Strategy Zoo / S0444
PriceMomentum_V0444
ARCHIVEDmomentumstructuralswapped indicator ret_20d -> ret_60d
Fitness
0.5468
Generation
20
Complexity
8
Created
2026-09-19
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> -0.1357
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0444 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_60d > 0.2018 and rel_volume > 1.2635):
position = 1.0
if long and (ret_20d < -0.1357 or roll_high_50 < sma_20):
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.5% | 62.1% | 9.3% | 24.6% |
| Total Return | 313.9% | 325.6% | 39.1% | 2422.7% |
| Sharpe | 0.82 | 1.32 | 0.46 | 0.86 |
| Sortino | 0.71 | 1.06 | 0.38 | 0.69 |
| Calmar | 0.45 | 1.73 | 0.23 | 0.57 |
| Volatility | 25.7% | 44.1% | 28.2% | 31.0% |
| Max DD | -43.4% | -35.9% | -40.4% | -43.4% |
| Win Rate | 46.2% | 60.0% | 62.5% | 54.8% |
| Avg Win | 68.0% | 37.9% | 15.6% | 46.2% |
| Avg Loss | -9.4% | -8.5% | -11.0% | -9.5% |
| Payoff | 7.27 | 4.47 | 1.41 | 4.88 |
| Expectancy | 26.4% | 19.3% | 5.6% | 21.0% |
| Profit Factor | 6.23 | 6.71 | 2.36 | 5.92 |
| Trades | 13 | 10 | 8 | 31 |
| Avg Holding Days | 40.8 | 29.6 | 32.8 | 36.6 |
| Turnover | 5.4 | 7.5 | 6.2 | 6.0 |
| Exposure | 25.2% | 32.9% | 24.5% | 26.6% |
Growth of $100
PriceMomentum_V0444 vs TSLA Buy & Hold
PriceMomentum_V0444 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 | -12.8% | -1.66 | -14.2% | 3 |
| 2017 | 17.3% | 0.84 | -16.8% | 1 |
| 2018 | -30.7% | -2.36 | -30.6% | 2 |
| 2019 | 39.5% | 2.02 | -8.5% | 0 |
| 2020 | 244.9% | 2.16 | -35.9% | 4 |
| 2021 | 41.0% | 1.34 | -18.1% | 4 |
| 2022 | -22.3% | -1.86 | -22.2% | 2 |
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 | 1.1% | 0.02 | 65% |
| hidden test | EXTREME | 48 | 174.8% | 2.90 | 88% |
| hidden test | HIGH VOLATILITY | 254 | 12.4% | 0.32 | 33% |
| hidden test | LOW VOLATILITY | 429 | 26.1% | 1.34 | 20% |
| hidden test | MEDIUM VOLATILITY | 248 | -9.4% | -0.34 | 24% |
| hidden test | NORMAL | 800 | 4.4% | 0.20 | 16% |
| hidden test | SIDEWAYS | 293 | -3.7% | -0.76 | 1% |
| hidden test | UPTREND | 371 | 35.3% | 0.79 | 61% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 30.4% | 0.94 | 55% |
| train | EXTREME | 100 | 400.8% | 5.56 | 94% |
| train | HIGH VOLATILITY | 699 | 45.8% | 1.32 | 25% |
| train | LOW VOLATILITY | 745 | 20.6% | 1.11 | 27% |
| train | MEDIUM VOLATILITY | 568 | -8.9% | -0.44 | 23% |
| train | NORMAL | 1,601 | -4.5% | -0.28 | 15% |
| train | SIDEWAYS | 592 | -7.7% | -0.91 | 1% |
| train | UPTREND | 902 | 51.9% | 1.38 | 56% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 14.2% | 0.26 | 46% |
| validation | EXTREME | 144 | 259.6% | 3.44 | 69% |
| validation | HIGH VOLATILITY | 258 | 84.2% | 1.25 | 43% |
| validation | LOW VOLATILITY | 183 | 25.1% | 1.46 | 31% |
| validation | MEDIUM VOLATILITY | 315 | 55.9% | 1.97 | 26% |
| validation | NORMAL | 474 | 9.7% | 0.44 | 18% |
| validation | SIDEWAYS | 206 | -4.5% | -0.61 | 1% |
| validation | UPTREND | 425 | 105.5% | 1.81 | 58% |
Trades (full period)
31 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-15 | 2026-01-13 | $410.04 | $447.20 | 8.47% | 84 | |
| 2025-06-24 | 2025-07-09 | $340.47 | $295.88 | -15.12% | 11 | |
| 2025-01-31 | 2025-02-12 | $404.60 | $336.51 | -15.52% | 9 | |
| 2024-10-28 | 2025-01-28 | $262.51 | $398.09 | 45.29% | 62 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 9.15% | 16 | |
| 2024-07-02 | 2024-08-05 | $231.26 | $198.88 | -2.45% | 24 | |
| 2023-08-22 | 2023-09-05 | $233.19 | $256.49 | 5.73% | 10 | |
| 2023-06-08 | 2023-08-14 | $234.86 | $239.76 | 9.33% | 46 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2021-12-23 | 2022-01-20 | $355.67 | $332.09 | -7.81% | 19 | |
| 2021-12-20 | 2021-12-21 | $299.98 | $312.84 | -2.51% | 2 | |
| 2021-09-01 | 2021-12-06 | $244.70 | $336.34 | 44.21% | 67 | |
| 2021-02-24 | 2021-02-25 | $247.34 | $227.41 | 4.06% | 2 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 23.65% | 64 | |
| 2020-06-11 | 2020-09-30 | $64.86 | $143.00 | 79.56% | 78 | |
| 2020-04-15 | 2020-04-30 | $48.66 | $52.13 | 12.54% | 12 | |
| 2020-03-16 | 2020-03-17 | $29.67 | $28.68 | -18.76% | 2 | |
| 2019-10-25 | 2020-03-05 | $21.88 | $48.30 | 134.52% | 90 | |
| 2018-12-04 | 2018-12-26 | $23.98 | $21.74 | -13.55% | 15 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -19.68% | 9 | |
| 2017-01-20 | 2017-07-07 | $16.32 | $20.88 | 17.22% | 117 | |
| 2016-05-20 | 2016-05-24 | $14.69 | $14.53 | 0.19% | 3 | |
| 2016-05-06 | 2016-05-09 | $14.33 | $13.93 | 1.41% | 2 | |
| 2016-04-07 | 2016-05-05 | $17.15 | $14.10 | -14.21% | 21 | |
| 2015-06-09 | 2015-08-18 | $17.07 | $17.38 | 2.09% | 50 | |
| 2014-08-07 | 2014-10-01 | $16.83 | $16.02 | -0.42% | 39 | |
| 2014-04-03 | 2014-04-07 | $15.03 | $13.83 | -8.03% | 3 | |
| 2014-02-11 | 2014-03-27 | $13.11 | $13.82 | 1.71% | 32 | |
| 2013-01-16 | 2013-10-29 | $2.27 | $10.96 | 385.64% | 199 | |
| 2012-12-04 | 2012-12-14 | $2.26 | $2.25 | -3.11% | 9 | |
| 2012-03-13 | 2012-04-25 | $2.41 | $2.19 | -6.52% | 31 |