Strategy Zoo / S0466
PriceMomentum_V0466
ARCHIVEDmomentumparameterchanged ret_20d threshold 0.05 -> 0.0123
Fitness
0.6199
Generation
21
Complexity
3
Created
2026-09-19
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> 0.0392
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0466 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.0123:
position = 1.0
if long and ret_20d < 0.0392:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.1% | 96.1% | 23.1% | 29.5% |
| Total Return | 166.8% | 653.9% | 115.6% | 4365.2% |
| Sharpe | 0.56 | 1.65 | 0.79 | 0.91 |
| Sortino | 0.54 | 1.64 | 0.68 | 0.86 |
| Calmar | 0.20 | 2.47 | 0.49 | 0.45 |
| Volatility | 29.7% | 47.8% | 33.7% | 35.1% |
| Max DD | -65.2% | -38.9% | -47.5% | -65.2% |
| Win Rate | 35.1% | 50.0% | 41.5% | 39.4% |
| Avg Win | 10.2% | 19.6% | 10.1% | 12.6% |
| Avg Loss | -3.2% | -4.4% | -3.9% | -3.5% |
| Payoff | 3.24 | 4.48 | 2.60 | 3.57 |
| Expectancy | 1.5% | 7.6% | 1.9% | 2.8% |
| Profit Factor | 1.75 | 4.48 | 1.84 | 2.32 |
| Trades | 114 | 36 | 53 | 203 |
| Avg Holding Days | 7.1 | 10.0 | 6.0 | 7.4 |
| Turnover | 28.7 | 24.0 | 29.0 | 27.7 |
| Exposure | 35.3% | 43.0% | 30.4% | 35.7% |
Growth of $100
PriceMomentum_V0466 vs TSLA Buy & Hold
PriceMomentum_V0466 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 | 21.7% | 1.39 | -18.9% | 15 |
| 2017 | 16.2% | 0.77 | -17.7% | 14 |
| 2018 | -43.6% | -2.10 | -43.5% | 20 |
| 2019 | 1.4% | 0.18 | -26.0% | 13 |
| 2020 | 497.1% | 2.87 | -33.7% | 13 |
| 2021 | 40.6% | 1.19 | -17.6% | 12 |
| 2022 | -13.9% | -0.52 | -26.1% | 11 |
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 | 3.4% | 0.11 | 31% |
| hidden test | EXPENSIVE | 83 | 121.5% | 2.43 | 59% |
| hidden test | EXTREME | 48 | 182.1% | 3.23 | 65% |
| hidden test | HIGH VOLATILITY | 254 | 14.4% | 0.30 | 41% |
| hidden test | LOW VOLATILITY | 429 | 45.8% | 2.02 | 24% |
| hidden test | MEDIUM VOLATILITY | 248 | 5.5% | 0.18 | 29% |
| hidden test | NORMAL | 800 | 7.3% | 0.25 | 25% |
| hidden test | SIDEWAYS | 293 | -2.6% | -0.17 | 4% |
| hidden test | UPTREND | 371 | 66.1% | 1.50 | 50% |
| train | DOWNTREND | 518 | -8.6% | -0.48 | 23% |
| train | EXPENSIVE | 311 | 42.0% | 1.19 | 61% |
| train | EXTREME | 100 | 399.0% | 5.40 | 98% |
| train | HIGH VOLATILITY | 699 | 36.8% | 0.91 | 33% |
| train | LOW VOLATILITY | 745 | 18.8% | 0.89 | 43% |
| train | MEDIUM VOLATILITY | 568 | -11.1% | -0.48 | 27% |
| train | NORMAL | 1,601 | -12.2% | -0.55 | 26% |
| train | SIDEWAYS | 592 | -5.7% | -0.45 | 3% |
| train | UPTREND | 902 | 45.7% | 1.12 | 63% |
| validation | DOWNTREND | 125 | 57.5% | 2.77 | 13% |
| validation | EXPENSIVE | 138 | 52.9% | 0.96 | 62% |
| validation | EXTREME | 144 | 337.3% | 4.17 | 84% |
| validation | HIGH VOLATILITY | 258 | 105.5% | 1.60 | 45% |
| validation | LOW VOLATILITY | 183 | 14.7% | 0.67 | 39% |
| validation | MEDIUM VOLATILITY | 315 | 94.2% | 2.31 | 43% |
| validation | NORMAL | 474 | 7.8% | 0.30 | 25% |
| validation | SIDEWAYS | 206 | -10.8% | -1.11 | 2% |
| validation | UPTREND | 425 | 128.4% | 2.07 | 72% |
Trades (full period)
latest 100 of 204
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 6.00% | 20 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-04 | 2026-05-08 | $392.51 | $428.35 | 5.16% | 5 | |
| 2026-04-28 | 2026-04-30 | $376.02 | $381.63 | -1.75% | 3 | |
| 2026-04-21 | 2026-04-22 | $386.42 | $387.51 | -1.75% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-12-11 | 2025-12-12 | $446.89 | $458.96 | -1.21% | 2 | |
| 2025-12-08 | 2025-12-09 | $439.58 | $445.17 | -3.59% | 2 | |
| 2025-11-12 | 2025-11-13 | $430.60 | $401.99 | -2.25% | 2 | |
| 2025-11-10 | 2025-11-11 | $445.23 | $439.62 | 3.45% | 2 | |
| 2025-11-05 | 2025-11-07 | $462.07 | $429.52 | 0.17% | 3 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-28 | 2025-10-29 | $460.55 | $461.51 | 1.60% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-22 | 2025-10-23 | $438.97 | $448.98 | -1.02% | 2 | |
| 2025-10-20 | 2025-10-21 | $447.43 | $442.60 | 1.65% | 2 | |
| 2025-10-16 | 2025-10-17 | $428.75 | $439.31 | -1.67% | 2 | |
| 2025-09-12 | 2025-10-15 | $395.94 | $435.15 | 16.16% | 24 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-06 | 2025-08-11 | $319.91 | $339.03 | 6.57% | 4 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.55% | 2 | |
| 2025-07-08 | 2025-07-09 | $297.81 | $295.88 | 1.12% | 2 | |
| 2025-06-24 | 2025-06-25 | $340.47 | $327.55 | -2.55% | 2 | |
| 2025-06-10 | 2025-06-11 | $326.09 | $326.43 | 5.47% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2025-05-05 | 2025-05-12 | $280.26 | $318.38 | 3.64% | 6 | |
| 2025-04-28 | 2025-05-02 | $285.88 | $287.21 | -1.75% | 5 | |
| 2025-04-21 | 2025-04-22 | $227.50 | $237.97 | -5.94% | 2 | |
| 2025-04-15 | 2025-04-17 | $254.11 | $241.37 | -4.47% | 3 | |
| 2025-04-10 | 2025-04-14 | $252.40 | $252.35 | -7.50% | 3 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2025-04-03 | 2025-04-04 | $267.28 | $239.43 | -5.67% | 2 | |
| 2025-01-10 | 2025-01-13 | $394.74 | $403.31 | -0.25% | 2 | |
| 2024-11-06 | 2025-01-08 | $288.53 | $394.94 | 56.55% | 43 | |
| 2024-10-31 | 2024-11-01 | $249.85 | $248.98 | -3.19% | 2 | |
| 2024-10-25 | 2024-10-28 | $269.19 | $262.51 | 3.14% | 2 | |
| 2024-10-03 | 2024-10-11 | $240.66 | $217.80 | -4.31% | 7 | |
| 2024-09-19 | 2024-09-27 | $243.92 | $260.46 | 11.68% | 7 | |
| 2024-09-03 | 2024-09-18 | $210.60 | $227.20 | 6.21% | 12 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -5.84% | 2 | |
| 2024-07-02 | 2024-08-01 | $231.26 | $216.86 | 10.37% | 22 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-05-14 | 2024-05-24 | $177.55 | $179.24 | 0.88% | 9 | |
| 2024-05-09 | 2024-05-10 | $171.97 | $168.47 | -1.77% | 2 | |
| 2024-04-30 | 2024-05-08 | $183.28 | $174.72 | -8.56% | 7 | |
| 2024-04-12 | 2024-04-16 | $171.05 | $157.11 | -7.70% | 3 | |
| 2024-02-26 | 2024-03-05 | $199.40 | $180.74 | -2.19% | 7 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -4.21% | 2 | |
| 2023-07-31 | 2023-08-01 | $267.43 | $261.07 | 0.17% | 2 | |
| 2023-07-25 | 2023-07-28 | $265.28 | $266.44 | -5.15% | 4 | |
| 2023-06-02 | 2023-07-21 | $213.97 | $260.02 | 26.44% | 34 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-01-24 | 2023-02-10 | $143.89 | $196.89 | 43.93% | 14 | |
| 2022-09-20 | 2022-09-22 | $308.73 | $288.59 | -2.87% | 3 | |
| 2022-09-12 | 2022-09-13 | $304.42 | $292.13 | 1.38% | 2 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-07-19 | 2022-08-02 | $245.53 | $300.59 | 23.34% | 11 | |
| 2022-07-14 | 2022-07-18 | $238.31 | $240.55 | 1.07% | 3 | |
| 2022-07-08 | 2022-07-11 | $250.76 | $234.34 | 2.34% | 2 | |
| 2022-06-22 | 2022-06-28 | $236.09 | $232.66 | 3.12% | 5 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -14.86% | 12 | |
| 2022-01-10 | 2022-01-20 | $352.71 | $332.09 | -3.24% | 8 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -9.49% | 3 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -6.29% | 2 | |
| 2021-11-30 | 2021-12-01 | $381.59 | $365.00 | 0.48% | 2 | |
| 2021-10-07 | 2021-11-29 | $264.54 | $379.00 | 37.95% | 37 | |
| 2021-09-14 | 2021-10-06 | $248.16 | $260.92 | 4.85% | 17 | |
| 2021-09-03 | 2021-09-13 | $244.52 | $247.67 | 0.33% | 6 | |
| 2021-09-01 | 2021-09-02 | $244.70 | $244.13 | -0.42% | 2 | |
| 2021-08-30 | 2021-08-31 | $243.64 | $245.24 | 2.46% | 2 | |
| 2021-08-24 | 2021-08-27 | $236.16 | $237.31 | -0.93% | 4 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-08-05 | 2021-08-18 | $238.21 | $229.66 | -6.55% | 10 | |
| 2021-02-10 | 2021-02-11 | $268.27 | $270.55 | -5.45% | 2 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-11-06 | 2020-11-09 | $143.32 | $140.42 | -2.06% | 2 | |
| 2020-11-04 | 2020-11-05 | $140.33 | $146.03 | -0.89% | 2 | |
| 2020-10-28 | 2020-10-29 | $135.34 | $136.94 | -4.59% | 2 | |
| 2020-10-22 | 2020-10-26 | $141.93 | $140.09 | -0.67% | 3 | |
| 2020-10-15 | 2020-10-19 | $149.63 | $143.61 | -4.88% | 3 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.68% | 6 | |
| 2020-10-05 | 2020-10-06 | $141.89 | $137.99 | 2.35% | 2 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 17.09% | 29 | |
| 2020-06-01 | 2020-08-10 | $59.87 | $94.57 | 73.64% | 50 | |
| 2020-05-28 | 2020-05-29 | $53.72 | $55.67 | -1.96% | 2 | |
| 2020-05-15 | 2020-05-27 | $53.28 | $54.68 | 1.73% | 8 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-12-17 | 2020-03-04 | $25.27 | $49.97 | 95.02% | 53 | |
| 2019-12-13 | 2019-12-16 | $23.89 | $25.43 | -0.56% | 2 | |
| 2019-11-26 | 2019-12-06 | $21.93 | $22.39 | -1.97% | 8 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2019-10-09 | 2019-10-10 | $16.30 | $16.32 | 1.66% | 2 | |
| 2019-10-07 | 2019-10-08 | $15.85 | $16.00 | 2.52% | 2 | |
| 2019-09-27 | 2019-10-04 | $16.14 | $15.43 | -4.12% | 6 | |
| 2019-06-18 | 2019-07-22 | $14.98 | $17.05 | 14.50% | 24 | |
| 2019-04-24 | 2019-04-25 | $17.24 | $16.51 | -2.18% | 2 | |
| 2019-04-17 | 2019-04-18 | $18.08 | $18.22 | -0.98% | 2 |