Strategy Zoo / S0442
PriceMomentum_V0442
ARCHIVEDhybridstructuraladded entry filter: volume_breakout == 1; changed ret_20d threshold 0.05 -> 0.1795
Fitness
0.5126
Generation
20
Complexity
13
Created
2026-09-19
Lineage
Parents (1)
entry = PriceMomentum_V0028 AND LongTermTrend_V0140
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0442 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.1795) and ret_20d > 0.05 and cumret_252d > -0.1997) and volume_breakout == 1):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.0% | 45.5% | 4.8% | 20.3% |
| Total Return | 300.1% | 208.1% | 18.8% | 1408.5% |
| Sharpe | 0.87 | 1.29 | 0.33 | 0.86 |
| Sortino | 0.63 | 0.83 | 0.17 | 0.55 |
| Calmar | 0.67 | 1.67 | 0.23 | 0.72 |
| Volatility | 23.0% | 33.2% | 21.2% | 25.1% |
| Max DD | -28.3% | -27.2% | -21.0% | -28.3% |
| Win Rate | 50.0% | 75.0% | 66.7% | 58.8% |
| Avg Win | 43.0% | 49.8% | 13.3% | 46.7% |
| Avg Loss | -9.1% | -3.2% | -6.4% | -7.9% |
| Payoff | 4.71 | 10.00 | 2.08 | 5.91 |
| Expectancy | 16.9% | 36.6% | 6.7% | 24.2% |
| Profit Factor | 4.71 | 10.00 | 4.16 | 8.45 |
| Trades | 10 | 4 | 3 | 17 |
| Avg Holding Days | 30.1 | 36.3 | 36.7 | 35.5 |
| Turnover | 2.6 | 2.7 | 1.6 | 2.3 |
| Exposure | 16.7% | 18.7% | 11.5% | 15.8% |
Growth of $100
PriceMomentum_V0442 vs TSLA Buy & Hold
PriceMomentum_V0442 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 | -6.1% | -0.60 | -12.6% | 1 |
| 2017 | 1.4% | 0.17 | -18.0% | 3 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 39.5% | 2.02 | -8.5% | 0 |
| 2020 | 141.8% | 2.02 | -27.2% | 2 |
| 2021 | 22.7% | 0.87 | -17.6% | 2 |
| 2022 | 0.0% | 0.00 | 0.0% | 0 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 4.7% | 0.12 | 61% |
| hidden test | EXTREME | 48 | 194.8% | 3.46 | 69% |
| hidden test | HIGH VOLATILITY | 254 | -3.3% | -0.11 | 20% |
| hidden test | LOW VOLATILITY | 429 | 19.0% | 2.10 | 3% |
| hidden test | MEDIUM VOLATILITY | 248 | -3.4% | -0.14 | 17% |
| hidden test | NORMAL | 800 | -4.1% | -0.32 | 3% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 17.4% | 0.52 | 29% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 34.2% | 1.10 | 46% |
| train | EXTREME | 100 | 358.9% | 4.96 | 87% |
| train | HIGH VOLATILITY | 699 | 52.4% | 1.65 | 21% |
| train | LOW VOLATILITY | 745 | 8.6% | 0.62 | 15% |
| train | MEDIUM VOLATILITY | 568 | -5.2% | -0.27 | 13% |
| train | NORMAL | 1,601 | -4.0% | -0.36 | 7% |
| train | SIDEWAYS | 592 | 0.0% | 0.00 | 0% |
| train | UPTREND | 902 | 44.4% | 1.29 | 37% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 101.7% | 2.55 | 46% |
| validation | EXTREME | 144 | 105.5% | 1.78 | 36% |
| validation | HIGH VOLATILITY | 258 | 31.3% | 0.70 | 19% |
| validation | LOW VOLATILITY | 183 | 5.2% | 0.47 | 4% |
| validation | MEDIUM VOLATILITY | 315 | 74.5% | 2.42 | 26% |
| validation | NORMAL | 474 | 6.9% | 0.46 | 5% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 76.5% | 1.73 | 33% |
Trades (full period)
17 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-15 | 2025-11-14 | $410.04 | $404.35 | 1.33% | 45 | |
| 2024-11-11 | 2025-01-14 | $350.00 | $396.36 | 25.32% | 43 | |
| 2024-07-03 | 2024-08-02 | $246.39 | $207.67 | -6.41% | 22 | |
| 2021-10-26 | 2021-12-01 | $339.48 | $365.00 | 11.48% | 26 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 65.06% | 57 | |
| 2020-07-14 | 2020-08-10 | $101.12 | $94.57 | -3.16% | 20 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 148.29% | 89 | |
| 2017-06-12 | 2017-07-06 | $23.93 | $20.59 | -8.64% | 18 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | 1.59% | 36 | |
| 2017-01-05 | 2017-03-08 | $15.12 | $16.46 | 9.30% | 43 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -6.12% | 22 | |
| 2014-09-08 | 2014-09-16 | $18.81 | $17.38 | -8.66% | 7 | |
| 2014-02-20 | 2014-03-26 | $14.00 | $14.20 | 13.62% | 25 | |
| 2013-07-17 | 2013-10-22 | $8.02 | $11.44 | 57.97% | 69 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 132.63% | 61 | |
| 2013-02-12 | 2013-02-26 | $2.53 | $2.30 | -10.70% | 10 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -11.54% | 10 |