Strategy Zoo / S0447
PriceMomentum_V0447
ARCHIVEDmomentumstructuralswapped indicator ret_20d -> ret_1d
Fitness
0.5310
Generation
20
Complexity
6
Created
2026-09-19
Lineage
Parents (1)
entry from PriceMomentum_V0054, exit from PriceMomentum_V0227
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0447 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.05:
position = 1.0
if long and (ret_1d < -0.0578 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 | 28.0% | 41.9% | 26.8% | 30.7% |
| Total Return | 616.1% | 185.9% | 140.3% | 4965.5% |
| Sharpe | 0.99 | 1.01 | 0.82 | 0.94 |
| Sortino | 1.06 | 0.98 | 0.87 | 0.95 |
| Calmar | 0.51 | 0.94 | 0.71 | 0.56 |
| Volatility | 29.3% | 44.5% | 36.9% | 34.8% |
| Max DD | -55.1% | -44.5% | -37.7% | -55.1% |
| Win Rate | 55.8% | 50.0% | 62.1% | 56.1% |
| Avg Win | 14.1% | 22.2% | 10.6% | 15.7% |
| Avg Loss | -6.1% | -9.8% | -7.6% | -7.6% |
| Payoff | 2.32 | 2.26 | 1.39 | 2.07 |
| Expectancy | 5.2% | 6.2% | 3.7% | 5.5% |
| Profit Factor | 2.93 | 2.26 | 2.28 | 2.65 |
| Trades | 43 | 26 | 29 | 98 |
| Avg Holding Days | 21.0 | 15.2 | 12.8 | 17.3 |
| Turnover | 12.7 | 18.2 | 17.3 | 14.9 |
| Exposure | 40.6% | 42.1% | 34.6% | 39.4% |
Growth of $100
PriceMomentum_V0447 vs TSLA Buy & Hold
PriceMomentum_V0447 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 | 8.8% | 0.61 | -21.0% | 6 |
| 2017 | 16.6% | 0.78 | -20.3% | 4 |
| 2018 | -36.9% | -1.52 | -43.7% | 8 |
| 2019 | 49.7% | 1.99 | -10.8% | 5 |
| 2020 | 229.5% | 2.12 | -37.2% | 13 |
| 2021 | 24.1% | 0.89 | -25.6% | 5 |
| 2022 | -32.1% | -1.51 | -36.6% | 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 | 72.2% | 1.62 | 37% |
| hidden test | EXPENSIVE | 83 | 18.2% | 0.42 | 61% |
| hidden test | EXTREME | 48 | 133.5% | 2.30 | 90% |
| hidden test | HIGH VOLATILITY | 254 | 72.7% | 1.35 | 46% |
| hidden test | LOW VOLATILITY | 429 | 39.9% | 1.56 | 32% |
| hidden test | MEDIUM VOLATILITY | 248 | -29.3% | -0.93 | 28% |
| hidden test | NORMAL | 800 | 25.5% | 0.74 | 28% |
| hidden test | SIDEWAYS | 293 | -2.1% | -0.16 | 4% |
| hidden test | UPTREND | 371 | 26.0% | 0.61 | 57% |
| train | DOWNTREND | 518 | 9.1% | 0.45 | 29% |
| train | EXPENSIVE | 311 | 47.1% | 1.36 | 64% |
| train | EXTREME | 100 | 386.0% | 5.52 | 91% |
| train | HIGH VOLATILITY | 699 | 49.5% | 1.32 | 35% |
| train | LOW VOLATILITY | 745 | 32.5% | 1.30 | 57% |
| train | MEDIUM VOLATILITY | 568 | -1.3% | -0.06 | 27% |
| train | NORMAL | 1,601 | 3.0% | 0.13 | 33% |
| train | SIDEWAYS | 592 | -7.4% | -0.62 | 4% |
| train | UPTREND | 902 | 64.0% | 1.61 | 72% |
| validation | DOWNTREND | 125 | 36.4% | 1.67 | 16% |
| validation | EXPENSIVE | 138 | 0.4% | 0.01 | 58% |
| validation | EXTREME | 144 | 256.6% | 3.34 | 78% |
| validation | HIGH VOLATILITY | 258 | 39.3% | 0.62 | 45% |
| validation | LOW VOLATILITY | 183 | 26.5% | 1.03 | 50% |
| validation | MEDIUM VOLATILITY | 315 | 60.3% | 1.80 | 35% |
| validation | NORMAL | 474 | -6.4% | -0.25 | 27% |
| validation | SIDEWAYS | 206 | -23.6% | -1.80 | 4% |
| validation | UPTREND | 425 | 80.7% | 1.41 | 68% |
Trades (full period)
99 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-09 | — | $367.81 | — | -0.42% | 8 | OPEN |
| 2026-08-21 | 2026-09-08 | $362.86 | $368.16 | 2.39% | 12 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-21 | 2026-05-08 | $386.42 | $428.35 | 6.17% | 14 | |
| 2025-12-15 | 2026-01-13 | $475.31 | $447.20 | -2.37% | 20 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 8.43% | 46 | |
| 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 | |
| 2025-04-15 | 2025-05-12 | $254.11 | $318.38 | 17.96% | 19 | |
| 2025-04-08 | 2025-04-11 | $221.86 | $252.31 | 7.97% | 4 | |
| 2025-01-06 | 2025-02-12 | $411.05 | $336.51 | -18.40% | 26 | |
| 2024-12-20 | 2025-01-03 | $421.06 | $410.44 | -12.22% | 9 | |
| 2024-11-14 | 2024-12-19 | $311.18 | $436.17 | 29.46% | 25 | |
| 2024-11-07 | 2024-11-13 | $296.91 | $330.24 | 13.63% | 5 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.81% | 8 | |
| 2024-09-10 | 2024-09-27 | $226.17 | $260.46 | 12.84% | 14 | |
| 2024-09-04 | 2024-09-09 | $219.41 | $216.27 | 0.04% | 4 | |
| 2024-07-26 | 2024-08-02 | $219.80 | $207.67 | -1.74% | 6 | |
| 2024-07-15 | 2024-07-25 | $252.64 | $220.25 | -13.16% | 9 | |
| 2024-07-02 | 2024-07-12 | $231.26 | $248.23 | 13.30% | 8 | |
| 2024-04-15 | 2024-05-29 | $161.48 | $176.19 | 3.97% | 32 | |
| 2024-02-26 | 2024-03-05 | $199.40 | $180.74 | -2.19% | 7 | |
| 2023-07-26 | 2023-09-05 | $264.35 | $256.49 | -7.28% | 29 | |
| 2023-06-28 | 2023-07-21 | $256.24 | $260.02 | 6.04% | 17 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 15.93% | 17 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-02-01 | 2023-02-10 | $181.41 | $196.89 | 19.45% | 8 | |
| 2023-01-25 | 2023-01-31 | $144.43 | $173.22 | 15.59% | 5 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 3 | |
| 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 | |
| 2022-07-14 | 2022-08-02 | $238.31 | $300.59 | 20.07% | 14 | |
| 2022-06-22 | 2022-07-12 | $236.09 | $233.07 | -1.42% | 14 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -16.47% | 16 | |
| 2022-01-18 | 2022-01-20 | $343.50 | $332.09 | -5.33% | 3 | |
| 2022-01-04 | 2022-01-14 | $383.20 | $349.87 | -15.29% | 9 | |
| 2021-11-11 | 2021-12-06 | $354.50 | $336.34 | -0.97% | 17 | |
| 2021-08-24 | 2021-11-10 | $236.16 | $355.98 | 45.17% | 56 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2021-01-13 | 2021-02-23 | $284.80 | $232.95 | -15.94% | 28 | |
| 2020-12-23 | 2021-01-12 | $215.33 | $283.15 | 17.58% | 13 | |
| 2020-12-11 | 2020-12-22 | $203.33 | $213.45 | 2.47% | 8 | |
| 2020-11-19 | 2020-12-10 | $166.42 | $209.02 | 16.05% | 15 | |
| 2020-10-07 | 2020-11-13 | $141.77 | $136.17 | 0.26% | 28 | |
| 2020-09-10 | 2020-09-24 | $123.78 | $129.26 | 3.64% | 11 | |
| 2020-09-04 | 2020-09-09 | $139.44 | $122.09 | -19.03% | 3 | |
| 2020-07-28 | 2020-09-03 | $98.43 | $135.67 | 34.16% | 28 | |
| 2020-05-15 | 2020-07-27 | $53.28 | $102.64 | 63.47% | 50 | |
| 2020-04-23 | 2020-04-30 | $47.04 | $52.13 | 9.12% | 6 | |
| 2020-04-14 | 2020-04-22 | $47.33 | $48.81 | 5.29% | 7 | |
| 2020-03-03 | 2020-03-10 | $49.70 | $43.02 | -18.40% | 6 | |
| 2020-02-26 | 2020-02-28 | $51.92 | $44.53 | -15.29% | 3 | |
| 2020-02-07 | 2020-02-25 | $49.87 | $53.33 | 11.10% | 12 | |
| 2019-11-29 | 2020-02-06 | $22.00 | $49.93 | 107.93% | 47 | |
| 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 | 2019-10-15 | $16.14 | $17.19 | 3.91% | 13 | |
| 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 | |
| 2018-11-29 | 2018-12-26 | $22.74 | $21.74 | -11.75% | 18 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-10-04 | 2018-10-08 | $18.79 | $16.70 | -11.32% | 3 | |
| 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 | |
| 2018-04-27 | 2018-06-12 | $19.61 | $22.85 | 14.37% | 32 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -5.21% | 4 | |
| 2017-09-18 | 2017-10-25 | $25.67 | $21.72 | -9.75% | 28 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | 0.18% | 15 | |
| 2017-03-28 | 2017-07-06 | $18.50 | $20.59 | 14.52% | 70 | |
| 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 | 2016-08-30 | $15.30 | $14.09 | -6.63% | 26 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-06-02 | $17.03 | $14.60 | -11.64% | 42 | |
| 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 | |
| 2015-12-03 | 2015-12-29 | $15.51 | $15.81 | -0.24% | 18 | |
| 2015-11-19 | 2015-12-02 | $14.79 | $15.47 | 7.08% | 9 | |
| 2015-05-11 | 2015-08-07 | $15.97 | $16.17 | 8.68% | 63 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-23 | 2015-04-28 | $14.57 | $15.37 | 5.31% | 4 | |
| 2015-02-10 | 2015-04-14 | $14.42 | $13.83 | -3.73% | 44 | |
| 2014-06-23 | 2014-09-16 | $15.81 | $17.38 | 10.35% | 60 | |
| 2014-01-24 | 2014-04-07 | $11.64 | $13.83 | 9.76% | 51 | |
| 2013-10-07 | 2013-10-22 | $12.20 | $11.44 | -5.07% | 12 | |
| 2013-07-18 | 2013-10-03 | $7.94 | $11.55 | 50.18% | 55 | |
| 2013-06-04 | 2013-07-17 | $6.32 | $8.02 | 17.08% | 31 | |
| 2013-05-09 | 2013-06-03 | $4.63 | $6.17 | 74.91% | 17 | |
| 2013-04-05 | 2013-05-08 | $2.76 | $3.72 | 35.14% | 24 | |
| 2013-03-26 | 2013-04-04 | $2.52 | $2.80 | 9.29% | 7 | |
| 2012-12-18 | 2013-02-22 | $2.31 | $2.41 | 2.01% | 45 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-10-03 | 2012-10-15 | $1.95 | $1.82 | -5.73% | 9 | |
| 2012-08-30 | 2012-09-11 | $1.89 | $1.85 | -3.34% | 8 | |
| 2012-02-23 | 2012-04-05 | $2.30 | $2.30 | 4.88% | 31 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |