Strategy Zoo / S0467
PriceMomentum_V0467
ARCHIVEDmomentumparameterchanged ret_20d threshold 0.05 -> -0.0649
Fitness
0.5633
Generation
21
Complexity
7
Created
2026-09-19
Lineage
Parents (1)
added exit filter: roll_high_50 < sma_20; added entry filter: rel_volume > 1.2635
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0467 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > -0.0649 and rel_volume > 1.2635):
position = 1.0
if long and (ret_20d < -0.03 or roll_high_50 < sma_20):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 12.3% | 84.0% | 11.2% | 24.2% |
| Total Return | 152.6% | 523.3% | 48.2% | 2303.0% |
| Sharpe | 0.53 | 1.55 | 0.49 | 0.80 |
| Sortino | 0.49 | 1.33 | 0.41 | 0.70 |
| Calmar | 0.20 | 2.29 | 0.22 | 0.39 |
| Volatility | 30.3% | 46.1% | 31.9% | 34.5% |
| Max DD | -62.0% | -36.6% | -50.6% | -62.0% |
| Win Rate | 37.3% | 61.5% | 50.0% | 43.5% |
| Avg Win | 15.6% | 35.0% | 13.5% | 20.9% |
| Avg Loss | -5.1% | -8.0% | -7.6% | -5.9% |
| Payoff | 3.06 | 4.37 | 1.77 | 3.56 |
| Expectancy | 2.6% | 18.5% | 2.9% | 5.8% |
| Profit Factor | 1.82 | 6.99 | 1.77 | 2.74 |
| Trades | 59 | 13 | 20 | 92 |
| Avg Holding Days | 12.5 | 22.2 | 13.7 | 14.6 |
| Turnover | 14.9 | 8.7 | 11.1 | 12.6 |
| Exposure | 36.0% | 36.5% | 29.3% | 34.4% |
Growth of $100
PriceMomentum_V0467 vs TSLA Buy & Hold
PriceMomentum_V0467 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 | -2.2% | -0.11 | -18.0% | 8 |
| 2017 | 9.8% | 0.49 | -20.3% | 6 |
| 2018 | -45.4% | -2.13 | -48.8% | 11 |
| 2019 | 57.2% | 2.35 | -8.5% | 6 |
| 2020 | 383.8% | 2.63 | -33.7% | 4 |
| 2021 | 74.0% | 1.88 | -17.6% | 3 |
| 2022 | -29.0% | -1.46 | -33.1% | 6 |
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 | -30.6% | -1.12 | 27% |
| hidden test | EXPENSIVE | 83 | 91.6% | 1.75 | 73% |
| hidden test | EXTREME | 48 | 185.0% | 3.19 | 75% |
| hidden test | HIGH VOLATILITY | 254 | -9.7% | -0.22 | 42% |
| hidden test | LOW VOLATILITY | 429 | 35.7% | 1.71 | 20% |
| hidden test | MEDIUM VOLATILITY | 248 | 7.4% | 0.23 | 32% |
| hidden test | NORMAL | 800 | -2.3% | -0.09 | 22% |
| hidden test | SIDEWAYS | 293 | 9.0% | 1.39 | 2% |
| hidden test | UPTREND | 371 | 54.5% | 1.22 | 53% |
| train | DOWNTREND | 518 | -18.6% | -1.17 | 20% |
| train | EXPENSIVE | 311 | 32.8% | 0.83 | 64% |
| train | EXTREME | 100 | 380.3% | 5.23 | 96% |
| train | HIGH VOLATILITY | 699 | 22.4% | 0.56 | 31% |
| train | LOW VOLATILITY | 745 | 28.1% | 1.25 | 46% |
| train | MEDIUM VOLATILITY | 568 | -7.3% | -0.30 | 29% |
| train | NORMAL | 1,601 | -9.9% | -0.45 | 27% |
| train | SIDEWAYS | 592 | 0.2% | 0.02 | 3% |
| train | UPTREND | 902 | 46.5% | 1.10 | 67% |
| validation | DOWNTREND | 125 | 9.5% | 0.55 | 10% |
| validation | EXPENSIVE | 138 | 59.8% | 1.11 | 52% |
| validation | EXTREME | 144 | 288.4% | 3.67 | 74% |
| validation | HIGH VOLATILITY | 258 | 82.2% | 1.25 | 43% |
| validation | LOW VOLATILITY | 183 | 28.3% | 1.68 | 28% |
| validation | MEDIUM VOLATILITY | 315 | 88.3% | 2.33 | 37% |
| validation | NORMAL | 474 | 9.3% | 0.38 | 21% |
| validation | SIDEWAYS | 206 | -19.6% | -1.27 | 2% |
| validation | UPTREND | 425 | 134.2% | 2.25 | 61% |
Trades (full period)
93 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 0.82% | 19 | OPEN |
| 2026-04-24 | 2026-05-08 | $376.30 | $428.35 | 9.97% | 11 | |
| 2026-04-16 | 2026-04-20 | $388.90 | $392.50 | 2.01% | 3 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -2.20% | 2 | |
| 2025-12-16 | 2026-01-07 | $489.88 | $431.41 | -9.09% | 15 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 8.79% | 46 | |
| 2025-06-24 | 2025-06-26 | $340.47 | $325.78 | -6.25% | 3 | |
| 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 | |
| 2025-04-03 | 2025-04-07 | $267.28 | $233.29 | -15.50% | 3 | |
| 2025-01-31 | 2025-02-05 | $404.60 | $378.17 | -2.21% | 4 | |
| 2024-10-25 | 2025-01-14 | $269.19 | $396.36 | 54.53% | 54 | |
| 2024-10-14 | 2024-10-15 | $219.16 | $219.57 | 0.42% | 2 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 10.22% | 16 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 3.14% | 23 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2024-04-05 | 2024-04-08 | $164.90 | $172.98 | -3.83% | 2 | |
| 2024-03-05 | 2024-03-07 | $180.74 | $178.65 | -6.36% | 3 | |
| 2023-06-05 | 2023-08-02 | $217.61 | $254.11 | 21.77% | 41 | |
| 2023-05-24 | 2023-05-31 | $182.90 | $203.93 | 8.07% | 5 | |
| 2023-01-30 | 2023-02-10 | $166.66 | $196.89 | 16.30% | 10 | |
| 2022-11-14 | 2022-11-15 | $190.95 | $194.42 | -2.76% | 2 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-07-22 | 2022-08-02 | $272.24 | $300.59 | 9.19% | 8 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-04-22 | 2022-04-27 | $335.02 | $293.84 | -13.29% | 4 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -17.18% | 12 | |
| 2021-12-27 | 2021-12-29 | $364.65 | $362.06 | 1.81% | 3 | |
| 2021-09-01 | 2021-12-01 | $244.70 | $365.00 | 55.29% | 64 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 65.06% | 57 | |
| 2020-08-13 | 2020-09-24 | $108.07 | $129.26 | 22.08% | 30 | |
| 2020-06-11 | 2020-08-10 | $64.86 | $94.57 | 41.43% | 42 | |
| 2020-04-15 | 2020-04-30 | $48.66 | $52.13 | 12.54% | 12 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 148.29% | 89 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 5.72% | 13 | |
| 2019-07-05 | 2019-07-22 | $15.54 | $17.05 | 9.69% | 12 | |
| 2019-05-06 | 2019-05-07 | $17.02 | $16.47 | -0.08% | 2 | |
| 2019-04-23 | 2019-04-25 | $17.59 | $16.51 | -1.75% | 3 | |
| 2019-04-05 | 2019-04-08 | $18.33 | $18.21 | 2.48% | 2 | |
| 2019-03-04 | 2019-03-05 | $19.02 | $18.44 | -3.40% | 2 | |
| 2018-12-31 | 2019-01-03 | $22.19 | $20.02 | -7.30% | 3 | |
| 2018-12-04 | 2018-12-19 | $23.98 | $22.20 | -6.17% | 11 | |
| 2018-10-24 | 2018-10-25 | $19.23 | $20.99 | -2.12% | 2 | |
| 2018-10-02 | 2018-10-09 | $20.07 | $17.52 | -19.52% | 6 | |
| 2018-08-21 | 2018-08-28 | $21.46 | $20.79 | 3.31% | 6 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-19 | 2018-07-05 | $23.50 | $20.61 | -16.34% | 12 | |
| 2018-06-07 | 2018-06-12 | $21.07 | $22.85 | 3.73% | 4 | |
| 2018-05-22 | 2018-05-29 | $18.33 | $18.92 | -2.18% | 5 | |
| 2018-05-16 | 2018-05-18 | $19.10 | $18.45 | -0.07% | 3 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -8.82% | 2 | |
| 2018-01-05 | 2018-01-09 | $21.11 | $22.25 | 6.71% | 3 | |
| 2017-10-04 | 2017-10-10 | $23.67 | $23.71 | -1.69% | 5 | |
| 2017-09-19 | 2017-09-29 | $25.01 | $22.74 | -11.97% | 9 | |
| 2017-08-03 | 2017-08-24 | $23.14 | $23.53 | 8.04% | 16 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.27% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 12.23% | 41 | |
| 2017-01-05 | 2017-03-08 | $15.12 | $16.46 | 9.30% | 43 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 10.57% | 10 | |
| 2016-11-10 | 2016-11-11 | $12.36 | $12.57 | -2.68% | 2 | |
| 2016-10-27 | 2016-11-01 | $13.60 | $12.72 | -2.42% | 4 | |
| 2016-10-18 | 2016-10-21 | $13.27 | $13.34 | 2.45% | 4 | |
| 2016-10-07 | 2016-10-17 | $13.11 | $12.93 | -2.43% | 7 | |
| 2016-08-24 | 2016-08-26 | $14.84 | $14.67 | -1.92% | 3 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -6.12% | 22 | |
| 2015-12-17 | 2015-12-29 | $15.56 | $15.81 | -2.57% | 8 | |
| 2015-08-10 | 2015-08-11 | $16.08 | $15.82 | -0.76% | 2 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-05-13 | 2015-07-28 | $16.21 | $17.65 | 3.17% | 53 | |
| 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 | |
| 2015-04-07 | 2015-04-14 | $13.55 | $13.83 | 3.08% | 6 | |
| 2015-03-31 | 2015-04-01 | $12.58 | $12.51 | -1.14% | 2 | |
| 2015-02-11 | 2015-03-03 | $14.19 | $13.30 | -8.95% | 14 | |
| 2015-01-15 | 2015-01-16 | $12.79 | $12.87 | -0.63% | 2 | |
| 2014-12-02 | 2014-12-03 | $15.43 | $15.29 | -0.29% | 2 | |
| 2014-09-17 | 2014-09-24 | $17.43 | $16.81 | -4.15% | 6 | |
| 2014-08-01 | 2014-09-16 | $15.55 | $17.38 | 13.46% | 32 | |
| 2014-07-29 | 2014-07-30 | $15.00 | $15.26 | -0.12% | 2 | |
| 2014-06-24 | 2014-07-17 | $15.50 | $14.36 | -8.64% | 17 | |
| 2014-02-11 | 2014-03-26 | $13.11 | $14.20 | 11.92% | 31 | |
| 2013-11-05 | 2013-11-07 | $11.79 | $9.32 | -13.89% | 3 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 47.00% | 79 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 172.31% | 65 | |
| 2013-01-16 | 2013-02-26 | $2.27 | $2.30 | 1.21% | 28 | |
| 2012-12-19 | 2013-01-11 | $2.31 | $2.19 | -3.26% | 16 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-10-01 | 2012-10-12 | $1.94 | $1.84 | -3.47% | 10 | |
| 2012-09-24 | 2012-09-27 | $2.04 | $1.90 | -8.44% | 4 | |
| 2012-09-14 | 2012-09-18 | $2.03 | $2.09 | 10.16% | 3 | |
| 2012-08-08 | 2012-08-09 | $1.94 | $1.96 | -4.03% | 2 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | -3.32% | 33 |