Strategy Zoo / S0604
PriceMomentum_V0604
ARCHIVEDmomentumparameterchanged ret_20d threshold -0.1003 -> -0.0278
Fitness
0.6805
Generation
27
Complexity
8
Created
2026-09-23
Lineage
Parents (1)
entry = PriceMomentum_V0186 OR PriceMomentum_V0267
Children (3)
Strategy Logic (pseudocode)
# PriceMomentum_V0604 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ((ret_20d > 0.05 and rel_volume > 1.2635) or ret_20d > 0.1146):
position = 1.0
if long and ret_20d < -0.0278:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 25.9% | 81.4% | 18.2% | 33.8% |
| Total Return | 528.7% | 496.6% | 85.5% | 7063.8% |
| Sharpe | 0.98 | 1.59 | 0.70 | 1.07 |
| Sortino | 0.98 | 1.41 | 0.57 | 0.95 |
| Calmar | 0.62 | 2.41 | 0.48 | 0.80 |
| Volatility | 27.3% | 43.5% | 30.5% | 32.1% |
| Max DD | -42.0% | -33.8% | -37.8% | -42.0% |
| Win Rate | 51.4% | 61.5% | 56.3% | 54.7% |
| Avg Win | 18.7% | 34.7% | 15.8% | 23.6% |
| Avg Loss | -5.3% | -9.0% | -8.6% | -6.8% |
| Payoff | 3.51 | 3.85 | 1.83 | 3.50 |
| Expectancy | 7.0% | 17.9% | 5.1% | 9.9% |
| Profit Factor | 3.72 | 6.17 | 2.35 | 4.22 |
| Trades | 35 | 13 | 16 | 64 |
| Avg Holding Days | 19.7 | 24.2 | 16.9 | 20.7 |
| Turnover | 10.0 | 9.7 | 10.6 | 10.0 |
| Exposure | 32.5% | 33.9% | 26.8% | 31.4% |
Growth of $100
PriceMomentum_V0604 vs TSLA Buy & Hold
PriceMomentum_V0604 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 | 20.0% | 1.51 | -12.5% | 6 |
| 2017 | 2.0% | 0.20 | -20.2% | 5 |
| 2018 | -27.4% | -1.34 | -29.9% | 6 |
| 2019 | 68.8% | 2.79 | -8.5% | 2 |
| 2020 | 394.5% | 2.74 | -33.8% | 5 |
| 2021 | 60.2% | 1.97 | -12.5% | 2 |
| 2022 | -27.0% | -1.31 | -33.1% | 6 |
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 | 9.0% | 0.31 | 25% |
| hidden test | EXPENSIVE | 83 | 66.5% | 1.62 | 57% |
| hidden test | EXTREME | 48 | 187.4% | 3.43 | 65% |
| hidden test | HIGH VOLATILITY | 254 | 15.2% | 0.35 | 41% |
| hidden test | LOW VOLATILITY | 429 | 40.0% | 1.96 | 20% |
| hidden test | MEDIUM VOLATILITY | 250 | -4.5% | -0.15 | 25% |
| hidden test | NORMAL | 802 | 6.7% | 0.25 | 21% |
| hidden test | SIDEWAYS | 293 | 0.9% | 0.08 | 3% |
| hidden test | UPTREND | 371 | 46.5% | 1.15 | 47% |
| train | DOWNTREND | 518 | 10.5% | 0.92 | 12% |
| train | EXPENSIVE | 311 | 35.5% | 1.08 | 59% |
| train | EXTREME | 100 | 376.5% | 5.24 | 91% |
| train | HIGH VOLATILITY | 699 | 52.0% | 1.43 | 30% |
| train | LOW VOLATILITY | 745 | 27.6% | 1.25 | 44% |
| train | MEDIUM VOLATILITY | 568 | -5.8% | -0.30 | 20% |
| train | NORMAL | 1,601 | 3.1% | 0.16 | 24% |
| train | SIDEWAYS | 592 | -1.1% | -0.10 | 2% |
| train | UPTREND | 902 | 54.2% | 1.39 | 64% |
| validation | DOWNTREND | 125 | 32.6% | 1.69 | 9% |
| validation | EXPENSIVE | 138 | 44.9% | 0.95 | 44% |
| validation | EXTREME | 144 | 292.4% | 3.80 | 77% |
| validation | HIGH VOLATILITY | 258 | 83.0% | 1.30 | 44% |
| validation | LOW VOLATILITY | 183 | 36.8% | 2.06 | 23% |
| validation | MEDIUM VOLATILITY | 315 | 76.3% | 2.39 | 32% |
| validation | NORMAL | 474 | 8.2% | 0.36 | 18% |
| validation | SIDEWAYS | 206 | -18.0% | -1.48 | 2% |
| validation | UPTREND | 425 | 121.9% | 2.17 | 56% |
Trades (full period)
65 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 1.42% | 21 | OPEN |
| 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 | 2026-01-07 | $475.31 | $431.41 | -5.85% | 16 | |
| 2025-09-12 | 2025-11-14 | $395.94 | $404.35 | 8.43% | 46 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -9.43% | 11 | |
| 2025-04-30 | 2025-05-12 | $282.16 | $318.38 | 1.93% | 9 | |
| 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 | 2025-01-14 | $296.91 | $396.36 | 37.66% | 45 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.81% | 8 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 9.15% | 16 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 1.87% | 23 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2023-06-02 | 2023-08-02 | $213.97 | $254.11 | 27.37% | 42 | |
| 2023-05-23 | 2023-05-31 | $185.77 | $203.93 | 6.29% | 6 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 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 | |
| 2022-07-19 | 2022-08-02 | $245.53 | $300.59 | 18.87% | 11 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 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 | |
| 2021-09-16 | 2021-12-01 | $252.33 | $365.00 | 52.23% | 54 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 39.28% | 57 | |
| 2020-10-07 | 2020-10-20 | $141.77 | $140.65 | 4.77% | 10 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 10.59% | 29 | |
| 2020-05-20 | 2020-08-10 | $54.37 | $94.57 | 66.62% | 57 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 133.27% | 89 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 3.91% | 13 | |
| 2019-06-21 | 2019-07-22 | $14.79 | $17.05 | 16.51% | 21 | |
| 2018-12-06 | 2018-12-19 | $24.20 | $22.20 | -3.63% | 10 | |
| 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 | 2018-06-12 | $21.07 | $22.85 | 3.73% | 4 | |
| 2018-05-01 | 2018-05-04 | $19.99 | $19.61 | -3.41% | 4 | |
| 2017-09-19 | 2017-09-29 | $25.01 | $22.74 | -9.60% | 9 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | 0.18% | 15 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.38% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 6.51% | 41 | |
| 2017-01-05 | 2017-03-08 | $15.12 | $16.46 | 10.62% | 43 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 9.89% | 10 | |
| 2016-07-26 | 2016-08-23 | $15.30 | $14.99 | -3.27% | 21 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -5.92% | 22 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 1.44% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 16.89% | 12 | |
| 2015-12-17 | 2015-12-29 | $15.56 | $15.81 | -2.03% | 8 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -6.17% | 2 | |
| 2015-05-11 | 2015-07-28 | $15.97 | $17.65 | 10.59% | 55 | |
| 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 | 2015-03-03 | $14.19 | $13.30 | -8.95% | 14 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.78% | 28 | |
| 2014-06-23 | 2014-07-17 | $15.81 | $14.36 | -5.60% | 18 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 14.08% | 43 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 50.16% | 79 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 178.87% | 65 | |
| 2013-01-24 | 2013-02-26 | $2.47 | $2.30 | -3.97% | 23 | |
| 2012-12-19 | 2013-01-11 | $2.31 | $2.19 | -3.26% | 16 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | 1.10% | 33 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |