Strategy Zoo / S0450
PriceMomentum_V0450
ARCHIVEDmomentumstructuralchanged ret_20d threshold 0.0392 -> -0.0017; reduce exposure to 62% during MEDIUM_VOLATILITY
Fitness
0.6797
Generation
20
Complexity
4
Created
2026-09-19
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> 0.0392
Children (3)
Strategy Logic (pseudocode)
# PriceMomentum_V0450 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.05:
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.62Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 24.6% | 84.0% | 18.0% | 33.4% |
| Total Return | 479.8% | 523.3% | 84.1% | 6749.9% |
| Sharpe | 0.94 | 1.64 | 0.69 | 1.06 |
| Sortino | 0.93 | 1.51 | 0.57 | 0.96 |
| Calmar | 0.46 | 2.49 | 0.45 | 0.62 |
| Volatility | 27.3% | 42.8% | 30.6% | 31.9% |
| Max DD | -54.0% | -33.8% | -39.9% | -54.0% |
| Win Rate | 43.8% | 44.4% | 44.4% | 44.1% |
| Avg Win | 16.9% | 36.4% | 14.3% | 21.6% |
| Avg Loss | -4.2% | -5.2% | -6.1% | -4.9% |
| Payoff | 4.06 | 7.03 | 2.34 | 4.40 |
| Expectancy | 5.0% | 13.3% | 3.0% | 6.8% |
| Profit Factor | 3.16 | 5.63 | 1.87 | 3.47 |
| Trades | 48 | 18 | 27 | 93 |
| Avg Holding Days | 14.8 | 19.2 | 10.7 | 15.0 |
| Turnover | 13.2 | 12.5 | 15.8 | 13.6 |
| Exposure | 32.4% | 36.5% | 27.2% | 32.0% |
Growth of $100
PriceMomentum_V0450 vs TSLA Buy & Hold
PriceMomentum_V0450 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 | 25.8% | 2.07 | -7.4% | 6 |
| 2017 | 0.8% | 0.14 | -19.5% | 5 |
| 2018 | -36.0% | -1.74 | -37.0% | 9 |
| 2019 | 44.1% | 1.82 | -10.8% | 4 |
| 2020 | 370.8% | 2.69 | -33.8% | 7 |
| 2021 | 73.3% | 2.27 | -11.5% | 3 |
| 2022 | -25.8% | -1.40 | -27.6% | 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 | 7.9% | 0.25 | 31% |
| hidden test | EXPENSIVE | 83 | 49.2% | 1.25 | 50% |
| hidden test | EXTREME | 48 | 174.5% | 3.21 | 63% |
| hidden test | HIGH VOLATILITY | 254 | 14.1% | 0.33 | 39% |
| hidden test | LOW VOLATILITY | 429 | 49.6% | 2.25 | 23% |
| hidden test | MEDIUM VOLATILITY | 248 | -20.6% | -0.72 | 22% |
| hidden test | NORMAL | 800 | 9.1% | 0.33 | 23% |
| hidden test | SIDEWAYS | 293 | 2.6% | 0.23 | 3% |
| hidden test | UPTREND | 371 | 45.5% | 1.16 | 43% |
| train | DOWNTREND | 518 | 5.6% | 0.37 | 17% |
| train | EXPENSIVE | 311 | 32.8% | 1.02 | 58% |
| train | EXTREME | 100 | 390.0% | 5.43 | 91% |
| train | HIGH VOLATILITY | 699 | 46.2% | 1.24 | 32% |
| train | LOW VOLATILITY | 745 | 28.3% | 1.35 | 42% |
| train | MEDIUM VOLATILITY | 568 | -3.1% | -0.16 | 20% |
| train | NORMAL | 1,601 | 1.5% | 0.08 | 24% |
| train | SIDEWAYS | 592 | -4.0% | -0.38 | 3% |
| train | UPTREND | 902 | 56.6% | 1.48 | 61% |
| validation | DOWNTREND | 125 | 32.9% | 1.74 | 10% |
| validation | EXPENSIVE | 138 | 53.2% | 1.17 | 41% |
| validation | EXTREME | 144 | 283.9% | 3.72 | 77% |
| validation | HIGH VOLATILITY | 258 | 82.2% | 1.29 | 44% |
| validation | LOW VOLATILITY | 183 | 38.6% | 1.85 | 40% |
| validation | MEDIUM VOLATILITY | 315 | 78.7% | 2.71 | 28% |
| validation | NORMAL | 474 | 10.2% | 0.46 | 23% |
| validation | SIDEWAYS | 206 | -11.1% | -1.23 | 3% |
| validation | UPTREND | 425 | 120.6% | 2.17 | 60% |
Trades (full period)
94 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 4.65% | 20 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-29 | 2026-05-08 | $372.80 | $428.35 | 9.29% | 8 | |
| 2026-04-21 | 2026-04-24 | $386.42 | $376.30 | -3.10% | 4 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-11-03 | 2025-11-13 | $468.37 | $401.99 | -5.60% | 9 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.23% | 2 | |
| 2025-09-12 | 2025-10-23 | $395.94 | $448.98 | 16.55% | 30 | |
| 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 | -2.22% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -8.36% | 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 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 34.39% | 44 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.83% | 8 | |
| 2024-09-04 | 2024-09-27 | $219.41 | $260.46 | 15.15% | 18 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 1.62% | 23 | |
| 2024-05-14 | 2024-05-29 | $177.55 | $176.19 | 2.63% | 11 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -5.79% | 2 | |
| 2024-02-26 | 2024-03-06 | $199.40 | $176.54 | -6.03% | 8 | |
| 2023-07-26 | 2023-07-28 | $264.35 | $266.44 | -3.80% | 3 | |
| 2023-06-02 | 2023-07-24 | $213.97 | $269.06 | 27.25% | 35 | |
| 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 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.51% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.23% | 2 | |
| 2022-07-14 | 2022-08-02 | $238.31 | $300.59 | 19.12% | 14 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -9.34% | 12 | |
| 2022-01-12 | 2022-01-20 | $368.74 | $332.09 | -7.99% | 6 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-08-24 | 2021-12-01 | $236.16 | $365.00 | 63.05% | 70 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 43.83% | 55 | |
| 2020-10-22 | 2020-10-27 | $141.93 | $141.56 | -0.57% | 4 | |
| 2020-10-16 | 2020-10-19 | $146.56 | $143.61 | -1.40% | 2 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.28% | 6 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 9.39% | 29 | |
| 2020-05-15 | 2020-08-10 | $53.28 | $94.57 | 65.22% | 60 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 130.51% | 89 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -0.96% | 2 | |
| 2019-09-27 | 2019-10-10 | $16.14 | $16.32 | 0.42% | 10 | |
| 2019-06-18 | 2019-07-22 | $14.98 | $17.05 | 13.47% | 24 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2018-11-29 | 2018-12-19 | $22.74 | $22.20 | -1.04% | 14 | |
| 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 | |
| 2018-06-07 | 2018-06-12 | $21.07 | $22.85 | 3.73% | 4 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -5.03% | 4 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -6.47% | 6 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.71% | 13 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.41% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 5.45% | 41 | |
| 2017-01-05 | 2017-02-28 | $15.12 | $16.67 | 9.89% | 37 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 9.76% | 10 | |
| 2016-07-26 | 2016-08-16 | $15.30 | $14.91 | -2.12% | 16 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-05-03 | $17.03 | $15.49 | -1.98% | 21 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 1.32% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 16.56% | 12 | |
| 2015-12-15 | 2015-12-29 | $14.74 | $15.81 | 5.14% | 10 | |
| 2015-12-03 | 2015-12-07 | $15.51 | $15.41 | -0.51% | 3 | |
| 2015-11-19 | 2015-12-02 | $14.79 | $15.47 | 7.08% | 9 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -5.63% | 2 | |
| 2015-07-15 | 2015-07-27 | $17.54 | $16.87 | 2.11% | 9 | |
| 2015-05-11 | 2015-07-09 | $15.97 | $17.19 | 7.54% | 42 | |
| 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 | |
| 2015-04-08 | 2015-04-14 | $13.84 | $13.83 | 3.01% | 5 | |
| 2015-02-10 | 2015-02-25 | $14.42 | $13.58 | -6.34% | 11 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-23 | 2014-07-16 | $15.81 | $14.48 | -4.55% | 17 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 12.76% | 43 | |
| 2013-07-01 | 2013-10-22 | $7.81 | $11.44 | 59.25% | 80 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 180.10% | 65 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2012-12-18 | 2012-12-31 | $2.31 | $2.26 | -3.62% | 9 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-10-09 | 2012-10-12 | $1.89 | $1.84 | -2.10% | 4 | |
| 2012-10-03 | 2012-10-08 | $1.95 | $1.95 | -3.25% | 4 | |
| 2012-08-30 | 2012-09-05 | $1.89 | $1.86 | -0.71% | 4 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -6.73% | 10 | |
| 2012-02-23 | 2012-03-23 | $2.30 | $2.27 | 0.33% | 22 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |