Strategy Zoo / S0616
PriceMomentum_V0616
ARCHIVEDmomentumparameterchanged ret_20d threshold 0.05 -> 0.0118
Fitness
0.5608
Generation
28
Complexity
3
Created
2026-09-23
Lineage
Parents (1)
changed ret_20d threshold -0.1437 -> -0.006
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0616 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.0118:
position = 1.0
if long and ret_20d < -0.006:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.3% | 89.2% | 12.3% | 25.8% |
| Total Return | 171.5% | 576.9% | 53.6% | 2806.1% |
| Sharpe | 0.55 | 1.56 | 0.50 | 0.81 |
| Sortino | 0.53 | 1.57 | 0.45 | 0.77 |
| Calmar | 0.19 | 2.10 | 0.23 | 0.36 |
| Volatility | 31.7% | 48.5% | 35.5% | 36.7% |
| Max DD | -71.9% | -42.4% | -53.9% | -71.9% |
| Win Rate | 31.9% | 34.8% | 44.1% | 35.7% |
| Avg Win | 18.7% | 45.6% | 13.6% | 23.4% |
| Avg Loss | -4.9% | -5.9% | -7.2% | -5.6% |
| Payoff | 3.79 | 7.67 | 1.89 | 4.15 |
| Expectancy | 2.6% | 12.0% | 2.0% | 4.7% |
| Profit Factor | 1.78 | 4.09 | 1.49 | 2.31 |
| Trades | 69 | 23 | 34 | 126 |
| Avg Holding Days | 12.1 | 16.0 | 9.9 | 12.6 |
| Turnover | 17.4 | 15.3 | 18.6 | 17.2 |
| Exposure | 40.2% | 45.8% | 34.9% | 40.0% |
Growth of $100
PriceMomentum_V0616 vs TSLA Buy & Hold
PriceMomentum_V0616 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 | 26.1% | 1.55 | -18.2% | 9 |
| 2017 | 8.6% | 0.45 | -28.0% | 8 |
| 2018 | -50.0% | -2.28 | -52.2% | 15 |
| 2019 | 23.0% | 0.93 | -24.3% | 7 |
| 2020 | 501.0% | 2.88 | -33.7% | 9 |
| 2021 | 61.6% | 1.58 | -17.6% | 5 |
| 2022 | -33.3% | -1.43 | -33.9% | 9 |
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 | -6.4% | -0.19 | 36% |
| hidden test | EXPENSIVE | 83 | 88.0% | 1.65 | 75% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | -6.8% | -0.14 | 47% |
| hidden test | LOW VOLATILITY | 429 | 47.5% | 2.04 | 27% |
| hidden test | MEDIUM VOLATILITY | 250 | -7.8% | -0.23 | 36% |
| hidden test | NORMAL | 802 | 0.7% | 0.02 | 29% |
| hidden test | SIDEWAYS | 293 | -2.6% | -0.16 | 4% |
| hidden test | UPTREND | 371 | 51.7% | 1.12 | 58% |
| train | DOWNTREND | 518 | -14.3% | -0.70 | 30% |
| train | EXPENSIVE | 311 | 37.8% | 0.93 | 68% |
| train | EXTREME | 100 | 399.0% | 5.40 | 98% |
| train | HIGH VOLATILITY | 699 | 30.2% | 0.71 | 36% |
| train | LOW VOLATILITY | 745 | 30.6% | 1.34 | 49% |
| train | MEDIUM VOLATILITY | 568 | -15.4% | -0.60 | 34% |
| train | NORMAL | 1,601 | -10.3% | -0.43 | 31% |
| train | SIDEWAYS | 592 | -4.6% | -0.35 | 4% |
| train | UPTREND | 902 | 50.2% | 1.16 | 70% |
| validation | DOWNTREND | 125 | 35.1% | 1.46 | 15% |
| validation | EXPENSIVE | 138 | 46.9% | 0.85 | 64% |
| validation | EXTREME | 144 | 344.5% | 4.26 | 85% |
| validation | HIGH VOLATILITY | 258 | 86.3% | 1.30 | 47% |
| validation | LOW VOLATILITY | 183 | 17.3% | 0.74 | 45% |
| validation | MEDIUM VOLATILITY | 315 | 100.5% | 2.44 | 45% |
| validation | NORMAL | 474 | 2.1% | 0.08 | 28% |
| validation | SIDEWAYS | 206 | -19.2% | -1.65 | 4% |
| validation | UPTREND | 425 | 133.3% | 2.13 | 75% |
Trades (full period)
latest 100 of 127
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 8.64% | 22 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-28 | 2026-05-08 | $376.02 | $428.35 | 8.53% | 9 | |
| 2026-04-21 | 2026-04-24 | $386.42 | $376.30 | -4.98% | 4 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -3.92% | 19 | |
| 2025-10-28 | 2025-11-13 | $460.55 | $401.99 | -5.01% | 13 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-09-12 | 2025-10-23 | $395.94 | $448.98 | 18.79% | 30 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-06 | 2025-08-11 | $319.91 | $339.03 | 6.57% | 4 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-07-21 | 2025-07-23 | $328.49 | $332.56 | 0.54% | 3 | |
| 2025-07-08 | 2025-07-09 | $297.81 | $295.88 | 1.12% | 2 | |
| 2025-06-24 | 2025-06-26 | $340.47 | $325.78 | -6.25% | 3 | |
| 2025-06-10 | 2025-06-12 | $326.09 | $319.11 | 5.58% | 3 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2025-05-05 | 2025-05-12 | $280.26 | $318.38 | 3.64% | 6 | |
| 2025-04-28 | 2025-05-02 | $285.88 | $287.21 | -1.75% | 5 | |
| 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 | |
| 2025-04-03 | 2025-04-07 | $267.28 | $233.29 | -15.50% | 3 | |
| 2024-10-25 | 2025-01-13 | $269.19 | $403.31 | 51.25% | 53 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.71% | 8 | |
| 2024-09-03 | 2024-09-27 | $210.60 | $260.46 | 18.49% | 19 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -5.84% | 2 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 3.14% | 23 | |
| 2024-05-14 | 2024-05-29 | $177.55 | $176.19 | 2.63% | 11 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2024-04-12 | 2024-04-16 | $171.05 | $157.11 | -7.70% | 3 | |
| 2024-02-26 | 2024-03-07 | $199.40 | $178.65 | -8.22% | 9 | |
| 2024-01-03 | 2024-01-08 | $238.45 | $240.45 | -4.59% | 4 | |
| 2023-07-25 | 2023-08-02 | $265.28 | $254.11 | -3.16% | 7 | |
| 2023-06-02 | 2023-07-24 | $213.97 | $269.06 | 25.05% | 35 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-01-24 | 2023-02-10 | $143.89 | $196.89 | 43.93% | 14 | |
| 2022-09-20 | 2022-09-23 | $308.73 | $275.33 | -6.81% | 4 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.71% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-07-14 | 2022-08-02 | $238.31 | $300.59 | 25.16% | 14 | |
| 2022-07-08 | 2022-07-12 | $250.76 | $233.07 | -4.36% | 3 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -14.86% | 12 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -17.18% | 12 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -6.29% | 2 | |
| 2021-08-24 | 2021-12-01 | $236.16 | $365.00 | 61.75% | 70 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2021-02-10 | 2021-02-11 | $268.27 | $270.55 | -5.45% | 2 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-11-06 | 2020-11-09 | $143.32 | $140.42 | -2.06% | 2 | |
| 2020-11-04 | 2020-11-05 | $140.33 | $146.03 | -0.89% | 2 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -4.12% | 6 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -6.79% | 4 | |
| 2020-10-05 | 2020-10-14 | $141.89 | $153.77 | 7.39% | 8 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 17.09% | 29 | |
| 2020-05-15 | 2020-08-10 | $53.28 | $94.57 | 80.47% | 60 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 148.29% | 89 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2019-09-27 | 2019-10-10 | $16.14 | $16.32 | 0.61% | 10 | |
| 2019-06-18 | 2019-07-22 | $14.98 | $17.05 | 14.50% | 24 | |
| 2019-04-24 | 2019-04-25 | $17.24 | $16.51 | -2.18% | 2 | |
| 2019-04-17 | 2019-04-18 | $18.08 | $18.22 | -0.98% | 2 | |
| 2019-04-02 | 2019-04-05 | $19.06 | $18.33 | -7.59% | 4 | |
| 2019-01-18 | 2019-01-22 | $20.15 | $19.93 | -13.16% | 2 | |
| 2018-11-27 | 2018-12-19 | $22.93 | $22.20 | -2.79% | 16 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-10-02 | 2018-10-09 | $20.07 | $17.52 | -19.52% | 6 | |
| 2018-08-21 | 2018-08-28 | $21.46 | $20.79 | 3.31% | 6 | |
| 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 | |
| 2018-06-04 | 2018-06-06 | $19.78 | $21.30 | -0.43% | 3 | |
| 2018-05-10 | 2018-05-16 | $20.33 | $19.10 | -7.57% | 5 | |
| 2018-05-08 | 2018-05-09 | $20.13 | $20.46 | -0.46% | 2 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-02-26 | 2018-03-01 | $23.83 | $22.06 | -2.75% | 4 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -8.82% | 2 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-12-29 | 2018-01-09 | $20.76 | $22.25 | 6.46% | 7 | |
| 2017-12-26 | 2017-12-28 | $21.15 | $21.02 | -4.36% | 3 | |
| 2017-12-08 | 2017-12-12 | $21.01 | $22.74 | 5.47% | 3 | |
| 2017-10-05 | 2017-10-10 | $23.69 | $23.71 | -3.59% | 4 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -9.35% | 7 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-05-26 | 2017-07-06 | $21.68 | $20.59 | 3.03% | 28 | |
| 2017-03-27 | 2017-05-24 | $18.01 | $20.68 | 15.24% | 42 | |
| 2017-01-05 | 2017-02-28 | $15.12 | $16.67 | 8.26% | 37 | |
| 2016-12-12 | 2016-12-28 | $12.83 | $14.65 | 14.00% | 12 | |
| 2016-10-28 | 2016-10-31 | $13.33 | $13.18 | -2.18% | 2 | |
| 2016-10-06 | 2016-10-17 | $13.40 | $12.93 | -5.92% | 8 | |
| 2016-08-19 | 2016-08-23 | $15.00 | $14.99 | -0.46% | 3 | |
| 2016-07-26 | 2016-08-17 | $15.30 | $14.88 | -2.98% | 17 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-05-03 | $17.03 | $15.49 | -2.29% | 21 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 2.12% | 2 | |
| 2016-03-03 | 2016-03-21 | $13.05 | $15.89 | 23.33% | 13 | |
| 2015-12-03 | 2015-12-29 | $15.51 | $15.81 | -1.51% | 18 | |
| 2015-11-19 | 2015-12-02 | $14.79 | $15.47 | 7.08% | 9 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 |