Strategy Zoo / S0619
PriceMomentum_V0619
ARCHIVEDhybridstructuralchanged ret_20d threshold -0.0017 -> 0.044; added entry filter: breakout_20 == 1
Fitness
0.6617
Generation
28
Complexity
4
Created
2026-09-23
Lineage
Parents (1)
logic of PriceMomentum_V0450 with risk overlay of LongTermTrend_V0561
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0619 [hybrid]
if flat and (ret_20d > 0.05 and breakout_20 == 1):
position = 1.0
if long and ret_20d < 0.044:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.3% | 97.2% | 19.3% | 32.4% |
| Total Return | 307.9% | 667.3% | 92.3% | 6097.3% |
| Sharpe | 0.74 | 1.65 | 0.70 | 0.98 |
| Sortino | 0.70 | 1.64 | 0.60 | 0.90 |
| Calmar | 0.37 | 2.88 | 0.49 | 0.63 |
| Volatility | 29.6% | 48.1% | 32.8% | 35.0% |
| Max DD | -51.4% | -33.7% | -39.7% | -51.4% |
| Win Rate | 34.0% | 66.7% | 27.3% | 38.1% |
| Avg Win | 22.2% | 29.7% | 25.7% | 25.8% |
| Avg Loss | -4.8% | -6.6% | -4.1% | -4.7% |
| Payoff | 4.66 | 4.50 | 6.32 | 5.47 |
| Expectancy | 4.4% | 17.6% | 4.0% | 6.9% |
| Profit Factor | 2.41 | 9.00 | 2.37 | 3.37 |
| Trades | 47 | 15 | 22 | 84 |
| Avg Holding Days | 16.1 | 23.4 | 14.9 | 17.2 |
| Turnover | 11.9 | 10.0 | 11.9 | 11.4 |
| Exposure | 35.7% | 44.4% | 32.7% | 36.7% |
Growth of $100
PriceMomentum_V0619 vs TSLA Buy & Hold
PriceMomentum_V0619 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 | 20.8% | 1.22 | -17.6% | 5 |
| 2017 | 22.5% | 1.03 | -14.2% | 7 |
| 2018 | -31.5% | -1.45 | -34.6% | 7 |
| 2019 | 18.7% | 0.70 | -23.3% | 4 |
| 2020 | 458.9% | 2.77 | -33.7% | 4 |
| 2021 | 29.9% | 0.93 | -26.1% | 8 |
| 2022 | 1.4% | 0.18 | -18.9% | 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 | 22.6% | 0.89 | 18% |
| hidden test | EXPENSIVE | 83 | 76.6% | 1.86 | 51% |
| hidden test | EXTREME | 48 | 183.4% | 3.26 | 63% |
| hidden test | HIGH VOLATILITY | 254 | 35.0% | 0.79 | 35% |
| hidden test | LOW VOLATILITY | 429 | 41.7% | 1.72 | 32% |
| hidden test | MEDIUM VOLATILITY | 250 | -21.0% | -0.66 | 32% |
| hidden test | NORMAL | 802 | 7.9% | 0.27 | 29% |
| hidden test | SIDEWAYS | 293 | -23.6% | -0.85 | 31% |
| hidden test | UPTREND | 371 | 60.3% | 1.49 | 44% |
| train | DOWNTREND | 518 | 7.7% | 0.67 | 10% |
| train | EXPENSIVE | 311 | 44.5% | 1.26 | 61% |
| train | EXTREME | 100 | 380.3% | 5.23 | 96% |
| train | HIGH VOLATILITY | 699 | 49.2% | 1.24 | 35% |
| train | LOW VOLATILITY | 745 | 28.5% | 1.35 | 44% |
| train | MEDIUM VOLATILITY | 568 | -20.4% | -0.86 | 25% |
| train | NORMAL | 1,601 | -4.9% | -0.22 | 27% |
| train | SIDEWAYS | 592 | -13.5% | -0.59 | 27% |
| train | UPTREND | 902 | 53.3% | 1.36 | 56% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 72.3% | 1.36 | 51% |
| validation | EXTREME | 144 | 317.0% | 3.86 | 90% |
| validation | HIGH VOLATILITY | 258 | 87.5% | 1.33 | 43% |
| validation | LOW VOLATILITY | 183 | 21.4% | 1.00 | 39% |
| validation | MEDIUM VOLATILITY | 315 | 106.8% | 2.54 | 49% |
| validation | NORMAL | 474 | 9.5% | 0.35 | 29% |
| validation | SIDEWAYS | 206 | 4.7% | 0.17 | 31% |
| validation | UPTREND | 425 | 133.7% | 2.21 | 63% |
Trades (full period)
84 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-18 | $348.95 | $364.27 | 0.71% | 19 | |
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -5.23% | 21 | |
| 2026-04-20 | 2026-04-22 | $392.50 | $387.51 | -3.74% | 3 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-09-12 | 2025-10-15 | $395.94 | $435.15 | 16.16% | 24 | |
| 2025-08-26 | 2025-09-10 | $351.67 | $347.79 | -0.09% | 11 | |
| 2025-08-12 | 2025-08-18 | $340.84 | $335.16 | -2.69% | 5 | |
| 2025-05-12 | 2025-06-06 | $318.38 | $295.14 | -4.73% | 19 | |
| 2025-04-29 | 2025-05-02 | $292.03 | $287.21 | -2.07% | 4 | |
| 2024-11-07 | 2025-01-08 | $296.91 | $394.94 | 36.41% | 42 | |
| 2024-09-20 | 2024-10-11 | $238.25 | $217.80 | -2.31% | 16 | |
| 2024-09-06 | 2024-09-18 | $210.73 | $227.20 | -1.21% | 9 | |
| 2024-06-27 | 2024-08-01 | $197.42 | $216.86 | 17.94% | 25 | |
| 2024-06-18 | 2024-06-21 | $184.86 | $183.01 | -3.33% | 3 | |
| 2024-04-30 | 2024-05-08 | $183.28 | $174.72 | -8.56% | 7 | |
| 2024-02-29 | 2024-03-05 | $201.88 | $180.74 | -7.07% | 4 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -3.36% | 2 | |
| 2023-12-18 | 2023-12-21 | $252.08 | $254.50 | -2.70% | 4 | |
| 2023-11-29 | 2023-12-14 | $244.14 | $251.05 | -3.21% | 12 | |
| 2023-09-12 | 2023-09-26 | $267.48 | $244.12 | -9.90% | 11 | |
| 2023-05-19 | 2023-07-21 | $180.14 | $260.02 | 48.33% | 43 | |
| 2023-01-25 | 2023-03-07 | $144.43 | $187.71 | 34.42% | 29 | |
| 2022-07-22 | 2022-08-29 | $272.24 | $284.82 | 5.82% | 27 | |
| 2022-03-22 | 2022-04-21 | $331.33 | $336.26 | 5.88% | 22 | |
| 2022-01-04 | 2022-01-06 | $383.20 | $354.90 | -9.49% | 3 | |
| 2021-10-08 | 2021-11-29 | $261.83 | $379.00 | 36.05% | 36 | |
| 2021-09-16 | 2021-10-06 | $252.33 | $260.92 | 3.07% | 15 | |
| 2021-09-08 | 2021-09-13 | $251.29 | $247.67 | -2.41% | 4 | |
| 2021-08-13 | 2021-08-18 | $239.06 | $229.66 | -8.01% | 4 | |
| 2021-08-04 | 2021-08-10 | $236.97 | $236.66 | 0.37% | 5 | |
| 2021-06-24 | 2021-07-20 | $226.61 | $220.17 | -1.77% | 18 | |
| 2021-04-14 | 2021-04-30 | $244.08 | $236.48 | -11.37% | 13 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-08-17 | 2020-09-24 | $122.38 | $129.26 | 14.99% | 28 | |
| 2020-06-01 | 2020-08-10 | $59.87 | $94.57 | 73.64% | 50 | |
| 2020-04-14 | 2020-05-27 | $47.33 | $54.68 | 25.56% | 31 | |
| 2019-12-17 | 2020-03-02 | $25.27 | $49.57 | 74.74% | 51 | |
| 2019-10-15 | 2019-11-25 | $17.19 | $22.42 | 29.35% | 30 | |
| 2019-09-12 | 2019-09-25 | $16.39 | $15.25 | -9.85% | 10 | |
| 2019-06-18 | 2019-07-26 | $14.98 | $15.20 | 1.48% | 28 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2018-12-14 | 2018-12-18 | $24.38 | $22.47 | -7.72% | 3 | |
| 2018-12-06 | 2018-12-10 | $24.20 | $24.34 | -0.68% | 3 | |
| 2018-10-29 | 2018-11-26 | $22.32 | $23.07 | -1.73% | 20 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-12 | 2018-07-06 | $22.85 | $20.59 | -7.09% | 18 | |
| 2018-06-07 | 2018-06-08 | $21.07 | $21.18 | -1.27% | 2 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -4.78% | 13 | |
| 2017-12-12 | 2017-12-21 | $22.74 | $22.11 | -0.18% | 8 | |
| 2017-09-18 | 2017-09-22 | $25.67 | $23.41 | -3.70% | 5 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-06-01 | 2017-07-05 | $22.69 | $21.81 | 3.20% | 24 | |
| 2017-05-11 | 2017-05-18 | $21.54 | $20.87 | -6.06% | 6 | |
| 2017-03-28 | 2017-05-04 | $18.50 | $19.70 | 14.87% | 27 | |
| 2016-12-14 | 2017-02-24 | $13.25 | $17.13 | 28.93% | 49 | |
| 2016-10-04 | 2016-10-05 | $14.09 | $13.90 | -1.27% | 2 | |
| 2016-07-26 | 2016-08-09 | $15.30 | $15.27 | -1.87% | 11 | |
| 2016-07-19 | 2016-07-20 | $15.02 | $15.22 | -0.64% | 2 | |
| 2016-06-08 | 2016-06-15 | $15.70 | $14.51 | -7.66% | 6 | |
| 2016-03-04 | 2016-04-20 | $13.40 | $16.66 | 26.13% | 33 | |
| 2015-12-02 | 2015-12-04 | $15.47 | $15.36 | -2.09% | 3 | |
| 2015-11-09 | 2015-11-11 | $15.02 | $14.61 | -7.01% | 3 | |
| 2015-09-22 | 2015-09-29 | $17.40 | $16.44 | -6.16% | 6 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-06-18 | 2015-07-09 | $17.46 | $17.19 | -2.29% | 15 | |
| 2015-04-23 | 2015-06-11 | $14.57 | $16.76 | 14.02% | 35 | |
| 2015-04-08 | 2015-04-17 | $13.84 | $13.79 | 1.50% | 8 | |
| 2014-11-12 | 2014-11-24 | $16.61 | $16.45 | -3.50% | 9 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-17 | 2014-07-16 | $15.44 | $14.48 | -2.43% | 21 | |
| 2014-01-15 | 2014-03-25 | $10.94 | $14.70 | 36.25% | 48 | |
| 2013-12-13 | 2014-01-03 | $9.84 | $9.97 | 1.58% | 14 | |
| 2013-07-02 | 2013-10-04 | $7.85 | $12.07 | 47.61% | 67 | |
| 2013-04-17 | 2013-06-26 | $3.03 | $7.05 | 124.16% | 50 | |
| 2013-04-02 | 2013-04-10 | $2.96 | $2.79 | -7.99% | 7 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2012-11-06 | 2012-12-28 | $2.08 | $2.21 | 6.74% | 37 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -5.23% | 4 | |
| 2012-07-16 | 2012-07-19 | $2.40 | $2.15 | -6.31% | 4 | |
| 2012-06-25 | 2012-06-27 | $2.21 | $2.13 | -6.64% | 3 | |
| 2012-06-19 | 2012-06-22 | $2.14 | $2.25 | 0.90% | 4 | |
| 2012-03-27 | 2012-04-09 | $2.53 | $2.21 | -7.99% | 9 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -3.00% | 4 | |
| 2012-02-02 | 2012-03-07 | $2.02 | $2.21 | 11.71% | 24 |