Strategy Zoo / S0586
PriceMomentum_V0586
ARCHIVEDhybridcrossoverentry from PriceMomentum_V0557, exit from Breakout20_V0374
Fitness
0.5217
Generation
27
Complexity
15
Created
2026-09-23
Lineage
Parents (2)
changed dist_sma_20 threshold -0.0187 -> -0.121; reduce exposure to 41% during HIGH_VOLATILITY
reduce exposure to 55% during MEDIUM_VOLATILITY
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0586 [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_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05)):
position = 1.0
if long and close < sma_20:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.55Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.1% | 52.3% | 17.2% | 23.8% |
| Total Return | 253.4% | 253.0% | 80.1% | 2213.4% |
| Sharpe | 0.78 | 1.27 | 0.79 | 0.91 |
| Sortino | 0.66 | 1.06 | 0.52 | 0.70 |
| Calmar | 0.57 | 1.54 | 0.73 | 0.70 |
| Volatility | 23.6% | 39.0% | 23.8% | 27.5% |
| Max DD | -30.1% | -33.8% | -23.6% | -33.8% |
| Win Rate | 47.2% | 57.7% | 47.4% | 50.6% |
| Avg Win | 14.6% | 15.5% | 10.4% | 14.3% |
| Avg Loss | -3.7% | -6.0% | -2.4% | -4.0% |
| Payoff | 3.99 | 2.60 | 4.24 | 3.57 |
| Expectancy | 5.0% | 6.4% | 3.6% | 5.3% |
| Profit Factor | 3.57 | 3.54 | 3.82 | 3.66 |
| Trades | 36 | 26 | 19 | 81 |
| Avg Holding Days | 14.4 | 10.6 | 10.6 | 12.4 |
| Turnover | 9.6 | 17.0 | 11.7 | 11.6 |
| Exposure | 22.9% | 25.3% | 17.3% | 22.0% |
Growth of $100
PriceMomentum_V0586 vs TSLA Buy & Hold
PriceMomentum_V0586 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 | 20.5% | 1.88 | -6.6% | 5 |
| 2017 | 11.1% | 0.69 | -11.5% | 4 |
| 2018 | -21.7% | -1.15 | -23.4% | 4 |
| 2019 | 14.0% | 0.95 | -7.5% | 3 |
| 2020 | 245.1% | 2.34 | -33.8% | 9 |
| 2021 | 30.3% | 1.37 | -9.4% | 6 |
| 2022 | -23.4% | -1.36 | -29.6% | 11 |
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 | -4.6% | -0.27 | 12% |
| hidden test | EXPENSIVE | 83 | 52.9% | 1.65 | 34% |
| hidden test | EXTREME | 48 | 149.9% | 3.00 | 54% |
| hidden test | HIGH VOLATILITY | 254 | -2.1% | -0.07 | 23% |
| hidden test | LOW VOLATILITY | 429 | 43.3% | 2.34 | 16% |
| hidden test | MEDIUM VOLATILITY | 250 | -2.3% | -0.10 | 14% |
| hidden test | NORMAL | 802 | 7.3% | 0.37 | 13% |
| hidden test | SIDEWAYS | 293 | 8.2% | 1.21 | 2% |
| hidden test | UPTREND | 371 | 44.0% | 1.28 | 34% |
| train | DOWNTREND | 518 | 5.0% | 0.74 | 4% |
| train | EXPENSIVE | 311 | 22.8% | 0.81 | 44% |
| train | EXTREME | 100 | 334.3% | 4.76 | 86% |
| train | HIGH VOLATILITY | 699 | 42.7% | 1.29 | 27% |
| train | LOW VOLATILITY | 745 | 10.5% | 0.60 | 31% |
| train | MEDIUM VOLATILITY | 568 | -0.8% | -0.05 | 8% |
| train | NORMAL | 1,601 | -2.0% | -0.14 | 15% |
| train | SIDEWAYS | 592 | -2.3% | -0.27 | 2% |
| train | UPTREND | 902 | 39.9% | 1.17 | 48% |
| validation | DOWNTREND | 125 | 31.0% | 1.69 | 7% |
| validation | EXPENSIVE | 138 | 17.8% | 0.43 | 36% |
| validation | EXTREME | 144 | 247.5% | 3.50 | 68% |
| validation | HIGH VOLATILITY | 258 | 47.4% | 0.81 | 37% |
| validation | LOW VOLATILITY | 183 | 19.8% | 1.35 | 12% |
| validation | MEDIUM VOLATILITY | 315 | 68.9% | 2.57 | 24% |
| validation | NORMAL | 474 | -1.2% | -0.06 | 9% |
| validation | SIDEWAYS | 206 | -2.6% | -0.39 | 2% |
| validation | UPTREND | 425 | 80.5% | 1.58 | 42% |
Trades (full period)
81 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-16 | $348.95 | $358.08 | -2.22% | 17 | |
| 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 | 2025-12-30 | $475.31 | $454.43 | -0.05% | 11 | |
| 2025-09-15 | 2025-10-13 | $410.04 | $435.90 | 4.60% | 21 | |
| 2025-05-22 | 2025-06-05 | $341.04 | $284.70 | 0.81% | 10 | |
| 2025-04-30 | 2025-05-12 | $282.16 | $318.38 | 1.93% | 9 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -5.14% | 2 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 2 | |
| 2024-11-07 | 2025-01-02 | $296.91 | $379.28 | 37.07% | 38 | |
| 2024-10-03 | 2024-10-08 | $240.66 | $244.50 | -3.64% | 4 | |
| 2024-09-11 | 2024-09-27 | $228.13 | $260.46 | 6.18% | 13 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -4.75% | 2 | |
| 2024-07-30 | 2024-07-31 | $222.62 | $232.07 | -4.28% | 2 | |
| 2024-07-26 | 2024-07-29 | $219.80 | $232.10 | -0.40% | 2 | |
| 2024-07-02 | 2024-07-25 | $231.26 | $220.25 | 0.91% | 17 | |
| 2024-05-15 | 2024-05-24 | $173.99 | $179.24 | -2.34% | 8 | |
| 2023-06-02 | 2023-07-21 | $213.97 | $260.02 | 28.43% | 34 | |
| 2023-05-24 | 2023-05-31 | $182.90 | $203.93 | 8.07% | 5 | |
| 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 | |
| 2022-07-19 | 2022-08-02 | $245.53 | $300.59 | 17.07% | 11 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -1.22% | 4 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -2.83% | 2 | |
| 2022-04-18 | 2022-04-19 | $334.76 | $342.72 | 0.97% | 2 | |
| 2022-04-13 | 2022-04-14 | $340.79 | $328.33 | 1.86% | 2 | |
| 2022-04-05 | 2022-04-12 | $363.75 | $328.98 | -8.45% | 6 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -2.02% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2022-01-04 | 2022-01-10 | $383.20 | $352.71 | -14.58% | 5 | |
| 2021-11-18 | 2021-11-24 | $365.46 | $372.00 | 3.61% | 5 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.88% | 2 | |
| 2021-10-19 | 2021-11-15 | $288.09 | $337.80 | 18.95% | 20 | |
| 2021-09-16 | 2021-09-21 | $252.33 | $246.46 | -3.59% | 4 | |
| 2021-02-02 | 2021-02-10 | $290.93 | $268.27 | 0.55% | 7 | |
| 2020-11-19 | 2021-02-01 | $166.42 | $279.94 | 31.89% | 49 | |
| 2020-10-07 | 2020-10-21 | $141.77 | $140.88 | 3.94% | 11 | |
| 2020-09-14 | 2020-09-24 | $139.87 | $129.26 | 1.86% | 9 | |
| 2020-09-10 | 2020-09-11 | $123.78 | $124.24 | 1.18% | 2 | |
| 2020-08-18 | 2020-09-09 | $125.81 | $122.09 | -17.20% | 16 | |
| 2020-05-20 | 2020-08-03 | $54.37 | $99.00 | 59.10% | 52 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-03-03 | 2020-03-04 | $49.70 | $49.97 | 0.05% | 2 | |
| 2020-02-28 | 2020-03-02 | $44.53 | $49.57 | -1.82% | 2 | |
| 2019-12-20 | 2020-02-27 | $27.04 | $45.27 | 76.11% | 46 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-09-27 | 2019-10-04 | $16.14 | $15.43 | -2.26% | 6 | |
| 2019-07-16 | 2019-07-22 | $16.83 | $17.05 | 1.64% | 5 | |
| 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 | 2018-07-03 | $23.88 | $20.72 | -6.52% | 13 | |
| 2018-05-01 | 2018-05-04 | $19.99 | $19.61 | -3.41% | 4 | |
| 2017-08-04 | 2017-08-21 | $23.79 | $22.52 | 0.08% | 12 | |
| 2017-06-05 | 2017-06-28 | $23.15 | $24.75 | 1.42% | 18 | |
| 2017-04-04 | 2017-05-05 | $20.25 | $20.56 | -2.82% | 23 | |
| 2017-01-05 | 2017-02-24 | $15.12 | $17.13 | 12.55% | 35 | |
| 2016-12-21 | 2016-12-28 | $13.85 | $14.65 | 5.18% | 5 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.87% | 11 | |
| 2016-04-05 | 2016-04-29 | $17.03 | $16.05 | -0.63% | 19 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 1.17% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 16.17% | 12 | |
| 2015-05-11 | 2015-07-09 | $15.97 | $17.19 | 7.54% | 42 | |
| 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 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.78% | 28 | |
| 2014-06-23 | 2014-07-08 | $15.81 | $14.60 | -3.21% | 11 | |
| 2014-03-21 | 2014-03-24 | $15.26 | $14.68 | -1.52% | 2 | |
| 2014-03-18 | 2014-03-20 | $16.00 | $15.66 | 0.60% | 3 | |
| 2014-01-24 | 2014-03-17 | $11.64 | $15.60 | 13.02% | 36 | |
| 2013-10-08 | 2013-10-09 | $11.65 | $11.25 | -2.61% | 2 | |
| 2013-07-18 | 2013-10-04 | $7.94 | $12.07 | 43.84% | 56 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -2.01% | 11 | |
| 2013-06-13 | 2013-06-24 | $6.55 | $6.77 | 1.66% | 8 | |
| 2013-04-02 | 2013-06-12 | $2.96 | $6.52 | 121.90% | 51 | |
| 2013-02-20 | 2013-02-22 | $2.57 | $2.41 | -10.67% | 3 | |
| 2013-01-29 | 2013-02-19 | $2.53 | $2.62 | -2.80% | 15 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-03-28 | 2012-04-05 | $2.52 | $2.30 | -4.37% | 7 | |
| 2012-03-13 | 2012-03-23 | $2.41 | $2.27 | -4.66% | 9 | |
| 2012-02-23 | 2012-03-07 | $2.30 | $2.21 | -3.44% | 10 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |