Strategy Zoo / S0570

PriceMomentum_V0570

ARCHIVEDmomentum

structuralrestricted to bubble regimes ['EXPENSIVE', 'EXTREME']

Fitness

0.6982

Generation

Complexity

Created

2026-09-23

Lineage

Parents (1)

PriceMomentum_V0028S0028 · gen 1ARCHIVEDstructural

restricted to trend regimes ['DOWNTREND', 'UPTREND']

Children (9)

PriceMomentum_V0593S0593 · gen 27ARCHIVEDparameter

PriceMomentum_V0623S0623 · gen 28ARCHIVEDstructural

PriceMomentum_V0714S0714 · gen 33ARCHIVEDcrossover

PriceMomentum_V0737S0737 · gen 34ARCHIVEDcrossover

PriceMomentum_V0758S0758 · gen 35ARCHIVEDcrossover

MACDMomentum_V0761S0761 · gen 35ARCHIVEDcrossover

PriceMomentum_V0767S0767 · gen 35ARCHIVEDstructural

PriceMomentum_V0805S0805 · gen 37ARCHIVEDcrossover

PriceMomentum_V0858S0858 · gen 39REJECTEDllm

Strategy Logic (pseudocode)

# PriceMomentum_V0570  [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and ret_20d > 0.05:
    position = 1.0
if long and ret_20d < -0.03:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	22.8%	94.6%	10.4%	31.6%
Total Return	414.3%	637.2%	44.3%	5531.1%
Sharpe	1.01	1.76	0.63	1.14
Sortino	0.71	1.37	0.36	0.74
Calmar	1.02	2.80	0.50	0.94
Volatility	22.8%	43.1%	18.3%	27.4%
Max DD	-22.2%	-33.7%	-21.0%	-33.7%
Win Rate	58.3%	85.7%	66.7%	68.2%
Avg Win	34.9%	43.7%	24.0%	38.4%
Avg Loss	-3.7%	-4.1%	-4.7%	-3.9%
Payoff	9.50	10.00	5.09	9.89
Expectancy	18.8%	36.9%	14.4%	25.0%
Profit Factor	10.00	10.00	10.00	10.00
Trades	12	7	3	22
Avg Holding Days	25.3	31.0	31.0	28.4
Turnover	3.1	4.7	1.6	3.0
Exposure	15.0%	27.8%	9.6%	16.3%

Growth of $100

PriceMomentum_V0570 vs TSLA Buy & Hold

PriceMomentum_V0570 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	0.0%	0.00	0.0%	0
2017	-6.6%	-0.16	-21.6%	7
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	542.3%	2.97	-33.7%	6
2021	10.1%	0.59	-10.1%	1
2022	0.0%	0.00	0.0%	0

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	0.0%	0.00	0%
hidden test	EXPENSIVE	83	34.0%	0.79	66%
hidden test	EXTREME	48	195.3%	3.47	69%
hidden test	HIGH VOLATILITY	254	24.9%	1.00	14%
hidden test	LOW VOLATILITY	429	19.3%	2.13	4%
hidden test	MEDIUM VOLATILITY	250	-15.2%	-0.69	15%
hidden test	NORMAL	802	-1.8%	-0.80	0%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	29.1%	1.00	24%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	29.6%	0.79	64%
train	EXTREME	100	403.3%	5.47	97%
train	HIGH VOLATILITY	699	48.3%	1.47	20%
train	LOW VOLATILITY	745	11.9%	1.09	11%
train	MEDIUM VOLATILITY	568	6.4%	0.34	14%
train	NORMAL	1,601	-2.0%	-0.87	0%
train	SIDEWAYS	592	1.4%	0.63	0%
train	UPTREND	902	50.4%	1.49	33%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	56.4%	1.02	63%
validation	EXTREME	144	344.5%	4.26	85%
validation	HIGH VOLATILITY	258	114.1%	1.82	37%
validation	LOW VOLATILITY	183	5.5%	0.35	10%
validation	MEDIUM VOLATILITY	315	85.5%	2.60	31%
validation	NORMAL	474	0.0%	0.00	0%
validation	SIDEWAYS	206	4.9%	1.08	0%
validation	UPTREND	425	132.7%	2.32	49%

Trades (full period)

22 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-15	2025-11-13	$410.04	$401.99	8.54%	44
2025-05-28	2025-06-02	$356.90	$342.69	-4.72%	4
2024-11-07	2025-01-14	$296.91	$396.36	39.51%	45
2020-11-19	2021-02-11	$166.42	$270.55	65.06%	57
2020-10-22	2020-10-29	$141.93	$136.94	-4.12%	6
2020-10-07	2020-10-20	$141.77	$140.65	3.87%	10
2020-08-14	2020-09-24	$110.05	$129.26	17.09%	29
2020-05-15	2020-08-10	$53.28	$94.57	80.47%	60
2020-04-14	2020-04-30	$47.33	$52.13	22.74%	13
2019-12-17	2020-03-04	$25.27	$49.97	95.02%	53
2017-09-18	2017-09-26	$25.67	$23.02	-9.35%	7
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
2017-04-07	2017-05-24	$20.17	$20.68	1.53%	33
2017-03-28	2017-04-06	$18.50	$19.91	8.95%	8
2017-02-03	2017-02-28	$16.76	$16.67	-2.31%	17
2017-01-25	2017-01-31	$16.96	$16.80	-1.76%	5
2014-01-24	2014-03-26	$11.64	$14.20	21.21%	43
2013-07-01	2013-10-22	$7.81	$11.44	60.46%	80
2013-04-11	2013-06-26	$2.91	$7.05	144.15%	54
2013-02-14	2013-02-15	$2.55	$2.47	-0.67%	2
2013-01-24	2013-02-12	$2.47	$2.53	6.51%	14