Strategy Zoo / S0626
PriceMomentum_V0626
ARCHIVEDhybridcrossoverentry from PriceMomentum_V0298, exit from PriceMomentum_V0557
Fitness
0.6869
Generation
29
Complexity
12
Created
2026-09-24
Lineage
Parents (2)
changed ret_20d threshold 0.05 -> 0.0923
reduce exposure to 55% during MEDIUM_VOLATILITY
Children (2)
Strategy Logic (pseudocode)
# PriceMomentum_V0626 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > 0.05 and cumret_252d > -0.1997)):
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 29.3% | 100.4% | 12.4% | 36.7% |
| Total Return | 677.2% | 705.4% | 54.0% | 9823.2% |
| Sharpe | 0.98 | 1.64 | 0.53 | 1.05 |
| Sortino | 1.02 | 1.69 | 0.42 | 1.00 |
| Calmar | 0.56 | 2.14 | 0.35 | 0.71 |
| Volatility | 30.8% | 50.1% | 31.8% | 35.9% |
| Max DD | -51.9% | -46.9% | -34.9% | -51.9% |
| Win Rate | 54.8% | 46.2% | 60.0% | 54.2% |
| Avg Win | 27.5% | 63.6% | 11.9% | 32.3% |
| Avg Loss | -6.5% | -8.7% | -8.9% | -7.6% |
| Payoff | 4.27 | 7.34 | 1.34 | 4.26 |
| Expectancy | 12.2% | 24.7% | 3.6% | 14.0% |
| Profit Factor | 5.18 | 6.29 | 2.01 | 5.05 |
| Trades | 31 | 13 | 15 | 59 |
| Avg Holding Days | 26.6 | 29.6 | 18.6 | 26.1 |
| Turnover | 7.9 | 8.7 | 8.4 | 8.1 |
| Exposure | 41.8% | 49.2% | 30.6% | 40.5% |
Growth of $100
PriceMomentum_V0626 vs TSLA Buy & Hold
PriceMomentum_V0626 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 | 11.3% | 0.78 | -20.9% | 6 |
| 2017 | 22.2% | 0.84 | -27.7% | 3 |
| 2018 | -31.5% | -1.16 | -39.2% | 7 |
| 2019 | 49.9% | 2.27 | -8.5% | 2 |
| 2020 | 692.3% | 3.19 | -33.7% | 4 |
| 2021 | 43.0% | 1.20 | -24.4% | 3 |
| 2022 | -32.0% | -1.27 | -39.7% | 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 | 270 | -11.3% | -0.50 | 23% |
| hidden test | EXPENSIVE | 83 | 77.7% | 1.68 | 69% |
| hidden test | EXTREME | 48 | 210.8% | 3.53 | 75% |
| hidden test | HIGH VOLATILITY | 254 | -18.5% | -0.44 | 38% |
| hidden test | LOW VOLATILITY | 430 | 43.0% | 2.05 | 23% |
| hidden test | MEDIUM VOLATILITY | 250 | 7.3% | 0.21 | 37% |
| hidden test | NORMAL | 803 | -1.2% | -0.04 | 24% |
| hidden test | SIDEWAYS | 293 | -4.2% | -0.28 | 3% |
| hidden test | UPTREND | 371 | 53.7% | 1.20 | 58% |
| train | DOWNTREND | 518 | 15.7% | 1.12 | 15% |
| train | EXPENSIVE | 311 | 50.4% | 1.29 | 70% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 54.4% | 1.36 | 35% |
| train | LOW VOLATILITY | 745 | 28.5% | 1.28 | 48% |
| train | MEDIUM VOLATILITY | 568 | 3.1% | 0.11 | 41% |
| train | NORMAL | 1,601 | 2.3% | 0.10 | 33% |
| train | SIDEWAYS | 592 | -4.6% | -0.38 | 4% |
| train | UPTREND | 902 | 61.7% | 1.42 | 82% |
| validation | DOWNTREND | 125 | 40.5% | 1.83 | 14% |
| validation | EXPENSIVE | 138 | 63.9% | 1.10 | 80% |
| validation | EXTREME | 144 | 376.0% | 4.56 | 88% |
| validation | HIGH VOLATILITY | 258 | 118.9% | 1.76 | 49% |
| validation | LOW VOLATILITY | 183 | 35.0% | 1.39 | 50% |
| validation | MEDIUM VOLATILITY | 315 | 79.3% | 1.82 | 49% |
| validation | NORMAL | 474 | -1.8% | -0.06 | 29% |
| validation | SIDEWAYS | 206 | -25.9% | -1.55 | 4% |
| validation | UPTREND | 425 | 146.7% | 2.28 | 81% |
Trades (full period)
60 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 4.31% | 22 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-05 | 2026-05-08 | $389.37 | $428.35 | 4.70% | 4 | |
| 2025-12-15 | 2026-01-13 | $475.31 | $447.20 | -2.37% | 20 | |
| 2025-09-12 | 2025-11-21 | $395.94 | $391.09 | 6.96% | 51 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2025-04-30 | 2025-05-12 | $282.16 | $318.38 | 1.93% | 9 | |
| 2025-04-10 | 2025-04-23 | $252.40 | $250.74 | -12.76% | 9 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 43.14% | 48 | |
| 2024-10-03 | 2024-10-22 | $240.66 | $217.97 | -12.29% | 14 | |
| 2024-09-05 | 2024-09-27 | $230.17 | $260.46 | 15.64% | 17 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 3.14% | 23 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2023-06-02 | 2023-08-03 | $213.97 | $259.32 | 22.21% | 43 | |
| 2023-05-24 | 2023-05-31 | $182.90 | $203.93 | 8.07% | 5 | |
| 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 | |
| 2022-06-24 | 2022-07-05 | $245.71 | $233.07 | -3.51% | 7 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -17.18% | 12 | |
| 2021-08-24 | 2021-12-03 | $236.16 | $338.32 | 53.25% | 72 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 46.53% | 64 | |
| 2020-10-07 | 2020-11-13 | $141.77 | $136.17 | -0.73% | 28 | |
| 2020-05-15 | 2020-09-30 | $53.28 | $143.00 | 160.31% | 96 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-05 | $21.88 | $48.30 | 149.62% | 90 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 5.72% | 13 | |
| 2019-07-16 | 2019-07-22 | $16.83 | $17.05 | 1.64% | 5 | |
| 2018-11-29 | 2018-12-26 | $22.74 | $21.74 | -15.26% | 18 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-08-27 | 2018-08-28 | $21.28 | $20.79 | -1.30% | 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 | |
| 2018-04-27 | 2018-06-12 | $19.61 | $22.85 | 16.10% | 32 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-09-18 | 2017-10-25 | $25.67 | $21.72 | -11.36% | 28 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | 1.44% | 15 | |
| 2017-01-05 | 2017-07-07 | $15.12 | $20.88 | 35.78% | 127 | |
| 2016-12-20 | 2016-12-28 | $13.92 | $14.65 | 8.07% | 6 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -6.63% | 26 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-05-05 | $17.03 | $14.10 | -10.07% | 23 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 2.12% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 18.67% | 12 | |
| 2015-12-03 | 2015-12-29 | $15.51 | $15.81 | -1.51% | 18 | |
| 2015-11-30 | 2015-12-02 | $15.35 | $15.47 | 2.20% | 3 | |
| 2015-05-11 | 2015-08-12 | $15.97 | $15.88 | 0.12% | 66 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-24 | 2015-04-28 | $14.56 | $15.37 | 5.71% | 3 | |
| 2015-04-13 | 2015-04-14 | $13.99 | $13.83 | -0.73% | 2 | |
| 2014-06-23 | 2014-10-01 | $15.81 | $16.02 | 5.49% | 71 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 21.21% | 43 | |
| 2013-03-26 | 2013-10-24 | $2.52 | $11.54 | 337.44% | 149 | |
| 2012-12-18 | 2013-03-20 | $2.31 | $2.40 | 1.77% | 63 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-02-23 | 2012-04-25 | $2.30 | $2.19 | -7.20% | 44 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |