Strategy Zoo / S0475
PriceMomentum_V0475
ARCHIVEDhybridcrossoverentry from PriceMomentum_V0227, exit from Breakout20_V0308
Fitness
0.5949
Generation
22
Complexity
5
Created
2026-09-19
Lineage
Parents (2)
logic of PriceMomentum_V0186 with risk overlay of PriceMomentum_V0160
added entry filter: vol_chg < 1.2007
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0475 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and rel_volume > 1.2635):
position = 1.0
if long and close < sma_20:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 16.0% | 74.9% | 15.1% | 26.2% |
| Total Return | 228.2% | 435.2% | 68.4% | 2944.7% |
| Sharpe | 0.70 | 1.57 | 0.67 | 0.93 |
| Sortino | 0.57 | 1.19 | 0.43 | 0.69 |
| Calmar | 0.48 | 2.22 | 0.56 | 0.78 |
| Volatility | 25.9% | 41.0% | 26.0% | 29.7% |
| Max DD | -33.8% | -33.8% | -26.9% | -33.8% |
| Win Rate | 48.6% | 70.0% | 50.0% | 52.5% |
| Avg Win | 16.2% | 33.8% | 15.0% | 20.5% |
| Avg Loss | -5.6% | -6.9% | -5.8% | -5.8% |
| Payoff | 2.90 | 4.90 | 2.58 | 3.55 |
| Expectancy | 5.0% | 21.6% | 4.6% | 8.0% |
| Profit Factor | 2.75 | 10.00 | 2.58 | 3.92 |
| Trades | 37 | 10 | 14 | 61 |
| Avg Holding Days | 14.1 | 21.0 | 13.2 | 15.2 |
| Turnover | 9.4 | 6.7 | 7.6 | 8.3 |
| Exposure | 24.7% | 26.5% | 18.4% | 23.5% |
Growth of $100
PriceMomentum_V0475 vs TSLA Buy & Hold
PriceMomentum_V0475 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 | 12.0% | 1.17 | -6.8% | 3 |
| 2017 | 18.5% | 0.91 | -14.2% | 5 |
| 2018 | -21.2% | -1.09 | -24.0% | 4 |
| 2019 | 27.8% | 1.52 | -8.2% | 3 |
| 2020 | 314.7% | 2.58 | -33.8% | 4 |
| 2021 | 35.7% | 1.20 | -16.8% | 3 |
| 2022 | -8.7% | -0.57 | -20.4% | 3 |
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 | -7.1% | -0.32 | 18% |
| hidden test | EXPENSIVE | 83 | 45.5% | 1.27 | 39% |
| hidden test | EXTREME | 48 | 161.4% | 3.08 | 56% |
| hidden test | HIGH VOLATILITY | 254 | -9.7% | -0.28 | 27% |
| hidden test | LOW VOLATILITY | 429 | 43.9% | 2.35 | 15% |
| hidden test | MEDIUM VOLATILITY | 248 | -0.4% | -0.01 | 16% |
| hidden test | NORMAL | 800 | 6.0% | 0.27 | 14% |
| hidden test | SIDEWAYS | 293 | 4.9% | 1.02 | 1% |
| hidden test | UPTREND | 371 | 45.1% | 1.24 | 33% |
| train | DOWNTREND | 518 | 0.8% | 0.11 | 7% |
| train | EXPENSIVE | 311 | 34.2% | 1.04 | 49% |
| train | EXTREME | 100 | 331.8% | 4.67 | 85% |
| train | HIGH VOLATILITY | 699 | 39.3% | 1.10 | 23% |
| train | LOW VOLATILITY | 745 | 13.5% | 0.74 | 33% |
| train | MEDIUM VOLATILITY | 568 | -1.7% | -0.09 | 16% |
| train | NORMAL | 1,601 | -4.5% | -0.26 | 16% |
| train | SIDEWAYS | 592 | -0.6% | -0.06 | 2% |
| train | UPTREND | 902 | 40.4% | 1.07 | 50% |
| validation | DOWNTREND | 125 | 15.0% | 0.90 | 9% |
| validation | EXPENSIVE | 138 | 52.3% | 1.08 | 43% |
| validation | EXTREME | 144 | 257.9% | 3.59 | 62% |
| validation | HIGH VOLATILITY | 258 | 54.0% | 0.93 | 31% |
| validation | LOW VOLATILITY | 183 | 28.5% | 2.25 | 14% |
| validation | MEDIUM VOLATILITY | 315 | 93.7% | 2.70 | 30% |
| validation | NORMAL | 474 | 9.0% | 0.45 | 11% |
| validation | SIDEWAYS | 206 | 4.8% | 1.06 | 1% |
| validation | UPTREND | 425 | 107.7% | 2.00 | 44% |
Trades (full period)
61 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-16 | $348.95 | $358.08 | -1.93% | 17 | |
| 2025-12-16 | 2025-12-30 | $489.88 | $454.43 | -3.49% | 10 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-09-12 | 2025-10-13 | $395.94 | $435.90 | 11.90% | 22 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -7.47% | 2 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2024-11-07 | 2025-01-02 | $296.91 | $379.28 | 39.69% | 38 | |
| 2024-09-20 | 2024-09-27 | $238.25 | $260.46 | 4.01% | 6 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-02 | 2024-07-25 | $231.26 | $220.25 | 2.72% | 17 | |
| 2024-04-30 | 2024-05-24 | $183.28 | $179.24 | -10.65% | 19 | |
| 2023-06-05 | 2023-07-21 | $217.61 | $260.02 | 22.62% | 33 | |
| 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 | |
| 2022-07-22 | 2022-08-02 | $272.24 | $300.59 | 9.19% | 8 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-01-04 | 2022-01-10 | $383.20 | $352.71 | -14.58% | 5 | |
| 2021-09-28 | 2021-11-15 | $259.19 | $337.80 | 30.32% | 35 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -4.06% | 2 | |
| 2020-11-19 | 2021-02-01 | $166.42 | $279.94 | 62.74% | 49 | |
| 2020-08-14 | 2020-09-09 | $110.05 | $122.09 | 1.65% | 18 | |
| 2020-06-11 | 2020-08-03 | $64.86 | $99.00 | 39.29% | 37 | |
| 2020-04-15 | 2020-04-30 | $48.66 | $52.13 | 12.54% | 12 | |
| 2019-12-17 | 2020-02-27 | $25.27 | $45.27 | 103.73% | 49 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-09-27 | 2019-10-04 | $16.14 | $15.43 | -4.12% | 6 | |
| 2019-07-05 | 2019-07-22 | $15.54 | $17.05 | 9.69% | 12 | |
| 2018-12-06 | 2018-12-18 | $24.20 | $22.47 | -3.33% | 9 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-19 | 2018-07-03 | $23.50 | $20.72 | -9.83% | 11 | |
| 2018-06-07 | 2018-06-12 | $21.07 | $22.85 | 3.73% | 4 | |
| 2017-09-19 | 2017-09-25 | $25.01 | $23.00 | -8.99% | 5 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | -0.09% | 12 | |
| 2017-06-01 | 2017-06-28 | $22.69 | $24.75 | 6.05% | 20 | |
| 2017-03-28 | 2017-05-05 | $18.50 | $20.56 | 9.12% | 28 | |
| 2017-01-05 | 2017-02-24 | $15.12 | $17.13 | 12.55% | 35 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 10.57% | 10 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-04-29 | $17.03 | $16.05 | 0.09% | 19 | |
| 2015-12-17 | 2015-12-29 | $15.56 | $15.81 | -2.57% | 8 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-05-13 | 2015-07-09 | $16.21 | $17.19 | 3.97% | 40 | |
| 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 | |
| 2015-02-17 | 2015-02-18 | $13.62 | $13.63 | 0.08% | 2 | |
| 2015-02-11 | 2015-02-13 | $14.19 | $13.58 | -6.39% | 3 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.78% | 28 | |
| 2014-06-24 | 2014-07-08 | $15.50 | $14.60 | -6.33% | 10 | |
| 2014-02-11 | 2014-03-17 | $13.11 | $15.60 | 17.27% | 24 | |
| 2013-10-07 | 2013-10-09 | $12.20 | $11.25 | -3.65% | 3 | |
| 2013-07-18 | 2013-10-04 | $7.94 | $12.07 | 43.84% | 56 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -7.12% | 11 | |
| 2013-03-26 | 2013-06-12 | $2.52 | $6.52 | 151.22% | 55 | |
| 2013-02-20 | 2013-02-22 | $2.57 | $2.41 | -10.67% | 3 | |
| 2013-01-24 | 2013-02-19 | $2.47 | $2.62 | 2.69% | 18 | |
| 2012-12-19 | 2012-12-24 | $2.31 | $2.29 | -1.90% | 4 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -6.60% | 8 | |
| 2012-03-12 | 2012-03-23 | $2.40 | $2.27 | -1.17% | 10 | |
| 2012-02-23 | 2012-03-07 | $2.30 | $2.21 | -3.44% | 10 |