Strategy Zoo / S0424
PriceMomentum_V0424
ARCHIVEDmomentumstructuralreplaced exit rule with: breakout_20 == 1
Fitness
0.4838
Generation
19
Complexity
6
Created
2026-09-18
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> -0.1357
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0424 [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 breakout_20 == 1:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.6% | 48.7% | 14.4% | 16.9% |
| Total Return | 79.1% | 228.8% | 64.2% | 895.1% |
| Sharpe | 0.42 | 1.70 | 0.61 | 0.74 |
| Sortino | 0.35 | 1.69 | 0.52 | 0.63 |
| Calmar | 0.16 | 2.52 | 0.46 | 0.36 |
| Volatility | 24.1% | 25.1% | 28.3% | 25.5% |
| Max DD | -46.8% | -19.3% | -31.0% | -46.8% |
| Win Rate | 76.3% | 91.4% | 84.0% | 81.4% |
| Avg Win | 3.3% | 4.4% | 5.1% | 4.0% |
| Avg Loss | -6.7% | -4.9% | -10.9% | -7.2% |
| Payoff | 0.49 | 0.90 | 0.46 | 0.56 |
| Expectancy | 0.9% | 3.6% | 2.5% | 1.9% |
| Profit Factor | 1.59 | 9.61 | 2.42 | 2.44 |
| Trades | 80 | 35 | 25 | 140 |
| Avg Holding Days | 7.6 | 6.0 | 8.8 | 7.4 |
| Turnover | 21.0 | 20.8 | 13.9 | 19.1 |
| Exposure | 23.5% | 19.1% | 20.5% | 21.9% |
Growth of $100
PriceMomentum_V0424 vs TSLA Buy & Hold
PriceMomentum_V0424 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 | -10.8% | -0.93 | -21.1% | 5 |
| 2017 | 0.4% | 0.11 | -11.0% | 17 |
| 2018 | -22.3% | -1.15 | -25.4% | 5 |
| 2019 | 21.2% | 1.54 | -4.6% | 8 |
| 2020 | 203.5% | 3.35 | -9.1% | 24 |
| 2021 | 12.3% | 0.71 | -15.5% | 6 |
| 2022 | -12.0% | -0.82 | -19.3% | 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 | 18.7% | 0.56 | 19% |
| hidden test | EXPENSIVE | 83 | -22.0% | -0.70 | 37% |
| hidden test | EXTREME | 48 | 105.3% | 2.11 | 69% |
| hidden test | HIGH VOLATILITY | 254 | 26.3% | 0.57 | 42% |
| hidden test | LOW VOLATILITY | 429 | 13.0% | 0.90 | 11% |
| hidden test | MEDIUM VOLATILITY | 248 | 15.6% | 0.74 | 15% |
| hidden test | NORMAL | 800 | 16.1% | 0.62 | 16% |
| hidden test | SIDEWAYS | 293 | -4.8% | -1.04 | 1% |
| hidden test | UPTREND | 371 | 33.8% | 0.98 | 37% |
| train | DOWNTREND | 518 | -0.8% | -0.07 | 12% |
| train | EXPENSIVE | 311 | 11.6% | 0.45 | 28% |
| train | EXTREME | 100 | 237.7% | 3.83 | 50% |
| train | HIGH VOLATILITY | 699 | 25.8% | 0.81 | 16% |
| train | LOW VOLATILITY | 745 | 4.4% | 0.23 | 32% |
| train | MEDIUM VOLATILITY | 568 | -1.6% | -0.09 | 21% |
| train | NORMAL | 1,601 | -4.4% | -0.23 | 21% |
| train | SIDEWAYS | 592 | -3.6% | -0.33 | 2% |
| train | UPTREND | 902 | 25.5% | 0.75 | 44% |
| validation | DOWNTREND | 125 | 7.1% | 0.56 | 9% |
| validation | EXPENSIVE | 138 | 42.8% | 1.78 | 22% |
| validation | EXTREME | 144 | 165.1% | 4.04 | 32% |
| validation | HIGH VOLATILITY | 258 | 83.1% | 2.41 | 23% |
| validation | LOW VOLATILITY | 183 | 15.5% | 1.50 | 10% |
| validation | MEDIUM VOLATILITY | 315 | 25.6% | 1.17 | 21% |
| validation | NORMAL | 474 | 5.6% | 0.32 | 14% |
| validation | SIDEWAYS | 206 | -4.3% | -1.14 | 0% |
| validation | UPTREND | 425 | 76.1% | 2.33 | 31% |
Trades (full period)
latest 100 of 141
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-04 | — | $354.08 | — | -4.19% | 10 | OPEN |
| 2026-08-24 | 2026-09-01 | $348.95 | $356.09 | 1.20% | 7 | |
| 2025-12-18 | 2026-01-13 | $483.37 | $447.20 | -4.11% | 17 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.86% | 2 | |
| 2025-10-03 | 2025-10-29 | $429.83 | $461.51 | 3.84% | 19 | |
| 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 | |
| 2025-04-08 | 2025-04-28 | $221.86 | $285.88 | 21.89% | 14 | |
| 2024-12-19 | 2025-02-24 | $436.17 | $330.53 | -22.65% | 43 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 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 | |
| 2024-09-20 | 2024-09-24 | $238.25 | $254.27 | 0.75% | 3 | |
| 2024-09-09 | 2024-09-16 | $216.27 | $226.78 | 9.07% | 6 | |
| 2024-07-12 | 2024-09-06 | $248.23 | $210.73 | -7.92% | 40 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.39% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.28% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2023-06-22 | 2023-07-05 | $264.61 | $282.48 | 7.63% | 9 | |
| 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 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.50% | 2 | |
| 2023-05-24 | 2023-05-30 | $182.90 | $201.16 | 3.77% | 4 | |
| 2023-01-30 | 2023-02-02 | $166.66 | $188.27 | 1.76% | 4 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-06-22 | 2022-07-11 | $236.09 | $234.34 | 3.17% | 13 | |
| 2022-01-05 | 2022-01-20 | $362.71 | $332.09 | -14.67% | 11 | |
| 2021-11-10 | 2022-01-04 | $355.98 | $383.20 | 16.29% | 38 | |
| 2021-11-02 | 2021-11-04 | $390.67 | $409.97 | 0.18% | 3 | |
| 2021-10-26 | 2021-10-28 | $339.48 | $359.01 | 0.73% | 3 | |
| 2021-10-19 | 2021-10-22 | $288.09 | $303.23 | 2.54% | 4 | |
| 2021-09-28 | 2021-10-08 | $259.19 | $261.83 | 0.08% | 9 | |
| 2021-09-20 | 2021-09-27 | $243.39 | $263.79 | 1.75% | 6 | |
| 2021-01-11 | 2021-01-26 | $270.40 | $294.36 | 0.05% | 11 | |
| 2020-12-21 | 2021-01-04 | $216.62 | $243.26 | 0.98% | 9 | |
| 2020-12-10 | 2020-12-18 | $209.02 | $231.67 | 5.65% | 7 | |
| 2020-12-08 | 2020-12-09 | $216.63 | $201.49 | 0.72% | 2 | |
| 2020-12-01 | 2020-12-04 | $194.92 | $199.68 | 2.97% | 4 | |
| 2020-11-27 | 2020-11-30 | $195.25 | $189.20 | 1.26% | 2 | |
| 2020-11-24 | 2020-11-25 | $185.13 | $191.33 | 4.23% | 2 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 1.63% | 2 | |
| 2020-08-28 | 2020-09-01 | $147.56 | $158.35 | 7.10% | 3 | |
| 2020-08-25 | 2020-08-27 | $134.89 | $149.25 | 4.63% | 3 | |
| 2020-08-21 | 2020-08-24 | $136.67 | $134.28 | 2.20% | 2 | |
| 2020-08-18 | 2020-08-19 | $125.81 | $125.24 | 2.60% | 2 | |
| 2020-07-24 | 2020-08-17 | $94.47 | $122.38 | 6.66% | 17 | |
| 2020-07-13 | 2020-07-16 | $99.80 | $100.04 | -0.12% | 4 | |
| 2020-07-08 | 2020-07-10 | $91.06 | $102.98 | 0.12% | 3 | |
| 2020-07-06 | 2020-07-07 | $91.44 | $92.66 | 13.27% | 2 | |
| 2020-06-11 | 2020-07-01 | $64.86 | $74.64 | 3.66% | 15 | |
| 2020-04-15 | 2020-04-16 | $48.66 | $49.68 | 2.61% | 2 | |
| 2020-02-06 | 2020-02-20 | $49.93 | $59.96 | 24.62% | 10 | |
| 2020-02-04 | 2020-02-05 | $59.14 | $48.98 | 13.51% | 2 | |
| 2020-01-31 | 2020-02-03 | $43.37 | $52.00 | 1.32% | 2 | |
| 2020-01-23 | 2020-01-24 | $38.15 | $37.65 | 0.18% | 2 | |
| 2020-01-15 | 2020-01-22 | $34.57 | $37.97 | 1.10% | 5 | |
| 2020-01-10 | 2020-01-14 | $31.88 | $35.86 | 8.82% | 3 | |
| 2020-01-08 | 2020-01-09 | $32.81 | $32.09 | 4.72% | 2 | |
| 2019-12-31 | 2020-01-06 | $27.89 | $30.10 | 6.61% | 4 | |
| 2019-12-24 | 2019-12-26 | $28.35 | $28.73 | 1.24% | 2 | |
| 2019-12-20 | 2019-12-23 | $27.04 | $27.95 | 0.18% | 2 | |
| 2019-12-17 | 2019-12-19 | $25.27 | $26.94 | 2.85% | 3 | |
| 2019-10-29 | 2019-11-08 | $21.08 | $22.48 | 2.18% | 9 | |
| 2019-10-25 | 2019-10-28 | $21.88 | $21.85 | 9.28% | 2 | |
| 2019-09-27 | 2019-10-14 | $16.14 | $17.13 | 1.39% | 12 | |
| 2019-07-16 | 2019-07-18 | $16.83 | $16.90 | 0.34% | 3 | |
| 2019-07-05 | 2019-07-11 | $15.54 | $15.91 | 1.51% | 5 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.50% | 2 | |
| 2018-08-09 | 2018-08-20 | $23.50 | $20.56 | -17.68% | 8 | |
| 2018-08-03 | 2018-08-08 | $23.21 | $24.69 | 8.37% | 4 | |
| 2018-06-19 | 2018-07-05 | $23.50 | $20.61 | -16.34% | 12 | |
| 2018-06-07 | 2018-06-12 | $21.07 | $22.85 | 3.73% | 4 | |
| 2017-09-19 | 2017-10-25 | $25.01 | $21.72 | -10.58% | 27 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 1.79% | 2 | |
| 2017-06-15 | 2017-06-23 | $25.02 | $25.56 | 0.77% | 7 | |
| 2017-06-09 | 2017-06-14 | $23.82 | $25.38 | -0.21% | 4 | |
| 2017-06-07 | 2017-06-08 | $23.98 | $24.67 | 1.17% | 2 | |
| 2017-06-01 | 2017-06-06 | $22.69 | $23.52 | 0.95% | 4 | |
| 2017-05-02 | 2017-05-11 | $21.26 | $21.54 | -1.75% | 8 | |
| 2017-04-17 | 2017-04-26 | $20.10 | $20.68 | 2.41% | 8 | |
| 2017-04-06 | 2017-04-11 | $19.91 | $20.58 | 5.68% | 4 | |
| 2017-04-04 | 2017-04-05 | $20.25 | $19.67 | 1.53% | 2 | |
| 2017-03-28 | 2017-03-29 | $18.50 | $18.49 | 2.47% | 2 | |
| 2017-02-17 | 2017-03-27 | $18.15 | $18.01 | -3.57% | 26 | |
| 2017-02-14 | 2017-02-15 | $18.73 | $18.65 | -0.06% | 2 | |
| 2017-02-10 | 2017-02-13 | $17.95 | $18.71 | -0.19% | 2 | |
| 2017-01-20 | 2017-01-23 | $16.32 | $16.59 | 0.20% | 2 | |
| 2017-01-17 | 2017-01-19 | $15.71 | $16.25 | 0.06% | 3 | |
| 2017-01-05 | 2017-01-09 | $15.12 | $15.42 | 0.69% | 3 | |
| 2016-12-22 | 2016-12-27 | $13.90 | $14.64 | 2.51% | 3 | |
| 2016-12-14 | 2016-12-15 | $13.25 | $13.17 | 0.05% | 2 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-07 | 2016-06-02 | $17.15 | $14.60 | -15.89% | 40 | |
| 2016-04-05 | 2016-04-06 | $17.03 | $17.69 | 2.20% | 2 | |
| 2015-12-17 | 2015-12-29 | $15.56 | $15.81 | -2.03% | 8 | |
| 2015-08-06 | 2015-08-18 | $16.41 | $17.38 | -4.53% | 9 | |
| 2015-07-06 | 2015-07-21 | $18.65 | $17.78 | 0.60% | 12 | |
| 2015-06-29 | 2015-07-02 | $17.47 | $18.67 | 0.57% | 4 |