Strategy Zoo / S0403

PriceMomentum_V0403

ARCHIVEDmomentum

structuralreduce exposure to 41% during MEDIUM_VOLATILITY; added entry filter: rel_volume > 1.1075

Fitness

0.6172

Generation

Complexity

Created

2026-09-18

Lineage

Parents (1)

PriceMomentum_V0261S0261 · gen 12ARCHIVEDstructural

changed ret_20d threshold -0.03 -> -0.1437

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0403  [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and rel_volume > 1.1075):
    position = 1.0
if long and ret_20d < -0.1437:
    position = 0.0  # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.41

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	25.6%	67.5%	13.9%	30.2%
Total Return	516.0%	369.9%	61.9%	4724.4%
Sharpe	0.98	1.45	0.57	0.99
Sortino	1.03	1.25	0.52	0.93
Calmar	0.56	2.00	0.41	0.66
Volatility	26.9%	41.6%	31.7%	31.6%
Max DD	-45.6%	-33.8%	-34.1%	-45.6%
Win Rate	50.0%	66.7%	66.7%	57.8%
Avg Win	37.7%	38.4%	12.4%	32.6%
Avg Loss	-6.2%	-9.0%	-9.8%	-7.4%
Payoff	6.10	4.27	1.26	4.42
Expectancy	15.7%	22.6%	5.0%	15.7%
Profit Factor	6.10	8.55	2.53	6.05
Trades	24	9	12	45
Avg Holding Days	33.2	36.4	26.5	33.1
Turnover	10.4	9.1	11.1	10.3
Exposure	34.3%	31.4%	28.4%	32.2%

Growth of $100

PriceMomentum_V0403 vs TSLA Buy & Hold

PriceMomentum_V0403 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	-7.1%	-0.72	-17.6%	4
2017	8.5%	0.48	-21.3%	3
2018	-29.5%	-1.45	-34.3%	4
2019	56.6%	2.52	-8.5%	2
2020	308.8%	2.51	-33.8%	3
2021	29.6%	1.19	-20.7%	3
2022	-13.1%	-0.63	-28.7%	3

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	26.2%	0.76	21%
hidden test	EXPENSIVE	83	-4.4%	-0.12	50%
hidden test	EXTREME	48	166.9%	2.82	89%
hidden test	HIGH VOLATILITY	254	36.0%	0.76	42%
hidden test	LOW VOLATILITY	429	34.6%	1.61	25%
hidden test	MEDIUM VOLATILITY	248	-29.2%	-1.11	21%
hidden test	NORMAL	800	11.4%	0.40	23%
hidden test	SIDEWAYS	293	0.8%	0.11	2%
hidden test	UPTREND	371	25.6%	0.63	54%
train	DOWNTREND	518	5.5%	0.47	13%
train	EXPENSIVE	311	28.8%	0.99	54%
train	EXTREME	100	387.9%	5.44	89%
train	HIGH VOLATILITY	699	47.2%	1.35	28%
train	LOW VOLATILITY	745	29.2%	1.23	51%
train	MEDIUM VOLATILITY	568	-3.3%	-0.19	19%
train	NORMAL	1,601	3.2%	0.16	27%
train	SIDEWAYS	592	-6.8%	-0.59	3%
train	UPTREND	902	59.9%	1.58	67%
validation	DOWNTREND	125	30.6%	1.57	15%
validation	EXPENSIVE	138	33.0%	0.76	33%
validation	EXTREME	144	256.9%	3.43	69%
validation	HIGH VOLATILITY	258	83.8%	1.32	45%
validation	LOW VOLATILITY	183	36.4%	1.88	31%
validation	MEDIUM VOLATILITY	315	54.9%	2.16	20%
validation	NORMAL	474	8.5%	0.39	19%
validation	SIDEWAYS	206	-4.3%	-0.53	2%
validation	UPTREND	425	100.3%	1.85	51%

Trades (full period)

46 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	-1.41%	19	OPEN
2025-09-12	2026-01-13	$395.94	$447.20	12.00%	85
2025-09-04	2025-09-05	$338.53	$350.84	1.13%	2
2025-05-28	2025-06-06	$356.90	$295.14	-11.18%	8
2025-04-08	2025-04-23	$221.86	$250.74	1.80%	11
2024-11-07	2025-02-12	$296.91	$336.51	15.18%	65
2024-10-03	2024-10-24	$240.66	$260.48	-15.37%	16
2024-09-05	2024-09-27	$230.17	$260.46	10.29%	17
2024-07-02	2024-08-05	$231.26	$198.88	-3.57%	24
2024-04-30	2024-05-29	$183.28	$176.19	-9.10%	21
2023-06-02	2023-08-15	$213.97	$232.96	18.23%	51
2023-05-22	2023-05-31	$188.87	$203.93	11.45%	7
2023-01-27	2023-02-10	$177.90	$196.89	29.11%	11
2022-06-22	2022-08-02	$236.09	$300.59	15.31%	29
2022-04-07	2022-04-27	$352.42	$293.84	-6.75%	14
2022-01-04	2022-01-20	$383.20	$332.09	-19.13%	12
2021-09-08	2021-12-06	$251.29	$336.34	46.02%	63
2021-08-17	2021-08-23	$221.90	$235.43	-1.06%	5
2020-11-19	2021-02-23	$166.42	$232.95	6.49%	64
2020-06-02	2020-09-30	$58.77	$143.00	84.98%	85
2020-04-14	2020-04-30	$47.33	$52.13	22.74%	13
2019-10-25	2020-03-05	$21.88	$48.30	122.15%	90
2019-09-27	2019-10-15	$16.14	$17.19	2.37%	13
2019-07-05	2019-07-22	$15.54	$17.05	9.69%	12
2018-12-06	2018-12-26	$24.20	$21.74	-10.00%	14
2018-08-03	2018-08-20	$23.21	$20.56	-12.77%	12
2018-06-15	2018-07-05	$23.88	$20.61	-13.27%	14
2018-06-07	2018-06-12	$21.07	$22.85	3.73%	4
2017-09-18	2017-10-25	$25.67	$21.72	-8.39%	28
2017-08-04	2017-08-24	$23.79	$23.53	-0.89%	15
2017-01-05	2017-07-10	$15.12	$21.07	19.46%	128
2016-12-14	2016-12-28	$13.25	$14.65	9.31%	10
2016-08-05	2016-08-30	$15.34	$14.09	-6.87%	18
2016-06-08	2016-06-09	$15.70	$15.29	1.17%	2
2016-04-05	2016-05-05	$17.03	$14.10	-9.77%	23
2015-12-17	2015-12-29	$15.56	$15.81	-1.58%	8
2015-05-12	2015-08-18	$16.32	$17.38	11.66%	69
2015-04-29	2015-05-01	$15.50	$15.07	-2.12%	3
2015-04-23	2015-04-28	$14.57	$15.37	5.31%	4
2015-02-11	2015-04-14	$14.19	$13.83	-3.21%	43
2014-06-24	2014-10-01	$15.50	$16.02	6.54%	70
2014-02-11	2014-03-27	$13.11	$13.82	-3.62%	32
2012-12-19	2013-10-29	$2.31	$10.96	378.47%	217
2012-11-29	2012-12-14	$2.25	$2.25	0.94%	12
2012-02-23	2012-04-25	$2.30	$2.19	3.22%	44
2012-02-21	2012-02-22	$2.30	$2.28	-1.54%	2