Strategy Zoo / S0618
PriceMomentum_V0618
ARCHIVEDmomentumstructuralchanged ret_20d threshold -0.1357 -> -0.1705; swapped indicator ret_20d -> ret_60d
Fitness
0.3822
Generation
28
Complexity
7
Created
2026-09-23
Lineage
Parents (1)
logic of PriceMomentum_V0186 with risk overlay of PriceMomentum_V0160
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0618 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and rel_volume > 1.2635):
position = 1.0
if long and (ret_60d < 0.4347 or roll_high_50 < sma_20):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 11.1% | 35.8% | -11.0% | 9.7% |
| Total Return | 131.2% | 150.5% | -35.0% | 287.4% |
| Sharpe | 0.60 | 0.90 | -0.46 | 0.47 |
| Sortino | 0.40 | 0.70 | -0.22 | 0.29 |
| Calmar | 0.26 | 0.81 | -0.24 | 0.17 |
| Volatility | 21.2% | 45.1% | 20.6% | 27.7% |
| Max DD | -42.0% | -44.3% | -45.2% | -57.1% |
| Win Rate | 42.9% | 52.6% | 48.3% | 45.6% |
| Avg Win | 7.0% | 15.5% | 3.8% | 8.0% |
| Avg Loss | -1.9% | -2.7% | -6.0% | -2.9% |
| Payoff | 3.64 | 5.70 | 0.63 | 2.73 |
| Expectancy | 1.9% | 6.9% | -1.3% | 2.0% |
| Profit Factor | 2.73 | 6.33 | 0.59 | 2.29 |
| Trades | 77 | 19 | 29 | 125 |
| Avg Holding Days | 4.1 | 12.5 | 3.7 | 5.3 |
| Turnover | 19.4 | 12.7 | 15.7 | 17.0 |
| Exposure | 12.2% | 29.0% | 8.3% | 14.6% |
Growth of $100
PriceMomentum_V0618 vs TSLA Buy & Hold
PriceMomentum_V0618 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 | 0.2% | 0.06 | -4.4% | 6 |
| 2017 | 5.9% | 0.66 | -4.3% | 15 |
| 2018 | -14.9% | -1.67 | -16.1% | 7 |
| 2019 | 11.9% | 0.83 | -8.5% | 6 |
| 2020 | 193.8% | 1.88 | -44.3% | 9 |
| 2021 | -8.8% | -0.14 | -24.9% | 7 |
| 2022 | -10.1% | -1.51 | -10.0% | 3 |
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 | -35.3% | -2.44 | 4% |
| hidden test | EXPENSIVE | 83 | 1.4% | 0.05 | 12% |
| hidden test | EXTREME | 48 | -28.5% | -0.52 | 69% |
| hidden test | HIGH VOLATILITY | 254 | -50.4% | -1.53 | 18% |
| hidden test | LOW VOLATILITY | 429 | 16.1% | 1.59 | 3% |
| hidden test | MEDIUM VOLATILITY | 250 | -11.8% | -0.67 | 7% |
| hidden test | NORMAL | 802 | -9.5% | -0.60 | 4% |
| hidden test | SIDEWAYS | 293 | 3.4% | 0.90 | 0% |
| hidden test | UPTREND | 371 | -1.0% | -0.03 | 18% |
| train | DOWNTREND | 518 | -2.8% | -1.63 | 2% |
| train | EXPENSIVE | 311 | 16.7% | 0.58 | 31% |
| train | EXTREME | 100 | 300.0% | 4.23 | 77% |
| train | HIGH VOLATILITY | 699 | 30.3% | 0.95 | 16% |
| train | LOW VOLATILITY | 745 | 3.2% | 0.28 | 13% |
| train | MEDIUM VOLATILITY | 568 | 3.4% | 0.25 | 7% |
| train | NORMAL | 1,601 | -6.1% | -0.71 | 4% |
| train | SIDEWAYS | 592 | -2.7% | -0.57 | 0% |
| train | UPTREND | 902 | 31.7% | 1.01 | 26% |
| validation | DOWNTREND | 125 | -1.2% | -1.62 | 2% |
| validation | EXPENSIVE | 138 | -3.7% | -0.07 | 55% |
| validation | EXTREME | 144 | 262.4% | 3.27 | 72% |
| validation | HIGH VOLATILITY | 258 | 78.0% | 1.16 | 41% |
| validation | LOW VOLATILITY | 183 | -6.3% | -0.49 | 10% |
| validation | MEDIUM VOLATILITY | 315 | 37.8% | 1.16 | 30% |
| validation | NORMAL | 474 | -13.5% | -0.74 | 8% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 73.0% | 1.21 | 51% |
Trades (full period)
latest 100 of 125
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-21 | 2026-09-22 | $375.30 | — | 2.83% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 2025-12-22 | 2025-12-23 | $488.73 | $485.56 | 1.36% | 2 | |
| 2025-12-18 | 2025-12-19 | $483.37 | $481.20 | 3.24% | 2 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.86% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-03 | 2025-10-06 | $429.83 | $453.25 | -1.61% | 2 | |
| 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 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -7.47% | 2 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2024-12-17 | 2025-02-06 | $479.86 | $374.32 | -18.49% | 34 | |
| 2024-11-07 | 2024-11-15 | $296.91 | $320.72 | 7.64% | 7 | |
| 2024-09-20 | 2024-09-23 | $238.25 | $250.00 | -2.52% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-09 | 2024-07-25 | $262.33 | $220.25 | -14.78% | 13 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2023-06-22 | 2023-06-23 | $264.61 | $256.60 | 1.78% | 2 | |
| 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 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.50% | 2 | |
| 2023-05-30 | 2023-05-31 | $201.16 | $203.93 | 3.93% | 2 | |
| 2023-05-24 | 2023-05-25 | $182.90 | $184.47 | -1.74% | 2 | |
| 2023-01-30 | 2023-01-31 | $166.66 | $173.22 | -6.51% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-06-22 | 2022-06-23 | $236.09 | $235.07 | -0.60% | 2 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -9.49% | 3 | |
| 2021-10-26 | 2021-12-06 | $339.48 | $336.34 | -1.16% | 29 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 1.55% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.87% | 2 | |
| 2021-10-05 | 2021-10-06 | $260.20 | $260.92 | -0.32% | 2 | |
| 2021-09-28 | 2021-09-29 | $259.19 | $260.44 | -1.94% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -4.06% | 2 | |
| 2020-12-21 | 2021-02-23 | $216.62 | $232.95 | 2.59% | 43 | |
| 2020-12-11 | 2020-12-16 | $203.33 | $207.59 | 0.78% | 4 | |
| 2020-12-08 | 2020-12-10 | $216.63 | $209.02 | -6.00% | 3 | |
| 2020-12-01 | 2020-12-02 | $194.92 | $189.61 | 2.82% | 2 | |
| 2020-11-27 | 2020-11-30 | $195.25 | $189.20 | 1.85% | 2 | |
| 2020-11-24 | 2020-11-25 | $185.13 | $191.33 | 6.22% | 2 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 2.39% | 2 | |
| 2020-06-11 | 2020-10-06 | $64.86 | $137.99 | 107.21% | 82 | |
| 2020-04-15 | 2020-04-16 | $48.66 | $49.68 | 2.61% | 2 | |
| 2019-12-17 | 2020-03-16 | $25.27 | $29.67 | 42.99% | 61 | |
| 2019-11-08 | 2019-12-05 | $22.48 | $22.02 | -0.95% | 19 | |
| 2019-10-29 | 2019-10-30 | $21.08 | $21.00 | -3.70% | 2 | |
| 2019-10-25 | 2019-10-28 | $21.88 | $21.85 | 9.28% | 2 | |
| 2019-09-27 | 2019-09-30 | $16.14 | $16.06 | -0.38% | 2 | |
| 2019-07-16 | 2019-07-17 | $16.83 | $16.99 | -0.64% | 2 | |
| 2019-07-05 | 2019-07-08 | $15.54 | $15.36 | -0.97% | 2 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.73% | 2 | |
| 2018-08-10 | 2018-08-13 | $23.70 | $23.76 | 0.66% | 2 | |
| 2018-08-08 | 2018-08-09 | $24.69 | $23.50 | -2.63% | 2 | |
| 2018-08-03 | 2018-08-06 | $23.21 | $22.80 | -0.59% | 2 | |
| 2018-07-03 | 2018-07-05 | $20.72 | $20.61 | -7.42% | 2 | |
| 2018-06-19 | 2018-06-20 | $23.50 | $24.15 | -5.12% | 2 | |
| 2018-06-07 | 2018-06-08 | $21.07 | $21.18 | -1.27% | 2 | |
| 2017-09-19 | 2017-09-20 | $25.01 | $24.93 | -2.77% | 2 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.63% | 2 | |
| 2017-06-14 | 2017-06-21 | $25.38 | $25.09 | -1.18% | 6 | |
| 2017-06-12 | 2017-06-13 | $23.93 | $25.06 | 0.27% | 2 | |
| 2017-06-07 | 2017-06-09 | $23.98 | $23.82 | 4.65% | 3 | |
| 2017-06-01 | 2017-06-02 | $22.69 | $22.66 | -0.39% | 2 | |
| 2017-05-02 | 2017-05-03 | $21.26 | $20.73 | -1.42% | 2 | |
| 2017-04-17 | 2017-04-18 | $20.10 | $20.02 | -1.04% | 2 | |
| 2017-04-06 | 2017-04-07 | $19.91 | $20.17 | 1.05% | 2 | |
| 2017-04-04 | 2017-04-05 | $20.25 | $19.67 | 1.53% | 2 | |
| 2017-03-28 | 2017-03-29 | $18.50 | $18.49 | 2.47% | 2 | |
| 2017-02-10 | 2017-02-23 | $17.95 | $17.07 | 1.40% | 9 | |
| 2017-01-20 | 2017-01-23 | $16.32 | $16.59 | 0.20% | 2 | |
| 2017-01-17 | 2017-01-18 | $15.71 | $15.89 | -1.11% | 2 | |
| 2017-01-05 | 2017-01-06 | $15.12 | $15.27 | -0.31% | 2 | |
| 2016-12-22 | 2016-12-23 | $13.90 | $14.22 | 0.16% | 2 | |
| 2016-12-14 | 2016-12-15 | $13.25 | $13.17 | 0.07% | 2 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-12 | 2016-04-13 | $16.52 | $16.97 | -1.04% | 2 | |
| 2016-04-07 | 2016-04-08 | $17.15 | $16.67 | -3.29% | 2 | |
| 2016-04-05 | 2016-04-06 | $17.03 | $17.69 | 3.23% | 2 | |
| 2015-12-17 | 2015-12-18 | $15.56 | $15.36 | -0.68% | 2 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-07-06 | 2015-07-07 | $18.65 | $17.86 | -0.31% | 2 | |
| 2015-06-29 | 2015-06-30 | $17.47 | $17.88 | -2.10% | 2 | |
| 2015-06-24 | 2015-06-25 | $17.68 | $17.92 | -1.13% | 2 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.37% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.31% | 2 | |
| 2015-05-13 | 2015-05-14 | $16.21 | $16.27 | -0.84% | 2 | |
| 2015-04-29 | 2015-04-30 | $15.50 | $15.07 | 0.65% | 2 | |
| 2015-04-23 | 2015-04-24 | $14.57 | $14.56 | -0.58% | 2 | |
| 2015-02-13 | 2015-02-17 | $13.58 | $13.62 | 0.24% | 2 | |
| 2015-02-11 | 2015-02-12 | $14.19 | $13.53 | -1.81% | 2 | |
| 2014-09-05 | 2014-09-08 | $18.49 | $18.81 | -3.22% | 2 | |
| 2014-09-03 | 2014-09-04 | $18.75 | $19.07 | -1.23% | 2 | |
| 2014-08-12 | 2014-08-13 | $17.33 | $17.35 | 0.05% | 2 | |
| 2014-08-07 | 2014-08-08 | $16.83 | $16.54 | 1.19% | 2 | |
| 2014-07-03 | 2014-07-07 | $15.28 | $14.84 | -0.28% | 2 |