Strategy Zoo / S0559
PriceMomentum_V0559
ARCHIVEDmomentumparameterchanged ret_20d threshold 0.05 -> 0.1606
Fitness
0.6092
Generation
25
Complexity
3
Created
2026-09-22
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> 0.0392
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0559 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.1606:
position = 1.0
if long and ret_20d < 0.0392:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.6% | 81.3% | 26.4% | 29.9% |
| Total Return | 218.4% | 496.4% | 137.6% | 4544.3% |
| Sharpe | 0.71 | 1.54 | 0.96 | 1.00 |
| Sortino | 0.54 | 1.29 | 0.63 | 0.73 |
| Calmar | 0.37 | 2.34 | 0.89 | 0.71 |
| Volatility | 24.4% | 45.2% | 28.5% | 30.8% |
| Max DD | -41.9% | -34.8% | -29.8% | -41.9% |
| Win Rate | 44.0% | 69.2% | 53.3% | 52.8% |
| Avg Win | 24.2% | 30.1% | 17.5% | 24.3% |
| Avg Loss | -5.9% | -8.9% | -4.5% | -6.0% |
| Payoff | 4.13 | 3.40 | 3.87 | 4.08 |
| Expectancy | 7.3% | 18.1% | 7.2% | 10.0% |
| Profit Factor | 3.24 | 7.65 | 4.42 | 4.57 |
| Trades | 25 | 13 | 15 | 53 |
| Avg Holding Days | 17.8 | 19.2 | 13.0 | 16.9 |
| Turnover | 6.4 | 8.7 | 8.4 | 7.3 |
| Exposure | 21.1% | 31.3% | 20.5% | 23.1% |
Growth of $100
PriceMomentum_V0559 vs TSLA Buy & Hold
PriceMomentum_V0559 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 | 13.3% | 1.16 | -8.7% | 4 |
| 2017 | 9.6% | 0.65 | -11.4% | 3 |
| 2018 | -33.1% | -2.22 | -34.6% | 4 |
| 2019 | 27.4% | 1.56 | -8.5% | 2 |
| 2020 | 426.4% | 2.74 | -33.7% | 6 |
| 2021 | 46.5% | 1.42 | -17.6% | 2 |
| 2022 | -25.9% | -1.74 | -25.8% | 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 | 33.0% | 1.49 | 12% |
| hidden test | EXPENSIVE | 83 | 45.1% | 1.18 | 43% |
| hidden test | EXTREME | 48 | 183.4% | 3.26 | 63% |
| hidden test | HIGH VOLATILITY | 254 | 36.3% | 0.88 | 29% |
| hidden test | LOW VOLATILITY | 429 | 33.4% | 1.94 | 15% |
| hidden test | MEDIUM VOLATILITY | 249 | 8.3% | 0.30 | 21% |
| hidden test | NORMAL | 801 | 16.3% | 0.66 | 16% |
| hidden test | SIDEWAYS | 293 | -2.2% | -0.14 | 2% |
| hidden test | UPTREND | 371 | 46.9% | 1.21 | 41% |
| train | DOWNTREND | 518 | 9.4% | 1.14 | 5% |
| train | EXPENSIVE | 311 | 15.5% | 0.49 | 40% |
| train | EXTREME | 100 | 368.1% | 5.07 | 95% |
| train | HIGH VOLATILITY | 699 | 37.8% | 1.09 | 25% |
| train | LOW VOLATILITY | 745 | 7.3% | 0.45 | 25% |
| train | MEDIUM VOLATILITY | 568 | 5.5% | 0.34 | 10% |
| train | NORMAL | 1,601 | -4.1% | -0.30 | 13% |
| train | SIDEWAYS | 592 | -8.2% | -0.94 | 2% |
| train | UPTREND | 902 | 38.8% | 1.10 | 43% |
| validation | DOWNTREND | 125 | 15.9% | 1.83 | 2% |
| validation | EXPENSIVE | 138 | 81.2% | 1.52 | 54% |
| validation | EXTREME | 144 | 295.5% | 3.72 | 79% |
| validation | HIGH VOLATILITY | 258 | 87.5% | 1.37 | 39% |
| validation | LOW VOLATILITY | 183 | 23.9% | 1.71 | 10% |
| validation | MEDIUM VOLATILITY | 315 | 81.9% | 2.15 | 38% |
| validation | NORMAL | 474 | -2.2% | -0.10 | 10% |
| validation | SIDEWAYS | 206 | -6.2% | -0.69 | 2% |
| validation | UPTREND | 425 | 122.4% | 2.05 | 54% |
Trades (full period)
54 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-04 | — | $354.08 | — | -3.32% | 11 | 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 | |
| 2025-12-16 | 2026-01-05 | $489.88 | $451.67 | -8.02% | 13 | |
| 2025-09-15 | 2025-10-15 | $410.04 | $435.15 | 8.20% | 23 | |
| 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 | 2025-01-08 | $296.91 | $394.94 | 36.41% | 42 | |
| 2024-10-07 | 2024-10-11 | $240.83 | $217.80 | -4.72% | 5 | |
| 2024-09-25 | 2024-09-27 | $257.02 | $260.46 | -0.22% | 3 | |
| 2024-09-06 | 2024-09-18 | $210.73 | $227.20 | -1.21% | 9 | |
| 2024-07-02 | 2024-08-01 | $231.26 | $216.86 | 10.37% | 22 | |
| 2024-05-17 | 2024-05-24 | $177.46 | $179.24 | -0.83% | 6 | |
| 2023-06-02 | 2023-07-21 | $213.97 | $260.02 | 26.44% | 34 | |
| 2023-05-23 | 2023-05-31 | $185.77 | $203.93 | 6.29% | 6 | |
| 2023-01-26 | 2023-02-10 | $160.27 | $196.89 | 43.27% | 12 | |
| 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 | |
| 2022-07-28 | 2022-08-02 | $280.90 | $300.59 | 7.96% | 4 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -14.86% | 12 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -9.49% | 3 | |
| 2021-10-19 | 2021-11-29 | $288.09 | $379.00 | 24.09% | 29 | |
| 2020-11-20 | 2021-02-09 | $163.20 | $283.15 | 72.59% | 54 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.68% | 6 | |
| 2020-08-19 | 2020-09-24 | $125.24 | $129.26 | 0.58% | 26 | |
| 2020-06-02 | 2020-08-10 | $58.77 | $94.57 | 61.43% | 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 | |
| 2019-12-24 | 2020-03-04 | $28.35 | $49.97 | 77.48% | 48 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-06-25 | 2019-07-22 | $14.65 | $17.05 | 15.21% | 19 | |
| 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 | |
| 2017-06-14 | 2017-07-05 | $25.38 | $21.81 | -6.39% | 15 | |
| 2017-04-04 | 2017-05-04 | $20.25 | $19.70 | 3.98% | 22 | |
| 2017-01-05 | 2017-02-24 | $15.12 | $17.13 | 12.55% | 35 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.87% | 11 | |
| 2016-04-05 | 2016-04-20 | $17.03 | $16.66 | -0.04% | 12 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 2.12% | 2 | |
| 2016-03-08 | 2016-03-21 | $13.51 | $15.89 | 13.14% | 10 | |
| 2015-05-13 | 2015-06-11 | $16.21 | $16.76 | 2.23% | 21 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2014-08-13 | 2014-09-16 | $17.35 | $17.38 | -2.54% | 24 | |
| 2014-07-01 | 2014-07-16 | $15.98 | $14.48 | -8.71% | 11 | |
| 2014-01-24 | 2014-03-25 | $11.64 | $14.70 | 21.06% | 42 | |
| 2013-07-02 | 2013-10-04 | $7.85 | $12.07 | 47.61% | 67 | |
| 2013-04-15 | 2013-06-26 | $2.89 | $7.05 | 133.59% | 52 | |
| 2013-04-02 | 2013-04-10 | $2.96 | $2.79 | -7.99% | 7 | |
| 2013-02-07 | 2013-02-22 | $2.63 | $2.41 | -10.42% | 11 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 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 |