Strategy Zoo / S0491
PriceMomentum_V0491
ARCHIVEDmomentumparameterchanged ret_20d threshold 0.05 -> 0.1606
Fitness
0.5050
Generation
22
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_V0491 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.1606 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 | 13.5% | 65.9% | 22.1% | 25.2% |
| Total Return | 174.1% | 356.5% | 109.0% | 2592.6% |
| Sharpe | 0.62 | 1.37 | 0.87 | 0.88 |
| Sortino | 0.48 | 1.07 | 0.59 | 0.65 |
| Calmar | 0.25 | 1.95 | 0.81 | 0.47 |
| Volatility | 25.6% | 43.9% | 27.2% | 30.7% |
| Max DD | -53.7% | -33.7% | -27.3% | -53.7% |
| Win Rate | 50.0% | 71.4% | 87.5% | 64.5% |
| Avg Win | 27.0% | 43.8% | 13.7% | 30.3% |
| Avg Loss | -10.5% | -11.2% | -9.1% | -10.5% |
| Payoff | 2.57 | 3.92 | 1.51 | 2.89 |
| Expectancy | 8.3% | 28.1% | 10.9% | 15.9% |
| Profit Factor | 2.57 | 9.79 | 10.00 | 5.26 |
| Trades | 16 | 7 | 8 | 31 |
| Avg Holding Days | 27.8 | 31.3 | 24.6 | 29.3 |
| Turnover | 4.1 | 4.7 | 4.6 | 4.3 |
| Exposure | 23.6% | 28.0% | 21.4% | 24.0% |
Growth of $100
PriceMomentum_V0491 vs TSLA Buy & Hold
PriceMomentum_V0491 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 | -6.1% | -0.60 | -12.6% | 1 |
| 2017 | -3.6% | -0.07 | -22.0% | 3 |
| 2018 | -32.9% | -2.40 | -32.8% | 2 |
| 2019 | 53.0% | 2.42 | -8.5% | 1 |
| 2020 | 266.6% | 2.26 | -33.7% | 4 |
| 2021 | 44.5% | 1.34 | -17.6% | 2 |
| 2022 | -17.2% | -1.47 | -17.2% | 1 |
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 | 9.7% | 0.76 | 7% |
| hidden test | EXPENSIVE | 83 | 38.0% | 0.88 | 64% |
| hidden test | EXTREME | 48 | 195.3% | 3.47 | 69% |
| hidden test | HIGH VOLATILITY | 254 | 30.8% | 0.86 | 26% |
| hidden test | LOW VOLATILITY | 429 | 28.6% | 1.69 | 14% |
| hidden test | MEDIUM VOLATILITY | 248 | 7.9% | 0.25 | 29% |
| hidden test | NORMAL | 800 | 11.9% | 0.54 | 14% |
| hidden test | SIDEWAYS | 293 | 4.9% | 1.02 | 1% |
| hidden test | UPTREND | 371 | 48.6% | 1.17 | 48% |
| train | DOWNTREND | 518 | 3.8% | 0.88 | 2% |
| train | EXPENSIVE | 311 | 21.3% | 0.62 | 48% |
| train | EXTREME | 100 | 368.1% | 5.07 | 95% |
| train | HIGH VOLATILITY | 699 | 33.4% | 0.97 | 24% |
| train | LOW VOLATILITY | 745 | 19.9% | 1.07 | 29% |
| train | MEDIUM VOLATILITY | 568 | -11.1% | -0.54 | 15% |
| train | NORMAL | 1,601 | -7.2% | -0.47 | 14% |
| train | SIDEWAYS | 592 | -9.4% | -1.13 | 1% |
| train | UPTREND | 902 | 39.4% | 1.05 | 51% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 55.0% | 1.02 | 51% |
| validation | EXTREME | 144 | 242.5% | 3.15 | 69% |
| validation | HIGH VOLATILITY | 258 | 58.4% | 0.91 | 38% |
| validation | LOW VOLATILITY | 183 | 11.3% | 0.95 | 7% |
| validation | MEDIUM VOLATILITY | 315 | 90.3% | 2.59 | 32% |
| validation | NORMAL | 474 | 6.4% | 0.32 | 9% |
| validation | SIDEWAYS | 206 | 0.6% | 0.10 | 1% |
| validation | UPTREND | 425 | 106.9% | 1.83 | 49% |
Trades (full period)
32 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-04 | — | $354.08 | — | -2.81% | 10 | OPEN |
| 2025-12-16 | 2026-01-07 | $489.88 | $431.41 | -9.09% | 15 | |
| 2025-09-15 | 2025-11-14 | $410.04 | $404.35 | 1.33% | 45 | |
| 2024-11-07 | 2025-01-14 | $296.91 | $396.36 | 39.51% | 45 | |
| 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 | |
| 2023-06-05 | 2023-08-02 | $217.61 | $254.11 | 21.77% | 41 | |
| 2023-05-30 | 2023-05-31 | $201.16 | $203.93 | 3.93% | 2 | |
| 2023-01-30 | 2023-02-10 | $166.66 | $196.89 | 16.30% | 10 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -17.18% | 12 | |
| 2021-10-19 | 2021-12-01 | $288.09 | $365.00 | 31.30% | 31 | |
| 2020-11-20 | 2021-02-11 | $163.20 | $270.55 | 60.87% | 56 | |
| 2020-08-21 | 2020-09-24 | $136.67 | $129.26 | -5.18% | 24 | |
| 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 | |
| 2019-07-05 | 2019-07-22 | $15.54 | $17.05 | 9.69% | 12 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -19.68% | 9 | |
| 2018-06-19 | 2018-07-05 | $23.50 | $20.61 | -16.34% | 12 | |
| 2017-06-14 | 2017-07-06 | $25.38 | $20.59 | -13.17% | 16 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | 1.59% | 36 | |
| 2017-01-05 | 2017-03-08 | $15.12 | $16.46 | 9.30% | 43 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -6.12% | 22 | |
| 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 | |
| 2014-09-03 | 2014-09-16 | $18.75 | $17.38 | -10.83% | 10 | |
| 2014-02-11 | 2014-03-26 | $13.11 | $14.20 | 11.92% | 31 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 47.00% | 79 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 132.63% | 61 | |
| 2013-02-07 | 2013-02-26 | $2.63 | $2.30 | -12.40% | 13 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | -3.32% | 33 |