14 | $321.22 | $396.36 | 35.57% | 44 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.71% | 8 | |
| 2024-09-05 | 2024-09-27 | $230.17 | $260.46 | 15.64% | 17 | |
| 2024-07-10 | 2024-08-02 | $263.26 | $207.67 | -17.50% | 18 | |
| 2024-05-01 | 2024-05-29 | $179.99 | $176.19 | -3.76% | 20 | |
| 2023-06-02 | 2023-08-02 | $213.97 | $254.11 | 25.56% | 42 | |
| 2023-05-24 | 2023-05-31 | $182.90 | $203.93 | 8.07% | 5 | |
| 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 | |
| 2022-07-14 | 2022-08-02 | $238.31 | $300.59 | 25.16% | 14 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -1.22% | 4 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -17.18% | 12 | |
| 2021-08-24 | 2021-12-01 | $236.16 | $365.00 | 61.75% | 70 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-11-23 | 2021-02-11 | $173.95 | $270.55 | 64.06% | 55 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -4.12% | 6 | |
| 2020-10-07 | 2020-10-20 | $141.77 | $140.65 | 3.87% | 10 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 17.09% | 29 | |
| 2020-05-15 | 2020-08-10 | $53.28 | $94.57 | 80.47% | 60 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-30 | 2020-03-04 | $21.00 | $49.97 | 135.28% | 86 | |
| 2019-07-16 | 2019-07-22 | $16.83 | $17.05 | 1.64% | 5 | |
| 2018-11-29 | 2018-12-19 | $22.74 | $22.20 | -3.31% | 14 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-08-27 | 2018-08-28 | $21.28 | $20.79 | -1.30% | 2 | |
| 2018-08-10 | 2018-08-20 | $23.70 | $20.56 | -13.49% | 7 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-09-18 | 2017-09-29 | $25.67 | $22.74 | -10.76% | 10 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | 1.44% | 15 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.27% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 12.23% | 41 | |
| 2017-01-06 | 2017-03-08 | $15.27 | $16.46 | 9.41% | 42 | |
| 2016-12-20 | 2016-12-28 | $13.92 | $14.65 | 8.07% | 6 | |
| 2016-07-26 | 2016-08-23 | $15.30 | $14.99 | -3.27% | 21 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-08 | 2016-05-04 | $16.67 | $14.84 | -9.86% | 19 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 2.12% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 18.67% | 12 | |
| 2015-12-03 | 2015-12-29 | $15.51 | $15.81 | -1.51% | 18 | |
| 2015-11-30 | 2015-12-02 | $15.35 | $15.47 | 2.20% | 3 | |
| 2015-05-11 | 2015-07-28 | $15.97 | $17.65 | 6.72% | 55 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-24 | 2015-04-28 | $14.56 | $15.37 | 5.71% | 3 | |
| 2015-04-13 | 2015-04-14 | $13.99 | $13.83 | -0.73% | 2 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-23 | 2014-07-17 | $15.81 | $14.36 | -5.60% | 18 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 21.21% | 43 | |
| 2013-07-01 | 2013-10-22 | $7.81 | $11.44 | 60.46% | 80 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 172.31% | 65 | |
| 2013-01-28 | 2013-02-26 | $2.54 | $2.30 | -7.21% | 21 | |
| 2012-12-18 | 2013-01-11 | $2.31 | $2.19 | -2.72% | 17 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | -3.32% | 33 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |