Strategy Zoo / S0579
PriceMomentum_V0579
ARCHIVEDhybridstructuralreplaced exit rule with: breakout_20 == 1; swapped indicator ret_20d -> ret_60d
Fitness
0.3131
Generation
26
Complexity
15
Created
2026-09-23
Lineage
Parents (1)
reduce exposure to 55% during MEDIUM_VOLATILITY
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0579 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.1146 and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) and ret_60d > -0.3373 and cumret_252d > -0.1997) and ret_20d > 0.05)):
position = 1.0
if long and breakout_20 == 1:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.55Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.0% | 8.9% | 9.0% | 12.4% |
| Total Return | 204.7% | 29.1% | 37.7% | 457.7% |
| Sharpe | 0.66 | 0.42 | 0.44 | 0.53 |
| Sortino | 0.62 | 0.36 | 0.40 | 0.46 |
| Calmar | 0.38 | 0.15 | 0.28 | 0.21 |
| Volatility | 26.1% | 43.1% | 29.5% | 31.1% |
| Max DD | -39.7% | -60.0% | -31.7% | -60.0% |
| Win Rate | 81.6% | 82.5% | 83.7% | 82.2% |
| Avg Win | 2.9% | 4.1% | 3.3% | 3.3% |
| Avg Loss | -6.6% | -12.2% | -10.8% | -8.8% |
| Payoff | 0.45 | 0.33 | 0.31 | 0.38 |
| Expectancy | 1.2% | 1.2% | 1.0% | 1.2% |
| Profit Factor | 1.98 | 1.57 | 1.59 | 1.74 |
| Trades | 114 | 57 | 43 | 214 |
| Avg Holding Days | 6.4 | 6.4 | 7.2 | 6.6 |
| Turnover | 29.2 | 32.3 | 23.4 | 28.3 |
| Exposure | 26.7% | 31.8% | 26.2% | 27.6% |
Growth of $100
PriceMomentum_V0579 vs TSLA Buy & Hold
PriceMomentum_V0579 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 | -0.1% | 0.06 | -20.3% | 10 |
| 2017 | 3.2% | 0.25 | -16.6% | 21 |
| 2018 | -22.7% | -1.12 | -25.8% | 6 |
| 2019 | 19.5% | 1.26 | -7.3% | 10 |
| 2020 | 55.6% | 1.02 | -60.0% | 36 |
| 2021 | -0.6% | 0.13 | -27.6% | 11 |
| 2022 | -22.4% | -1.16 | -32.9% | 8 |
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 | 3.6% | 0.23 | 12% |
| hidden test | EXPENSIVE | 83 | 90.0% | 1.79 | 47% |
| hidden test | EXTREME | 48 | 182.3% | 3.54 | 78% |
| hidden test | HIGH VOLATILITY | 254 | 24.6% | 0.57 | 37% |
| hidden test | LOW VOLATILITY | 429 | 7.9% | 0.38 | 24% |
| hidden test | MEDIUM VOLATILITY | 250 | 9.8% | 0.38 | 20% |
| hidden test | NORMAL | 802 | -5.2% | -0.21 | 21% |
| hidden test | SIDEWAYS | 293 | -10.8% | -0.96 | 3% |
| hidden test | UPTREND | 371 | 38.4% | 0.88 | 55% |
| train | DOWNTREND | 518 | 8.9% | 1.21 | 5% |
| train | EXPENSIVE | 311 | -10.6% | -0.32 | 53% |
| train | EXTREME | 100 | 352.3% | 5.24 | 69% |
| train | HIGH VOLATILITY | 699 | 42.4% | 1.21 | 27% |
| train | LOW VOLATILITY | 745 | 6.8% | 0.35 | 32% |
| train | MEDIUM VOLATILITY | 568 | -0.0% | -0.00 | 19% |
| train | NORMAL | 1,601 | 1.8% | 0.10 | 19% |
| train | SIDEWAYS | 592 | -4.6% | -0.46 | 2% |
| train | UPTREND | 902 | 36.5% | 0.97 | 56% |
| validation | DOWNTREND | 125 | 27.6% | 1.48 | 10% |
| validation | EXPENSIVE | 138 | -57.4% | -1.04 | 44% |
| validation | EXTREME | 144 | 193.3% | 3.00 | 64% |
| validation | HIGH VOLATILITY | 258 | 15.7% | 0.24 | 47% |
| validation | LOW VOLATILITY | 183 | 4.7% | 0.30 | 15% |
| validation | MEDIUM VOLATILITY | 315 | 27.7% | 0.91 | 29% |
| validation | NORMAL | 474 | -13.3% | -0.47 | 18% |
| validation | SIDEWAYS | 206 | -40.2% | -1.91 | 3% |
| validation | UPTREND | 425 | 43.4% | 0.79 | 52% |
Trades (full period)
latest 100 of 215
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-04 | — | $354.08 | — | -2.97% | 12 | OPEN |
| 2026-08-24 | 2026-09-01 | $348.95 | $356.09 | 1.20% | 7 | |
| 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 | |
| 2025-12-17 | 2026-01-13 | $467.26 | $447.20 | -8.54% | 18 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 3.36% | 2 | |
| 2025-10-03 | 2025-10-29 | $429.83 | $461.51 | 3.15% | 19 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-26 | 2025-09-30 | $440.40 | $444.72 | 2.46% | 3 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.77% | 3 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 2.01% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 2 | |
| 2025-09-15 | 2025-09-16 | $410.04 | $421.62 | 3.36% | 2 | |
| 2025-05-29 | 2025-06-06 | $358.43 | $295.14 | -12.93% | 7 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 7.56% | 4 | |
| 2025-04-30 | 2025-05-12 | $282.16 | $318.38 | 1.93% | 9 | |
| 2024-12-19 | 2025-02-24 | $436.17 | $330.53 | -22.37% | 43 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-12 | 2024-12-16 | $418.10 | $463.02 | 1.39% | 3 | |
| 2024-12-10 | 2024-12-11 | $400.99 | $424.77 | 2.67% | 2 | |
| 2024-12-06 | 2024-12-09 | $389.22 | $389.79 | 5.13% | 2 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-11-26 | 2024-12-03 | $338.23 | $351.42 | 5.25% | 5 | |
| 2024-11-13 | 2024-11-25 | $330.24 | $338.59 | 7.11% | 9 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 8.75% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2024-10-03 | 2024-10-28 | $240.66 | $262.51 | 6.93% | 18 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.48% | 2 | |
| 2024-09-23 | 2024-09-24 | $250.00 | $254.27 | 2.60% | 2 | |
| 2024-09-11 | 2024-09-16 | $228.13 | $226.78 | 1.62% | 4 | |
| 2024-07-11 | 2024-09-06 | $241.03 | $210.73 | -13.44% | 41 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 1.93% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.03% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.65% | 10 | |
| 2023-07-19 | 2023-09-05 | $291.26 | $256.49 | -16.35% | 34 | |
| 2023-07-06 | 2023-07-18 | $276.54 | $293.34 | 4.75% | 9 | |
| 2023-06-21 | 2023-07-05 | $259.46 | $282.48 | 1.75% | 10 | |
| 2023-06-14 | 2023-06-20 | $256.79 | $274.45 | 0.51% | 4 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 2.02% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 4.38% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.50% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.91% | 2 | |
| 2023-05-24 | 2023-05-30 | $182.90 | $201.16 | 3.77% | 4 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.37% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -3.75% | 2 | |
| 2022-07-29 | 2022-08-01 | $297.15 | $297.28 | 3.07% | 2 | |
| 2022-07-25 | 2022-07-28 | $268.43 | $280.90 | 0.47% | 4 | |
| 2022-07-19 | 2022-07-22 | $245.53 | $272.24 | 11.30% | 4 | |
| 2022-06-27 | 2022-07-11 | $244.92 | $234.34 | -1.40% | 10 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -13.45% | 16 | |
| 2022-01-05 | 2022-01-20 | $362.71 | $332.09 | -15.12% | 11 | |
| 2021-11-05 | 2022-01-04 | $407.36 | $383.20 | 4.94% | 41 | |
| 2021-11-02 | 2021-11-04 | $390.67 | $409.97 | 0.16% | 3 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 1.78% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 0.94% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 12.45% | 2 | |
| 2021-10-19 | 2021-10-22 | $288.09 | $303.23 | 2.54% | 4 | |
| 2021-09-20 | 2021-09-27 | $243.39 | $263.79 | 1.75% | 6 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.05% | 2 | |
| 2021-01-27 | 2021-03-17 | $288.05 | $233.94 | -19.45% | 35 | |
| 2021-01-11 | 2021-01-26 | $270.40 | $294.36 | 0.08% | 11 | |
| 2021-01-07 | 2021-01-08 | $272.01 | $293.34 | 4.26% | 2 | |
| 2021-01-05 | 2021-01-06 | $245.04 | $251.99 | 0.29% | 2 | |
| 2020-12-21 | 2021-01-04 | $216.62 | $243.26 | 0.82% | 9 | |
| 2020-12-09 | 2020-12-18 | $201.49 | $231.67 | 0.55% | 8 | |
| 2020-12-07 | 2020-12-08 | $213.92 | $216.63 | 3.81% | 2 | |
| 2020-11-30 | 2020-12-04 | $189.20 | $199.68 | 0.66% | 5 | |
| 2020-11-25 | 2020-11-27 | $191.33 | $195.25 | 1.73% | 2 | |
| 2020-11-23 | 2020-11-24 | $173.95 | $185.13 | 3.51% | 2 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 1.32% | 2 | |
| 2020-09-02 | 2020-10-15 | $149.12 | $149.63 | -4.90% | 31 | |
| 2020-08-28 | 2020-09-01 | $147.56 | $158.35 | 5.49% | 3 | |
| 2020-08-24 | 2020-08-27 | $134.28 | $149.25 | 1.98% | 4 | |
| 2020-08-20 | 2020-08-21 | $133.46 | $136.67 | 6.36% | 2 | |
| 2020-08-18 | 2020-08-19 | $125.81 | $125.24 | 2.60% | 2 | |
| 2020-07-22 | 2020-08-17 | $106.16 | $122.38 | 2.00% | 19 | |
| 2020-07-17 | 2020-07-21 | $100.06 | $104.56 | 9.27% | 3 | |
| 2020-07-13 | 2020-07-16 | $99.80 | $100.04 | -0.12% | 4 | |
| 2020-07-09 | 2020-07-10 | $92.95 | $102.98 | 1.88% | 2 | |
| 2020-07-07 | 2020-07-08 | $92.66 | $91.06 | 1.13% | 2 | |
| 2020-07-02 | 2020-07-06 | $80.58 | $91.44 | 4.26% | 2 | |
| 2020-06-12 | 2020-07-01 | $62.35 | $74.64 | 5.99% | 14 | |
| 2020-06-10 | 2020-06-11 | $68.34 | $64.86 | 8.76% | 2 | |
| 2020-06-02 | 2020-06-09 | $58.77 | $62.71 | 6.45% | 6 | |
| 2020-05-26 | 2020-06-01 | $54.59 | $59.87 | 1.14% | 5 | |
| 2020-05-20 | 2020-05-22 | $54.37 | $54.46 | 2.22% | 3 | |
| 2020-04-29 | 2020-04-30 | $53.37 | $52.13 | 3.88% | 2 | |
| 2020-04-20 | 2020-04-28 | $49.76 | $51.27 | 5.74% | 7 | |
| 2020-04-16 | 2020-04-17 | $49.68 | $50.26 | 1.91% | 2 | |
| 2020-04-14 | 2020-04-15 | $47.33 | $48.66 | 8.85% | 2 | |
| 2020-02-21 | 2020-03-19 | $60.07 | $28.51 | -59.92% | 20 | |
| 2020-02-06 | 2020-02-20 | $49.93 | $59.96 | 24.62% | 10 | |
| 2020-02-04 | 2020-02-05 | $59.14 | $48.98 | 13.51% | 2 | |
| 2020-01-31 | 2020-02-03 | $43.37 | $52.00 | 1.32% | 2 | |
| 2020-01-27 | 2020-01-30 | $37.20 | $42.72 | 1.47% | 4 | |
| 2020-01-23 | 2020-01-24 | $38.15 | $37.65 | 0.14% | 2 | |
| 2020-01-15 | 2020-01-22 | $34.57 | $37.97 | 0.91% | 5 | |
| 2020-01-09 | 2020-01-14 | $32.09 | $35.86 | 6.43% | 4 | |
| 2020-01-07 | 2020-01-08 | $31.27 | $32.81 | 3.68% | 2 |