Strategy Zoo / S0508
PriceMomentum_V0508
ARCHIVEDmomentumstructuraladded entry filter: volume_breakout == 1
Fitness
0.4839
Generation
23
Complexity
5
Created
2026-09-22
Lineage
Parents (1)
restricted to trend regimes ['DOWNTREND', 'UPTREND']
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0508 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and volume_breakout == 1):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.5% | 45.5% | 2.1% | 17.6% |
| Total Return | 216.9% | 208.1% | 8.0% | 986.0% |
| Sharpe | 0.71 | 1.29 | 0.21 | 0.75 |
| Sortino | 0.53 | 0.83 | 0.12 | 0.51 |
| Calmar | 0.38 | 1.67 | 0.10 | 0.44 |
| Volatility | 24.2% | 33.2% | 22.3% | 25.9% |
| Max DD | -40.5% | -27.2% | -21.0% | -40.5% |
| Win Rate | 42.9% | 75.0% | 50.0% | 50.0% |
| Avg Win | 36.5% | 49.8% | 13.3% | 42.8% |
| Avg Loss | -8.9% | -3.2% | -7.8% | -8.2% |
| Payoff | 4.10 | 10.00 | 1.72 | 5.23 |
| Expectancy | 10.5% | 36.6% | 2.8% | 17.3% |
| Profit Factor | 3.07 | 10.00 | 1.72 | 5.23 |
| Trades | 14 | 4 | 4 | 22 |
| Avg Holding Days | 24.7 | 36.3 | 32.8 | 30.4 |
| Turnover | 3.6 | 2.7 | 2.2 | 3.0 |
| Exposure | 18.8% | 18.7% | 13.6% | 17.5% |
Growth of $100
PriceMomentum_V0508 vs TSLA Buy & Hold
PriceMomentum_V0508 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 | 1.4% | 0.17 | -18.0% | 3 |
| 2018 | -9.6% | -0.53 | -19.6% | 2 |
| 2019 | 39.5% | 2.02 | -8.5% | 0 |
| 2020 | 141.8% | 2.02 | -27.2% | 2 |
| 2021 | 22.7% | 0.87 | -17.6% | 2 |
| 2022 | 0.0% | 0.00 | 0.0% | 0 |
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 | 268 | -6.8% | -0.54 | 7% |
| hidden test | EXPENSIVE | 83 | 4.7% | 0.12 | 61% |
| hidden test | EXTREME | 48 | 194.8% | 3.46 | 69% |
| hidden test | HIGH VOLATILITY | 254 | -10.5% | -0.31 | 27% |
| hidden test | LOW VOLATILITY | 429 | 18.1% | 1.99 | 4% |
| hidden test | MEDIUM VOLATILITY | 249 | -3.4% | -0.14 | 17% |
| hidden test | NORMAL | 801 | -6.8% | -0.47 | 5% |
| hidden test | SIDEWAYS | 293 | -1.3% | -0.99 | 0% |
| hidden test | UPTREND | 371 | 17.4% | 0.52 | 29% |
| train | DOWNTREND | 518 | -1.6% | -0.31 | 3% |
| train | EXPENSIVE | 311 | 34.2% | 1.10 | 46% |
| train | EXTREME | 100 | 358.9% | 4.96 | 87% |
| train | HIGH VOLATILITY | 699 | 49.3% | 1.48 | 23% |
| train | LOW VOLATILITY | 745 | 7.1% | 0.47 | 18% |
| train | MEDIUM VOLATILITY | 568 | -8.7% | -0.44 | 14% |
| train | NORMAL | 1,601 | -7.3% | -0.53 | 9% |
| train | SIDEWAYS | 592 | -1.9% | -0.29 | 0% |
| train | UPTREND | 902 | 40.7% | 1.15 | 40% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 101.7% | 2.55 | 46% |
| validation | EXTREME | 144 | 105.5% | 1.78 | 36% |
| validation | HIGH VOLATILITY | 258 | 31.3% | 0.70 | 19% |
| validation | LOW VOLATILITY | 183 | 5.2% | 0.47 | 4% |
| validation | MEDIUM VOLATILITY | 315 | 74.5% | 2.42 | 26% |
| validation | NORMAL | 474 | 6.9% | 0.46 | 5% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 76.5% | 1.73 | 33% |
Trades (full period)
22 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-15 | 2025-11-14 | $410.04 | $404.35 | 1.33% | 45 | |
| 2024-11-11 | 2025-01-14 | $350.00 | $396.36 | 25.32% | 43 | |
| 2024-07-03 | 2024-08-02 | $246.39 | $207.67 | -6.41% | 22 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2021-10-26 | 2021-12-01 | $339.48 | $365.00 | 11.48% | 26 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 65.06% | 57 | |
| 2020-07-14 | 2020-08-10 | $101.12 | $94.57 | -3.16% | 20 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 148.29% | 89 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-07 | 2018-06-12 | $21.07 | $22.85 | 3.73% | 4 | |
| 2017-06-12 | 2017-07-06 | $23.93 | $20.59 | -8.64% | 18 | |
| 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 | |
| 2015-07-06 | 2015-07-28 | $18.65 | $17.65 | -9.83% | 17 | |
| 2015-02-13 | 2015-03-03 | $13.58 | $13.30 | -2.93% | 12 | |
| 2014-09-08 | 2014-09-16 | $18.81 | $17.38 | -8.66% | 7 | |
| 2014-02-20 | 2014-03-26 | $14.00 | $14.20 | 13.62% | 25 | |
| 2013-07-17 | 2013-10-22 | $8.02 | $11.44 | 57.97% | 69 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 132.63% | 61 | |
| 2013-02-12 | 2013-02-26 | $2.53 | $2.30 | -10.70% | 10 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -11.54% | 10 |