Strategy Zoo / S0455
PriceMomentum_V0455
ARCHIVEDmomentumstructuraladded entry filter: drawdown > -0.1108; added entry filter: macd_hist < 0.3938
Fitness
0.5450
Generation
21
Complexity
6
Created
2026-09-19
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> -0.1657
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0455 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and drawdown > -0.1108 and macd_hist < 0.3938):
position = 1.0
if long and ret_20d < -0.1657:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.5% | 71.1% | -2.1% | 20.3% |
| Total Return | 214.9% | 400.5% | -7.5% | 1401.0% |
| Sharpe | 0.62 | 1.40 | -0.02 | 0.73 |
| Sortino | 0.57 | 1.16 | -0.01 | 0.60 |
| Calmar | 0.29 | 2.00 | -0.06 | 0.37 |
| Volatility | 30.8% | 46.1% | 18.3% | 32.2% |
| Max DD | -54.1% | -35.6% | -37.8% | -54.1% |
| Win Rate | 26.7% | 100.0% | 50.0% | 42.9% |
| Avg Win | 90.0% | 57.2% | 4.2% | 69.8% |
| Avg Loss | -7.8% | 0.0% | -11.3% | -8.1% |
| Payoff | 10.00 | 5.00 | 0.38 | 8.60 |
| Expectancy | 18.3% | 57.2% | -3.5% | 25.3% |
| Profit Factor | 4.18 | 5.00 | 0.38 | 6.45 |
| Trades | 15 | 4 | 2 | 21 |
| Avg Holding Days | 47.7 | 64.0 | 57.0 | 53.3 |
| Turnover | 3.9 | 2.7 | 1.1 | 2.9 |
| Exposure | 36.5% | 33.3% | 12.0% | 29.7% |
Growth of $100
PriceMomentum_V0455 vs TSLA Buy & Hold
PriceMomentum_V0455 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 | -17.4% | -1.66 | -20.4% | 1 |
| 2017 | 22.7% | 0.83 | -19.5% | 2 |
| 2018 | -41.0% | -2.19 | -40.9% | 5 |
| 2019 | 21.1% | 1.52 | -8.5% | 0 |
| 2020 | 294.2% | 2.28 | -35.6% | 2 |
| 2021 | 22.0% | 0.76 | -21.8% | 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 | -60.5% | -1.74 | 40% |
| hidden test | EXTREME | 48 | 78.5% | 1.43 | 79% |
| hidden test | HIGH VOLATILITY | 254 | -2.0% | -0.10 | 10% |
| hidden test | LOW VOLATILITY | 429 | 9.2% | 0.78 | 8% |
| hidden test | MEDIUM VOLATILITY | 248 | -15.4% | -0.61 | 21% |
| hidden test | NORMAL | 800 | 1.1% | 0.11 | 5% |
| hidden test | SIDEWAYS | 293 | 0.7% | 0.82 | 0% |
| hidden test | UPTREND | 371 | -1.6% | -0.06 | 30% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 42.2% | 0.95 | 80% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 34.1% | 0.86 | 32% |
| train | LOW VOLATILITY | 745 | 19.3% | 0.89 | 41% |
| train | MEDIUM VOLATILITY | 568 | 0.1% | 0.00 | 37% |
| train | NORMAL | 1,601 | -10.3% | -0.50 | 24% |
| train | SIDEWAYS | 592 | -12.0% | -1.10 | 2% |
| train | UPTREND | 902 | 50.3% | 1.12 | 80% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 22.3% | 0.40 | 70% |
| validation | EXTREME | 144 | 290.3% | 3.55 | 77% |
| validation | HIGH VOLATILITY | 258 | 95.7% | 1.45 | 40% |
| validation | LOW VOLATILITY | 183 | 26.8% | 1.26 | 25% |
| validation | MEDIUM VOLATILITY | 315 | 60.3% | 1.69 | 33% |
| validation | NORMAL | 474 | 7.9% | 0.39 | 9% |
| validation | SIDEWAYS | 206 | -1.7% | -1.19 | 0% |
| validation | UPTREND | 425 | 115.2% | 1.88 | 59% |
Trades (full period)
21 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-10-06 | 2026-01-13 | $453.25 | $447.20 | 4.25% | 69 | |
| 2024-12-06 | 2025-02-12 | $389.22 | $336.51 | -11.27% | 45 | |
| 2021-10-08 | 2021-12-06 | $261.83 | $336.34 | 27.64% | 41 | |
| 2020-12-17 | 2021-02-24 | $218.63 | $247.34 | 12.00% | 46 | |
| 2020-05-22 | 2020-11-13 | $54.46 | $136.17 | 148.27% | 123 | |
| 2019-11-12 | 2020-03-10 | $23.33 | $43.02 | 75.84% | 81 | |
| 2018-11-29 | 2018-12-26 | $22.74 | $21.74 | -15.26% | 18 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-21 | 2018-07-05 | $23.17 | $20.61 | -14.35% | 10 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-09-18 | 2017-10-25 | $25.67 | $21.72 | -11.36% | 28 | |
| 2017-01-25 | 2017-08-24 | $16.96 | $23.53 | 38.28% | 148 | |
| 2016-04-06 | 2016-05-06 | $17.69 | $14.33 | -17.36% | 23 | |
| 2015-06-09 | 2015-08-18 | $17.07 | $17.38 | -0.71% | 50 | |
| 2014-06-23 | 2014-10-22 | $15.81 | $15.41 | 2.30% | 86 | |
| 2014-01-24 | 2014-03-28 | $11.64 | $14.16 | 13.99% | 45 | |
| 2012-12-18 | 2013-11-08 | $2.31 | $9.20 | 305.50% | 226 | |
| 2012-12-03 | 2012-12-14 | $2.31 | $2.25 | -0.82% | 10 | |
| 2012-02-23 | 2012-05-04 | $2.30 | $2.12 | -5.33% | 51 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |