Strategy Zoo / S0585
PriceMomentum_V0585
ARCHIVEDmomentumcrossoverentry = PriceMomentum_V0160 AND MACDMomentum_V0005
Fitness
0.6440
Generation
27
Complexity
7
Created
2026-09-23
Lineage
Parents (2)
seed strategy
changed ret_20d threshold -0.03 -> 0.0392
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0585 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and (macd_hist > 0.0 and close > sma_50)):
position = 1.0
if long and ret_20d < 0.0392:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 22.7% | 81.8% | 26.9% | 34.3% |
| Total Return | 411.9% | 500.5% | 141.2% | 7534.2% |
| Sharpe | 0.89 | 1.52 | 0.96 | 1.07 |
| Sortino | 0.80 | 1.38 | 0.68 | 0.88 |
| Calmar | 0.53 | 2.09 | 0.92 | 0.80 |
| Volatility | 27.1% | 46.4% | 29.3% | 32.5% |
| Max DD | -43.1% | -39.2% | -29.2% | -43.1% |
| Win Rate | 44.4% | 47.1% | 55.0% | 47.6% |
| Avg Win | 16.8% | 38.1% | 13.2% | 20.7% |
| Avg Loss | -4.2% | -6.6% | -4.5% | -4.8% |
| Payoff | 3.98 | 5.75 | 2.91 | 4.32 |
| Expectancy | 5.1% | 14.4% | 5.2% | 7.3% |
| Profit Factor | 3.18 | 5.11 | 3.55 | 3.92 |
| Trades | 45 | 17 | 20 | 82 |
| Avg Holding Days | 13.2 | 17.2 | 11.9 | 13.9 |
| Turnover | 11.4 | 11.3 | 10.8 | 11.2 |
| Exposure | 27.7% | 36.5% | 23.5% | 28.5% |
Growth of $100
PriceMomentum_V0585 vs TSLA Buy & Hold
PriceMomentum_V0585 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 | 33.0% | 2.26 | -7.9% | 6 |
| 2017 | 17.5% | 0.87 | -14.1% | 6 |
| 2018 | -33.9% | -1.85 | -33.8% | 6 |
| 2019 | 31.1% | 1.61 | -8.2% | 4 |
| 2020 | 407.8% | 2.69 | -33.7% | 5 |
| 2021 | 53.3% | 1.50 | -17.6% | 5 |
| 2022 | -26.1% | -1.24 | -30.8% | 7 |
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 | 21.7% | 0.94 | 20% |
| hidden test | EXPENSIVE | 83 | 67.4% | 1.68 | 45% |
| hidden test | EXTREME | 48 | 183.4% | 3.26 | 63% |
| hidden test | HIGH VOLATILITY | 254 | 14.2% | 0.35 | 33% |
| hidden test | LOW VOLATILITY | 429 | 46.6% | 2.39 | 18% |
| hidden test | MEDIUM VOLATILITY | 250 | 10.4% | 0.36 | 23% |
| hidden test | NORMAL | 802 | 14.7% | 0.58 | 19% |
| hidden test | SIDEWAYS | 293 | -3.5% | -0.23 | 3% |
| hidden test | UPTREND | 371 | 57.7% | 1.45 | 43% |
| train | DOWNTREND | 518 | 12.1% | 1.15 | 11% |
| train | EXPENSIVE | 311 | 36.3% | 1.05 | 56% |
| train | EXTREME | 100 | 380.3% | 5.23 | 96% |
| train | HIGH VOLATILITY | 699 | 54.1% | 1.46 | 28% |
| train | LOW VOLATILITY | 745 | 19.0% | 0.96 | 36% |
| train | MEDIUM VOLATILITY | 568 | -6.3% | -0.32 | 17% |
| train | NORMAL | 1,601 | -0.6% | -0.03 | 18% |
| train | SIDEWAYS | 592 | -5.0% | -0.48 | 3% |
| train | UPTREND | 902 | 49.9% | 1.29 | 54% |
| validation | DOWNTREND | 125 | 44.2% | 2.27 | 7% |
| validation | EXPENSIVE | 138 | 68.2% | 1.28 | 51% |
| validation | EXTREME | 144 | 301.6% | 3.80 | 76% |
| validation | HIGH VOLATILITY | 258 | 74.5% | 1.16 | 38% |
| validation | LOW VOLATILITY | 183 | 30.8% | 1.63 | 29% |
| validation | MEDIUM VOLATILITY | 315 | 90.4% | 2.28 | 39% |
| validation | NORMAL | 474 | 1.0% | 0.04 | 20% |
| validation | SIDEWAYS | 206 | -10.6% | -1.08 | 2% |
| validation | UPTREND | 425 | 117.6% | 1.94 | 62% |
Trades (full period)
82 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-01 | 2026-09-22 | $356.09 | — | 1.79% | 15 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-04 | 2026-05-08 | $392.51 | $428.35 | 5.16% | 5 | |
| 2026-04-21 | 2026-04-22 | $386.42 | $387.51 | -1.75% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-09-12 | 2025-10-15 | $395.94 | $435.15 | 16.16% | 24 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2025-05-05 | 2025-05-12 | $280.26 | $318.38 | 3.64% | 6 | |
| 2025-04-29 | 2025-05-02 | $292.03 | $287.21 | -2.07% | 4 | |
| 2024-11-07 | 2025-01-08 | $296.91 | $394.94 | 36.41% | 42 | |
| 2024-10-03 | 2024-10-11 | $240.66 | $217.80 | -4.31% | 7 | |
| 2024-09-20 | 2024-09-27 | $238.25 | $260.46 | 4.01% | 6 | |
| 2024-09-06 | 2024-09-18 | $210.73 | $227.20 | -1.21% | 9 | |
| 2024-07-02 | 2024-08-01 | $231.26 | $216.86 | 10.37% | 22 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-05-14 | 2024-05-24 | $177.55 | $179.24 | 0.88% | 9 | |
| 2024-04-30 | 2024-05-08 | $183.28 | $174.72 | -8.56% | 7 | |
| 2023-06-02 | 2023-07-21 | $213.97 | $260.02 | 26.44% | 34 | |
| 2023-05-22 | 2023-05-31 | $188.87 | $203.93 | 11.45% | 7 | |
| 2023-01-27 | 2023-02-10 | $177.90 | $196.89 | 29.11% | 11 | |
| 2022-09-21 | 2022-09-22 | $300.80 | $288.59 | -2.77% | 2 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-07-19 | 2022-08-02 | $245.53 | $300.59 | 23.34% | 11 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -14.86% | 12 | |
| 2022-01-13 | 2022-01-20 | $343.85 | $332.09 | -10.18% | 5 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -9.49% | 3 | |
| 2021-10-08 | 2021-11-29 | $261.83 | $379.00 | 36.05% | 36 | |
| 2021-09-15 | 2021-10-06 | $251.94 | $260.92 | 4.64% | 16 | |
| 2021-09-08 | 2021-09-13 | $251.29 | $247.67 | -2.41% | 4 | |
| 2021-08-05 | 2021-08-18 | $238.21 | $229.66 | -6.55% | 10 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-10-16 | 2020-10-19 | $146.56 | $143.61 | -2.25% | 2 | |
| 2020-08-18 | 2020-09-24 | $125.81 | $129.26 | 3.40% | 27 | |
| 2020-06-03 | 2020-08-10 | $58.86 | $94.57 | 64.46% | 48 | |
| 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 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2019-10-02 | 2019-10-04 | $16.21 | $15.43 | -4.96% | 3 | |
| 2019-07-01 | 2019-07-22 | $15.14 | $17.05 | 15.31% | 15 | |
| 2018-12-13 | 2018-12-18 | $25.12 | $22.47 | -5.15% | 4 | |
| 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 | |
| 2018-06-07 | 2018-06-08 | $21.07 | $21.18 | -1.27% | 2 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-09-18 | 2017-09-22 | $25.67 | $23.41 | -3.70% | 5 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-06-01 | 2017-07-05 | $22.69 | $21.81 | 3.20% | 24 | |
| 2017-05-15 | 2017-05-18 | $21.06 | $20.87 | -5.95% | 4 | |
| 2017-03-28 | 2017-05-04 | $18.50 | $19.70 | 14.87% | 27 | |
| 2017-01-05 | 2017-02-24 | $15.12 | $17.13 | 12.55% | 35 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 10.57% | 10 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.87% | 11 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-04-20 | $17.03 | $16.66 | -0.04% | 12 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 2.12% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 18.67% | 12 | |
| 2015-12-22 | 2015-12-28 | $15.33 | $15.26 | -1.05% | 4 | |
| 2015-12-18 | 2015-12-21 | $15.36 | $15.50 | -1.45% | 2 | |
| 2015-12-03 | 2015-12-04 | $15.51 | $15.36 | 0.11% | 2 | |
| 2015-11-27 | 2015-12-02 | $15.44 | $15.47 | 3.08% | 4 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-06-22 | 2015-07-09 | $17.32 | $17.19 | -3.07% | 13 | |
| 2015-05-11 | 2015-06-11 | $15.97 | $16.76 | 5.74% | 23 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-23 | 2015-04-28 | $14.57 | $15.37 | 5.31% | 4 | |
| 2015-04-08 | 2015-04-14 | $13.84 | $13.83 | 3.01% | 5 | |
| 2015-02-10 | 2015-02-24 | $14.42 | $13.61 | -4.85% | 10 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-23 | 2014-07-16 | $15.81 | $14.48 | -4.55% | 17 | |
| 2014-01-24 | 2014-03-25 | $11.64 | $14.70 | 21.06% | 42 | |
| 2013-07-02 | 2013-10-04 | $7.85 | $12.07 | 47.61% | 67 | |
| 2013-04-11 | 2013-06-26 | $2.91 | $7.05 | 144.15% | 54 | |
| 2013-03-27 | 2013-04-10 | $2.54 | $2.79 | 6.76% | 10 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-03-28 | 2012-04-10 | $2.52 | $2.16 | -12.80% | 9 | |
| 2012-03-14 | 2012-03-19 | $2.35 | $2.33 | -2.33% | 4 | |
| 2012-02-23 | 2012-03-09 | $2.30 | $2.32 | -3.55% | 12 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |