Strategy Zoo / S0603
PriceMomentum_V0603
ARCHIVEDhybridstructuralreduce exposure to 41% during MEDIUM_VOLATILITY; added entry filter: rel_volume > 1.1075
Fitness
0.5826
Generation
27
Complexity
28
Created
2026-09-23
Lineage
Parents (1)
entry = PriceMomentum_V0451 OR LongTermTrend_V0519
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0603 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ((((ret_20d > 0.05 and rel_volume > 1.2635) or (((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > -0.1997)) or ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.1) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05)) and rel_volume > 1.1075):
position = 1.0
if long and ret_20d < -0.006:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 23.4% | 65.9% | 8.1% | 27.0% |
| Total Return | 435.3% | 356.6% | 33.4% | 3258.1% |
| Sharpe | 0.95 | 1.46 | 0.43 | 0.96 |
| Sortino | 0.91 | 1.17 | 0.29 | 0.78 |
| Calmar | 0.59 | 1.95 | 0.20 | 0.66 |
| Volatility | 25.5% | 40.1% | 26.5% | 29.3% |
| Max DD | -39.8% | -33.8% | -40.8% | -40.8% |
| Win Rate | 45.2% | 63.6% | 50.0% | 50.0% |
| Avg Win | 21.8% | 30.7% | 14.2% | 24.2% |
| Avg Loss | -4.4% | -6.2% | -8.6% | -5.8% |
| Payoff | 4.94 | 4.92 | 1.64 | 4.15 |
| Expectancy | 7.4% | 17.3% | 2.8% | 9.2% |
| Profit Factor | 4.07 | 8.62 | 1.64 | 4.15 |
| Trades | 31 | 11 | 16 | 58 |
| Avg Holding Days | 19.5 | 26.3 | 13.9 | 20.0 |
| Turnover | 9.8 | 8.5 | 10.7 | 9.7 |
| Exposure | 27.0% | 27.6% | 20.3% | 25.4% |
Growth of $100
PriceMomentum_V0603 vs TSLA Buy & Hold
PriceMomentum_V0603 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 | 5.0% | 0.74 | -6.8% | 4 |
| 2017 | -2.0% | -0.01 | -20.7% | 5 |
| 2018 | -22.5% | -1.12 | -27.8% | 4 |
| 2019 | 53.4% | 2.41 | -8.5% | 2 |
| 2020 | 243.5% | 2.25 | -33.8% | 4 |
| 2021 | 63.0% | 2.39 | -8.0% | 3 |
| 2022 | -20.1% | -1.44 | -24.5% | 4 |
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 | -20.0% | -0.92 | 17% |
| hidden test | EXPENSIVE | 83 | 40.0% | 1.18 | 38% |
| hidden test | EXTREME | 48 | 169.3% | 3.16 | 61% |
| hidden test | HIGH VOLATILITY | 254 | -7.9% | -0.21 | 33% |
| hidden test | LOW VOLATILITY | 429 | 41.3% | 2.14 | 17% |
| hidden test | MEDIUM VOLATILITY | 250 | -20.6% | -0.87 | 13% |
| hidden test | NORMAL | 802 | -1.1% | -0.05 | 16% |
| hidden test | SIDEWAYS | 293 | 0.2% | 0.02 | 2% |
| hidden test | UPTREND | 371 | 42.8% | 1.16 | 38% |
| train | DOWNTREND | 518 | 3.2% | 0.41 | 7% |
| train | EXPENSIVE | 311 | 22.2% | 0.80 | 50% |
| train | EXTREME | 100 | 373.2% | 5.24 | 87% |
| train | HIGH VOLATILITY | 699 | 46.5% | 1.35 | 25% |
| train | LOW VOLATILITY | 745 | 28.2% | 1.33 | 40% |
| train | MEDIUM VOLATILITY | 568 | -8.6% | -0.53 | 12% |
| train | NORMAL | 1,601 | 2.7% | 0.15 | 19% |
| train | SIDEWAYS | 592 | -4.3% | -0.43 | 2% |
| train | UPTREND | 902 | 54.8% | 1.50 | 55% |
| validation | DOWNTREND | 125 | 4.0% | 0.36 | 6% |
| validation | EXPENSIVE | 138 | 31.2% | 0.75 | 26% |
| validation | EXTREME | 144 | 239.0% | 3.20 | 67% |
| validation | HIGH VOLATILITY | 258 | 69.5% | 1.11 | 41% |
| validation | LOW VOLATILITY | 183 | 48.1% | 2.70 | 26% |
| validation | MEDIUM VOLATILITY | 315 | 56.0% | 2.59 | 17% |
| validation | NORMAL | 474 | 11.9% | 0.65 | 16% |
| validation | SIDEWAYS | 206 | 1.8% | 0.30 | 2% |
| validation | UPTREND | 425 | 102.4% | 1.94 | 46% |
Trades (full period)
59 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | -0.18% | 21 | OPEN |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -1.47% | 2 | |
| 2025-09-12 | 2025-10-23 | $395.94 | $448.98 | 15.23% | 30 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-05-28 | 2025-06-06 | $356.90 | $295.14 | -11.18% | 8 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 33.16% | 44 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.91% | 8 | |
| 2024-09-05 | 2024-09-27 | $230.17 | $260.46 | 10.29% | 17 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 0.70% | 23 | |
| 2024-05-22 | 2024-05-29 | $180.11 | $176.19 | -5.47% | 5 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2023-06-02 | 2023-07-24 | $213.97 | $269.06 | 28.47% | 35 | |
| 2023-05-24 | 2023-05-31 | $182.90 | $203.93 | 8.07% | 5 | |
| 2023-01-30 | 2023-02-10 | $166.66 | $196.89 | 16.30% | 10 | |
| 2022-07-22 | 2022-08-02 | $272.24 | $300.59 | 3.78% | 8 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-04-07 | 2022-04-21 | $352.42 | $336.26 | -2.71% | 10 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -19.13% | 12 | |
| 2021-09-08 | 2021-12-01 | $251.29 | $365.00 | 53.29% | 60 | |
| 2021-08-17 | 2021-08-23 | $221.90 | $235.43 | -1.06% | 5 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 27.60% | 55 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 5.24% | 29 | |
| 2020-06-02 | 2020-08-10 | $58.77 | $94.57 | 48.39% | 49 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 120.97% | 89 | |
| 2019-09-27 | 2019-10-10 | $16.14 | $16.32 | 0.29% | 10 | |
| 2019-07-05 | 2019-07-22 | $15.54 | $17.05 | 9.69% | 12 | |
| 2018-12-06 | 2018-12-19 | $24.20 | $22.20 | -1.18% | 10 | |
| 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 | 2018-06-12 | $21.07 | $22.85 | 3.73% | 4 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -6.44% | 7 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.64% | 13 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.56% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 1.80% | 41 | |
| 2017-01-05 | 2017-02-28 | $15.12 | $16.67 | 10.80% | 37 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 9.31% | 10 | |
| 2016-08-05 | 2016-08-17 | $15.34 | $14.88 | -3.23% | 9 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-05-03 | $17.03 | $15.49 | -1.85% | 21 | |
| 2015-12-17 | 2015-12-29 | $15.56 | $15.81 | -1.58% | 8 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -3.72% | 2 | |
| 2015-05-12 | 2015-07-27 | $16.32 | $16.87 | 14.74% | 53 | |
| 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 | |
| 2015-02-11 | 2015-02-25 | $14.19 | $13.58 | -5.82% | 10 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-24 | 2014-07-16 | $15.50 | $14.48 | -7.62% | 16 | |
| 2014-02-11 | 2014-03-26 | $13.11 | $14.20 | -0.11% | 31 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 52.44% | 79 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 184.41% | 65 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2012-12-19 | 2012-12-31 | $2.31 | $2.26 | -4.15% | 8 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | 4.91% | 33 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |