Strategy Zoo / S0518
PriceMomentum_V0518
ARCHIVEDhybridcrossoverentry = PriceMomentum_V0298 AND Breakout20_V0191
Fitness
0.6107
Generation
24
Complexity
16
Created
2026-09-22
Lineage
Parents (2)
added entry filter: dist_sma_20 > -0.0187
changed ret_20d threshold 0.05 -> 0.0923
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0518 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ((ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > 0.05 and cumret_252d > -0.1997)) and (breakout_20 == 1 and dist_sma_20 > -0.0187)):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 18.8% | 84.7% | 12.4% | 28.4% |
| Total Return | 294.8% | 529.8% | 54.2% | 3847.0% |
| Sharpe | 0.76 | 1.52 | 0.54 | 0.92 |
| Sortino | 0.68 | 1.40 | 0.40 | 0.77 |
| Calmar | 0.38 | 1.92 | 0.36 | 0.58 |
| Volatility | 27.4% | 47.7% | 29.7% | 33.1% |
| Max DD | -49.3% | -44.0% | -34.7% | -49.3% |
| Win Rate | 46.4% | 58.3% | 70.0% | 54.0% |
| Avg Win | 20.5% | 44.5% | 13.3% | 27.6% |
| Avg Loss | -6.4% | -11.3% | -12.2% | -8.2% |
| Payoff | 3.22 | 3.95 | 1.09 | 3.37 |
| Expectancy | 6.1% | 21.3% | 5.6% | 11.2% |
| Profit Factor | 2.79 | 5.53 | 2.54 | 3.96 |
| Trades | 28 | 12 | 10 | 50 |
| Avg Holding Days | 20.9 | 25.9 | 22.8 | 23.4 |
| Turnover | 7.1 | 8.0 | 5.7 | 6.9 |
| Exposure | 30.0% | 39.6% | 25.5% | 30.9% |
Growth of $100
PriceMomentum_V0518 vs TSLA Buy & Hold
PriceMomentum_V0518 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 | 17.8% | 1.23 | -14.4% | 5 |
| 2017 | 6.3% | 0.37 | -22.9% | 5 |
| 2018 | -34.0% | -1.82 | -33.9% | 5 |
| 2019 | 41.8% | 2.10 | -8.5% | 1 |
| 2020 | 515.0% | 2.93 | -33.7% | 4 |
| 2021 | 59.5% | 1.58 | -17.6% | 3 |
| 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 | -8.0% | -0.44 | 17% |
| hidden test | EXPENSIVE | 83 | 56.4% | 1.25 | 67% |
| hidden test | EXTREME | 48 | 195.3% | 3.47 | 69% |
| hidden test | HIGH VOLATILITY | 254 | -8.6% | -0.22 | 33% |
| hidden test | LOW VOLATILITY | 429 | 38.5% | 1.96 | 17% |
| hidden test | MEDIUM VOLATILITY | 249 | 2.9% | 0.09 | 32% |
| hidden test | NORMAL | 801 | 1.2% | 0.05 | 19% |
| hidden test | SIDEWAYS | 293 | -7.3% | -0.50 | 2% |
| hidden test | UPTREND | 371 | 52.1% | 1.23 | 50% |
| train | DOWNTREND | 518 | 9.6% | 1.72 | 3% |
| train | EXPENSIVE | 311 | 38.4% | 1.01 | 65% |
| train | EXTREME | 100 | 380.3% | 5.23 | 96% |
| train | HIGH VOLATILITY | 699 | 48.2% | 1.32 | 30% |
| train | LOW VOLATILITY | 745 | 19.6% | 1.00 | 36% |
| train | MEDIUM VOLATILITY | 568 | -11.1% | -0.49 | 22% |
| train | NORMAL | 1,601 | -5.0% | -0.29 | 19% |
| train | SIDEWAYS | 592 | -7.7% | -0.82 | 2% |
| train | UPTREND | 902 | 46.1% | 1.16 | 64% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 56.6% | 1.05 | 53% |
| validation | EXTREME | 144 | 336.0% | 4.15 | 81% |
| validation | HIGH VOLATILITY | 258 | 85.5% | 1.30 | 41% |
| validation | LOW VOLATILITY | 183 | 29.1% | 1.42 | 33% |
| validation | MEDIUM VOLATILITY | 315 | 87.7% | 2.13 | 42% |
| validation | NORMAL | 474 | -2.5% | -0.09 | 23% |
| validation | SIDEWAYS | 206 | -24.2% | -1.46 | 3% |
| validation | UPTREND | 425 | 135.6% | 2.19 | 67% |
Trades (full period)
51 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 0.28% | 20 | OPEN |
| 2025-12-15 | 2026-01-07 | $475.31 | $431.41 | -5.85% | 16 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 8.79% | 46 | |
| 2025-05-28 | 2025-06-06 | $356.90 | $295.14 | -21.70% | 8 | |
| 2025-04-30 | 2025-05-12 | $282.16 | $318.38 | 1.93% | 9 | |
| 2024-11-07 | 2025-01-14 | $296.91 | $396.36 | 39.51% | 45 | |
| 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 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2023-06-02 | 2023-08-02 | $213.97 | $254.11 | 25.56% | 42 | |
| 2023-05-30 | 2023-05-31 | $201.16 | $203.93 | 3.93% | 2 | |
| 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 | |
| 2021-09-08 | 2021-12-01 | $251.29 | $365.00 | 51.74% | 60 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 65.06% | 57 | |
| 2020-08-17 | 2020-09-24 | $122.38 | $129.26 | 14.99% | 28 | |
| 2020-05-22 | 2020-08-10 | $54.46 | $94.57 | 75.18% | 55 | |
| 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 | |
| 2019-07-16 | 2019-07-22 | $16.83 | $17.05 | 1.64% | 5 | |
| 2018-12-06 | 2018-12-19 | $24.20 | $22.20 | -6.49% | 10 | |
| 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 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-09-18 | 2017-09-29 | $25.67 | $22.74 | -10.76% | 10 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | 1.44% | 15 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.27% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 12.23% | 41 | |
| 2017-01-05 | 2017-03-08 | $15.12 | $16.46 | 9.30% | 43 | |
| 2016-12-20 | 2016-12-28 | $13.92 | $14.65 | 8.07% | 6 | |
| 2016-07-26 | 2016-08-23 | $15.30 | $14.99 | -3.27% | 21 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -6.12% | 22 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 18.67% | 12 | |
| 2015-05-12 | 2015-07-28 | $16.32 | $17.65 | 5.44% | 54 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -2.95% | 2 | |
| 2015-04-13 | 2015-04-14 | $13.99 | $13.83 | -0.73% | 2 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 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 | |
| 2013-01-29 | 2013-02-26 | $2.53 | $2.30 | -9.78% | 20 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-03-13 | 2012-04-10 | $2.41 | $2.16 | -8.13% | 20 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |