Strategy Zoo / S0565
PriceMomentum_V0565
ARCHIVEDhybridcrossoverentry from PriceMomentum_V0400, exit from LongTermTrend_V0531
Fitness
0.5774
Generation
26
Complexity
13
Created
2026-09-23
Lineage
Parents (2)
added entry filter: vol_chg < 1.2824; swapped indicator vol_chg -> rel_volume
added entry filter: sma_20 < close; added entry filter: macd_hist > -2.6055
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0565 [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 rel_volume < 1.5953):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.3% | 73.0% | 7.1% | 24.4% |
| Total Return | 258.7% | 417.4% | 29.0% | 2365.2% |
| Sharpe | 0.76 | 1.49 | 0.41 | 0.89 |
| Sortino | 0.66 | 1.50 | 0.30 | 0.76 |
| Calmar | 0.43 | 1.87 | 0.19 | 0.61 |
| Volatility | 25.1% | 42.9% | 24.0% | 29.4% |
| Max DD | -40.3% | -38.9% | -37.6% | -40.3% |
| Win Rate | 51.8% | 57.6% | 43.2% | 51.8% |
| Avg Win | 6.0% | 8.6% | 6.1% | 7.1% |
| Avg Loss | -3.0% | -4.0% | -3.3% | -3.3% |
| Payoff | 2.00 | 2.12 | 1.87 | 2.13 |
| Expectancy | 1.7% | 3.2% | 0.8% | 2.1% |
| Profit Factor | 2.15 | 2.88 | 1.42 | 2.29 |
| Trades | 112 | 66 | 44 | 222 |
| Avg Holding Days | 5.0 | 5.0 | 5.3 | 5.1 |
| Turnover | 28.2 | 44.0 | 23.8 | 30.2 |
| Exposure | 22.8% | 35.3% | 20.2% | 24.7% |
Growth of $100
PriceMomentum_V0565 vs TSLA Buy & Hold
PriceMomentum_V0565 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 | 30.6% | 2.43 | -3.8% | 10 |
| 2017 | 17.2% | 0.92 | -14.7% | 17 |
| 2018 | -29.7% | -1.91 | -32.3% | 11 |
| 2019 | 16.2% | 1.35 | -8.9% | 5 |
| 2020 | 337.6% | 2.66 | -24.2% | 35 |
| 2021 | 43.2% | 1.35 | -16.8% | 20 |
| 2022 | -17.9% | -0.70 | -31.8% | 10 |
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 | 269 | -12.3% | -0.60 | 20% |
| hidden test | EXPENSIVE | 83 | -7.1% | -0.18 | 42% |
| hidden test | EXTREME | 48 | 151.1% | 3.22 | 48% |
| hidden test | HIGH VOLATILITY | 254 | -8.3% | -0.26 | 28% |
| hidden test | LOW VOLATILITY | 429 | 43.0% | 2.24 | 17% |
| hidden test | MEDIUM VOLATILITY | 250 | -28.9% | -1.30 | 18% |
| hidden test | NORMAL | 802 | 3.0% | 0.16 | 16% |
| hidden test | SIDEWAYS | 293 | 7.4% | 1.05 | 2% |
| hidden test | UPTREND | 371 | 27.6% | 0.83 | 35% |
| train | DOWNTREND | 518 | 6.1% | 0.66 | 8% |
| train | EXPENSIVE | 311 | 20.1% | 0.61 | 48% |
| train | EXTREME | 100 | 351.0% | 4.92 | 84% |
| train | HIGH VOLATILITY | 699 | 44.0% | 1.27 | 25% |
| train | LOW VOLATILITY | 745 | 6.9% | 0.40 | 27% |
| train | MEDIUM VOLATILITY | 568 | 4.2% | 0.23 | 15% |
| train | NORMAL | 1,601 | -1.9% | -0.12 | 14% |
| train | SIDEWAYS | 592 | -0.4% | -0.05 | 2% |
| train | UPTREND | 902 | 39.3% | 1.09 | 45% |
| validation | DOWNTREND | 125 | 50.4% | 1.94 | 20% |
| validation | EXPENSIVE | 138 | 68.9% | 1.61 | 46% |
| validation | EXTREME | 144 | 255.6% | 3.40 | 71% |
| validation | HIGH VOLATILITY | 258 | 57.3% | 0.98 | 37% |
| validation | LOW VOLATILITY | 183 | 28.3% | 1.58 | 28% |
| validation | MEDIUM VOLATILITY | 315 | 90.0% | 2.36 | 38% |
| validation | NORMAL | 474 | 4.2% | 0.17 | 22% |
| validation | SIDEWAYS | 206 | -3.9% | -0.45 | 1% |
| validation | UPTREND | 425 | 100.7% | 1.83 | 56% |
Trades (full period)
latest 100 of 222
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-25 | 2026-09-17 | $350.25 | $366.20 | 2.41% | 17 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-05 | 2026-05-08 | $389.37 | $428.35 | 4.70% | 4 | |
| 2025-12-31 | 2026-01-02 | $449.72 | $438.07 | -1.24% | 2 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | -0.05% | 11 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.89% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 16.32% | 17 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-05-22 | 2025-06-03 | $341.04 | $344.27 | 2.21% | 8 | |
| 2025-04-30 | 2025-05-12 | $282.16 | $318.38 | 1.93% | 9 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -6.28% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.50% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.96% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 16.31% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-11-08 | 2024-11-29 | $321.22 | $345.16 | 11.90% | 15 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-09-05 | 2024-09-27 | $230.17 | $260.46 | 15.64% | 17 | |
| 2024-07-29 | 2024-07-30 | $232.10 | $222.62 | 5.39% | 2 | |
| 2024-07-25 | 2024-07-26 | $220.25 | $219.80 | 1.77% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -2.24% | 2 | |
| 2024-07-10 | 2024-07-22 | $263.26 | $251.51 | -9.00% | 9 | |
| 2024-05-01 | 2024-05-29 | $179.99 | $176.19 | -3.76% | 20 | |
| 2023-07-26 | 2023-07-27 | $264.35 | $255.71 | -0.55% | 2 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.91% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 3.00% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.61% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.95% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.37% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 15.93% | 17 | |
| 2023-05-24 | 2023-05-31 | $182.90 | $203.93 | 8.07% | 5 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.28% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-06-24 | 2022-08-02 | $245.71 | $300.59 | 26.22% | 27 | |
| 2022-04-19 | 2022-04-20 | $342.72 | $325.73 | 2.17% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.85% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.93% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -10.66% | 5 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -2.02% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2022-01-04 | 2022-01-12 | $383.20 | $368.74 | -11.46% | 7 | |
| 2021-11-24 | 2021-11-26 | $372.00 | $360.64 | 0.43% | 2 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.54% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.48% | 2 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.88% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -3.03% | 2 | |
| 2021-10-12 | 2021-11-11 | $268.57 | $354.50 | 34.59% | 23 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-27 | 2021-10-07 | $263.79 | $264.54 | 0.88% | 9 | |
| 2021-09-23 | 2021-09-24 | $251.21 | $258.13 | 0.03% | 2 | |
| 2021-09-08 | 2021-09-21 | $251.29 | $246.46 | -3.22% | 10 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.61% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.11% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -3.67% | 9 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.06% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -2.27% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 5.63% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -3.52% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 15.78% | 14 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 1.37% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.15% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 2.24% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -2.56% | 4 | |
| 2020-11-23 | 2020-12-17 | $173.95 | $218.63 | 26.95% | 18 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.54% | 2 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -2.79% | 6 | |
| 2020-10-09 | 2020-10-12 | $144.67 | $147.43 | 1.70% | 2 | |
| 2020-10-07 | 2020-10-08 | $141.77 | $141.97 | 2.53% | 2 | |
| 2020-09-23 | 2020-09-24 | $126.79 | $129.26 | -10.53% | 2 | |
| 2020-09-21 | 2020-09-22 | $149.80 | $141.41 | 1.44% | 2 | |
| 2020-09-17 | 2020-09-18 | $141.14 | $147.38 | -4.35% | 2 | |
| 2020-09-15 | 2020-09-16 | $149.92 | $147.25 | 6.98% | 2 | |
| 2020-09-11 | 2020-09-14 | $124.24 | $139.87 | 0.17% | 2 | |
| 2020-09-09 | 2020-09-10 | $122.09 | $123.78 | 10.71% | 2 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 13.72% | 15 | |
| 2020-08-14 | 2020-08-17 | $110.05 | $122.38 | 1.63% | 2 | |
| 2020-08-07 | 2020-08-10 | $96.85 | $94.57 | -2.67% | 2 | |
| 2020-08-05 | 2020-08-06 | $99.00 | $99.31 | -0.33% | 2 | |
| 2020-08-03 | 2020-08-04 | $99.00 | $99.13 | 3.59% | 2 | |
| 2020-07-30 | 2020-07-31 | $99.17 | $95.38 | -0.97% | 2 | |
| 2020-07-28 | 2020-07-29 | $98.43 | $99.94 | -4.29% | 2 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 26.32% | 17 | |
| 2020-06-30 | 2020-07-01 | $71.99 | $74.64 | 6.77% | 2 | |
| 2020-06-26 | 2020-06-29 | $63.98 | $67.29 | -2.86% | 2 | |
| 2020-06-03 | 2020-06-25 | $58.86 | $65.73 | 8.78% | 17 |