Strategy Zoo / S0468
PriceMomentum_V0468
ARCHIVEDmomentumstructuralreduce exposure to 41% during MEDIUM_VOLATILITY; added entry filter: rel_volume > 1.1075
Fitness
0.5954
Generation
21
Complexity
10
Created
2026-09-19
Lineage
Parents (1)
entry = PriceMomentum_V0186 OR PriceMomentum_V0267
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0468 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (((ret_20d > 0.05 and rel_volume > 1.2635) or ret_20d > 0.1146) and rel_volume > 1.1075):
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 24.5% | 60.9% | 19.4% | 30.1% |
| Total Return | 473.7% | 316.5% | 92.4% | 4632.6% |
| Sharpe | 0.96 | 1.37 | 0.73 | 1.00 |
| Sortino | 0.97 | 1.13 | 0.61 | 0.89 |
| Calmar | 0.52 | 1.80 | 0.76 | 0.64 |
| Volatility | 26.4% | 41.0% | 30.9% | 31.1% |
| Max DD | -46.7% | -33.8% | -25.4% | -46.7% |
| Win Rate | 54.2% | 66.7% | 66.7% | 60.0% |
| Avg Win | 32.3% | 36.9% | 14.8% | 30.6% |
| Avg Loss | -6.5% | -10.1% | -9.0% | -7.6% |
| Payoff | 4.97 | 3.67 | 1.64 | 4.00 |
| Expectancy | 14.5% | 21.2% | 6.8% | 15.3% |
| Profit Factor | 5.87 | 7.33 | 3.28 | 6.00 |
| Trades | 24 | 9 | 12 | 45 |
| Avg Holding Days | 30.9 | 33.6 | 22.7 | 30.3 |
| Turnover | 10.0 | 8.0 | 10.1 | 9.5 |
| Exposure | 31.7% | 28.8% | 24.5% | 29.3% |
Growth of $100
PriceMomentum_V0468 vs TSLA Buy & Hold
PriceMomentum_V0468 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 | -0.2% | 0.02 | -12.4% | 3 |
| 2017 | 6.4% | 0.39 | -22.9% | 3 |
| 2018 | -29.5% | -1.45 | -34.3% | 4 |
| 2019 | 56.6% | 2.52 | -8.5% | 2 |
| 2020 | 308.8% | 2.51 | -33.8% | 3 |
| 2021 | 33.4% | 1.35 | -20.5% | 2 |
| 2022 | -25.2% | -1.75 | -29.3% | 4 |
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 | 21.9% | 0.64 | 21% |
| hidden test | EXPENSIVE | 83 | 36.2% | 1.00 | 45% |
| hidden test | EXTREME | 48 | 196.2% | 3.42 | 69% |
| hidden test | HIGH VOLATILITY | 254 | 43.9% | 0.94 | 39% |
| hidden test | LOW VOLATILITY | 429 | 36.4% | 1.81 | 20% |
| hidden test | MEDIUM VOLATILITY | 248 | -23.9% | -0.94 | 18% |
| hidden test | NORMAL | 800 | 10.5% | 0.38 | 20% |
| hidden test | SIDEWAYS | 293 | -0.1% | -0.02 | 2% |
| hidden test | UPTREND | 371 | 40.6% | 1.04 | 45% |
| train | DOWNTREND | 518 | 1.1% | 0.12 | 8% |
| train | EXPENSIVE | 311 | 30.3% | 1.05 | 53% |
| train | EXTREME | 100 | 387.9% | 5.44 | 89% |
| train | HIGH VOLATILITY | 699 | 45.7% | 1.30 | 28% |
| train | LOW VOLATILITY | 745 | 28.5% | 1.27 | 45% |
| train | MEDIUM VOLATILITY | 568 | -4.0% | -0.23 | 19% |
| train | NORMAL | 1,601 | 1.7% | 0.09 | 24% |
| train | SIDEWAYS | 592 | -6.3% | -0.56 | 2% |
| train | UPTREND | 902 | 59.9% | 1.59 | 64% |
| validation | DOWNTREND | 125 | -0.7% | -0.06 | 8% |
| validation | EXPENSIVE | 138 | 33.0% | 0.76 | 33% |
| validation | EXTREME | 144 | 256.9% | 3.43 | 69% |
| validation | HIGH VOLATILITY | 258 | 87.0% | 1.37 | 45% |
| validation | LOW VOLATILITY | 183 | 36.0% | 2.00 | 24% |
| validation | MEDIUM VOLATILITY | 315 | 42.2% | 1.79 | 18% |
| validation | NORMAL | 474 | 1.6% | 0.08 | 15% |
| validation | SIDEWAYS | 206 | -5.6% | -0.69 | 1% |
| validation | UPTREND | 425 | 102.5% | 1.90 | 48% |
Trades (full period)
46 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | -1.19% | 19 | OPEN |
| 2025-12-15 | 2026-01-13 | $475.31 | $447.20 | -2.37% | 20 | |
| 2025-09-12 | 2025-11-21 | $395.94 | $391.09 | 7.12% | 51 | |
| 2025-05-28 | 2025-06-06 | $356.90 | $295.14 | -11.18% | 8 | |
| 2025-04-08 | 2025-04-23 | $221.86 | $250.74 | 1.80% | 11 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 39.60% | 48 | |
| 2024-10-03 | 2024-10-22 | $240.66 | $217.97 | -13.31% | 14 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 8.11% | 16 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 0.70% | 23 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2023-06-02 | 2023-08-03 | $213.97 | $259.32 | 25.31% | 43 | |
| 2023-05-23 | 2023-05-31 | $185.77 | $203.93 | 6.29% | 6 | |
| 2023-01-27 | 2023-02-10 | $177.90 | $196.89 | 29.11% | 11 | |
| 2022-07-22 | 2022-08-02 | $272.24 | $300.59 | 3.78% | 8 | |
| 2022-06-22 | 2022-07-05 | $236.09 | $233.07 | -4.32% | 9 | |
| 2022-04-07 | 2022-04-27 | $352.42 | $293.84 | -6.75% | 14 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -19.13% | 12 | |
| 2021-09-20 | 2021-12-03 | $243.39 | $338.32 | 48.67% | 54 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 6.49% | 64 | |
| 2020-06-02 | 2020-09-30 | $58.77 | $143.00 | 84.98% | 85 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-05 | $21.88 | $48.30 | 122.15% | 90 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 2.37% | 13 | |
| 2019-07-05 | 2019-07-22 | $15.54 | $17.05 | 9.69% | 12 | |
| 2018-12-06 | 2018-12-26 | $24.20 | $21.74 | -10.00% | 14 | |
| 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 | |
| 2017-09-19 | 2017-10-25 | $25.01 | $21.72 | -8.90% | 27 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | -0.89% | 15 | |
| 2017-01-05 | 2017-07-07 | $15.12 | $20.88 | 17.78% | 127 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 9.31% | 10 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-05-05 | $17.03 | $14.10 | -9.77% | 23 | |
| 2015-12-17 | 2015-12-29 | $15.56 | $15.81 | -1.58% | 8 | |
| 2015-05-12 | 2015-08-12 | $16.32 | $15.88 | 8.35% | 65 | |
| 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 | |
| 2015-02-11 | 2015-03-09 | $14.19 | $12.73 | -10.54% | 18 | |
| 2014-06-24 | 2014-10-01 | $15.50 | $16.02 | 6.54% | 70 | |
| 2014-02-11 | 2014-03-26 | $13.11 | $14.20 | -0.11% | 31 | |
| 2013-03-26 | 2013-10-24 | $2.52 | $11.54 | 350.29% | 149 | |
| 2012-12-19 | 2013-03-20 | $2.31 | $2.40 | 1.13% | 62 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-02-23 | 2012-04-25 | $2.30 | $2.19 | 3.22% | 44 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |