Strategy Zoo / S0433
PriceMomentum_V0433
ARCHIVEDhybridcrossoverentry from PriceMomentum_V0294, exit from LongTermTrend_V0278
Fitness
0.6396
Generation
20
Complexity
4
Created
2026-09-19
Lineage
Parents (2)
changed cumret_252d threshold -0.1997 -> -0.6
entry from PriceMomentum_V0054, exit from PriceMomentum_V0227
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0433 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.05:
position = 1.0
if long and ret_20d < 0.0392:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.8% | 81.5% | 25.1% | 32.1% |
| Total Return | 323.8% | 498.1% | 129.0% | 5874.5% |
| Sharpe | 0.81 | 1.60 | 0.90 | 1.04 |
| Sortino | 0.78 | 1.47 | 0.72 | 0.93 |
| Calmar | 0.39 | 2.41 | 0.67 | 0.64 |
| Volatility | 26.5% | 43.1% | 29.6% | 31.4% |
| Max DD | -50.5% | -33.8% | -37.4% | -50.5% |
| Win Rate | 39.7% | 48.0% | 43.8% | 42.5% |
| Avg Win | 13.7% | 23.6% | 12.1% | 16.0% |
| Avg Loss | -3.3% | -4.2% | -3.9% | -3.6% |
| Payoff | 4.16 | 5.65 | 3.07 | 4.41 |
| Expectancy | 3.5% | 9.1% | 3.1% | 4.7% |
| Profit Factor | 2.74 | 5.22 | 2.39 | 3.26 |
| Trades | 63 | 25 | 32 | 120 |
| Avg Holding Days | 10.9 | 13.2 | 8.3 | 10.8 |
| Turnover | 15.7 | 16.2 | 17.9 | 16.3 |
| Exposure | 29.5% | 34.9% | 25.0% | 29.5% |
Growth of $100
PriceMomentum_V0433 vs TSLA Buy & Hold
PriceMomentum_V0433 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 | 25.3% | 2.01 | -8.6% | 7 |
| 2017 | 13.9% | 0.79 | -12.1% | 6 |
| 2018 | -36.9% | -1.96 | -36.8% | 11 |
| 2019 | 21.0% | 1.06 | -10.8% | 6 |
| 2020 | 385.7% | 2.71 | -33.8% | 9 |
| 2021 | 44.6% | 1.55 | -14.9% | 7 |
| 2022 | -17.4% | -0.89 | -25.8% | 9 |
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 | 14.2% | 0.47 | 27% |
| hidden test | EXPENSIVE | 83 | 54.6% | 1.44 | 42% |
| hidden test | EXTREME | 48 | 175.5% | 3.22 | 59% |
| hidden test | HIGH VOLATILITY | 254 | 19.5% | 0.47 | 36% |
| hidden test | LOW VOLATILITY | 429 | 49.3% | 2.27 | 22% |
| hidden test | MEDIUM VOLATILITY | 248 | -4.7% | -0.17 | 19% |
| hidden test | NORMAL | 800 | 15.0% | 0.57 | 21% |
| hidden test | SIDEWAYS | 293 | 1.6% | 0.13 | 3% |
| hidden test | UPTREND | 371 | 55.8% | 1.47 | 41% |
| train | DOWNTREND | 518 | 3.0% | 0.22 | 15% |
| train | EXPENSIVE | 311 | 30.8% | 1.01 | 54% |
| train | EXTREME | 100 | 392.1% | 5.44 | 92% |
| train | HIGH VOLATILITY | 699 | 45.7% | 1.25 | 30% |
| train | LOW VOLATILITY | 745 | 21.0% | 1.05 | 38% |
| train | MEDIUM VOLATILITY | 568 | -7.6% | -0.43 | 17% |
| train | NORMAL | 1,601 | -3.4% | -0.18 | 21% |
| train | SIDEWAYS | 592 | -5.5% | -0.55 | 3% |
| train | UPTREND | 902 | 49.9% | 1.33 | 56% |
| validation | DOWNTREND | 125 | 44.1% | 2.47 | 9% |
| validation | EXPENSIVE | 138 | 57.2% | 1.23 | 43% |
| validation | EXTREME | 144 | 288.6% | 3.75 | 78% |
| validation | HIGH VOLATILITY | 258 | 91.0% | 1.43 | 44% |
| validation | LOW VOLATILITY | 183 | 23.1% | 1.20 | 32% |
| validation | MEDIUM VOLATILITY | 315 | 77.5% | 2.54 | 30% |
| validation | NORMAL | 474 | 5.6% | 0.26 | 20% |
| validation | SIDEWAYS | 206 | -8.0% | -0.99 | 2% |
| validation | UPTREND | 425 | 113.5% | 2.02 | 58% |
Trades (full period)
latest 100 of 121
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 4.87% | 20 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-04 | 2026-05-08 | $392.51 | $428.35 | 5.16% | 5 | |
| 2026-04-29 | 2026-04-30 | $372.80 | $381.63 | -1.06% | 2 | |
| 2026-04-21 | 2026-04-22 | $386.42 | $387.51 | -1.19% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -2.51% | 2 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 1.62% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.45% | 2 | |
| 2025-09-12 | 2025-10-15 | $395.94 | $435.15 | 15.13% | 24 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-07 | 2025-08-11 | $322.27 | $339.03 | 2.84% | 3 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.43% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -9.43% | 11 | |
| 2025-05-05 | 2025-05-12 | $280.26 | $318.38 | 3.64% | 6 | |
| 2025-04-29 | 2025-05-02 | $292.03 | $287.21 | -2.07% | 4 | |
| 2025-04-15 | 2025-04-17 | $254.11 | $241.37 | -4.47% | 3 | |
| 2025-04-10 | 2025-04-14 | $252.40 | $252.35 | -7.50% | 3 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2024-11-07 | 2025-01-08 | $296.91 | $394.94 | 34.61% | 42 | |
| 2024-10-03 | 2024-10-11 | $240.66 | $217.80 | -4.41% | 7 | |
| 2024-09-20 | 2024-09-27 | $238.25 | $260.46 | 1.91% | 6 | |
| 2024-09-04 | 2024-09-18 | $219.41 | $227.20 | 8.47% | 11 | |
| 2024-07-02 | 2024-08-01 | $231.26 | $216.86 | 9.02% | 22 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-05-14 | 2024-05-24 | $177.55 | $179.24 | 0.88% | 9 | |
| 2024-04-30 | 2024-05-08 | $183.28 | $174.72 | -8.56% | 7 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -5.79% | 2 | |
| 2024-02-26 | 2024-03-05 | $199.40 | $180.74 | -2.19% | 7 | |
| 2023-07-26 | 2023-07-28 | $264.35 | $266.44 | -3.80% | 3 | |
| 2023-06-02 | 2023-07-21 | $213.97 | $260.02 | 27.85% | 34 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -2.77% | 2 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.63% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.64% | 2 | |
| 2022-07-19 | 2022-08-02 | $245.53 | $300.59 | 18.87% | 11 | |
| 2022-07-14 | 2022-07-18 | $238.31 | $240.55 | 0.73% | 3 | |
| 2022-06-22 | 2022-06-28 | $236.09 | $232.66 | 3.12% | 5 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -10.23% | 12 | |
| 2022-01-12 | 2022-01-20 | $368.74 | $332.09 | -7.78% | 6 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -9.49% | 3 | |
| 2021-10-08 | 2021-11-29 | $261.83 | $379.00 | 39.48% | 36 | |
| 2021-09-15 | 2021-10-06 | $251.94 | $260.92 | 4.64% | 16 | |
| 2021-09-08 | 2021-09-13 | $251.29 | $247.67 | -2.41% | 4 | |
| 2021-08-24 | 2021-08-27 | $236.16 | $237.31 | -0.93% | 4 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-08-05 | 2021-08-18 | $238.21 | $229.66 | -6.55% | 10 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 48.74% | 55 | |
| 2020-10-22 | 2020-10-26 | $141.93 | $140.09 | -0.46% | 3 | |
| 2020-10-16 | 2020-10-19 | $146.56 | $143.61 | -1.53% | 2 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.34% | 6 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 10.59% | 29 | |
| 2020-06-01 | 2020-08-10 | $59.87 | $94.57 | 62.33% | 50 | |
| 2020-05-28 | 2020-05-29 | $53.72 | $55.67 | -1.33% | 2 | |
| 2020-05-15 | 2020-05-27 | $53.28 | $54.68 | 1.73% | 8 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-12-17 | 2020-03-04 | $25.27 | $49.97 | 83.22% | 53 | |
| 2019-11-29 | 2019-12-06 | $22.00 | $22.39 | -0.48% | 6 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.05% | 2 | |
| 2019-09-27 | 2019-10-04 | $16.14 | $15.43 | -2.80% | 6 | |
| 2019-06-18 | 2019-07-22 | $14.98 | $17.05 | 13.63% | 24 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2018-12-13 | 2018-12-18 | $25.12 | $22.47 | -2.71% | 4 | |
| 2018-12-06 | 2018-12-10 | $24.20 | $24.34 | -0.46% | 3 | |
| 2018-11-29 | 2018-11-30 | $22.74 | $23.37 | -1.44% | 2 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-10-04 | 2018-10-05 | $18.79 | $17.46 | -4.60% | 2 | |
| 2018-08-22 | 2018-08-28 | $21.44 | $20.79 | -1.02% | 5 | |
| 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 | 2018-06-08 | $21.07 | $21.18 | -1.27% | 2 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -5.21% | 4 | |
| 2017-09-18 | 2017-09-22 | $25.67 | $23.41 | -2.52% | 5 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.73% | 13 | |
| 2017-06-01 | 2017-07-05 | $22.69 | $21.81 | 0.57% | 24 | |
| 2017-05-11 | 2017-05-18 | $21.54 | $20.87 | -4.41% | 6 | |
| 2017-03-28 | 2017-05-04 | $18.50 | $19.70 | 10.91% | 27 | |
| 2017-01-05 | 2017-02-24 | $15.12 | $17.13 | 12.55% | 35 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 9.89% | 10 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.87% | 11 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-21 | 2016-05-02 | $16.55 | $16.12 | -3.17% | 8 | |
| 2016-04-05 | 2016-04-20 | $17.03 | $16.66 | 0.04% | 12 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 1.44% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 16.89% | 12 | |
| 2015-12-22 | 2015-12-28 | $15.33 | $15.26 | -0.72% | 4 | |
| 2015-12-17 | 2015-12-21 | $15.56 | $15.50 | -1.31% | 3 | |
| 2015-12-15 | 2015-12-16 | $14.74 | $15.63 | 0.95% | 2 | |
| 2015-12-03 | 2015-12-04 | $15.51 | $15.36 | 0.11% | 2 | |
| 2015-11-27 | 2015-12-02 | $15.44 | $15.47 | 3.08% | 4 | |
| 2015-11-19 | 2015-11-24 | $14.79 | $14.55 | -1.70% | 4 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -6.17% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.87% | 2 | |
| 2015-07-15 | 2015-07-17 | $17.54 | $18.31 | 0.19% | 3 | |
| 2015-06-18 | 2015-07-09 | $17.46 | $17.19 | -2.29% | 15 | |
| 2015-05-11 | 2015-06-11 | $15.97 | $16.76 | 5.74% | 23 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 |