Strategy Zoo / S0411
PriceMomentum_V0411
ARCHIVEDmomentumstructuralchanged ret_20d threshold 0.05 -> 0.1982; replaced exit rule with: roll_low_20 < sma_10
Fitness
0.2938
Generation
19
Complexity
3
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> -0.1657
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0411 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.1982:
position = 1.0
if long and roll_low_20 < sma_10:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.7% | 25.3% | 5.5% | 7.1% |
| Total Return | 14.3% | 96.7% | 21.7% | 173.5% |
| Sharpe | 0.20 | 0.88 | 0.39 | 0.45 |
| Sortino | 0.09 | 0.69 | 0.19 | 0.26 |
| Calmar | 0.06 | 0.92 | 0.20 | 0.26 |
| Volatility | 12.7% | 31.2% | 18.0% | 19.2% |
| Max DD | -26.6% | -27.6% | -27.6% | -27.6% |
| Win Rate | 46.9% | 54.3% | 58.7% | 52.8% |
| Avg Win | 2.8% | 4.7% | 3.3% | 3.6% |
| Avg Loss | -2.1% | -3.7% | -3.7% | -3.0% |
| Payoff | 1.33 | 1.29 | 0.89 | 1.21 |
| Expectancy | 0.2% | 0.9% | 0.4% | 0.5% |
| Profit Factor | 1.18 | 1.53 | 1.26 | 1.35 |
| Trades | 98 | 92 | 63 | 254 |
| Avg Holding Days | 2.0 | 2.0 | 2.0 | 2.0 |
| Turnover | 24.7 | 61.3 | 34.1 | 34.6 |
| Exposure | 4.9% | 12.2% | 6.8% | 6.9% |
Growth of $100
PriceMomentum_V0411 vs TSLA Buy & Hold
PriceMomentum_V0411 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 | 5.8% | 0.81 | -3.6% | 9 |
| 2017 | -3.5% | -0.73 | -5.6% | 12 |
| 2018 | -11.5% | -1.74 | -11.5% | 7 |
| 2019 | 11.6% | 1.04 | -4.0% | 13 |
| 2020 | 81.3% | 1.47 | -27.6% | 64 |
| 2021 | 15.1% | 0.79 | -15.4% | 19 |
| 2022 | -8.9% | -0.73 | -8.9% | 8 |
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 | 19.2% | 1.47 | 3% |
| hidden test | EXPENSIVE | 83 | 42.3% | 1.64 | 17% |
| hidden test | EXTREME | 48 | -35.2% | -0.86 | 29% |
| hidden test | HIGH VOLATILITY | 254 | 10.7% | 0.39 | 11% |
| hidden test | LOW VOLATILITY | 429 | 11.4% | 1.16 | 4% |
| hidden test | MEDIUM VOLATILITY | 248 | -4.5% | -0.27 | 7% |
| hidden test | NORMAL | 800 | 5.8% | 0.40 | 4% |
| hidden test | SIDEWAYS | 293 | -1.4% | -1.22 | 0% |
| hidden test | UPTREND | 371 | 4.7% | 0.18 | 15% |
| train | DOWNTREND | 518 | 1.5% | 0.43 | 1% |
| train | EXPENSIVE | 311 | -5.1% | -0.25 | 9% |
| train | EXTREME | 100 | 61.4% | 1.73 | 34% |
| train | HIGH VOLATILITY | 699 | -2.3% | -0.11 | 9% |
| train | LOW VOLATILITY | 745 | 2.3% | 0.64 | 3% |
| train | MEDIUM VOLATILITY | 568 | 8.5% | 1.07 | 3% |
| train | NORMAL | 1,601 | 0.3% | 0.04 | 2% |
| train | SIDEWAYS | 592 | 1.2% | 0.47 | 1% |
| train | UPTREND | 902 | 3.9% | 0.21 | 10% |
| validation | DOWNTREND | 125 | 11.5% | 1.42 | 1% |
| validation | EXPENSIVE | 138 | 27.2% | 0.93 | 21% |
| validation | EXTREME | 144 | 123.4% | 2.07 | 31% |
| validation | HIGH VOLATILITY | 258 | 50.8% | 1.14 | 16% |
| validation | LOW VOLATILITY | 183 | 2.0% | 0.30 | 3% |
| validation | MEDIUM VOLATILITY | 315 | 22.9% | 0.88 | 15% |
| validation | NORMAL | 474 | -1.8% | -0.12 | 4% |
| validation | SIDEWAYS | 206 | -3.9% | -0.44 | 1% |
| validation | UPTREND | 425 | 47.1% | 1.15 | 21% |
Trades (full period)
latest 100 of 254
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-22 | 2025-12-23 | $488.73 | $485.56 | 1.36% | 2 | |
| 2025-10-08 | 2025-10-09 | $438.69 | $435.54 | 1.09% | 2 | |
| 2025-10-06 | 2025-10-07 | $453.25 | $433.09 | 5.24% | 2 | |
| 2025-10-02 | 2025-10-03 | $436.00 | $429.83 | -5.30% | 2 | |
| 2025-09-30 | 2025-10-01 | $444.72 | $459.46 | 0.14% | 2 | |
| 2025-09-26 | 2025-09-29 | $440.40 | $443.21 | 3.81% | 2 | |
| 2025-09-24 | 2025-09-25 | $442.79 | $423.39 | 3.77% | 2 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.71% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -2.31% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -3.54% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.85% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.72% | 2 | |
| 2025-05-08 | 2025-05-09 | $284.82 | $298.26 | 2.91% | 2 | |
| 2024-12-31 | 2025-01-02 | $403.84 | $379.28 | -3.45% | 2 | |
| 2024-12-27 | 2024-12-30 | $431.66 | $417.41 | -5.14% | 2 | |
| 2024-12-24 | 2024-12-26 | $462.28 | $454.13 | 7.15% | 2 | |
| 2024-12-20 | 2024-12-23 | $421.06 | $430.60 | -3.66% | 2 | |
| 2024-12-18 | 2024-12-19 | $440.13 | $436.17 | -8.47% | 2 | |
| 2024-12-16 | 2024-12-17 | $463.02 | $479.86 | 5.94% | 2 | |
| 2024-12-12 | 2024-12-13 | $418.10 | $436.23 | -1.77% | 2 | |
| 2024-12-09 | 2024-12-10 | $389.79 | $400.99 | -0.05% | 2 | |
| 2024-12-05 | 2024-12-06 | $369.49 | $389.22 | 3.03% | 2 | |
| 2024-12-03 | 2024-12-04 | $351.42 | $357.93 | -1.79% | 2 | |
| 2024-11-29 | 2024-12-02 | $345.16 | $357.09 | 3.48% | 2 | |
| 2024-11-26 | 2024-11-27 | $338.23 | $332.89 | -0.31% | 2 | |
| 2024-11-22 | 2024-11-25 | $352.56 | $338.59 | 3.60% | 2 | |
| 2024-11-20 | 2024-11-21 | $342.03 | $339.64 | -1.35% | 2 | |
| 2024-11-18 | 2024-11-19 | $338.74 | $346.00 | 5.41% | 2 | |
| 2024-11-14 | 2024-11-15 | $311.18 | $320.72 | -5.97% | 2 | |
| 2024-11-12 | 2024-11-13 | $328.49 | $330.24 | -6.34% | 2 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 7.98% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -1.29% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-24 | 2024-07-25 | $215.99 | $220.25 | -12.52% | 2 | |
| 2024-07-22 | 2024-07-23 | $251.51 | $246.38 | 4.94% | 2 | |
| 2024-07-18 | 2024-07-19 | $249.23 | $239.20 | 0.09% | 2 | |
| 2024-07-16 | 2024-07-17 | $256.56 | $248.50 | 1.35% | 2 | |
| 2024-07-12 | 2024-07-15 | $248.23 | $252.64 | 2.78% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.15% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.36% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 6.34% | 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 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.95% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 6.69% | 2 | |
| 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 | |
| 2023-02-08 | 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 | |
| 2023-01-31 | 2023-02-01 | $173.22 | $181.41 | 3.73% | 2 | |
| 2023-01-27 | 2023-01-30 | $177.90 | $166.66 | 10.79% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.57% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -1.09% | 2 | |
| 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 | |
| 2022-04-13 | 2022-04-14 | $340.79 | $328.33 | 3.39% | 2 | |
| 2022-04-11 | 2022-04-12 | $325.31 | $328.98 | -5.03% | 2 | |
| 2022-04-07 | 2022-04-08 | $352.42 | $341.83 | 0.90% | 2 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -4.93% | 2 | |
| 2021-11-19 | 2021-11-22 | $379.02 | $385.62 | 3.51% | 2 | |
| 2021-11-17 | 2021-11-18 | $363.00 | $365.46 | 3.05% | 2 | |
| 2021-11-15 | 2021-11-16 | $337.80 | $351.58 | -2.14% | 2 | |
| 2021-11-11 | 2021-11-12 | $354.50 | $344.47 | -0.62% | 2 | |
| 2021-11-09 | 2021-11-10 | $341.17 | $355.98 | -12.18% | 2 | |
| 2021-11-05 | 2021-11-08 | $407.36 | $387.65 | -0.84% | 2 | |
| 2021-11-03 | 2021-11-04 | $404.62 | $409.97 | 3.37% | 2 | |
| 2021-11-01 | 2021-11-02 | $402.86 | $390.67 | 8.28% | 2 | |
| 2021-10-28 | 2021-10-29 | $359.01 | $371.33 | 3.57% | 2 | |
| 2021-10-26 | 2021-10-27 | $339.48 | $345.95 | -0.83% | 2 | |
| 2021-01-29 | 2021-02-01 | $264.51 | $279.94 | -5.21% | 2 | |
| 2021-01-27 | 2021-01-28 | $288.05 | $278.48 | -2.34% | 2 | |
| 2021-01-25 | 2021-01-26 | $293.60 | $294.36 | 3.83% | 2 | |
| 2021-01-21 | 2021-01-22 | $281.66 | $282.21 | -0.84% | 2 | |
| 2021-01-19 | 2021-01-20 | $281.52 | $283.48 | 2.02% | 2 | |
| 2021-01-14 | 2021-01-15 | $281.67 | $275.39 | -1.30% | 2 | |
| 2021-01-12 | 2021-01-13 | $283.15 | $284.80 | 4.51% | 2 | |
| 2021-01-08 | 2021-01-11 | $293.34 | $270.40 | 7.63% | 2 | |
| 2021-01-06 | 2021-01-07 | $251.99 | $272.01 | 2.64% | 2 | |
| 2021-01-04 | 2021-01-05 | $243.26 | $245.04 | 3.21% | 2 | |
| 2020-12-23 | 2020-12-24 | $215.33 | $220.59 | 0.68% | 2 | |
| 2020-12-21 | 2020-12-22 | $216.62 | $213.45 | -6.69% | 2 | |
| 2020-12-17 | 2020-12-18 | $218.63 | $231.67 | 5.11% | 2 | |
| 2020-12-15 | 2020-12-16 | $211.08 | $207.59 | -1.23% | 2 | |
| 2020-12-11 | 2020-12-14 | $203.33 | $213.28 | -2.92% | 2 | |
| 2020-12-09 | 2020-12-10 | $201.49 | $209.02 | -7.18% | 2 | |
| 2020-12-07 | 2020-12-08 | $213.92 | $216.63 | 6.92% | 2 | |
| 2020-12-03 | 2020-12-04 | $197.79 | $199.68 | 4.11% | 2 | |
| 2020-12-01 | 2020-12-02 | $194.92 | $189.61 | 2.82% | 2 |