Strategy Zoo / S0458
PriceMomentum_V0458
ARCHIVEDmomentumparameterchanged ret_20d threshold -0.1003 -> 0.0351
Fitness
0.6381
Generation
21
Complexity
4
Created
2026-09-19
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1146
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0458 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.1146:
position = 1.0
if long and ret_20d < 0.0351:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.0% | 77.6% | 26.9% | 32.1% |
| Total Return | 330.1% | 460.0% | 140.8% | 5870.3% |
| Sharpe | 0.86 | 1.57 | 0.99 | 1.08 |
| Sortino | 0.74 | 1.33 | 0.71 | 0.86 |
| Calmar | 0.58 | 2.30 | 0.99 | 0.93 |
| Volatility | 24.8% | 42.3% | 28.0% | 30.0% |
| Max DD | -34.5% | -33.8% | -27.2% | -34.5% |
| Win Rate | 51.6% | 53.3% | 58.8% | 54.0% |
| Avg Win | 18.3% | 32.8% | 14.7% | 20.9% |
| Avg Loss | -5.3% | -6.0% | -5.7% | -5.5% |
| Payoff | 3.47 | 5.50 | 2.56 | 3.77 |
| Expectancy | 6.9% | 14.7% | 6.3% | 8.7% |
| Profit Factor | 3.70 | 6.28 | 3.66 | 4.42 |
| Trades | 31 | 15 | 17 | 63 |
| Avg Holding Days | 17.3 | 19.4 | 12.4 | 16.6 |
| Turnover | 8.4 | 10.4 | 10.4 | 9.2 |
| Exposure | 24.2% | 31.3% | 21.0% | 24.8% |
Growth of $100
PriceMomentum_V0458 vs TSLA Buy & Hold
PriceMomentum_V0458 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 | 19.5% | 1.67 | -9.1% | 5 |
| 2017 | 13.7% | 0.82 | -10.1% | 4 |
| 2018 | -27.3% | -1.43 | -28.9% | 4 |
| 2019 | 29.9% | 1.64 | -7.5% | 3 |
| 2020 | 319.6% | 2.52 | -33.8% | 6 |
| 2021 | 64.6% | 2.14 | -12.5% | 2 |
| 2022 | -21.3% | -1.12 | -27.9% | 7 |
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 | 28.7% | 1.16 | 17% |
| hidden test | EXPENSIVE | 83 | 42.4% | 1.20 | 39% |
| hidden test | EXTREME | 48 | 175.5% | 3.22 | 59% |
| hidden test | HIGH VOLATILITY | 254 | 36.9% | 0.93 | 31% |
| hidden test | LOW VOLATILITY | 429 | 39.8% | 2.11 | 18% |
| hidden test | MEDIUM VOLATILITY | 248 | -2.7% | -0.10 | 17% |
| hidden test | NORMAL | 800 | 17.3% | 0.70 | 17% |
| hidden test | SIDEWAYS | 293 | 2.2% | 0.19 | 2% |
| hidden test | UPTREND | 371 | 47.1% | 1.25 | 39% |
| train | DOWNTREND | 518 | 11.6% | 1.32 | 7% |
| train | EXPENSIVE | 311 | 22.3% | 0.76 | 47% |
| train | EXTREME | 100 | 376.5% | 5.24 | 91% |
| train | HIGH VOLATILITY | 699 | 46.1% | 1.34 | 27% |
| train | LOW VOLATILITY | 745 | 16.0% | 0.86 | 31% |
| train | MEDIUM VOLATILITY | 568 | -2.4% | -0.15 | 12% |
| train | NORMAL | 1,601 | -1.1% | -0.07 | 16% |
| train | SIDEWAYS | 592 | -5.1% | -0.53 | 2% |
| train | UPTREND | 902 | 44.1% | 1.24 | 49% |
| validation | DOWNTREND | 125 | 34.3% | 1.78 | 8% |
| validation | EXPENSIVE | 138 | 63.1% | 1.36 | 41% |
| validation | EXTREME | 144 | 255.8% | 3.39 | 74% |
| validation | HIGH VOLATILITY | 258 | 70.9% | 1.13 | 41% |
| validation | LOW VOLATILITY | 183 | 45.5% | 2.74 | 22% |
| validation | MEDIUM VOLATILITY | 315 | 74.8% | 2.48 | 28% |
| validation | NORMAL | 474 | 9.8% | 0.46 | 16% |
| validation | SIDEWAYS | 206 | -7.8% | -0.96 | 2% |
| validation | UPTREND | 425 | 111.8% | 2.03 | 52% |
Trades (full period)
64 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | -0.27% | 19 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-06 | 2026-05-08 | $398.73 | $428.35 | 5.55% | 3 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-09-15 | 2025-10-15 | $410.04 | $435.15 | 7.24% | 23 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -9.43% | 11 | |
| 2025-05-06 | 2025-05-12 | $275.35 | $318.38 | 6.21% | 5 | |
| 2025-04-30 | 2025-05-02 | $282.16 | $287.21 | -4.14% | 3 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -5.14% | 2 | |
| 2024-11-07 | 2025-01-08 | $296.91 | $394.94 | 34.61% | 42 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.81% | 8 | |
| 2024-09-23 | 2024-09-27 | $250.00 | $260.46 | 4.40% | 5 | |
| 2024-09-06 | 2024-09-18 | $210.73 | $227.20 | 2.06% | 9 | |
| 2024-07-02 | 2024-08-01 | $231.26 | $216.86 | 9.02% | 22 | |
| 2024-05-15 | 2024-05-24 | $173.99 | $179.24 | -2.34% | 8 | |
| 2023-06-02 | 2023-07-21 | $213.97 | $260.02 | 27.85% | 34 | |
| 2023-05-23 | 2023-05-31 | $185.77 | $203.93 | 6.29% | 6 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 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 | |
| 2022-07-19 | 2022-08-02 | $245.53 | $300.59 | 18.87% | 11 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -1.22% | 4 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -10.23% | 12 | |
| 2022-01-13 | 2022-01-20 | $343.85 | $332.09 | -10.18% | 5 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -9.49% | 3 | |
| 2021-09-16 | 2021-11-29 | $252.33 | $379.00 | 46.46% | 52 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 48.74% | 55 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.34% | 6 | |
| 2020-08-18 | 2020-09-24 | $125.81 | $129.26 | -2.34% | 27 | |
| 2020-06-02 | 2020-08-10 | $58.77 | $94.57 | 54.39% | 49 | |
| 2020-05-20 | 2020-05-27 | $54.37 | $54.68 | 1.14% | 5 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-12-20 | 2020-03-04 | $27.04 | $49.97 | 73.00% | 50 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-09-27 | 2019-10-04 | $16.14 | $15.43 | -2.80% | 6 | |
| 2019-06-21 | 2019-07-22 | $14.79 | $17.05 | 16.51% | 21 | |
| 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 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-05-01 | 2018-05-04 | $19.99 | $19.61 | -3.41% | 4 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.73% | 13 | |
| 2017-06-05 | 2017-07-05 | $23.15 | $21.81 | 0.98% | 22 | |
| 2017-04-04 | 2017-05-04 | $20.25 | $19.70 | 2.79% | 22 | |
| 2017-01-05 | 2017-02-24 | $15.12 | $17.13 | 12.55% | 35 | |
| 2016-12-21 | 2016-12-28 | $13.85 | $14.65 | 5.11% | 5 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.87% | 11 | |
| 2016-04-05 | 2016-05-02 | $17.03 | $16.12 | -2.31% | 20 | |
| 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 | |
| 2015-07-06 | 2015-07-09 | $18.65 | $17.19 | -9.13% | 4 | |
| 2015-05-11 | 2015-06-11 | $15.97 | $16.76 | 5.74% | 23 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-24 | 2015-04-28 | $14.56 | $15.37 | 5.71% | 3 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.78% | 28 | |
| 2014-06-23 | 2014-07-16 | $15.81 | $14.48 | -4.55% | 17 | |
| 2014-01-24 | 2014-03-25 | $11.64 | $14.70 | 13.99% | 42 | |
| 2013-10-08 | 2013-10-10 | $11.65 | $11.53 | -5.47% | 3 | |
| 2013-07-02 | 2013-10-04 | $7.85 | $12.07 | 53.34% | 67 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 138.25% | 61 | |
| 2013-01-29 | 2013-02-22 | $2.53 | $2.41 | -7.73% | 18 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-03-28 | 2012-04-10 | $2.52 | $2.16 | -8.81% | 9 | |
| 2012-02-23 | 2012-03-19 | $2.30 | $2.33 | 3.01% | 18 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |