Strategy Zoo / S0535
PriceMomentum_V0535
ARCHIVEDmomentumparameterchanged ret_20d threshold 0.05 -> -0.0506
Fitness
0.5045
Generation
24
Complexity
4
Created
2026-09-22
Lineage
Parents (1)
changed ret_20d threshold 0.0392 -> -0.0017; reduce exposure to 62% during MEDIUM_VOLATILITY
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0535 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > -0.0506:
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.62Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 18.8% | 61.7% | 9.7% | 24.2% |
| Total Return | 295.0% | 322.8% | 40.7% | 2319.6% |
| Sharpe | 0.71 | 1.31 | 0.43 | 0.79 |
| Sortino | 0.78 | 1.32 | 0.43 | 0.82 |
| Calmar | 0.26 | 1.64 | 0.17 | 0.33 |
| Volatility | 30.8% | 44.2% | 36.4% | 35.4% |
| Max DD | -73.2% | -37.5% | -57.7% | -73.2% |
| Win Rate | 40.3% | 31.0% | 40.0% | 38.7% |
| Avg Win | 7.7% | 23.1% | 8.9% | 10.6% |
| Avg Loss | -2.8% | -3.4% | -4.3% | -3.3% |
| Payoff | 2.70 | 6.83 | 2.07 | 3.20 |
| Expectancy | 1.4% | 4.8% | 1.0% | 2.1% |
| Profit Factor | 1.82 | 3.06 | 1.38 | 2.03 |
| Trades | 159 | 42 | 70 | 271 |
| Avg Holding Days | 6.5 | 9.7 | 6.0 | 7.1 |
| Turnover | 37.1 | 26.2 | 36.4 | 34.6 |
| Exposure | 41.3% | 41.0% | 35.6% | 39.9% |
Growth of $100
PriceMomentum_V0535 vs TSLA Buy & Hold
PriceMomentum_V0535 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 | 11.2% | 0.73 | -24.9% | 26 |
| 2017 | 14.6% | 0.70 | -20.3% | 20 |
| 2018 | -54.4% | -2.36 | -56.6% | 23 |
| 2019 | 19.3% | 0.81 | -30.9% | 18 |
| 2020 | 281.2% | 2.33 | -35.8% | 14 |
| 2021 | 56.0% | 1.79 | -11.5% | 10 |
| 2022 | -30.8% | -1.45 | -32.5% | 17 |
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 | 16.3% | 0.40 | 39% |
| hidden test | EXPENSIVE | 83 | 82.6% | 1.71 | 61% |
| hidden test | EXTREME | 48 | 118.7% | 2.10 | 75% |
| hidden test | HIGH VOLATILITY | 254 | 19.3% | 0.36 | 52% |
| hidden test | LOW VOLATILITY | 429 | 40.3% | 1.69 | 30% |
| hidden test | MEDIUM VOLATILITY | 249 | -30.0% | -0.95 | 29% |
| hidden test | NORMAL | 801 | 2.7% | 0.08 | 31% |
| hidden test | SIDEWAYS | 293 | -13.9% | -0.92 | 5% |
| hidden test | UPTREND | 371 | 38.9% | 0.88 | 57% |
| train | DOWNTREND | 518 | -15.1% | -0.61 | 36% |
| train | EXPENSIVE | 311 | 41.9% | 1.24 | 61% |
| train | EXTREME | 100 | 392.6% | 5.46 | 92% |
| train | HIGH VOLATILITY | 699 | 30.8% | 0.75 | 39% |
| train | LOW VOLATILITY | 745 | 38.9% | 1.57 | 53% |
| train | MEDIUM VOLATILITY | 568 | -11.4% | -0.51 | 29% |
| train | NORMAL | 1,601 | -5.2% | -0.21 | 34% |
| train | SIDEWAYS | 592 | 6.8% | 0.44 | 5% |
| train | UPTREND | 902 | 53.0% | 1.32 | 68% |
| validation | DOWNTREND | 125 | 21.5% | 1.02 | 15% |
| validation | EXPENSIVE | 138 | 4.6% | 0.10 | 49% |
| validation | EXTREME | 144 | 285.9% | 3.73 | 79% |
| validation | HIGH VOLATILITY | 258 | 70.8% | 1.10 | 48% |
| validation | LOW VOLATILITY | 183 | 22.5% | 0.96 | 47% |
| validation | MEDIUM VOLATILITY | 315 | 67.7% | 2.19 | 32% |
| validation | NORMAL | 474 | 4.1% | 0.17 | 27% |
| validation | SIDEWAYS | 206 | -17.9% | -1.26 | 5% |
| validation | UPTREND | 425 | 105.2% | 1.85 | 66% |
Trades (full period)
latest 100 of 272
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 4.31% | 21 | OPEN |
| 2026-07-23 | 2026-07-24 | $319.69 | $313.03 | -9.12% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -4.10% | 3 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-27 | 2026-05-08 | $378.67 | $428.35 | 9.24% | 10 | |
| 2026-04-21 | 2026-04-24 | $386.42 | $376.30 | -3.10% | 4 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.61% | 2 | |
| 2026-03-24 | 2026-03-25 | $383.03 | $385.95 | 0.37% | 2 | |
| 2026-03-19 | 2026-03-20 | $380.30 | $367.96 | -3.37% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.83% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.81% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -2.20% | 2 | |
| 2026-01-12 | 2026-01-13 | $448.96 | $447.20 | 0.69% | 2 | |
| 2026-01-08 | 2026-01-09 | $435.80 | $445.01 | 0.82% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -4.34% | 2 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -3.92% | 19 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 0.96% | 2 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.13% | 2 | |
| 2025-10-28 | 2025-11-13 | $460.55 | $401.99 | -5.02% | 13 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.23% | 2 | |
| 2025-09-12 | 2025-10-23 | $395.94 | $448.98 | 16.55% | 30 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-21 | 2025-08-22 | $320.11 | $340.01 | -1.37% | 2 | |
| 2025-08-06 | 2025-08-11 | $319.91 | $339.03 | 6.57% | 4 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -3.44% | 4 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -8.39% | 2 | |
| 2025-07-18 | 2025-07-23 | $329.65 | $332.56 | 2.33% | 4 | |
| 2025-07-16 | 2025-07-17 | $321.67 | $319.41 | 2.05% | 2 | |
| 2025-07-14 | 2025-07-15 | $316.90 | $310.78 | 0.55% | 2 | |
| 2025-07-10 | 2025-07-11 | $309.87 | $313.51 | 2.81% | 2 | |
| 2025-07-07 | 2025-07-09 | $293.94 | $295.88 | -6.22% | 3 | |
| 2025-06-23 | 2025-06-26 | $348.68 | $325.78 | 1.48% | 4 | |
| 2025-06-10 | 2025-06-12 | $326.09 | $319.11 | 5.58% | 3 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -8.36% | 11 | |
| 2025-05-05 | 2025-05-12 | $280.26 | $318.38 | 3.64% | 6 | |
| 2025-04-25 | 2025-05-02 | $284.95 | $287.21 | 7.89% | 6 | |
| 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 | |
| 2025-04-02 | 2025-04-07 | $282.76 | $233.29 | -10.99% | 4 | |
| 2025-03-28 | 2025-03-31 | $263.55 | $259.16 | -3.70% | 2 | |
| 2025-01-31 | 2025-02-05 | $404.60 | $378.17 | -1.34% | 4 | |
| 2025-01-24 | 2025-01-27 | $406.58 | $397.15 | -1.60% | 2 | |
| 2025-01-22 | 2025-01-23 | $415.11 | $412.38 | -2.31% | 2 | |
| 2025-01-16 | 2025-01-17 | $413.82 | $426.50 | -3.56% | 2 | |
| 2025-01-14 | 2025-01-15 | $396.36 | $428.22 | -1.92% | 2 | |
| 2024-11-05 | 2025-01-13 | $251.44 | $403.31 | 59.68% | 46 | |
| 2024-10-25 | 2024-11-04 | $269.19 | $242.84 | -4.60% | 7 | |
| 2024-10-17 | 2024-10-18 | $220.89 | $220.70 | -0.25% | 2 | |
| 2024-10-15 | 2024-10-16 | $219.57 | $221.33 | -0.01% | 2 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.83% | 8 | |
| 2024-08-30 | 2024-09-27 | $214.11 | $260.46 | 16.67% | 20 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -3.42% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -5.84% | 2 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 1.62% | 23 | |
| 2024-05-13 | 2024-05-29 | $171.89 | $176.19 | 4.71% | 12 | |
| 2024-04-29 | 2024-05-10 | $194.05 | $168.47 | 2.00% | 10 | |
| 2024-04-11 | 2024-04-16 | $174.60 | $157.11 | -6.75% | 4 | |
| 2024-04-09 | 2024-04-10 | $176.88 | $171.76 | 2.05% | 2 | |
| 2024-04-05 | 2024-04-08 | $164.90 | $172.98 | -3.83% | 2 | |
| 2024-03-07 | 2024-03-08 | $178.65 | $175.34 | 0.99% | 2 | |
| 2024-02-23 | 2024-03-06 | $191.97 | $176.54 | -7.64% | 9 | |
| 2024-01-10 | 2024-01-11 | $233.94 | $227.22 | -0.63% | 2 | |
| 2024-01-08 | 2024-01-09 | $240.45 | $234.96 | 1.05% | 2 | |
| 2024-01-03 | 2024-01-05 | $238.45 | $237.49 | -4.42% | 3 | |
| 2023-08-30 | 2023-09-01 | $256.90 | $245.01 | 0.15% | 3 | |
| 2023-07-31 | 2023-08-02 | $267.43 | $254.11 | -1.37% | 3 | |
| 2023-07-25 | 2023-07-28 | $265.28 | $266.44 | -4.64% | 4 | |
| 2023-06-02 | 2023-07-24 | $213.97 | $269.06 | 27.25% | 35 | |
| 2023-05-18 | 2023-05-31 | $176.89 | $203.93 | 14.72% | 9 | |
| 2023-01-23 | 2023-02-10 | $143.75 | $196.89 | 55.09% | 15 | |
| 2022-12-09 | 2022-12-12 | $179.05 | $167.82 | 1.88% | 2 | |
| 2022-11-14 | 2022-11-15 | $190.95 | $194.42 | -2.76% | 2 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.71% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.51% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.23% | 2 | |
| 2022-07-13 | 2022-08-02 | $237.04 | $300.59 | 21.06% | 15 | |
| 2022-07-08 | 2022-07-12 | $250.76 | $233.07 | -2.67% | 3 | |
| 2022-07-06 | 2022-07-07 | $231.73 | $244.54 | -0.48% | 2 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-06-10 | 2022-06-13 | $232.23 | $215.74 | -3.32% | 2 | |
| 2022-04-26 | 2022-04-27 | $292.14 | $293.84 | -7.67% | 2 | |
| 2022-04-22 | 2022-04-25 | $335.02 | $332.67 | -0.35% | 2 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -9.34% | 12 | |
| 2022-02-28 | 2022-03-01 | $290.14 | $288.12 | 4.51% | 2 | |
| 2022-01-10 | 2022-01-20 | $352.71 | $332.09 | -4.70% | 8 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-12-31 | 2022-01-03 | $352.26 | $399.93 | -0.91% | 2 | |
| 2021-12-27 | 2021-12-29 | $364.65 | $362.06 | 1.13% | 3 | |
| 2021-12-13 | 2021-12-14 | $322.14 | $319.50 | -3.21% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -3.90% | 2 | |
| 2021-08-24 | 2021-12-01 | $236.16 | $365.00 | 63.05% | 70 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2021-06-10 | 2021-06-11 | $203.37 | $203.30 | 1.69% | 2 | |
| 2021-02-17 | 2021-02-18 | $266.05 | $262.46 | 0.04% | 2 | |
| 2021-02-12 | 2021-02-16 | $272.04 | $265.41 | 0.35% | 2 | |
| 2021-02-10 | 2021-02-11 | $268.27 | $270.55 | -5.45% | 2 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 43.83% | 55 | |
| 2020-11-10 | 2020-11-11 | $136.79 | $139.04 | -2.78% | 2 |