Strategy Zoo / S0509
PriceMomentum_V0509
ARCHIVEDmomentumstructuraladded exit filter: breakout_252 == 1
Fitness
0.4952
Generation
23
Complexity
5
Created
2026-09-22
Lineage
Parents (1)
changed ret_20d threshold -0.1437 -> -0.006
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0509 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.05:
position = 1.0
if long and (ret_20d < -0.006 or breakout_252 == 1):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 18.6% | 51.8% | 16.7% | 24.5% |
| Total Return | 290.9% | 249.5% | 77.1% | 2391.0% |
| Sharpe | 0.74 | 1.21 | 0.64 | 0.84 |
| Sortino | 0.71 | 1.14 | 0.52 | 0.75 |
| Calmar | 0.31 | 1.44 | 0.38 | 0.41 |
| Volatility | 28.2% | 41.9% | 31.9% | 32.4% |
| Max DD | -60.2% | -35.9% | -43.9% | -60.2% |
| Win Rate | 67.6% | 70.4% | 56.8% | 66.3% |
| Avg Win | 5.1% | 7.1% | 9.0% | 6.3% |
| Avg Loss | -5.8% | -7.5% | -7.2% | -6.5% |
| Payoff | 0.88 | 0.95 | 1.25 | 0.97 |
| Expectancy | 1.6% | 2.8% | 2.0% | 2.0% |
| Profit Factor | 1.84 | 2.27 | 1.65 | 1.90 |
| Trades | 108 | 54 | 37 | 199 |
| Avg Holding Days | 7.1 | 6.5 | 7.9 | 7.1 |
| Turnover | 27.2 | 36.0 | 20.3 | 27.2 |
| Exposure | 33.0% | 39.3% | 29.7% | 33.5% |
Growth of $100
PriceMomentum_V0509 vs TSLA Buy & Hold
PriceMomentum_V0509 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 | 28.5% | 1.87 | -11.0% | 6 |
| 2017 | -4.8% | -0.08 | -24.5% | 17 |
| 2018 | -40.9% | -1.96 | -41.0% | 9 |
| 2019 | 34.4% | 1.48 | -10.9% | 8 |
| 2020 | 245.8% | 2.36 | -30.6% | 35 |
| 2021 | 40.0% | 1.26 | -17.8% | 11 |
| 2022 | -28.2% | -1.22 | -30.9% | 7 |
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 | 4.6% | 0.15 | 33% |
| hidden test | EXPENSIVE | 83 | 39.1% | 0.94 | 59% |
| hidden test | EXTREME | 48 | 179.5% | 3.90 | 52% |
| hidden test | HIGH VOLATILITY | 254 | 3.0% | 0.07 | 38% |
| hidden test | LOW VOLATILITY | 429 | 48.3% | 2.22 | 24% |
| hidden test | MEDIUM VOLATILITY | 249 | -9.1% | -0.28 | 32% |
| hidden test | NORMAL | 801 | 9.1% | 0.31 | 25% |
| hidden test | SIDEWAYS | 293 | -3.6% | -0.23 | 4% |
| hidden test | UPTREND | 371 | 51.2% | 1.27 | 48% |
| train | DOWNTREND | 518 | 0.8% | 0.05 | 21% |
| train | EXPENSIVE | 311 | 16.5% | 0.47 | 56% |
| train | EXTREME | 100 | 378.3% | 5.48 | 73% |
| train | HIGH VOLATILITY | 699 | 35.5% | 0.96 | 29% |
| train | LOW VOLATILITY | 745 | 23.0% | 1.09 | 41% |
| train | MEDIUM VOLATILITY | 568 | 0.3% | 0.01 | 27% |
| train | NORMAL | 1,601 | -0.5% | -0.02 | 26% |
| train | SIDEWAYS | 592 | -3.9% | -0.37 | 3% |
| train | UPTREND | 902 | 48.8% | 1.25 | 59% |
| validation | DOWNTREND | 125 | 43.5% | 1.99 | 14% |
| validation | EXPENSIVE | 138 | 9.8% | 0.19 | 52% |
| validation | EXTREME | 144 | 253.1% | 3.88 | 71% |
| validation | HIGH VOLATILITY | 258 | 52.6% | 0.94 | 41% |
| validation | LOW VOLATILITY | 183 | 21.4% | 1.03 | 39% |
| validation | MEDIUM VOLATILITY | 315 | 65.8% | 1.75 | 38% |
| validation | NORMAL | 474 | 0.8% | 0.03 | 26% |
| validation | SIDEWAYS | 206 | -14.3% | -1.33 | 3% |
| validation | UPTREND | 425 | 84.0% | 1.56 | 64% |
Trades (full period)
latest 100 of 200
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 5.45% | 21 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-29 | 2026-05-08 | $372.80 | $428.35 | 9.29% | 8 | |
| 2026-04-21 | 2026-04-24 | $386.42 | $376.30 | -4.98% | 4 | |
| 2025-12-18 | 2026-01-05 | $483.37 | $451.67 | -6.43% | 11 | |
| 2025-12-15 | 2025-12-17 | $475.31 | $467.26 | 6.53% | 3 | |
| 2025-11-03 | 2025-11-13 | $468.37 | $401.99 | -5.87% | 9 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-09-12 | 2025-10-23 | $395.94 | $448.98 | 18.79% | 30 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-07 | 2025-08-11 | $322.27 | $339.03 | 2.84% | 3 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2025-05-05 | 2025-05-12 | $280.26 | $318.38 | 3.64% | 6 | |
| 2025-04-29 | 2025-05-02 | $292.03 | $287.21 | -2.07% | 4 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2024-12-19 | 2025-01-13 | $436.17 | $403.31 | -10.49% | 15 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-12 | 2024-12-16 | $418.10 | $463.02 | 2.49% | 3 | |
| 2024-12-10 | 2024-12-11 | $400.99 | $424.77 | 2.67% | 2 | |
| 2024-12-06 | 2024-12-09 | $389.22 | $389.79 | 5.13% | 2 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-11-26 | 2024-12-03 | $338.23 | $351.42 | 5.25% | 5 | |
| 2024-11-13 | 2024-11-25 | $330.24 | $338.59 | 7.11% | 9 | |
| 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 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.71% | 8 | |
| 2024-09-04 | 2024-09-27 | $219.41 | $260.46 | 20.48% | 18 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 3.14% | 23 | |
| 2024-05-14 | 2024-05-29 | $177.55 | $176.19 | 2.63% | 11 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -5.79% | 2 | |
| 2024-02-26 | 2024-03-07 | $199.40 | $178.65 | -8.22% | 9 | |
| 2023-07-26 | 2023-08-02 | $264.35 | $254.11 | -1.78% | 6 | |
| 2023-06-02 | 2023-07-24 | $213.97 | $269.06 | 25.05% | 35 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-07-14 | 2022-08-02 | $238.31 | $300.59 | 25.16% | 14 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -14.86% | 12 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -17.18% | 12 | |
| 2021-11-05 | 2021-12-01 | $407.36 | $365.00 | -7.11% | 18 | |
| 2021-11-02 | 2021-11-04 | $390.67 | $409.97 | 0.23% | 3 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 3.23% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.71% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 12.45% | 2 | |
| 2021-08-24 | 2021-10-22 | $236.16 | $303.23 | 26.32% | 43 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2021-01-27 | 2021-02-09 | $288.05 | $283.15 | -2.42% | 10 | |
| 2021-01-11 | 2021-01-26 | $270.40 | $294.36 | -0.12% | 11 | |
| 2021-01-07 | 2021-01-08 | $272.01 | $293.34 | 7.74% | 2 | |
| 2021-01-05 | 2021-01-06 | $245.04 | $251.99 | 0.53% | 2 | |
| 2020-12-21 | 2021-01-04 | $216.62 | $243.26 | 1.33% | 9 | |
| 2020-12-09 | 2020-12-18 | $201.49 | $231.67 | 0.72% | 8 | |
| 2020-12-07 | 2020-12-08 | $213.92 | $216.63 | 6.92% | 2 | |
| 2020-11-30 | 2020-12-04 | $189.20 | $199.68 | 1.10% | 5 | |
| 2020-11-25 | 2020-11-27 | $191.33 | $195.25 | 3.15% | 2 | |
| 2020-11-23 | 2020-11-24 | $173.95 | $185.13 | 6.38% | 2 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 2.39% | 2 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -4.12% | 6 | |
| 2020-10-16 | 2020-10-20 | $146.56 | $140.65 | -4.21% | 3 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.68% | 6 | |
| 2020-09-02 | 2020-09-24 | $149.12 | $129.26 | -20.10% | 16 | |
| 2020-08-28 | 2020-09-01 | $147.56 | $158.35 | 11.07% | 3 | |
| 2020-08-24 | 2020-08-27 | $134.28 | $149.25 | 4.82% | 4 | |
| 2020-08-20 | 2020-08-21 | $133.46 | $136.67 | 6.36% | 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 | |
| 2020-07-22 | 2020-08-10 | $106.16 | $94.57 | -7.56% | 14 | |
| 2020-07-17 | 2020-07-21 | $100.06 | $104.56 | 9.27% | 3 | |
| 2020-07-13 | 2020-07-16 | $99.80 | $100.04 | -0.12% | 4 | |
| 2020-07-09 | 2020-07-10 | $92.95 | $102.98 | 1.88% | 2 | |
| 2020-07-07 | 2020-07-08 | $92.66 | $91.06 | 1.13% | 2 | |
| 2020-07-02 | 2020-07-06 | $80.58 | $91.44 | 7.74% | 2 | |
| 2020-06-12 | 2020-07-01 | $62.35 | $74.64 | 10.77% | 14 | |
| 2020-06-10 | 2020-06-11 | $68.34 | $64.86 | 8.76% | 2 | |
| 2020-05-15 | 2020-06-09 | $53.28 | $62.71 | 18.01% | 17 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-02-21 | 2020-03-04 | $60.07 | $49.97 | -17.28% | 9 | |
| 2020-02-06 | 2020-02-20 | $49.93 | $59.96 | 24.62% | 10 | |
| 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 | |
| 2020-01-27 | 2020-01-30 | $37.20 | $42.72 | 2.66% | 4 | |
| 2020-01-23 | 2020-01-24 | $38.15 | $37.65 | 0.26% | 2 | |
| 2020-01-15 | 2020-01-22 | $34.57 | $37.97 | 1.52% | 5 | |
| 2020-01-09 | 2020-01-14 | $32.09 | $35.86 | 6.43% | 4 | |
| 2020-01-07 | 2020-01-08 | $31.27 | $32.81 | 3.68% | 2 | |
| 2019-12-27 | 2020-01-06 | $28.69 | $30.10 | 2.60% | 6 | |
| 2019-12-24 | 2019-12-26 | $28.35 | $28.73 | 1.24% | 2 | |
| 2019-12-20 | 2019-12-23 | $27.04 | $27.95 | 0.18% | 2 | |
| 2019-12-18 | 2019-12-19 | $26.21 | $26.94 | 3.53% | 2 | |
| 2019-10-25 | 2019-12-17 | $21.88 | $25.27 | 27.06% | 37 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2019-09-27 | 2019-10-10 | $16.14 | $16.32 | 0.61% | 10 | |
| 2019-06-18 | 2019-07-22 | $14.98 | $17.05 | 14.50% | 24 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 |