Strategy Zoo / S0404
PriceMomentum_V0404
ARCHIVEDmomentumparameterchanged ret_20d threshold -0.03 -> 0.0517
Fitness
0.5918
Generation
18
Complexity
7
Created
2026-09-18
Lineage
Parents (1)
added exit filter: roll_high_50 < sma_20; added entry filter: rel_volume > 1.2635
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0404 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and rel_volume > 1.2635):
position = 1.0
if long and (ret_20d < 0.0517 or roll_high_50 < sma_20):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.5% | 80.5% | 19.2% | 26.6% |
| Total Return | 174.9% | 488.4% | 91.6% | 3091.5% |
| Sharpe | 0.62 | 1.56 | 0.80 | 0.92 |
| Sortino | 0.50 | 1.23 | 0.51 | 0.69 |
| Calmar | 0.39 | 2.39 | 0.64 | 0.78 |
| Volatility | 25.6% | 43.9% | 26.6% | 30.5% |
| Max DD | -34.2% | -33.7% | -30.1% | -34.2% |
| Win Rate | 42.5% | 63.6% | 50.0% | 47.7% |
| Avg Win | 12.9% | 33.4% | 15.7% | 18.8% |
| Avg Loss | -3.9% | -3.6% | -4.7% | -4.0% |
| Payoff | 3.32 | 9.23 | 3.30 | 4.66 |
| Expectancy | 3.3% | 20.0% | 5.5% | 6.9% |
| Profit Factor | 2.45 | 10.00 | 3.30 | 4.25 |
| Trades | 40 | 11 | 14 | 65 |
| Avg Holding Days | 12.4 | 20.8 | 13.5 | 14.2 |
| Turnover | 10.1 | 7.3 | 7.6 | 8.9 |
| Exposure | 23.2% | 28.8% | 18.8% | 23.2% |
Growth of $100
PriceMomentum_V0404 vs TSLA Buy & Hold
PriceMomentum_V0404 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 | 11.8% | 1.21 | -6.9% | 3 |
| 2017 | 23.2% | 1.12 | -15.2% | 5 |
| 2018 | -20.7% | -1.24 | -20.7% | 4 |
| 2019 | 27.8% | 1.52 | -8.2% | 3 |
| 2020 | 316.0% | 2.44 | -33.7% | 4 |
| 2021 | 38.3% | 1.21 | -17.6% | 4 |
| 2022 | -1.8% | -0.09 | -14.4% | 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 | -4.8% | -0.24 | 13% |
| hidden test | EXPENSIVE | 83 | 27.3% | 0.73 | 40% |
| hidden test | EXTREME | 48 | 183.4% | 3.26 | 63% |
| hidden test | HIGH VOLATILITY | 254 | 6.7% | 0.18 | 28% |
| hidden test | LOW VOLATILITY | 429 | 42.6% | 2.28 | 15% |
| hidden test | MEDIUM VOLATILITY | 248 | -1.2% | -0.04 | 16% |
| hidden test | NORMAL | 800 | 10.8% | 0.49 | 14% |
| hidden test | SIDEWAYS | 293 | 4.9% | 1.02 | 1% |
| hidden test | UPTREND | 371 | 52.6% | 1.37 | 37% |
| train | DOWNTREND | 518 | 3.7% | 0.47 | 7% |
| train | EXPENSIVE | 311 | 14.7% | 0.47 | 47% |
| train | EXTREME | 100 | 333.0% | 4.64 | 86% |
| train | HIGH VOLATILITY | 699 | 37.6% | 1.06 | 22% |
| train | LOW VOLATILITY | 745 | 12.2% | 0.69 | 30% |
| train | MEDIUM VOLATILITY | 568 | -6.2% | -0.34 | 15% |
| train | NORMAL | 1,601 | -3.8% | -0.22 | 15% |
| train | SIDEWAYS | 592 | -1.4% | -0.19 | 1% |
| train | UPTREND | 902 | 34.1% | 0.92 | 47% |
| validation | DOWNTREND | 125 | 17.5% | 1.29 | 6% |
| validation | EXPENSIVE | 138 | 69.9% | 1.31 | 50% |
| validation | EXTREME | 144 | 260.7% | 3.37 | 72% |
| validation | HIGH VOLATILITY | 258 | 76.6% | 1.21 | 37% |
| validation | LOW VOLATILITY | 183 | 14.9% | 1.32 | 10% |
| validation | MEDIUM VOLATILITY | 315 | 93.6% | 2.62 | 33% |
| validation | NORMAL | 474 | 10.1% | 0.51 | 10% |
| validation | SIDEWAYS | 206 | 4.8% | 1.06 | 1% |
| validation | UPTREND | 425 | 114.8% | 1.98 | 49% |
Trades (full period)
65 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-15 | $348.95 | $356.58 | -1.27% | 16 | |
| 2025-12-16 | 2026-01-02 | $489.88 | $438.07 | -5.57% | 12 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-09-12 | 2025-10-13 | $395.94 | $435.90 | 11.90% | 22 | |
| 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 | 2025-01-08 | $296.91 | $394.94 | 36.41% | 42 | |
| 2024-09-20 | 2024-09-27 | $238.25 | $260.46 | 4.01% | 6 | |
| 2024-09-06 | 2024-09-17 | $210.73 | $227.87 | -1.68% | 8 | |
| 2024-07-02 | 2024-08-01 | $231.26 | $216.86 | 10.37% | 22 | |
| 2024-04-30 | 2024-05-08 | $183.28 | $174.72 | -8.56% | 7 | |
| 2023-06-05 | 2023-07-21 | $217.61 | $260.02 | 22.62% | 33 | |
| 2023-05-24 | 2023-05-31 | $182.90 | $203.93 | 8.07% | 5 | |
| 2023-01-30 | 2023-02-10 | $166.66 | $196.89 | 16.30% | 10 | |
| 2022-07-22 | 2022-08-02 | $272.24 | $300.59 | 9.19% | 8 | |
| 2022-06-22 | 2022-06-23 | $236.09 | $235.07 | -0.60% | 2 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -9.49% | 3 | |
| 2021-10-19 | 2021-11-29 | $288.09 | $379.00 | 24.09% | 29 | |
| 2021-09-28 | 2021-10-06 | $259.19 | $260.92 | -1.56% | 7 | |
| 2021-09-20 | 2021-09-22 | $243.39 | $250.65 | -2.85% | 3 | |
| 2020-11-19 | 2021-02-08 | $166.42 | $287.81 | 74.78% | 54 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 17.09% | 29 | |
| 2020-06-11 | 2020-08-10 | $64.86 | $94.57 | 41.43% | 42 | |
| 2020-04-15 | 2020-04-30 | $48.66 | $52.13 | 12.54% | 12 | |
| 2019-12-17 | 2020-03-02 | $25.27 | $49.57 | 74.74% | 51 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-09-27 | 2019-10-04 | $16.14 | $15.43 | -4.12% | 6 | |
| 2019-07-05 | 2019-07-22 | $15.54 | $17.05 | 9.69% | 12 | |
| 2018-12-06 | 2018-12-10 | $24.20 | $24.34 | -0.68% | 3 | |
| 2018-08-03 | 2018-08-16 | $23.21 | $22.36 | -3.30% | 10 | |
| 2018-06-19 | 2018-07-05 | $23.50 | $20.61 | -16.34% | 12 | |
| 2018-06-07 | 2018-06-08 | $21.07 | $21.18 | -1.27% | 2 | |
| 2017-09-19 | 2017-09-22 | $25.01 | $23.41 | -5.00% | 4 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-06-01 | 2017-07-05 | $22.69 | $21.81 | 3.20% | 24 | |
| 2017-03-28 | 2017-05-04 | $18.50 | $19.70 | 14.87% | 27 | |
| 2017-01-05 | 2017-02-24 | $15.12 | $17.13 | 12.55% | 35 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 10.57% | 10 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-04-20 | $17.03 | $16.66 | -0.04% | 12 | |
| 2015-12-17 | 2015-12-21 | $15.56 | $15.50 | -1.92% | 3 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-07-06 | 2015-07-08 | $18.65 | $17.00 | -4.53% | 3 | |
| 2015-06-24 | 2015-06-30 | $17.68 | $17.88 | -2.31% | 5 | |
| 2015-06-18 | 2015-06-23 | $17.46 | $17.84 | -0.44% | 4 | |
| 2015-05-13 | 2015-06-11 | $16.21 | $16.76 | 2.23% | 21 | |
| 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 | |
| 2015-02-13 | 2015-02-24 | $13.58 | $13.61 | 1.99% | 7 | |
| 2015-02-11 | 2015-02-12 | $14.19 | $13.53 | -1.81% | 2 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.78% | 28 | |
| 2014-06-24 | 2014-07-16 | $15.50 | $14.48 | -7.62% | 16 | |
| 2014-02-11 | 2014-03-25 | $13.11 | $14.70 | 11.79% | 30 | |
| 2013-10-07 | 2013-10-09 | $12.20 | $11.25 | -3.65% | 3 | |
| 2013-09-20 | 2013-10-04 | $12.23 | $12.07 | -2.78% | 11 | |
| 2013-07-02 | 2013-09-10 | $7.85 | $11.09 | 36.87% | 49 | |
| 2013-05-01 | 2013-06-25 | $3.55 | $6.83 | 87.60% | 39 | |
| 2013-03-26 | 2013-04-10 | $2.52 | $2.79 | 7.70% | 11 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2012-12-19 | 2012-12-20 | $2.31 | $2.30 | -0.14% | 2 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-03-27 | 2012-04-09 | $2.53 | $2.21 | -7.99% | 9 | |
| 2012-03-12 | 2012-03-16 | $2.40 | $2.35 | 0.55% | 5 | |
| 2012-02-23 | 2012-03-07 | $2.30 | $2.21 | -3.44% | 10 |