Strategy Zoo / S0540
PriceMomentum_V0540
ARCHIVEDhybridcrossoverlogic of PriceMomentum_V0314 with risk overlay of MACDMomentum_V0272
Fitness
0.6561
Generation
25
Complexity
13
Created
2026-09-22
Lineage
Parents (2)
entry = MACDMomentum_V0005 OR VolumeBreakout_V0185
entry = PriceMomentum_V0267 AND LongTermTrend_V0182
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0540 [hybrid]
if flat and (ret_20d > 0.1146 and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05)):
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 26.5% | 118.7% | 17.2% | 39.1% |
| Total Return | 555.3% | 945.4% | 80.1% | 12601.7% |
| Sharpe | 0.84 | 1.74 | 0.62 | 1.03 |
| Sortino | 0.95 | 2.03 | 0.62 | 1.12 |
| Calmar | 0.51 | 2.77 | 0.46 | 0.74 |
| Volatility | 35.1% | 53.2% | 35.8% | 39.7% |
| Max DD | -52.6% | -42.8% | -37.8% | -52.6% |
| Win Rate | 50.0% | 55.6% | 54.5% | 52.6% |
| Avg Win | 47.2% | 88.2% | 20.0% | 55.8% |
| Avg Loss | -13.2% | -11.8% | -8.6% | -11.6% |
| Payoff | 3.57 | 7.46 | 2.34 | 4.80 |
| Expectancy | 17.0% | 43.7% | 7.0% | 23.9% |
| Profit Factor | 3.57 | 9.32 | 2.80 | 5.34 |
| Trades | 18 | 9 | 11 | 38 |
| Avg Holding Days | 55.6 | 52.4 | 36.9 | 51.5 |
| Turnover | 4.6 | 6.0 | 6.2 | 5.2 |
| Exposure | 52.6% | 61.2% | 44.5% | 52.4% |
Growth of $100
PriceMomentum_V0540 vs TSLA Buy & Hold
PriceMomentum_V0540 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 | -12.3% | -0.48 | -37.0% | 3 |
| 2017 | 22.3% | 0.80 | -30.8% | 2 |
| 2018 | -5.9% | -0.01 | -33.7% | 2 |
| 2019 | 47.0% | 1.34 | -24.9% | 1 |
| 2020 | 842.7% | 3.35 | -33.7% | 2 |
| 2021 | 41.4% | 1.06 | -30.6% | 3 |
| 2022 | -25.0% | -0.77 | -35.1% | 4 |
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 | -0.3% | -0.01 | 16% |
| hidden test | EXPENSIVE | 83 | 87.2% | 1.84 | 75% |
| hidden test | EXTREME | 48 | 210.8% | 3.53 | 75% |
| hidden test | HIGH VOLATILITY | 254 | 17.2% | 0.39 | 40% |
| hidden test | LOW VOLATILITY | 429 | 50.5% | 1.75 | 47% |
| hidden test | MEDIUM VOLATILITY | 249 | -21.0% | -0.57 | 45% |
| hidden test | NORMAL | 801 | 4.3% | 0.13 | 40% |
| hidden test | SIDEWAYS | 293 | 1.6% | 0.05 | 43% |
| hidden test | UPTREND | 371 | 55.1% | 1.17 | 66% |
| train | DOWNTREND | 518 | 1.6% | 0.11 | 13% |
| train | EXPENSIVE | 311 | 84.4% | 1.96 | 81% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 58.9% | 1.30 | 46% |
| train | LOW VOLATILITY | 745 | 24.4% | 0.95 | 60% |
| train | MEDIUM VOLATILITY | 568 | 0.3% | 0.01 | 51% |
| train | NORMAL | 1,601 | -5.2% | -0.18 | 44% |
| train | SIDEWAYS | 592 | -13.3% | -0.44 | 38% |
| train | UPTREND | 902 | 73.8% | 1.65 | 85% |
| validation | DOWNTREND | 125 | 37.6% | 1.70 | 12% |
| validation | EXPENSIVE | 138 | 96.2% | 1.59 | 83% |
| validation | EXTREME | 144 | 378.9% | 4.47 | 95% |
| validation | HIGH VOLATILITY | 258 | 120.7% | 1.74 | 54% |
| validation | LOW VOLATILITY | 183 | 36.2% | 1.26 | 69% |
| validation | MEDIUM VOLATILITY | 315 | 102.0% | 2.08 | 62% |
| validation | NORMAL | 474 | 4.3% | 0.13 | 45% |
| validation | SIDEWAYS | 206 | -17.5% | -0.48 | 46% |
| validation | UPTREND | 425 | 161.9% | 2.49 | 83% |
Trades (full period)
39 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 0.28% | 20 | OPEN |
| 2026-05-06 | 2026-06-10 | $398.73 | $381.59 | 1.68% | 25 | |
| 2025-12-15 | 2026-01-16 | $475.31 | $437.50 | -4.63% | 23 | |
| 2025-08-29 | 2025-11-21 | $333.87 | $391.09 | 14.00% | 60 | |
| 2025-04-30 | 2025-07-02 | $282.16 | $315.65 | 2.76% | 44 | |
| 2025-04-16 | 2025-04-23 | $241.55 | $250.74 | -6.54% | 5 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 43.14% | 48 | |
| 2024-09-06 | 2024-10-22 | $210.73 | $217.97 | -5.12% | 33 | |
| 2024-05-15 | 2024-08-02 | $173.99 | $207.67 | 21.89% | 55 | |
| 2023-11-27 | 2024-01-17 | $236.08 | $215.55 | -6.79% | 35 | |
| 2023-09-12 | 2023-10-20 | $267.48 | $211.99 | -19.71% | 29 | |
| 2023-05-24 | 2023-08-03 | $182.90 | $259.32 | 36.51% | 49 | |
| 2022-07-19 | 2022-09-01 | $245.53 | $277.16 | 14.35% | 33 | |
| 2022-06-24 | 2022-07-05 | $245.71 | $233.07 | -3.51% | 7 | |
| 2022-03-23 | 2022-04-27 | $333.04 | $293.84 | -12.00% | 25 | |
| 2022-01-04 | 2022-01-25 | $383.20 | $306.13 | -22.64% | 15 | |
| 2021-07-01 | 2021-12-03 | $225.97 | $338.32 | 59.25% | 109 | |
| 2021-04-06 | 2021-05-11 | $230.54 | $205.73 | -9.16% | 26 | |
| 2020-10-07 | 2021-02-23 | $141.77 | $232.95 | 72.25% | 95 | |
| 2020-04-14 | 2020-09-30 | $47.33 | $143.00 | 221.27% | 119 | |
| 2019-09-13 | 2020-03-05 | $16.35 | $48.30 | 204.23% | 120 | |
| 2019-07-16 | 2019-08-15 | $16.83 | $14.38 | -13.54% | 23 | |
| 2018-10-29 | 2019-01-03 | $22.32 | $20.02 | -6.47% | 45 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -13.45% | 21 | |
| 2018-05-01 | 2018-07-16 | $19.99 | $20.67 | 8.28% | 53 | |
| 2017-08-04 | 2017-11-03 | $23.79 | $20.41 | -13.95% | 65 | |
| 2016-12-21 | 2017-07-07 | $13.85 | $20.88 | 47.62% | 136 | |
| 2016-07-22 | 2016-09-02 | $14.82 | $13.19 | -9.13% | 31 | |
| 2016-06-09 | 2016-06-24 | $15.29 | $12.88 | -16.78% | 12 | |
| 2016-03-04 | 2016-05-05 | $13.40 | $14.10 | 13.48% | 44 | |
| 2015-09-22 | 2015-10-12 | $17.40 | $14.37 | -16.64% | 15 | |
| 2015-04-24 | 2015-08-12 | $14.56 | $15.88 | 8.37% | 77 | |
| 2014-11-17 | 2014-12-09 | $16.93 | $14.46 | -17.30% | 16 | |
| 2014-06-09 | 2014-10-01 | $13.69 | $16.02 | 16.34% | 81 | |
| 2013-12-18 | 2014-03-26 | $9.87 | $14.20 | 44.30% | 67 | |
| 2013-04-02 | 2013-10-24 | $2.96 | $11.54 | 273.71% | 145 | |
| 2012-11-14 | 2013-03-20 | $2.09 | $2.40 | 10.75% | 86 | |
| 2012-06-19 | 2012-07-27 | $2.14 | $1.97 | -11.83% | 28 | |
| 2012-02-06 | 2012-04-25 | $2.12 | $2.19 | 1.95% | 56 |