Strategy Zoo / S0593

PriceMomentum_V0593

ARCHIVEDmomentum

parameterchanged ret_20d threshold -0.03 -> -0.1766

Fitness

0.6854

Generation

Complexity

Created

2026-09-23

Lineage

Parents (1)

PriceMomentum_V0570S0570 · gen 26ARCHIVEDparameter

restricted to bubble regimes ['EXPENSIVE', 'EXTREME']

Children (3)

PriceMomentum_V0628S0628 · gen 29ARCHIVEDcrossover

PriceMomentum_V0644S0644 · gen 29ARCHIVEDparameter

PriceMomentum_V0732S0732 · gen 33ARCHIVEDstructural

Strategy Logic (pseudocode)

# PriceMomentum_V0593  [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and ret_20d > 0.05:
    position = 1.0
if long and ret_20d < -0.1766:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	22.1%	92.6%	4.5%	29.1%
Total Return	391.9%	614.9%	17.5%	4154.5%
Sharpe	0.93	1.67	0.32	1.02
Sortino	0.64	1.39	0.21	0.70
Calmar	0.68	2.74	0.13	0.84
Volatility	24.5%	45.6%	19.9%	29.2%
Max DD	-32.6%	-33.8%	-34.8%	-34.8%
Win Rate	55.6%	100.0%	66.7%	68.8%
Avg Win	56.1%	70.3%	11.1%	54.7%
Avg Loss	-3.5%	0.0%	-4.7%	-3.8%
Payoff	10.00	5.00	2.35	10.00
Expectancy	29.6%	70.3%	5.8%	36.4%
Profit Factor	10.00	5.00	4.70	10.00
Trades	9	4	3	16
Avg Holding Days	38.2	62.3	37.7	44.8
Turnover	2.4	2.7	1.6	2.2
Exposure	17.1%	32.4%	11.8%	18.9%

Growth of $100

PriceMomentum_V0593 vs TSLA Buy & Hold

PriceMomentum_V0593 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	0.0%	0.00	0.0%	0
2017	11.8%	0.54	-19.5%	5
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	536.7%	2.83	-33.8%	3
2021	7.7%	0.48	-10.9%	1
2022	0.0%	0.00	0.0%	0

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	0.0%	0.00	0%
hidden test	EXPENSIVE	83	-18.9%	-0.41	72%
hidden test	EXTREME	48	185.0%	2.93	100%
hidden test	HIGH VOLATILITY	254	24.2%	0.90	18%
hidden test	LOW VOLATILITY	429	18.0%	1.87	4%
hidden test	MEDIUM VOLATILITY	250	-31.8%	-1.32	18%
hidden test	NORMAL	802	-1.8%	-0.80	0%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	15.9%	0.50	30%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	24.6%	0.56	77%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	44.1%	1.26	24%
train	LOW VOLATILITY	745	9.9%	0.88	11%
train	MEDIUM VOLATILITY	568	13.8%	0.66	17%
train	NORMAL	1,601	-2.0%	-0.87	0%
train	SIDEWAYS	592	1.4%	0.63	0%
train	UPTREND	902	50.1%	1.37	38%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	54.7%	0.92	83%
validation	EXTREME	144	349.1%	4.10	90%
validation	HIGH VOLATILITY	258	121.5%	1.82	43%
validation	LOW VOLATILITY	183	8.8%	0.44	18%
validation	MEDIUM VOLATILITY	315	77.8%	2.34	32%
validation	NORMAL	474	-0.8%	-0.78	0%
validation	SIDEWAYS	206	3.2%	0.67	1%
validation	UPTREND	425	133.7%	2.21	57%

Trades (full period)

16 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-15	2025-11-13	$410.04	$401.99	8.54%	44
2025-05-28	2025-06-02	$356.90	$342.69	-4.72%	4
2024-11-07	2025-02-12	$296.91	$336.51	13.63%	65
2020-11-19	2021-02-19	$166.42	$260.43	61.48%	62
2020-05-15	2020-11-13	$53.28	$136.17	155.77%	128
2020-04-14	2020-04-30	$47.33	$52.13	22.74%	13
2019-12-17	2020-03-10	$25.27	$43.02	59.05%	57
2017-09-18	2017-09-26	$25.67	$23.02	-9.35%	7
2017-04-07	2017-08-24	$20.17	$23.53	17.87%	97
2017-03-28	2017-04-06	$18.50	$19.91	8.95%	8
2017-02-03	2017-02-28	$16.76	$16.67	-2.31%	17
2017-01-25	2017-01-31	$16.96	$16.80	-1.76%	5
2014-01-24	2014-03-28	$11.64	$14.16	13.99%	45
2013-04-11	2013-11-08	$2.91	$9.20	233.24%	149
2013-02-14	2013-02-15	$2.55	$2.47	-0.67%	2
2013-01-24	2013-02-12	$2.47	$2.53	6.51%	14