Strategy Zoo / S0582
PriceMomentum_V0582
ARCHIVEDmomentumstructuralswapped indicator ret_20d -> cumret_252d; reduce exposure to 41% during EXPENSIVE
Fitness
0.3052
Generation
26
Complexity
8
Created
2026-09-23
Lineage
Parents (1)
added exit filter: roll_high_50 < sma_20; added entry filter: rel_volume > 1.2635
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0582 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and rel_volume > 1.2635):
position = 1.0
if long and (cumret_252d < 0.2308 or roll_high_50 < sma_20):
position = 0.0 # exit to cash
if regime.bubble == "EXPENSIVE": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 6.1% | 24.7% | 8.0% | 10.3% |
| Total Return | 60.8% | 94.1% | 33.1% | 320.3% |
| Sharpe | 0.38 | 0.70 | 0.44 | 0.48 |
| Sortino | 0.30 | 0.63 | 0.32 | 0.36 |
| Calmar | 0.13 | 0.49 | 0.25 | 0.20 |
| Volatility | 22.2% | 47.8% | 24.2% | 29.7% |
| Max DD | -46.9% | -50.3% | -31.8% | -50.3% |
| Win Rate | 45.6% | 42.9% | 60.0% | 49.4% |
| Avg Win | 6.4% | 31.4% | 4.9% | 7.6% |
| Avg Loss | -2.2% | -3.4% | -4.0% | -2.6% |
| Payoff | 2.93 | 9.32 | 1.24 | 2.88 |
| Expectancy | 1.7% | 11.5% | 1.4% | 2.4% |
| Profit Factor | 2.45 | 6.99 | 1.86 | 2.82 |
| Trades | 57 | 7 | 25 | 89 |
| Avg Holding Days | 10.0 | 48.6 | 7.4 | 12.4 |
| Turnover | 14.3 | 7.0 | 15.1 | 13.0 |
| Exposure | 19.6% | 34.8% | 13.1% | 21.1% |
Growth of $100
PriceMomentum_V0582 vs TSLA Buy & Hold
PriceMomentum_V0582 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 | 1.4% | 0.24 | -6.9% | 5 |
| 2017 | -5.0% | -0.30 | -12.1% | 10 |
| 2018 | -14.9% | -1.67 | -16.1% | 7 |
| 2019 | 5.5% | 0.56 | -3.9% | 8 |
| 2020 | 77.0% | 1.18 | -50.3% | 3 |
| 2021 | 17.6% | 0.59 | -34.9% | 1 |
| 2022 | -19.3% | -2.39 | -19.3% | 3 |
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 | -1.2% | -0.04 | 11% |
| hidden test | EXPENSIVE | 83 | -5.7% | -0.21 | 37% |
| hidden test | EXTREME | 48 | 90.1% | 1.60 | 94% |
| hidden test | HIGH VOLATILITY | 254 | 5.6% | 0.15 | 26% |
| hidden test | LOW VOLATILITY | 429 | 24.0% | 2.03 | 5% |
| hidden test | MEDIUM VOLATILITY | 250 | -7.5% | -0.34 | 14% |
| hidden test | NORMAL | 802 | 7.5% | 0.36 | 6% |
| hidden test | SIDEWAYS | 293 | 5.7% | 0.94 | 1% |
| hidden test | UPTREND | 371 | 22.9% | 0.83 | 24% |
| train | DOWNTREND | 518 | -2.8% | -1.63 | 2% |
| train | EXPENSIVE | 311 | -11.9% | -0.54 | 29% |
| train | EXTREME | 100 | 314.7% | 4.60 | 87% |
| train | HIGH VOLATILITY | 699 | 19.8% | 0.67 | 16% |
| train | LOW VOLATILITY | 745 | 5.0% | 0.34 | 24% |
| train | MEDIUM VOLATILITY | 568 | -1.4% | -0.07 | 18% |
| train | NORMAL | 1,601 | -6.8% | -0.47 | 13% |
| train | SIDEWAYS | 592 | -1.8% | -0.31 | 1% |
| train | UPTREND | 902 | 21.4% | 0.65 | 42% |
| validation | DOWNTREND | 125 | -11.2% | -2.05 | 3% |
| validation | EXPENSIVE | 138 | -81.7% | -1.80 | 38% |
| validation | EXTREME | 144 | 233.7% | 2.95 | 76% |
| validation | HIGH VOLATILITY | 258 | 69.5% | 0.97 | 46% |
| validation | LOW VOLATILITY | 183 | 25.0% | 1.98 | 20% |
| validation | MEDIUM VOLATILITY | 315 | 9.0% | 0.26 | 34% |
| validation | NORMAL | 474 | 6.2% | 0.19 | 21% |
| validation | SIDEWAYS | 206 | -9.4% | -0.95 | 1% |
| validation | UPTREND | 425 | 67.4% | 1.07 | 60% |
Trades (full period)
89 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-21 | 2026-09-22 | $375.30 | — | 2.83% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 2025-12-22 | 2025-12-23 | $488.73 | $485.56 | 1.36% | 2 | |
| 2025-12-18 | 2025-12-19 | $483.37 | $481.20 | 3.24% | 2 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.86% | 2 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 3.93% | 46 | |
| 2025-04-08 | 2025-05-12 | $221.86 | $318.38 | 27.59% | 24 | |
| 2024-11-07 | 2025-02-24 | $296.91 | $330.53 | -0.59% | 72 | |
| 2024-09-20 | 2024-09-23 | $238.25 | $250.00 | -2.52% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-12 | 2024-07-15 | $248.23 | $252.64 | 2.78% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2023-06-22 | 2023-06-23 | $264.61 | $256.60 | 1.78% | 2 | |
| 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 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.50% | 2 | |
| 2023-05-30 | 2023-05-31 | $201.16 | $203.93 | 3.93% | 2 | |
| 2023-05-24 | 2023-05-25 | $182.90 | $184.47 | -1.74% | 2 | |
| 2023-01-30 | 2023-01-31 | $166.66 | $173.22 | -6.51% | 2 | |
| 2022-07-22 | 2022-07-27 | $272.24 | $274.82 | -4.92% | 4 | |
| 2022-06-22 | 2022-06-23 | $236.09 | $235.07 | -0.60% | 2 | |
| 2021-09-20 | 2022-01-10 | $243.39 | $352.71 | 34.94% | 79 | |
| 2020-11-19 | 2021-03-17 | $166.42 | $233.94 | -3.26% | 80 | |
| 2020-06-11 | 2020-11-13 | $64.86 | $136.17 | 46.64% | 110 | |
| 2020-04-15 | 2020-04-30 | $48.66 | $52.13 | 12.54% | 12 | |
| 2019-12-23 | 2020-03-19 | $27.95 | $28.51 | -2.31% | 60 | |
| 2019-12-19 | 2019-12-20 | $26.94 | $27.04 | 1.05% | 2 | |
| 2019-12-17 | 2019-12-18 | $25.27 | $26.21 | -0.35% | 2 | |
| 2019-11-08 | 2019-11-11 | $22.48 | $23.01 | 0.28% | 2 | |
| 2019-10-29 | 2019-10-30 | $21.08 | $21.00 | -3.70% | 2 | |
| 2019-10-25 | 2019-10-28 | $21.88 | $21.85 | 9.28% | 2 | |
| 2019-09-27 | 2019-09-30 | $16.14 | $16.06 | -0.38% | 2 | |
| 2019-07-16 | 2019-07-17 | $16.83 | $16.99 | -0.64% | 2 | |
| 2019-07-05 | 2019-07-08 | $15.54 | $15.36 | -0.97% | 2 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.73% | 2 | |
| 2018-08-10 | 2018-08-13 | $23.70 | $23.76 | 0.66% | 2 | |
| 2018-08-08 | 2018-08-09 | $24.69 | $23.50 | -2.63% | 2 | |
| 2018-08-03 | 2018-08-06 | $23.21 | $22.80 | -0.59% | 2 | |
| 2018-07-03 | 2018-07-05 | $20.72 | $20.61 | -7.42% | 2 | |
| 2018-06-19 | 2018-06-20 | $23.50 | $24.15 | -5.12% | 2 | |
| 2018-06-07 | 2018-06-08 | $21.07 | $21.18 | -1.27% | 2 | |
| 2017-09-19 | 2017-10-25 | $25.01 | $21.72 | -4.84% | 27 | |
| 2017-05-02 | 2017-08-24 | $21.26 | $23.53 | 1.57% | 81 | |
| 2017-04-17 | 2017-04-18 | $20.10 | $20.02 | -0.43% | 2 | |
| 2017-04-06 | 2017-04-07 | $19.91 | $20.17 | 1.05% | 2 | |
| 2017-04-04 | 2017-04-05 | $20.25 | $19.67 | 0.63% | 2 | |
| 2017-03-28 | 2017-03-29 | $18.50 | $18.49 | 1.01% | 2 | |
| 2017-02-10 | 2017-03-08 | $17.95 | $16.46 | -2.74% | 18 | |
| 2017-01-20 | 2017-01-23 | $16.32 | $16.59 | 0.20% | 2 | |
| 2017-01-17 | 2017-01-18 | $15.71 | $15.89 | -1.11% | 2 | |
| 2017-01-05 | 2017-01-06 | $15.12 | $15.27 | -0.31% | 2 | |
| 2016-12-22 | 2016-12-23 | $13.90 | $14.22 | 0.16% | 2 | |
| 2016-12-14 | 2016-12-15 | $13.25 | $13.17 | 0.07% | 2 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-12 | 2016-04-13 | $16.52 | $16.97 | -1.04% | 2 | |
| 2016-04-05 | 2016-04-11 | $17.03 | $16.66 | 1.05% | 5 | |
| 2015-12-17 | 2015-12-18 | $15.56 | $15.36 | -0.68% | 2 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-07-06 | 2015-07-07 | $18.65 | $17.86 | -0.31% | 2 | |
| 2015-06-29 | 2015-06-30 | $17.47 | $17.88 | -2.10% | 2 | |
| 2015-06-24 | 2015-06-25 | $17.68 | $17.92 | -1.13% | 2 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.37% | 2 | |
| 2015-06-09 | 2015-06-12 | $17.07 | $16.71 | -2.10% | 4 | |
| 2015-05-13 | 2015-05-26 | $16.21 | $16.50 | 1.02% | 9 | |
| 2015-04-29 | 2015-04-30 | $15.50 | $15.07 | 0.65% | 2 | |
| 2015-04-23 | 2015-04-24 | $14.57 | $14.56 | -0.58% | 2 | |
| 2015-02-13 | 2015-02-17 | $13.58 | $13.62 | 0.24% | 2 | |
| 2015-02-11 | 2015-02-12 | $14.19 | $13.53 | -1.81% | 2 | |
| 2014-06-24 | 2014-10-22 | $15.50 | $15.41 | -0.99% | 85 | |
| 2014-02-11 | 2014-05-08 | $13.11 | $11.91 | 0.64% | 61 | |
| 2013-05-01 | 2013-11-12 | $3.55 | $9.19 | 136.21% | 137 | |
| 2013-04-04 | 2013-04-05 | $2.80 | $2.76 | 2.01% | 2 | |
| 2013-04-02 | 2013-04-03 | $2.96 | $2.74 | 0.73% | 2 | |
| 2013-03-26 | 2013-03-27 | $2.52 | $2.54 | 0.68% | 2 | |
| 2013-02-20 | 2013-02-21 | $2.57 | $2.34 | -2.08% | 2 | |
| 2013-02-13 | 2013-02-15 | $2.56 | $2.47 | 1.08% | 3 | |
| 2013-01-24 | 2013-02-12 | $2.47 | $2.53 | 2.67% | 14 | |
| 2012-12-19 | 2012-12-24 | $2.31 | $2.29 | -1.90% | 4 | |
| 2012-12-12 | 2012-12-13 | $2.35 | $2.24 | -0.26% | 2 | |
| 2012-12-04 | 2012-12-05 | $2.26 | $2.25 | -2.28% | 2 | |
| 2012-11-29 | 2012-11-30 | $2.25 | $2.25 | 1.18% | 2 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | -3.32% | 33 |