Strategy Zoo / S0623

PriceMomentum_V0623

ARCHIVEDmomentum

structuralreplaced exit rule with: ret_60d < 0.2424

Fitness

0.5664

Generation

Complexity

Created

2026-09-23

Lineage

Parents (1)

PriceMomentum_V0570S0570 · gen 26ARCHIVEDstructural

restricted to bubble regimes ['EXPENSIVE', 'EXTREME']

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0623  [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and ret_20d > 0.05:
    position = 1.0
if long and ret_60d < 0.2424:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	22.6%	61.2%	7.8%	25.7%
Total Return	408.8%	318.7%	31.9%	2792.3%
Sharpe	1.00	1.25	0.48	0.94
Sortino	0.71	0.98	0.31	0.60
Calmar	0.87	1.19	0.27	0.50
Volatility	22.8%	47.1%	19.5%	28.9%
Max DD	-26.0%	-51.5%	-28.3%	-51.5%
Win Rate	48.5%	78.6%	75.0%	58.8%
Avg Win	21.2%	18.2%	11.8%	19.6%
Avg Loss	-1.8%	-1.2%	-4.7%	-1.9%
Payoff	10.00	10.00	2.51	10.00
Expectancy	9.3%	14.1%	7.7%	10.8%
Profit Factor	10.00	10.00	7.53	10.00
Trades	33	14	4	51
Avg Holding Days	9.3	17.9	27.8	13.3
Turnover	8.4	9.3	2.2	6.9
Exposure	14.1%	31.3%	11.5%	17.0%

Growth of $100

PriceMomentum_V0623 vs TSLA Buy & Hold

PriceMomentum_V0623 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	0.0%	0.00	0.0%	0
2017	-1.4%	0.01	-15.7%	23
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	273.6%	2.07	-51.5%	13
2021	7.7%	0.48	-10.9%	1
2022	0.0%	0.00	0.0%	0

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	0.0%	0.00	0%
hidden test	EXPENSIVE	83	15.3%	0.35	69%
hidden test	EXTREME	48	185.0%	2.93	100%
hidden test	HIGH VOLATILITY	254	24.2%	0.90	18%
hidden test	LOW VOLATILITY	429	19.1%	2.02	4%
hidden test	MEDIUM VOLATILITY	250	-22.4%	-0.97	17%
hidden test	NORMAL	802	-1.8%	-0.80	0%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	23.6%	0.76	29%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	28.0%	0.76	57%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	47.9%	1.50	17%
train	LOW VOLATILITY	745	13.0%	1.08	12%
train	MEDIUM VOLATILITY	568	5.1%	0.26	13%
train	NORMAL	1,601	-2.7%	-0.83	0%
train	SIDEWAYS	592	0.0%	0.00	0%
train	UPTREND	902	51.0%	1.50	31%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	-19.0%	-0.29	81%
validation	EXTREME	144	330.1%	3.88	86%
validation	HIGH VOLATILITY	258	81.3%	1.16	43%
validation	LOW VOLATILITY	183	10.5%	0.53	16%
validation	MEDIUM VOLATILITY	315	68.7%	2.11	31%
validation	NORMAL	474	-0.8%	-0.78	0%
validation	SIDEWAYS	206	-0.1%	-1.11	0%
validation	UPTREND	425	104.9%	1.67	56%

Trades (full period)

51 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-19	2025-11-13	$426.07	$401.99	3.09%	40
2025-09-15	2025-09-18	$410.04	$416.85	7.35%	4
2025-05-28	2025-06-02	$356.90	$342.69	-4.72%	4
2024-11-07	2025-02-10	$296.91	$350.73	25.08%	63
2020-11-30	2021-02-19	$189.20	$260.43	34.15%	56
2020-11-25	2020-11-27	$191.33	$195.25	3.15%	2
2020-11-23	2020-11-24	$173.95	$185.13	6.38%	2
2020-11-19	2020-11-20	$166.42	$163.20	2.39%	2
2020-06-03	2020-11-11	$58.86	$139.04	132.28%	114
2020-06-01	2020-06-02	$59.87	$58.77	7.35%	2
2020-05-28	2020-05-29	$53.72	$55.67	-1.96%	2
2020-05-26	2020-05-27	$54.59	$54.68	0.04%	2
2020-05-21	2020-05-22	$55.17	$54.46	1.27%	2
2020-05-19	2020-05-20	$53.87	$54.37	-0.89%	2
2020-05-15	2020-05-18	$53.28	$54.24	-0.72%	2
2020-04-23	2020-04-29	$47.04	$53.37	4.84%	5
2020-04-14	2020-04-22	$47.33	$48.81	5.29%	7
2019-12-17	2020-03-17	$25.27	$28.68	16.43%	62
2017-09-20	2017-09-21	$24.93	$24.43	-0.52%	2
2017-09-18	2017-09-19	$25.67	$25.01	1.17%	2
2017-08-18	2017-08-21	$23.16	$22.52	-1.47%	2
2017-08-16	2017-08-17	$24.19	$23.46	-0.04%	2
2017-08-14	2017-08-15	$24.25	$24.16	1.46%	2
2017-08-10	2017-08-11	$23.69	$23.86	-2.43%	2
2017-08-08	2017-08-09	$24.35	$24.24	2.63%	2
2017-08-04	2017-08-07	$23.79	$23.68	2.63%	2
2017-07-03	2017-07-05	$23.51	$21.81	-2.68%	2
2017-06-01	2017-06-30	$22.69	$24.11	5.58%	22
2017-05-17	2017-05-18	$20.41	$20.87	-3.63%	2
2017-05-15	2017-05-16	$21.06	$21.13	-2.95%	2
2017-05-11	2017-05-12	$21.54	$21.65	-0.85%	2
2017-05-01	2017-05-04	$21.52	$19.70	-1.17%	4
2017-04-27	2017-04-28	$20.58	$20.94	-0.70%	2
2017-04-25	2017-04-26	$20.92	$20.68	1.67%	2
2017-04-21	2017-04-24	$20.37	$20.54	0.82%	2
2017-04-19	2017-04-20	$20.37	$20.17	1.55%	2
2017-04-07	2017-04-18	$20.17	$20.02	0.72%	7
2017-04-04	2017-04-06	$20.25	$19.91	-1.38%	3
2017-03-28	2017-04-03	$18.50	$19.90	2.79%	5
2017-02-03	2017-02-28	$16.76	$16.67	-2.31%	17
2017-01-25	2017-01-31	$16.96	$16.80	-1.76%	5
2014-02-05	2014-04-11	$11.63	$13.59	14.01%	47
2014-02-03	2014-02-04	$11.81	$11.92	-2.57%	2
2014-01-30	2014-01-31	$12.19	$12.09	4.14%	2
2014-01-28	2014-01-29	$11.89	$11.68	4.96%	2
2014-01-24	2014-01-27	$11.64	$11.31	-4.00%	2
2013-04-11	2013-10-29	$2.91	$10.96	288.30%	141
2013-02-14	2013-02-15	$2.55	$2.47	-0.67%	2
2013-02-07	2013-02-12	$2.63	$2.53	-2.11%	4
2013-02-05	2013-02-06	$2.54	$2.61	0.83%	2
2013-01-24	2013-02-04	$2.47	$2.52	6.18%	8