Strategy Zoo / S0494
PriceMomentum_V0494
ARCHIVEDmomentumstructuralreplaced exit rule with: cumret_252d > -0.3576
Fitness
0.2135
Generation
22
Complexity
5
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_V0494 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and rel_volume > 1.2635):
position = 1.0
if long and cumret_252d > -0.3576:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.8% | 9.2% | 5.7% | 4.2% |
| Total Return | 15.2% | 30.1% | 22.9% | 84.1% |
| Sharpe | 0.19 | 0.60 | 0.47 | 0.35 |
| Sortino | 0.12 | 0.35 | 0.18 | 0.19 |
| Calmar | 0.04 | 0.45 | 0.40 | 0.10 |
| Volatility | 15.2% | 16.8% | 14.1% | 15.3% |
| Max DD | -41.5% | -20.4% | -14.5% | -41.5% |
| Win Rate | 45.4% | 56.8% | 60.6% | 51.4% |
| Avg Win | 3.1% | 3.4% | 3.8% | 3.3% |
| Avg Loss | -2.1% | -2.9% | -4.0% | -2.6% |
| Payoff | 1.44 | 1.17 | 0.96 | 1.28 |
| Expectancy | 0.2% | 0.7% | 0.7% | 0.4% |
| Profit Factor | 1.19 | 1.55 | 1.47 | 1.35 |
| Trades | 97 | 44 | 33 | 175 |
| Avg Holding Days | 2.0 | 2.0 | 2.2 | 2.0 |
| Turnover | 24.4 | 29.3 | 17.9 | 23.8 |
| Exposure | 4.9% | 5.8% | 4.1% | 4.9% |
Growth of $100
PriceMomentum_V0494 vs TSLA Buy & Hold
PriceMomentum_V0494 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% | 0.06 | -4.4% | 6 |
| 2017 | -4.5% | -0.37 | -7.0% | 19 |
| 2018 | -14.9% | -1.67 | -16.1% | 7 |
| 2019 | 9.4% | 0.86 | -4.4% | 9 |
| 2020 | 52.1% | 1.72 | -9.9% | 31 |
| 2021 | -10.1% | -0.89 | -14.5% | 10 |
| 2022 | -5.0% | -1.16 | -5.0% | 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 | -23.2% | -1.44 | 5% |
| hidden test | EXPENSIVE | 83 | 23.1% | 1.45 | 7% |
| hidden test | EXTREME | 48 | 69.1% | 3.09 | 8% |
| hidden test | HIGH VOLATILITY | 254 | -1.1% | -0.05 | 6% |
| hidden test | LOW VOLATILITY | 429 | 14.8% | 1.48 | 3% |
| hidden test | MEDIUM VOLATILITY | 248 | 0.1% | 0.01 | 4% |
| hidden test | NORMAL | 800 | 1.1% | 0.08 | 4% |
| hidden test | SIDEWAYS | 293 | 3.4% | 0.90 | 0% |
| hidden test | UPTREND | 371 | 30.5% | 1.78 | 6% |
| train | DOWNTREND | 518 | -2.8% | -1.63 | 2% |
| train | EXPENSIVE | 311 | 6.7% | 0.47 | 10% |
| train | EXTREME | 100 | 131.7% | 2.40 | 14% |
| train | HIGH VOLATILITY | 699 | 13.7% | 0.59 | 4% |
| train | LOW VOLATILITY | 745 | 0.7% | 0.11 | 6% |
| train | MEDIUM VOLATILITY | 568 | -7.6% | -0.72 | 4% |
| train | NORMAL | 1,601 | -5.9% | -0.76 | 3% |
| train | SIDEWAYS | 592 | -2.7% | -0.57 | 0% |
| train | UPTREND | 902 | 9.8% | 0.44 | 10% |
| validation | DOWNTREND | 125 | -1.2% | -1.62 | 2% |
| validation | EXPENSIVE | 138 | 16.8% | 0.85 | 9% |
| validation | EXTREME | 144 | 49.4% | 1.59 | 14% |
| validation | HIGH VOLATILITY | 258 | 22.3% | 1.00 | 6% |
| validation | LOW VOLATILITY | 183 | 0.2% | 0.02 | 4% |
| validation | MEDIUM VOLATILITY | 315 | 5.9% | 0.39 | 6% |
| validation | NORMAL | 474 | -3.7% | -0.56 | 3% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 18.4% | 0.82 | 10% |
Trades (full period)
latest 100 of 175
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 2025-12-22 | 2025-12-23 | $488.73 | $485.56 | 1.36% | 2 | |
| 2025-12-18 | 2025-12-19 | $483.37 | $481.20 | 3.24% | 2 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.86% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-03 | 2025-10-06 | $429.83 | $453.25 | -1.61% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 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 | |
| 2024-12-23 | 2024-12-24 | $430.60 | $462.28 | 2.06% | 2 | |
| 2024-12-19 | 2024-12-20 | $436.17 | $421.06 | -1.10% | 2 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-11-13 | 2024-11-14 | $330.24 | $311.18 | 0.33% | 2 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 8.75% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2024-09-20 | 2024-09-23 | $238.25 | $250.00 | -2.52% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-12 | 2024-07-15 | $248.23 | $252.64 | 2.78% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2023-06-22 | 2023-06-23 | $264.61 | $256.60 | 1.78% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 2.02% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 4.38% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.50% | 2 | |
| 2023-05-30 | 2023-05-31 | $201.16 | $203.93 | 3.93% | 2 | |
| 2023-05-24 | 2023-05-25 | $182.90 | $184.47 | -1.74% | 2 | |
| 2023-01-30 | 2023-02-07 | $166.66 | $196.81 | 9.25% | 7 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-06-22 | 2022-06-23 | $236.09 | $235.07 | -0.60% | 2 | |
| 2022-01-04 | 2022-01-05 | $383.20 | $362.71 | -4.38% | 2 | |
| 2021-11-10 | 2021-11-11 | $355.98 | $354.50 | 4.14% | 2 | |
| 2021-11-02 | 2021-11-03 | $390.67 | $404.62 | -3.22% | 2 | |
| 2021-10-28 | 2021-10-29 | $359.01 | $371.33 | 3.57% | 2 | |
| 2021-10-26 | 2021-10-27 | $339.48 | $345.95 | -0.83% | 2 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 1.55% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.87% | 2 | |
| 2021-10-05 | 2021-10-06 | $260.20 | $260.92 | -0.32% | 2 | |
| 2021-09-28 | 2021-09-29 | $259.19 | $260.44 | -1.94% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -4.06% | 2 | |
| 2021-01-11 | 2021-01-12 | $270.40 | $283.15 | -8.01% | 2 | |
| 2020-12-21 | 2020-12-22 | $216.62 | $213.45 | -6.69% | 2 | |
| 2020-12-10 | 2020-12-11 | $209.02 | $203.33 | 3.53% | 2 | |
| 2020-12-08 | 2020-12-09 | $216.63 | $201.49 | 1.06% | 2 | |
| 2020-12-01 | 2020-12-02 | $194.92 | $189.61 | 2.82% | 2 | |
| 2020-11-27 | 2020-11-30 | $195.25 | $189.20 | 1.85% | 2 | |
| 2020-11-24 | 2020-11-25 | $185.13 | $191.33 | 6.22% | 2 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 2.39% | 2 | |
| 2020-09-01 | 2020-09-02 | $158.35 | $149.12 | -4.86% | 2 | |
| 2020-08-28 | 2020-08-31 | $147.56 | $166.11 | -1.33% | 2 | |
| 2020-08-25 | 2020-08-26 | $134.89 | $143.54 | 0.25% | 2 | |
| 2020-08-21 | 2020-08-24 | $136.67 | $134.28 | 2.20% | 2 | |
| 2020-08-18 | 2020-08-19 | $125.81 | $125.24 | 2.60% | 2 | |
| 2020-08-14 | 2020-08-17 | $110.05 | $122.38 | 1.63% | 2 | |
| 2020-07-24 | 2020-07-27 | $94.47 | $102.64 | -6.54% | 2 | |
| 2020-07-15 | 2020-07-16 | $103.07 | $100.04 | 1.72% | 2 | |
| 2020-07-13 | 2020-07-14 | $99.80 | $101.12 | -3.28% | 2 | |
| 2020-07-08 | 2020-07-09 | $91.06 | $92.95 | -1.92% | 2 | |
| 2020-07-06 | 2020-07-07 | $91.44 | $92.66 | 13.27% | 2 | |
| 2020-07-01 | 2020-07-02 | $74.64 | $80.58 | 3.48% | 2 | |
| 2020-06-15 | 2020-06-16 | $66.06 | $65.48 | 5.74% | 2 | |
| 2020-06-11 | 2020-06-12 | $64.86 | $62.35 | -5.29% | 2 | |
| 2020-04-15 | 2020-04-16 | $48.66 | $49.68 | 2.61% | 2 | |
| 2020-02-06 | 2020-02-07 | $49.93 | $49.87 | 1.74% | 2 | |
| 2020-02-04 | 2020-02-05 | $59.14 | $48.98 | 13.51% | 2 | |
| 2020-01-31 | 2020-02-03 | $43.37 | $52.00 | 1.32% | 2 | |
| 2020-01-23 | 2020-01-24 | $38.15 | $37.65 | 0.26% | 2 | |
| 2020-01-17 | 2020-01-21 | $34.03 | $36.48 | -0.78% | 2 | |
| 2020-01-14 | 2020-01-15 | $35.86 | $34.57 | 2.29% | 2 | |
| 2020-01-10 | 2020-01-13 | $31.88 | $34.99 | -0.86% | 2 | |
| 2020-01-08 | 2020-01-09 | $32.81 | $32.09 | 4.72% | 2 | |
| 2020-01-06 | 2020-01-07 | $30.10 | $31.27 | 1.72% | 2 | |
| 2019-12-31 | 2020-01-02 | $27.89 | $28.68 | 0.67% | 2 | |
| 2019-12-23 | 2019-12-24 | $27.95 | $28.35 | 3.16% | 2 | |
| 2019-12-19 | 2019-12-20 | $26.94 | $27.04 | 2.57% | 2 | |
| 2019-12-17 | 2019-12-18 | $25.27 | $26.21 | -0.86% | 2 | |
| 2019-11-08 | 2019-11-11 | $22.48 | $23.01 | 0.28% | 2 | |
| 2019-10-29 | 2019-10-30 | $21.08 | $21.00 | -3.70% | 2 | |
| 2019-10-25 | 2019-10-28 | $21.88 | $21.85 | 9.28% | 2 | |
| 2019-09-27 | 2019-09-30 | $16.14 | $16.06 | -0.38% | 2 | |
| 2019-07-16 | 2019-07-17 | $16.83 | $16.99 | -0.64% | 2 | |
| 2019-07-05 | 2019-07-08 | $15.54 | $15.36 | -0.97% | 2 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.73% | 2 | |
| 2018-08-10 | 2018-08-13 | $23.70 | $23.76 | 0.66% | 2 | |
| 2018-08-08 | 2018-08-09 | $24.69 | $23.50 | -2.63% | 2 | |
| 2018-08-03 | 2018-08-06 | $23.21 | $22.80 | -0.59% | 2 | |
| 2018-07-03 | 2018-07-05 | $20.72 | $20.61 | -7.42% | 2 | |
| 2018-06-19 | 2018-06-20 | $23.50 | $24.15 | -5.12% | 2 | |
| 2018-06-07 | 2018-06-08 | $21.07 | $21.18 | -1.27% | 2 | |
| 2017-09-19 | 2017-09-20 | $25.01 | $24.93 | -2.77% | 2 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.63% | 2 | |
| 2017-06-15 | 2017-06-16 | $25.02 | $24.76 | -1.60% | 2 | |
| 2017-06-13 | 2017-06-14 | $25.06 | $25.38 | 4.51% | 2 | |
| 2017-06-09 | 2017-06-12 | $23.82 | $23.93 | -3.62% | 2 | |
| 2017-06-07 | 2017-06-08 | $23.98 | $24.67 | 1.73% | 2 |