Strategy Zoo / S0517
PriceMomentum_V0517
ARCHIVEDmomentumparameterchanged ret_20d threshold -0.1003 -> 0.0374
Fitness
0.6378
Generation
23
Complexity
8
Created
2026-09-22
Lineage
Parents (1)
entry = PriceMomentum_V0186 OR PriceMomentum_V0267
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0517 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ((ret_20d > 0.05 and rel_volume > 1.2635) or ret_20d > 0.1146):
position = 1.0
if long and ret_20d < 0.0374:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 21.2% | 77.9% | 20.1% | 31.1% |
| Total Return | 364.9% | 463.0% | 96.9% | 5205.1% |
| Sharpe | 0.87 | 1.56 | 0.78 | 1.03 |
| Sortino | 0.80 | 1.34 | 0.57 | 0.86 |
| Calmar | 0.52 | 2.31 | 0.56 | 0.77 |
| Volatility | 25.9% | 42.7% | 29.0% | 30.8% |
| Max DD | -40.5% | -33.8% | -36.1% | -40.5% |
| Win Rate | 42.9% | 62.5% | 47.6% | 48.1% |
| Avg Win | 17.4% | 25.7% | 15.2% | 19.6% |
| Avg Loss | -4.0% | -6.7% | -5.8% | -4.9% |
| Payoff | 4.35 | 3.83 | 2.63 | 4.01 |
| Expectancy | 5.2% | 13.5% | 4.2% | 6.9% |
| Profit Factor | 3.26 | 6.38 | 2.39 | 3.71 |
| Trades | 42 | 16 | 21 | 79 |
| Avg Holding Days | 14.5 | 17.9 | 10.8 | 14.3 |
| Turnover | 11.0 | 11.1 | 12.6 | 11.4 |
| Exposure | 26.9% | 30.6% | 22.3% | 26.5% |
Growth of $100
PriceMomentum_V0517 vs TSLA Buy & Hold
PriceMomentum_V0517 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 | 26.4% | 2.08 | -7.9% | 6 |
| 2017 | 13.0% | 0.74 | -16.6% | 5 |
| 2018 | -28.6% | -1.51 | -30.2% | 6 |
| 2019 | 37.6% | 1.92 | -8.2% | 3 |
| 2020 | 374.9% | 2.69 | -33.8% | 6 |
| 2021 | 47.3% | 1.72 | -12.5% | 3 |
| 2022 | -22.0% | -1.16 | -28.5% | 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 | 8.3% | 0.30 | 20% |
| hidden test | EXPENSIVE | 83 | 57.3% | 1.52 | 41% |
| hidden test | EXTREME | 48 | 175.5% | 3.22 | 59% |
| hidden test | HIGH VOLATILITY | 254 | 15.8% | 0.38 | 34% |
| hidden test | LOW VOLATILITY | 429 | 44.2% | 2.24 | 18% |
| hidden test | MEDIUM VOLATILITY | 249 | -7.9% | -0.29 | 18% |
| hidden test | NORMAL | 801 | 9.7% | 0.38 | 18% |
| hidden test | SIDEWAYS | 293 | 2.2% | 0.19 | 2% |
| hidden test | UPTREND | 371 | 48.9% | 1.28 | 40% |
| train | DOWNTREND | 518 | 10.4% | 0.97 | 10% |
| train | EXPENSIVE | 311 | 25.8% | 0.85 | 51% |
| train | EXTREME | 100 | 376.5% | 5.24 | 91% |
| train | HIGH VOLATILITY | 699 | 48.1% | 1.34 | 28% |
| train | LOW VOLATILITY | 745 | 19.0% | 0.96 | 36% |
| train | MEDIUM VOLATILITY | 568 | -4.3% | -0.26 | 15% |
| train | NORMAL | 1,601 | -0.2% | -0.01 | 18% |
| train | SIDEWAYS | 592 | -4.6% | -0.48 | 2% |
| train | UPTREND | 902 | 47.3% | 1.28 | 53% |
| validation | DOWNTREND | 125 | 32.6% | 1.69 | 9% |
| validation | EXPENSIVE | 138 | 63.1% | 1.36 | 41% |
| validation | EXTREME | 144 | 278.6% | 3.63 | 75% |
| validation | HIGH VOLATILITY | 258 | 82.9% | 1.30 | 43% |
| validation | LOW VOLATILITY | 183 | 30.1% | 1.93 | 18% |
| validation | MEDIUM VOLATILITY | 315 | 74.8% | 2.48 | 28% |
| validation | NORMAL | 474 | 3.4% | 0.16 | 14% |
| validation | SIDEWAYS | 206 | -7.8% | -0.96 | 2% |
| validation | UPTREND | 425 | 112.9% | 2.03 | 51% |
Trades (full period)
80 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | -0.63% | 20 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-06 | 2026-05-08 | $398.73 | $428.35 | 5.55% | 3 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.45% | 2 | |
| 2025-09-12 | 2025-10-15 | $395.94 | $435.15 | 15.13% | 24 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -9.43% | 11 | |
| 2025-05-06 | 2025-05-12 | $275.35 | $318.38 | 6.21% | 5 | |
| 2025-04-30 | 2025-05-02 | $282.16 | $287.21 | -4.14% | 3 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -5.14% | 2 | |
| 2025-04-10 | 2025-04-14 | $252.40 | $252.35 | -7.50% | 3 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2024-11-07 | 2025-01-08 | $296.91 | $394.94 | 34.61% | 42 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.81% | 8 | |
| 2024-09-20 | 2024-09-27 | $238.25 | $260.46 | 1.91% | 6 | |
| 2024-09-06 | 2024-09-18 | $210.73 | $227.20 | 2.06% | 9 | |
| 2024-07-02 | 2024-08-01 | $231.26 | $216.86 | 9.02% | 22 | |
| 2024-05-15 | 2024-05-24 | $173.99 | $179.24 | -2.34% | 8 | |
| 2024-04-30 | 2024-05-08 | $183.28 | $174.72 | -8.56% | 7 | |
| 2023-06-02 | 2023-07-21 | $213.97 | $260.02 | 27.85% | 34 | |
| 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 | -3.63% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.64% | 2 | |
| 2022-07-19 | 2022-08-02 | $245.53 | $300.59 | 18.87% | 11 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -10.23% | 12 | |
| 2022-01-13 | 2022-01-20 | $343.85 | $332.09 | -10.18% | 5 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -9.49% | 3 | |
| 2021-10-19 | 2021-11-29 | $288.09 | $379.00 | 27.22% | 29 | |
| 2021-09-16 | 2021-10-06 | $252.33 | $260.92 | 3.07% | 15 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 48.74% | 55 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.34% | 6 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 10.59% | 29 | |
| 2020-06-02 | 2020-08-10 | $58.77 | $94.57 | 54.39% | 49 | |
| 2020-05-20 | 2020-05-27 | $54.37 | $54.68 | 1.14% | 5 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-12-17 | 2020-03-04 | $25.27 | $49.97 | 83.22% | 53 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-09-27 | 2019-10-04 | $16.14 | $15.43 | -2.80% | 6 | |
| 2019-06-21 | 2019-07-22 | $14.79 | $17.05 | 16.51% | 21 | |
| 2018-12-06 | 2018-12-10 | $24.20 | $24.34 | -0.46% | 3 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-06-07 | 2018-06-08 | $21.07 | $21.18 | -1.27% | 2 | |
| 2018-05-01 | 2018-05-04 | $19.99 | $19.61 | -3.41% | 4 | |
| 2017-09-19 | 2017-09-25 | $25.01 | $23.00 | -7.53% | 5 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.73% | 13 | |
| 2017-06-01 | 2017-07-05 | $22.69 | $21.81 | 0.57% | 24 | |
| 2017-03-28 | 2017-05-04 | $18.50 | $19.70 | 10.91% | 27 | |
| 2017-01-05 | 2017-02-24 | $15.12 | $17.13 | 12.55% | 35 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 9.89% | 10 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.87% | 11 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-05-02 | $17.03 | $16.12 | -2.31% | 20 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 1.44% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 16.89% | 12 | |
| 2015-12-17 | 2015-12-28 | $15.56 | $15.26 | -1.28% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -6.17% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -3.87% | 2 | |
| 2015-06-18 | 2015-07-09 | $17.46 | $17.19 | -2.29% | 15 | |
| 2015-05-11 | 2015-06-11 | $15.97 | $16.76 | 5.74% | 23 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-23 | 2015-04-28 | $14.57 | $15.37 | 5.31% | 4 | |
| 2015-02-11 | 2015-02-24 | $14.19 | $13.61 | -4.33% | 9 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.78% | 28 | |
| 2014-06-23 | 2014-07-16 | $15.81 | $14.48 | -4.55% | 17 | |
| 2014-01-24 | 2014-03-25 | $11.64 | $14.70 | 13.99% | 42 | |
| 2013-10-07 | 2013-10-10 | $12.20 | $11.53 | -4.73% | 4 | |
| 2013-07-02 | 2013-10-04 | $7.85 | $12.07 | 53.34% | 67 | |
| 2013-04-12 | 2013-06-26 | $2.92 | $7.05 | 140.10% | 53 | |
| 2013-03-26 | 2013-04-10 | $2.52 | $2.79 | 7.70% | 11 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2012-12-19 | 2012-12-28 | $2.31 | $2.21 | -2.80% | 7 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -7.50% | 10 | |
| 2012-03-12 | 2012-03-19 | $2.40 | $2.33 | 1.47% | 6 | |
| 2012-02-23 | 2012-03-09 | $2.30 | $2.32 | -3.55% | 12 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |