Strategy Zoo / S0489
PriceMomentum_V0489
ARCHIVEDmomentumstructuralchanged ret_20d threshold 0.05 -> -0.061; swapped indicator ret_20d -> ret_1d
Fitness
0.5636
Generation
22
Complexity
3
Created
2026-09-19
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> 0.0392
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0489 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_1d > 0.0239:
position = 1.0
if long and ret_20d < 0.0392:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 18.2% | 74.5% | 52.9% | 36.8% |
| Total Return | 279.7% | 431.5% | 379.6% | 9865.1% |
| Sharpe | 0.71 | 1.37 | 1.39 | 1.05 |
| Sortino | 0.71 | 1.37 | 1.30 | 1.01 |
| Calmar | 0.28 | 1.57 | 2.43 | 0.57 |
| Volatility | 29.3% | 49.6% | 34.9% | 35.7% |
| Max DD | -64.6% | -47.6% | -21.8% | -64.6% |
| Win Rate | 43.3% | 48.3% | 58.8% | 48.7% |
| Avg Win | 7.4% | 13.1% | 6.5% | 8.4% |
| Avg Loss | -3.0% | -4.3% | -3.5% | -3.4% |
| Payoff | 2.47 | 3.04 | 1.85 | 2.49 |
| Expectancy | 1.5% | 4.1% | 2.4% | 2.4% |
| Profit Factor | 1.89 | 2.84 | 2.63 | 2.36 |
| Trades | 141 | 58 | 80 | 279 |
| Avg Holding Days | 5.5 | 6.4 | 4.4 | 5.4 |
| Turnover | 35.4 | 38.7 | 43.6 | 38.1 |
| Exposure | 32.2% | 41.1% | 31.8% | 34.0% |
Growth of $100
PriceMomentum_V0489 vs TSLA Buy & Hold
PriceMomentum_V0489 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 | 35.0% | 1.79 | -7.4% | 19 |
| 2017 | 15.1% | 0.78 | -15.4% | 13 |
| 2018 | -58.3% | -3.12 | -58.1% | 30 |
| 2019 | 52.6% | 2.21 | -7.5% | 17 |
| 2020 | 511.0% | 2.86 | -33.7% | 15 |
| 2021 | 28.2% | 0.91 | -21.6% | 16 |
| 2022 | -35.1% | -1.34 | -43.2% | 27 |
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 | 86.2% | 2.31 | 36% |
| hidden test | EXPENSIVE | 83 | 119.1% | 2.48 | 53% |
| hidden test | EXTREME | 48 | 165.3% | 2.89 | 69% |
| hidden test | HIGH VOLATILITY | 254 | 65.5% | 1.27 | 46% |
| hidden test | LOW VOLATILITY | 429 | 48.3% | 2.13 | 25% |
| hidden test | MEDIUM VOLATILITY | 248 | 31.6% | 1.01 | 29% |
| hidden test | NORMAL | 800 | 34.2% | 1.09 | 27% |
| hidden test | SIDEWAYS | 293 | 1.2% | 0.07 | 3% |
| hidden test | UPTREND | 371 | 58.8% | 1.37 | 51% |
| train | DOWNTREND | 518 | -0.3% | -0.01 | 25% |
| train | EXPENSIVE | 311 | 36.3% | 1.04 | 58% |
| train | EXTREME | 100 | 407.4% | 5.51 | 99% |
| train | HIGH VOLATILITY | 699 | 41.2% | 1.04 | 36% |
| train | LOW VOLATILITY | 745 | 23.8% | 1.19 | 34% |
| train | MEDIUM VOLATILITY | 568 | -7.9% | -0.33 | 26% |
| train | NORMAL | 1,601 | -6.2% | -0.29 | 23% |
| train | SIDEWAYS | 592 | -5.4% | -0.45 | 3% |
| train | UPTREND | 902 | 50.4% | 1.26 | 56% |
| validation | DOWNTREND | 125 | 0.9% | 0.03 | 21% |
| validation | EXPENSIVE | 138 | 67.9% | 1.18 | 62% |
| validation | EXTREME | 144 | 338.7% | 4.18 | 81% |
| validation | HIGH VOLATILITY | 258 | 74.1% | 1.06 | 51% |
| validation | LOW VOLATILITY | 183 | 27.5% | 1.60 | 21% |
| validation | MEDIUM VOLATILITY | 315 | 86.6% | 2.09 | 44% |
| validation | NORMAL | 474 | -14.2% | -0.48 | 23% |
| validation | SIDEWAYS | 206 | -19.2% | -1.27 | 4% |
| validation | UPTREND | 425 | 130.0% | 2.07 | 65% |
Trades (full period)
latest 100 of 280
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-20 | — | $345.13 | — | 4.19% | 21 | OPEN |
| 2026-08-14 | 2026-08-17 | $342.27 | $339.30 | 0.48% | 2 | |
| 2026-08-10 | 2026-08-11 | $330.88 | $332.81 | 0.50% | 2 | |
| 2026-08-04 | 2026-08-05 | $327.35 | $321.55 | 1.43% | 2 | |
| 2026-07-31 | 2026-08-03 | $311.21 | $322.08 | 0.56% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-05-04 | 2026-05-08 | $392.51 | $428.35 | 5.16% | 5 | |
| 2026-04-15 | 2026-04-16 | $391.95 | $388.90 | 7.41% | 2 | |
| 2026-04-01 | 2026-04-02 | $381.26 | $360.59 | 2.36% | 2 | |
| 2026-03-24 | 2026-03-25 | $383.03 | $385.95 | 0.37% | 2 | |
| 2026-02-09 | 2026-02-10 | $417.32 | $425.21 | 1.31% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -2.20% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -4.34% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 1.54% | 2 | |
| 2025-11-25 | 2025-11-26 | $419.40 | $426.58 | 0.19% | 2 | |
| 2025-11-11 | 2025-11-12 | $439.62 | $430.60 | -1.46% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 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 | |
| 2025-10-20 | 2025-10-21 | $447.43 | $442.60 | 1.65% | 2 | |
| 2025-09-12 | 2025-10-15 | $395.94 | $435.15 | 16.16% | 24 | |
| 2025-08-07 | 2025-08-11 | $322.27 | $339.03 | 2.84% | 3 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-21 | 2025-07-22 | $328.49 | $332.11 | -0.55% | 2 | |
| 2025-07-17 | 2025-07-18 | $319.41 | $329.65 | -0.90% | 2 | |
| 2025-07-11 | 2025-07-14 | $313.51 | $316.90 | 0.97% | 2 | |
| 2025-07-03 | 2025-07-07 | $315.35 | $293.94 | -0.29% | 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 | |
| 2025-05-28 | 2025-06-06 | $356.90 | $295.14 | -21.70% | 8 | |
| 2025-05-09 | 2025-05-12 | $298.26 | $318.38 | 4.51% | 2 | |
| 2025-04-25 | 2025-05-02 | $284.95 | $287.21 | 7.89% | 6 | |
| 2025-04-23 | 2025-04-24 | $250.74 | $259.51 | 5.16% | 2 | |
| 2025-04-10 | 2025-04-14 | $252.40 | $252.35 | -7.50% | 3 | |
| 2025-04-02 | 2025-04-03 | $282.76 | $267.28 | 5.12% | 2 | |
| 2025-03-24 | 2025-03-25 | $278.39 | $288.14 | 11.72% | 2 | |
| 2025-03-20 | 2025-03-21 | $236.26 | $248.71 | -0.03% | 2 | |
| 2025-03-17 | 2025-03-18 | $238.01 | $225.31 | -4.98% | 2 | |
| 2025-03-12 | 2025-03-13 | $248.09 | $240.68 | 7.39% | 2 | |
| 2025-03-06 | 2025-03-07 | $263.45 | $262.67 | -5.80% | 2 | |
| 2025-02-13 | 2025-02-14 | $355.94 | $355.84 | 5.57% | 2 | |
| 2025-01-31 | 2025-02-03 | $404.60 | $383.68 | 0.88% | 2 | |
| 2025-01-21 | 2025-01-22 | $424.07 | $415.11 | -0.77% | 2 | |
| 2025-01-16 | 2025-01-17 | $413.82 | $426.50 | -3.56% | 2 | |
| 2024-11-06 | 2025-01-08 | $288.53 | $394.94 | 56.55% | 43 | |
| 2024-10-25 | 2024-10-28 | $269.19 | $262.51 | 3.14% | 2 | |
| 2024-10-07 | 2024-10-11 | $240.83 | $217.80 | -4.72% | 5 | |
| 2024-09-20 | 2024-09-27 | $238.25 | $260.46 | 4.01% | 6 | |
| 2024-09-03 | 2024-09-18 | $210.60 | $227.20 | 6.21% | 12 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -3.42% | 2 | |
| 2024-08-20 | 2024-08-21 | $221.10 | $223.27 | -0.93% | 2 | |
| 2024-08-16 | 2024-08-19 | $216.12 | $222.72 | 0.72% | 2 | |
| 2024-08-14 | 2024-08-15 | $201.38 | $214.14 | -3.30% | 2 | |
| 2024-08-09 | 2024-08-12 | $200.00 | $197.49 | 0.38% | 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 | |
| 2024-05-15 | 2024-05-24 | $173.99 | $179.24 | -2.34% | 8 | |
| 2024-04-30 | 2024-05-08 | $183.28 | $174.72 | -8.56% | 7 | |
| 2024-04-25 | 2024-04-26 | $170.18 | $168.29 | 4.76% | 2 | |
| 2024-04-09 | 2024-04-10 | $176.88 | $171.76 | 2.05% | 2 | |
| 2024-03-27 | 2024-03-28 | $179.83 | $175.79 | 1.01% | 2 | |
| 2024-03-21 | 2024-03-22 | $172.82 | $170.83 | -1.81% | 2 | |
| 2024-03-19 | 2024-03-20 | $171.32 | $175.66 | -1.63% | 2 | |
| 2024-02-27 | 2024-03-05 | $199.73 | $180.74 | -5.84% | 6 | |
| 2024-02-15 | 2024-02-16 | $200.45 | $199.95 | 6.02% | 2 | |
| 2023-11-02 | 2023-11-03 | $218.51 | $219.96 | 6.04% | 2 | |
| 2023-08-30 | 2023-08-31 | $256.90 | $258.08 | -0.31% | 2 | |
| 2023-08-28 | 2023-08-29 | $238.82 | $257.18 | -0.10% | 2 | |
| 2023-08-22 | 2023-08-23 | $233.19 | $236.86 | 0.63% | 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 | |
| 2023-06-05 | 2023-07-21 | $217.61 | $260.02 | 22.62% | 33 | |
| 2023-05-18 | 2023-05-31 | $176.89 | $203.93 | 15.47% | 9 | |
| 2023-05-08 | 2023-05-09 | $171.79 | $169.15 | 0.82% | 2 | |
| 2023-04-28 | 2023-05-01 | $164.31 | $161.83 | 2.37% | 2 | |
| 2023-01-23 | 2023-02-10 | $143.75 | $196.89 | 55.09% | 15 | |
| 2023-01-18 | 2023-01-19 | $128.78 | $127.17 | -2.26% | 2 | |
| 2023-01-12 | 2023-01-13 | $123.56 | $122.40 | 0.08% | 2 | |
| 2023-01-09 | 2023-01-10 | $119.77 | $118.85 | 5.73% | 2 | |
| 2023-01-05 | 2023-01-06 | $110.34 | $113.06 | -3.10% | 2 | |
| 2022-12-29 | 2022-12-30 | $121.82 | $123.18 | 7.87% | 2 | |
| 2022-12-12 | 2022-12-13 | $167.82 | $160.95 | -6.47% | 2 | |
| 2022-12-01 | 2022-12-02 | $194.70 | $194.86 | -0.20% | 2 | |
| 2022-11-25 | 2022-11-28 | $182.86 | $182.92 | -0.39% | 2 | |
| 2022-11-11 | 2022-11-14 | $195.97 | $190.95 | 2.55% | 2 | |
| 2022-10-26 | 2022-10-27 | $224.64 | $225.09 | 0.80% | 2 | |
| 2022-10-24 | 2022-10-25 | $211.25 | $222.42 | -1.69% | 2 | |
| 2022-10-18 | 2022-10-19 | $220.19 | $222.04 | 0.18% | 2 | |
| 2022-09-15 | 2022-09-16 | $303.75 | $303.35 | 0.18% | 2 | |
| 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 | |
| 2022-07-22 | 2022-08-02 | $272.24 | $300.59 | 9.19% | 8 | |
| 2022-07-08 | 2022-07-11 | $250.76 | $234.34 | 2.34% | 2 | |
| 2022-07-06 | 2022-07-07 | $231.73 | $244.54 | -0.77% | 2 | |
| 2022-06-22 | 2022-06-28 | $236.09 | $232.66 | 3.12% | 5 | |
| 2022-06-16 | 2022-06-17 | $213.10 | $216.76 | -8.73% | 2 | |
| 2022-06-03 | 2022-06-06 | $234.52 | $238.28 | -9.41% | 2 | |
| 2022-05-31 | 2022-06-01 | $252.75 | $246.79 | -0.38% | 2 | |
| 2022-05-26 | 2022-05-27 | $235.91 | $253.21 | 7.22% | 2 |