Strategy Zoo / S0513
PriceMomentum_V0513
ARCHIVEDmomentumparameterchanged ret_20d threshold 0.05 -> 0.1355
Fitness
0.6040
Generation
23
Complexity
3
Created
2026-09-22
Lineage
Parents (1)
restricted to trend regimes ['DOWNTREND', 'UPTREND']
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0513 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.1355:
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.9% | 74.5% | 25.8% | 31.9% |
| Total Return | 355.9% | 431.0% | 133.5% | 5718.7% |
| Sharpe | 0.83 | 1.42 | 0.89 | 1.00 |
| Sortino | 0.73 | 1.26 | 0.67 | 0.82 |
| Calmar | 0.48 | 1.69 | 0.85 | 0.72 |
| Volatility | 27.1% | 47.0% | 31.4% | 33.1% |
| Max DD | -43.8% | -44.0% | -30.3% | -44.0% |
| Win Rate | 48.0% | 66.7% | 71.4% | 58.8% |
| Avg Win | 21.8% | 35.6% | 14.0% | 25.4% |
| Avg Loss | -5.9% | -13.0% | -8.9% | -7.8% |
| Payoff | 3.70 | 2.74 | 1.57 | 3.25 |
| Expectancy | 7.4% | 19.4% | 7.5% | 11.7% |
| Profit Factor | 3.41 | 5.49 | 3.93 | 4.64 |
| Trades | 25 | 12 | 14 | 51 |
| Avg Holding Days | 23.1 | 23.3 | 17.1 | 22.4 |
| Turnover | 6.4 | 8.0 | 7.8 | 7.0 |
| Exposure | 29.8% | 35.3% | 26.4% | 30.1% |
Growth of $100
PriceMomentum_V0513 vs TSLA Buy & Hold
PriceMomentum_V0513 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 | 7.1% | 0.59 | -15.4% | 4 |
| 2017 | 5.2% | 0.34 | -19.4% | 4 |
| 2018 | -33.1% | -2.22 | -34.6% | 4 |
| 2019 | 63.6% | 2.68 | -8.5% | 1 |
| 2020 | 472.4% | 2.84 | -33.7% | 5 |
| 2021 | 44.5% | 1.34 | -17.6% | 2 |
| 2022 | -38.5% | -1.88 | -39.8% | 5 |
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 | 40.3% | 1.66 | 16% |
| hidden test | EXPENSIVE | 83 | 55.4% | 1.24 | 67% |
| hidden test | EXTREME | 48 | 195.3% | 3.47 | 69% |
| hidden test | HIGH VOLATILITY | 254 | 43.0% | 1.01 | 31% |
| hidden test | LOW VOLATILITY | 429 | 33.5% | 1.69 | 20% |
| hidden test | MEDIUM VOLATILITY | 249 | 2.9% | 0.08 | 33% |
| hidden test | NORMAL | 801 | 15.0% | 0.55 | 20% |
| hidden test | SIDEWAYS | 293 | -3.5% | -0.23 | 3% |
| hidden test | UPTREND | 371 | 43.6% | 1.01 | 52% |
| train | DOWNTREND | 518 | 11.3% | 1.35 | 6% |
| train | EXPENSIVE | 311 | 34.6% | 0.93 | 60% |
| train | EXTREME | 100 | 380.3% | 5.23 | 96% |
| train | HIGH VOLATILITY | 699 | 39.2% | 1.10 | 29% |
| train | LOW VOLATILITY | 745 | 26.9% | 1.29 | 39% |
| train | MEDIUM VOLATILITY | 568 | -3.5% | -0.16 | 19% |
| train | NORMAL | 1,601 | -2.1% | -0.12 | 20% |
| train | SIDEWAYS | 592 | -4.3% | -0.44 | 2% |
| train | UPTREND | 902 | 46.7% | 1.19 | 62% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 63.9% | 1.17 | 59% |
| validation | EXTREME | 144 | 315.7% | 3.95 | 81% |
| validation | HIGH VOLATILITY | 258 | 78.7% | 1.22 | 42% |
| validation | LOW VOLATILITY | 183 | 14.6% | 0.95 | 11% |
| validation | MEDIUM VOLATILITY | 315 | 87.1% | 2.10 | 44% |
| validation | NORMAL | 474 | -8.1% | -0.32 | 14% |
| validation | SIDEWAYS | 206 | -25.5% | -1.53 | 3% |
| validation | UPTREND | 425 | 125.5% | 2.06 | 60% |
Trades (full period)
52 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 0.28% | 20 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-07 | 2026-05-08 | $411.79 | $428.35 | 3.07% | 2 | |
| 2025-12-15 | 2026-01-07 | $475.31 | $431.41 | -5.85% | 16 | |
| 2025-09-15 | 2025-11-14 | $410.04 | $404.35 | 1.33% | 45 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2025-05-06 | 2025-05-12 | $275.35 | $318.38 | 6.21% | 5 | |
| 2024-11-07 | 2025-01-14 | $296.91 | $396.36 | 39.51% | 45 | |
| 2024-10-07 | 2024-10-14 | $240.83 | $219.16 | -13.09% | 6 | |
| 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 | |
| 2024-05-17 | 2024-05-29 | $177.46 | $176.19 | 0.89% | 8 | |
| 2023-06-02 | 2023-08-02 | $213.97 | $254.11 | 25.56% | 42 | |
| 2023-05-23 | 2023-05-31 | $185.77 | $203.93 | 6.29% | 6 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 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 | |
| 2022-07-22 | 2022-08-02 | $272.24 | $300.59 | 9.19% | 8 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 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 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 65.06% | 57 | |
| 2020-10-07 | 2020-10-20 | $141.77 | $140.65 | 3.87% | 10 | |
| 2020-08-19 | 2020-09-24 | $125.24 | $129.26 | 0.58% | 26 | |
| 2020-05-20 | 2020-08-10 | $54.37 | $94.57 | 79.43% | 57 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 148.29% | 89 | |
| 2019-06-21 | 2019-07-22 | $14.79 | $17.05 | 17.32% | 21 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -19.68% | 9 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-05-01 | 2018-05-04 | $19.99 | $19.61 | -3.41% | 4 | |
| 2017-08-07 | 2017-08-24 | $23.68 | $23.53 | -1.36% | 14 | |
| 2017-06-05 | 2017-07-06 | $23.15 | $20.59 | -3.94% | 23 | |
| 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 | |
| 2016-07-26 | 2016-08-23 | $15.30 | $14.99 | -3.27% | 21 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -6.12% | 22 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 2.12% | 2 | |
| 2016-03-07 | 2016-03-21 | $13.69 | $15.89 | 15.54% | 11 | |
| 2015-05-12 | 2015-07-28 | $16.32 | $17.65 | 5.44% | 54 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-27 | 2015-04-28 | $15.44 | $15.37 | 5.80% | 2 | |
| 2014-08-08 | 2014-09-16 | $16.54 | $17.38 | 0.38% | 27 | |
| 2014-06-24 | 2014-07-17 | $15.50 | $14.36 | -8.64% | 17 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 21.21% | 43 | |
| 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 | |
| 2013-01-30 | 2013-02-26 | $2.50 | $2.30 | -9.59% | 19 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | -3.32% | 33 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |