Strategy Zoo / S0628
PriceMomentum_V0628
ARCHIVEDmomentumcrossoverlogic of PriceMomentum_V0593 with risk overlay of PriceMomentum_V0498
Fitness
0.6260
Generation
29
Complexity
3
Created
2026-09-24
Lineage
Parents (2)
entry from PriceMomentum_V0028, exit from PriceMomentum_V0227
changed ret_20d threshold -0.03 -> -0.1766
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0628 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.05:
position = 1.0
if long and ret_20d < -0.1766:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 29.5% | 71.8% | 41.1% | 40.5% |
| Total Return | 687.1% | 407.4% | 258.7% | 14649.5% |
| Sharpe | 0.92 | 1.30 | 1.03 | 1.04 |
| Sortino | 1.02 | 1.38 | 1.17 | 1.13 |
| Calmar | 0.55 | 1.28 | 0.93 | 0.72 |
| Volatility | 34.4% | 52.1% | 42.0% | 40.5% |
| Max DD | -53.4% | -56.3% | -44.0% | -56.3% |
| Win Rate | 50.0% | 50.0% | 68.8% | 54.8% |
| Avg Win | 28.8% | 52.5% | 16.6% | 30.8% |
| Avg Loss | -7.3% | -10.5% | -8.1% | -8.2% |
| Payoff | 3.93 | 4.99 | 2.04 | 3.78 |
| Expectancy | 10.7% | 21.0% | 8.9% | 13.2% |
| Profit Factor | 3.93 | 4.99 | 4.48 | 4.59 |
| Trades | 34 | 12 | 16 | 62 |
| Avg Holding Days | 30.1 | 34.7 | 24.8 | 30.4 |
| Turnover | 8.6 | 8.0 | 8.9 | 8.5 |
| Exposure | 51.5% | 53.4% | 43.3% | 49.8% |
Growth of $100
PriceMomentum_V0628 vs TSLA Buy & Hold
PriceMomentum_V0628 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 | 8.2% | 0.57 | -25.1% | 6 |
| 2017 | 37.7% | 1.19 | -19.5% | 2 |
| 2018 | -26.7% | -0.69 | -38.6% | 8 |
| 2019 | 33.0% | 1.29 | -22.1% | 4 |
| 2020 | 536.7% | 2.83 | -33.8% | 3 |
| 2021 | 16.1% | 0.58 | -26.9% | 3 |
| 2022 | -34.3% | -1.28 | -40.2% | 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 | 67.6% | 1.48 | 44% |
| hidden test | EXPENSIVE | 83 | 123.1% | 1.82 | 84% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 110.3% | 1.75 | 54% |
| hidden test | LOW VOLATILITY | 430 | 31.5% | 1.25 | 35% |
| hidden test | MEDIUM VOLATILITY | 250 | -5.3% | -0.14 | 46% |
| hidden test | NORMAL | 803 | 26.3% | 0.72 | 36% |
| hidden test | SIDEWAYS | 293 | -2.9% | -0.19 | 4% |
| hidden test | UPTREND | 371 | 61.6% | 1.18 | 73% |
| train | DOWNTREND | 518 | 14.3% | 0.55 | 39% |
| train | EXPENSIVE | 311 | 44.1% | 0.99 | 80% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 52.2% | 1.19 | 43% |
| train | LOW VOLATILITY | 745 | 36.3% | 1.44 | 60% |
| train | MEDIUM VOLATILITY | 568 | 0.3% | 0.01 | 51% |
| train | NORMAL | 1,601 | 5.3% | 0.19 | 43% |
| train | SIDEWAYS | 592 | 1.5% | 0.10 | 5% |
| train | UPTREND | 902 | 61.5% | 1.34 | 89% |
| validation | DOWNTREND | 125 | 48.7% | 1.87 | 22% |
| validation | EXPENSIVE | 138 | 54.7% | 0.92 | 83% |
| validation | EXTREME | 144 | 349.1% | 4.10 | 90% |
| validation | HIGH VOLATILITY | 258 | 91.3% | 1.30 | 54% |
| validation | LOW VOLATILITY | 183 | 25.6% | 0.99 | 51% |
| validation | MEDIUM VOLATILITY | 315 | 72.9% | 1.60 | 54% |
| validation | NORMAL | 474 | -14.0% | -0.44 | 34% |
| validation | SIDEWAYS | 206 | -31.0% | -1.80 | 4% |
| validation | UPTREND | 425 | 121.2% | 1.81 | 87% |
Trades (full period)
63 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 9.68% | 23 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-21 | 2026-05-08 | $386.42 | $428.35 | 4.70% | 14 | |
| 2025-09-12 | 2026-01-13 | $395.94 | $447.20 | 21.50% | 85 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-07 | 2025-08-11 | $322.27 | $339.03 | 2.84% | 3 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2025-04-08 | 2025-05-12 | $221.86 | $318.38 | 27.59% | 24 | |
| 2024-10-03 | 2025-02-12 | $240.66 | $336.51 | 31.65% | 90 | |
| 2024-09-04 | 2024-09-27 | $219.41 | $260.46 | 20.48% | 18 | |
| 2024-07-02 | 2024-08-06 | $231.26 | $200.64 | -5.41% | 25 | |
| 2024-04-15 | 2024-05-29 | $161.48 | $176.19 | 3.12% | 32 | |
| 2024-02-26 | 2024-03-18 | $199.40 | $173.80 | -14.96% | 16 | |
| 2023-06-02 | 2023-08-16 | $213.97 | $225.60 | 12.04% | 52 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 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 | |
| 2022-06-22 | 2022-08-02 | $236.09 | $300.59 | 25.16% | 29 | |
| 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 | 2021-12-21 | $236.16 | $312.84 | 27.16% | 84 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-11-19 | 2021-02-24 | $166.42 | $247.34 | 43.32% | 65 | |
| 2020-05-15 | 2020-11-13 | $53.28 | $136.17 | 155.77% | 128 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-10 | $21.88 | $43.02 | 102.50% | 93 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 5.72% | 13 | |
| 2019-06-18 | 2019-07-22 | $14.98 | $17.05 | 14.50% | 24 | |
| 2019-04-04 | 2019-05-02 | $17.85 | $16.27 | -19.97% | 20 | |
| 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 | |
| 2018-10-04 | 2018-10-26 | $18.79 | $22.06 | 6.59% | 17 | |
| 2018-08-22 | 2018-08-28 | $21.44 | $20.79 | -1.02% | 5 | |
| 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 | |
| 2017-01-05 | 2017-08-24 | $15.12 | $23.53 | 55.10% | 161 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 10.57% | 10 | |
| 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 | 2016-05-06 | $17.03 | $14.33 | -14.53% | 24 | |
| 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 | |
| 2015-11-19 | 2015-12-02 | $14.79 | $15.47 | 7.08% | 9 | |
| 2015-05-11 | 2015-08-18 | $15.97 | $17.38 | 7.55% | 70 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-23 | 2015-04-28 | $14.57 | $15.37 | 5.31% | 4 | |
| 2015-02-10 | 2015-04-14 | $14.42 | $13.83 | -3.73% | 44 | |
| 2014-06-23 | 2014-10-22 | $15.81 | $15.41 | 2.30% | 86 | |
| 2014-01-24 | 2014-03-28 | $11.64 | $14.16 | 13.99% | 45 | |
| 2012-12-18 | 2013-11-08 | $2.31 | $9.20 | 305.50% | 226 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-10-03 | 2012-10-15 | $1.95 | $1.82 | -7.44% | 9 | |
| 2012-08-30 | 2012-09-18 | $1.89 | $2.09 | 14.31% | 13 | |
| 2012-02-23 | 2012-05-04 | $2.30 | $2.12 | -5.33% | 51 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |