Strategy Zoo / S0599
PriceMomentum_V0599
ARCHIVEDmomentumstructuraladded exit filter: breakout_50 == 1
Fitness
0.4348
Generation
27
Complexity
7
Created
2026-09-23
Lineage
Parents (1)
entry from PriceMomentum_V0054, exit from PriceMomentum_V0227
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0599 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.05:
position = 1.0
if long and (ret_20d < -0.1357 or roll_high_50 < sma_20 or breakout_50 == 1):
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.5% | 35.1% | 15.6% | 21.8% |
| Total Return | 315.9% | 146.8% | 70.9% | 1706.0% |
| Sharpe | 0.75 | 0.96 | 0.60 | 0.77 |
| Sortino | 0.84 | 0.94 | 0.59 | 0.78 |
| Calmar | 0.36 | 0.86 | 0.32 | 0.40 |
| Volatility | 29.1% | 39.9% | 32.9% | 32.6% |
| Max DD | -54.4% | -41.0% | -48.2% | -54.4% |
| Win Rate | 78.1% | 80.0% | 75.5% | 78.1% |
| Avg Win | 3.4% | 4.2% | 5.1% | 3.9% |
| Avg Loss | -6.3% | -8.5% | -10.2% | -7.7% |
| Payoff | 0.54 | 0.50 | 0.50 | 0.51 |
| Expectancy | 1.3% | 1.7% | 1.4% | 1.4% |
| Profit Factor | 1.91 | 1.99 | 1.55 | 1.82 |
| Trades | 137 | 65 | 49 | 251 |
| Avg Holding Days | 7.1 | 6.0 | 7.3 | 6.9 |
| Turnover | 35.2 | 39.9 | 26.5 | 33.9 |
| Exposure | 38.1% | 37.6% | 32.2% | 36.5% |
Growth of $100
PriceMomentum_V0599 vs TSLA Buy & Hold
PriceMomentum_V0599 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 | 3.1% | 0.30 | -19.2% | 8 |
| 2017 | -6.5% | -0.17 | -23.7% | 23 |
| 2018 | -27.4% | -0.81 | -37.4% | 13 |
| 2019 | 16.6% | 0.84 | -17.8% | 13 |
| 2020 | 230.5% | 2.35 | -30.6% | 34 |
| 2021 | 8.1% | 0.42 | -21.6% | 22 |
| 2022 | -31.3% | -1.45 | -35.4% | 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 | 20.1% | 0.51 | 37% |
| hidden test | EXPENSIVE | 83 | 68.6% | 2.09 | 42% |
| hidden test | EXTREME | 48 | 188.5% | 3.71 | 70% |
| hidden test | HIGH VOLATILITY | 254 | 36.0% | 0.74 | 43% |
| hidden test | LOW VOLATILITY | 429 | 15.2% | 0.67 | 29% |
| hidden test | MEDIUM VOLATILITY | 250 | 11.3% | 0.41 | 27% |
| hidden test | NORMAL | 802 | 4.6% | 0.15 | 29% |
| hidden test | SIDEWAYS | 293 | 2.9% | 0.24 | 4% |
| hidden test | UPTREND | 371 | 32.9% | 0.85 | 51% |
| train | DOWNTREND | 518 | 15.9% | 0.66 | 33% |
| train | EXPENSIVE | 311 | 3.3% | 0.11 | 53% |
| train | EXTREME | 100 | 371.6% | 5.47 | 72% |
| train | HIGH VOLATILITY | 699 | 48.1% | 1.25 | 34% |
| train | LOW VOLATILITY | 745 | 17.8% | 0.78 | 47% |
| train | MEDIUM VOLATILITY | 568 | -4.7% | -0.21 | 31% |
| train | NORMAL | 1,601 | 3.8% | 0.16 | 33% |
| train | SIDEWAYS | 592 | -2.6% | -0.19 | 4% |
| train | UPTREND | 902 | 41.6% | 1.10 | 64% |
| validation | DOWNTREND | 125 | 35.0% | 1.60 | 17% |
| validation | EXPENSIVE | 138 | 4.7% | 0.10 | 57% |
| validation | EXTREME | 144 | 231.6% | 3.72 | 66% |
| validation | HIGH VOLATILITY | 258 | 63.9% | 1.16 | 44% |
| validation | LOW VOLATILITY | 183 | 11.0% | 0.47 | 40% |
| validation | MEDIUM VOLATILITY | 315 | 32.8% | 1.03 | 31% |
| validation | NORMAL | 474 | -10.9% | -0.44 | 23% |
| validation | SIDEWAYS | 206 | -23.6% | -1.80 | 4% |
| validation | UPTREND | 425 | 69.0% | 1.35 | 60% |
Trades (full period)
latest 100 of 252
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 6.64% | 22 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-21 | 2026-05-08 | $386.42 | $428.35 | 6.17% | 14 | |
| 2025-12-17 | 2026-01-13 | $467.26 | $447.20 | -8.54% | 18 | |
| 2025-11-06 | 2025-12-16 | $445.91 | $489.88 | 3.39% | 28 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 1.62% | 2 | |
| 2025-10-03 | 2025-10-29 | $429.83 | $461.51 | 3.84% | 19 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-26 | 2025-09-30 | $440.40 | $444.72 | 3.04% | 3 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.77% | 3 | |
| 2025-09-18 | 2025-09-22 | $416.85 | $434.21 | -0.15% | 3 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-07 | 2025-08-11 | $322.27 | $339.03 | 2.84% | 3 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.43% | 2 | |
| 2025-05-29 | 2025-06-06 | $358.43 | $295.14 | -15.11% | 7 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 7.76% | 4 | |
| 2025-04-29 | 2025-05-12 | $292.03 | $318.38 | 4.12% | 10 | |
| 2025-04-08 | 2025-04-23 | $221.86 | $250.74 | 1.80% | 11 | |
| 2024-12-19 | 2025-01-28 | $436.17 | $398.09 | -8.65% | 25 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-12 | 2024-12-16 | $418.10 | $463.02 | 1.71% | 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 | 2024-10-23 | $240.66 | $213.65 | -13.19% | 15 | |
| 2024-09-04 | 2024-09-26 | $219.41 | $254.22 | 16.87% | 17 | |
| 2024-07-11 | 2024-08-05 | $241.03 | $198.88 | -18.95% | 18 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 2.39% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.28% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2024-04-15 | 2024-04-19 | $161.48 | $147.05 | -11.81% | 5 | |
| 2024-02-26 | 2024-03-15 | $199.40 | $163.57 | -15.52% | 15 | |
| 2023-07-19 | 2023-08-14 | $291.26 | $239.76 | -17.23% | 19 | |
| 2023-07-06 | 2023-07-18 | $276.54 | $293.34 | 4.12% | 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 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-02-09 | 2023-02-10 | $207.32 | $196.89 | 2.79% | 2 | |
| 2023-01-25 | 2023-02-08 | $144.43 | $201.29 | 36.51% | 11 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.63% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.64% | 2 | |
| 2022-07-29 | 2022-08-01 | $297.15 | $297.28 | 3.80% | 2 | |
| 2022-07-25 | 2022-07-28 | $268.43 | $280.90 | 0.56% | 4 | |
| 2022-06-22 | 2022-07-22 | $236.09 | $272.24 | 12.60% | 22 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -16.47% | 16 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -18.24% | 12 | |
| 2021-11-05 | 2021-12-06 | $407.36 | $336.34 | -8.61% | 21 | |
| 2021-11-02 | 2021-11-04 | $390.67 | $409.97 | 0.18% | 3 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 2.20% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.16% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 12.45% | 2 | |
| 2021-10-20 | 2021-10-22 | $288.60 | $303.23 | 3.23% | 3 | |
| 2021-10-18 | 2021-10-19 | $290.04 | $288.09 | 3.01% | 2 | |
| 2021-10-14 | 2021-10-15 | $272.77 | $281.01 | 0.69% | 2 | |
| 2021-10-11 | 2021-10-13 | $263.98 | $270.36 | 2.37% | 3 | |
| 2021-09-28 | 2021-10-08 | $259.19 | $261.83 | 0.08% | 9 | |
| 2021-09-21 | 2021-09-27 | $246.46 | $263.79 | 5.85% | 5 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.13% | 2 | |
| 2021-09-10 | 2021-09-16 | $245.42 | $252.33 | -0.07% | 5 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 2021-08-24 | 2021-08-31 | $236.16 | $245.24 | 3.28% | 6 | |
| 2021-08-16 | 2021-08-23 | $228.72 | $235.43 | -5.34% | 6 | |
| 2021-08-09 | 2021-08-13 | $237.92 | $239.06 | 3.11% | 5 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.32% | 2 | |
| 2021-01-27 | 2021-02-23 | $288.05 | $232.95 | -18.16% | 19 | |
| 2021-01-11 | 2021-01-26 | $270.40 | $294.36 | 0.05% | 11 | |
| 2021-01-07 | 2021-01-08 | $272.01 | $293.34 | 5.26% | 2 | |
| 2021-01-05 | 2021-01-06 | $245.04 | $251.99 | 0.36% | 2 | |
| 2020-12-21 | 2021-01-04 | $216.62 | $243.26 | 0.98% | 9 | |
| 2020-12-09 | 2020-12-18 | $201.49 | $231.67 | 0.63% | 8 | |
| 2020-12-07 | 2020-12-08 | $213.92 | $216.63 | 4.71% | 2 | |
| 2020-11-30 | 2020-12-04 | $189.20 | $199.68 | 0.79% | 5 | |
| 2020-11-25 | 2020-11-27 | $191.33 | $195.25 | 2.14% | 2 | |
| 2020-11-23 | 2020-11-24 | $173.95 | $185.13 | 4.34% | 2 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 1.63% | 2 | |
| 2020-10-07 | 2020-11-13 | $141.77 | $136.17 | 0.26% | 28 | |
| 2020-09-02 | 2020-09-30 | $149.12 | $143.00 | -11.97% | 20 | |
| 2020-08-28 | 2020-09-01 | $147.56 | $158.35 | 7.10% | 3 | |
| 2020-08-24 | 2020-08-27 | $134.28 | $149.25 | 2.80% | 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 | 2.90% | 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 | 5.27% | 2 | |
| 2020-06-12 | 2020-07-01 | $62.35 | $74.64 | 7.38% | 14 |