Strategy Zoo / S0574
PriceMomentum_V0574
ARCHIVEDmomentumstructuralreduce exposure to 59% during EXPENSIVE
Fitness
0.6091
Generation
26
Complexity
5
Created
2026-09-23
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1146
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0574 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.1146:
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68
if regime.bubble == "EXPENSIVE": position *= 0.59Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 26.3% | 55.5% | 19.6% | 30.2% |
| Total Return | 545.8% | 276.3% | 94.1% | 4700.2% |
| Sharpe | 1.06 | 1.26 | 0.78 | 1.03 |
| Sortino | 1.04 | 1.12 | 0.60 | 0.89 |
| Calmar | 0.96 | 1.47 | 0.62 | 0.80 |
| Volatility | 24.8% | 42.2% | 28.2% | 30.0% |
| Max DD | -27.4% | -37.7% | -31.8% | -37.7% |
| Win Rate | 60.9% | 58.3% | 53.3% | 58.0% |
| Avg Win | 23.1% | 32.5% | 14.1% | 24.8% |
| Avg Loss | -6.3% | -9.3% | -4.9% | -6.5% |
| Payoff | 3.68 | 3.50 | 2.91 | 3.80 |
| Expectancy | 11.6% | 15.1% | 5.3% | 11.6% |
| Profit Factor | 5.73 | 4.89 | 3.32 | 5.25 |
| Trades | 23 | 12 | 15 | 50 |
| Avg Holding Days | 31.8 | 29.2 | 18.2 | 28.0 |
| Turnover | 8.2 | 10.4 | 11.0 | 9.3 |
| Exposure | 30.6% | 33.6% | 24.7% | 29.7% |
Growth of $100
PriceMomentum_V0574 vs TSLA Buy & Hold
PriceMomentum_V0574 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 | 4.9% | 0.43 | -20.2% | 5 |
| 2017 | 22.3% | 1.35 | -13.8% | 2 |
| 2018 | -16.4% | -0.63 | -27.3% | 4 |
| 2019 | 62.6% | 2.70 | -8.5% | 2 |
| 2020 | 286.7% | 2.43 | -33.8% | 4 |
| 2021 | 32.6% | 1.24 | -19.2% | 2 |
| 2022 | -28.1% | -1.36 | -34.8% | 6 |
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 | 32.2% | 1.23 | 20% |
| hidden test | EXPENSIVE | 83 | 21.5% | 0.79 | 35% |
| hidden test | EXTREME | 48 | 136.9% | 2.61 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 26.0% | 0.65 | 34% |
| hidden test | LOW VOLATILITY | 429 | 31.3% | 1.63 | 20% |
| hidden test | MEDIUM VOLATILITY | 250 | 1.6% | 0.06 | 23% |
| hidden test | NORMAL | 802 | 15.1% | 0.58 | 21% |
| hidden test | SIDEWAYS | 293 | 1.6% | 0.13 | 3% |
| hidden test | UPTREND | 371 | 30.5% | 0.82 | 46% |
| train | DOWNTREND | 518 | 18.7% | 1.61 | 12% |
| train | EXPENSIVE | 311 | 22.4% | 1.00 | 37% |
| train | EXTREME | 100 | 360.0% | 5.25 | 91% |
| train | HIGH VOLATILITY | 699 | 41.2% | 1.26 | 29% |
| train | LOW VOLATILITY | 745 | 28.1% | 1.40 | 39% |
| train | MEDIUM VOLATILITY | 568 | 5.8% | 0.32 | 22% |
| train | NORMAL | 1,601 | 6.3% | 0.33 | 26% |
| train | SIDEWAYS | 592 | -2.6% | -0.25 | 2% |
| train | UPTREND | 902 | 49.8% | 1.42 | 60% |
| validation | DOWNTREND | 125 | 29.6% | 1.51 | 10% |
| validation | EXPENSIVE | 138 | -7.2% | -0.18 | 39% |
| validation | EXTREME | 144 | 285.6% | 3.78 | 77% |
| validation | HIGH VOLATILITY | 258 | 85.2% | 1.35 | 45% |
| validation | LOW VOLATILITY | 183 | 31.2% | 1.78 | 28% |
| validation | MEDIUM VOLATILITY | 315 | 39.6% | 1.36 | 27% |
| validation | NORMAL | 474 | 0.1% | 0.00 | 19% |
| validation | SIDEWAYS | 206 | -19.0% | -1.56 | 3% |
| validation | UPTREND | 425 | 95.0% | 1.74 | 56% |
Trades (full period)
51 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 1.42% | 21 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-06 | 2026-05-08 | $398.73 | $428.35 | 5.55% | 3 | |
| 2025-12-15 | 2026-01-13 | $475.31 | $447.20 | -2.37% | 20 | |
| 2025-09-15 | 2025-11-21 | $410.04 | $391.09 | -2.16% | 50 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -7.82% | 11 | |
| 2025-04-30 | 2025-05-12 | $282.16 | $318.38 | 1.93% | 9 | |
| 2025-04-16 | 2025-04-23 | $241.55 | $250.74 | -6.54% | 5 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 20.54% | 48 | |
| 2024-10-03 | 2024-10-22 | $240.66 | $217.97 | -12.84% | 14 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 9.15% | 16 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 1.87% | 23 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.65% | 10 | |
| 2023-06-02 | 2023-08-03 | $213.97 | $259.32 | 23.90% | 43 | |
| 2023-05-23 | 2023-05-31 | $185.77 | $203.93 | 6.29% | 6 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.63% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.64% | 2 | |
| 2022-07-19 | 2022-08-02 | $245.53 | $300.59 | 18.87% | 11 | |
| 2022-06-24 | 2022-07-05 | $245.71 | $233.07 | -3.51% | 7 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -16.47% | 16 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -18.24% | 12 | |
| 2021-09-16 | 2021-12-03 | $252.33 | $338.32 | 46.78% | 56 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 5.01% | 64 | |
| 2020-10-07 | 2020-11-13 | $141.77 | $136.17 | 0.35% | 28 | |
| 2020-05-20 | 2020-09-30 | $54.37 | $143.00 | 84.66% | 93 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-05 | $21.88 | $48.30 | 103.78% | 90 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 3.91% | 13 | |
| 2019-06-21 | 2019-07-22 | $14.79 | $17.05 | 16.51% | 21 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-05-01 | 2018-06-12 | $19.99 | $22.85 | 11.09% | 30 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | 0.15% | 15 | |
| 2017-01-05 | 2017-07-07 | $15.12 | $20.88 | 22.03% | 127 | |
| 2016-12-21 | 2016-12-28 | $13.85 | $14.65 | 5.11% | 5 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -6.63% | 26 | |
| 2016-04-05 | 2016-05-05 | $17.03 | $14.10 | -9.88% | 23 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 1.44% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 16.89% | 12 | |
| 2015-05-11 | 2015-08-12 | $15.97 | $15.88 | 5.27% | 66 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-24 | 2015-04-28 | $14.56 | $15.37 | 5.71% | 3 | |
| 2014-06-23 | 2014-10-01 | $15.81 | $16.02 | 7.97% | 71 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 8.58% | 43 | |
| 2013-04-02 | 2013-10-24 | $2.96 | $11.54 | 215.68% | 145 | |
| 2013-01-29 | 2013-03-20 | $2.53 | $2.40 | -8.20% | 36 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-02-23 | 2012-04-25 | $2.30 | $2.19 | -1.63% | 44 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |