Strategy Zoo / S0629
PriceMomentum_V0629
ARCHIVEDhybridstructuralrestricted to trend regimes ['SIDEWAYS']
Fitness
0.2073
Generation
29
Complexity
3
Created
2026-09-24
Lineage
Parents (1)
logic of PriceMomentum_V0450 with risk overlay of LongTermTrend_V0561
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0629 [hybrid]
require regime.trend in ['SIDEWAYS']
if flat and ret_20d > 0.05:
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -0.6% | 8.1% | -0.5% | 1.1% |
| Total Return | -4.9% | 26.3% | -1.7% | 18.1% |
| Sharpe | 0.04 | 0.56 | 0.05 | 0.15 |
| Sortino | 0.02 | 0.30 | 0.03 | 0.08 |
| Calmar | -0.01 | 0.55 | -0.02 | 0.03 |
| Volatility | 15.7% | 16.1% | 15.8% | 15.8% |
| Max DD | -42.8% | -14.7% | -23.0% | -42.8% |
| Win Rate | 41.5% | 63.6% | 35.3% | 43.5% |
| Avg Win | 5.7% | 6.6% | 8.6% | 6.5% |
| Avg Loss | -4.0% | -4.7% | -4.4% | -4.2% |
| Payoff | 1.45 | 1.40 | 1.94 | 1.56 |
| Expectancy | 0.1% | 2.5% | 0.2% | 0.5% |
| Profit Factor | 1.03 | 2.44 | 1.06 | 1.20 |
| Trades | 41 | 11 | 17 | 69 |
| Avg Holding Days | 7.0 | 8.6 | 8.3 | 7.6 |
| Turnover | 10.3 | 7.3 | 9.2 | 9.4 |
| Exposure | 12.2% | 11.1% | 13.3% | 12.2% |
Growth of $100
PriceMomentum_V0629 vs TSLA Buy & Hold
PriceMomentum_V0629 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 | -7.6% | -0.62 | -10.7% | 5 |
| 2017 | 3.6% | 0.51 | -5.4% | 3 |
| 2018 | -0.7% | 0.02 | -8.0% | 9 |
| 2019 | -2.5% | 0.04 | -24.9% | 5 |
| 2020 | 0.1% | 0.09 | -12.5% | 1 |
| 2021 | -0.1% | 0.07 | -14.7% | 5 |
| 2022 | 26.4% | 1.50 | -5.4% | 5 |
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 | -2.5% | -1.21 | 1% |
| hidden test | EXPENSIVE | 83 | 8.9% | 0.95 | 6% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | 9.7% | 0.61 | 6% |
| hidden test | LOW VOLATILITY | 430 | 14.5% | 0.92 | 18% |
| hidden test | MEDIUM VOLATILITY | 250 | -32.0% | -2.06 | 12% |
| hidden test | NORMAL | 803 | -0.0% | -0.00 | 15% |
| hidden test | SIDEWAYS | 293 | -2.9% | -0.11 | 39% |
| hidden test | UPTREND | 371 | 6.0% | 0.74 | 2% |
| train | DOWNTREND | 518 | -10.9% | -1.17 | 2% |
| train | EXPENSIVE | 311 | 17.7% | 1.80 | 9% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 5.4% | 0.30 | 10% |
| train | LOW VOLATILITY | 745 | 5.2% | 0.43 | 14% |
| train | MEDIUM VOLATILITY | 568 | -11.3% | -0.67 | 13% |
| train | NORMAL | 1,601 | -2.7% | -0.16 | 14% |
| train | SIDEWAYS | 592 | -7.0% | -0.29 | 37% |
| train | UPTREND | 902 | 12.2% | 1.10 | 2% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 2.2% | 0.11 | 8% |
| validation | HIGH VOLATILITY | 258 | 5.5% | 0.36 | 5% |
| validation | LOW VOLATILITY | 183 | 9.9% | 0.69 | 19% |
| validation | MEDIUM VOLATILITY | 315 | 11.5% | 0.66 | 11% |
| validation | NORMAL | 474 | 13.8% | 0.80 | 15% |
| validation | SIDEWAYS | 206 | 16.2% | 0.55 | 38% |
| validation | UPTREND | 425 | 8.3% | 1.42 | 1% |
Trades (full period)
69 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -3.38% | 2 | |
| 2026-06-01 | 2026-06-08 | $415.88 | $408.95 | -10.46% | 6 | |
| 2026-05-08 | 2026-05-29 | $428.35 | $435.79 | 7.15% | 15 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2025-09-05 | 2025-09-12 | $350.84 | $395.94 | 8.73% | 6 | |
| 2025-08-25 | 2025-09-04 | $346.60 | $338.53 | -1.94% | 8 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.30% | 8 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.37% | 2 | |
| 2025-05-12 | 2025-05-22 | $318.38 | $341.04 | 11.97% | 9 | |
| 2024-09-27 | 2024-10-03 | $260.46 | $240.66 | -2.24% | 5 | |
| 2024-06-25 | 2024-07-02 | $187.35 | $231.26 | 14.71% | 6 | |
| 2024-06-18 | 2024-06-21 | $184.86 | $183.01 | -3.33% | 3 | |
| 2023-11-17 | 2024-01-03 | $234.30 | $238.45 | 6.14% | 31 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -12.27% | 13 | |
| 2023-05-31 | 2023-06-02 | $203.93 | $213.97 | 2.96% | 3 | |
| 2023-04-10 | 2023-04-13 | $184.51 | $185.90 | -2.64% | 4 | |
| 2023-02-10 | 2023-03-08 | $196.89 | $182.00 | -9.64% | 18 | |
| 2022-08-22 | 2022-08-29 | $289.91 | $284.82 | -3.09% | 6 | |
| 2022-08-08 | 2022-08-16 | $290.42 | $306.56 | 7.13% | 7 | |
| 2022-08-02 | 2022-08-05 | $300.59 | $288.17 | 3.61% | 4 | |
| 2022-03-22 | 2022-04-05 | $331.33 | $363.75 | 24.11% | 11 | |
| 2022-01-20 | 2022-01-24 | $332.09 | $310.00 | -5.39% | 3 | |
| 2021-08-23 | 2021-08-24 | $235.43 | $236.16 | 3.62% | 2 | |
| 2021-08-04 | 2021-08-05 | $236.97 | $238.21 | -0.03% | 2 | |
| 2021-06-14 | 2021-07-23 | $205.90 | $214.46 | 6.24% | 29 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -10.34% | 15 | |
| 2021-04-05 | 2021-04-08 | $230.35 | $227.93 | 1.19% | 4 | |
| 2020-04-30 | 2020-05-15 | $52.13 | $53.28 | 0.15% | 12 | |
| 2019-10-22 | 2019-10-25 | $17.04 | $21.88 | 17.98% | 4 | |
| 2019-10-15 | 2019-10-21 | $17.19 | $16.90 | -0.20% | 5 | |
| 2019-09-12 | 2019-09-27 | $16.39 | $16.14 | -2.03% | 12 | |
| 2019-07-22 | 2019-08-02 | $17.05 | $15.62 | -9.61% | 10 | |
| 2019-02-28 | 2019-03-04 | $21.33 | $19.02 | -6.52% | 3 | |
| 2018-11-20 | 2018-11-27 | $23.17 | $22.93 | -2.31% | 5 | |
| 2018-10-29 | 2018-11-19 | $22.32 | $23.56 | 6.86% | 16 | |
| 2018-08-28 | 2018-08-31 | $20.79 | $20.11 | -5.24% | 4 | |
| 2018-07-05 | 2018-07-06 | $20.61 | $20.59 | -0.75% | 2 | |
| 2018-06-12 | 2018-06-15 | $22.85 | $23.88 | 7.50% | 4 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -7.18% | 5 | |
| 2018-02-06 | 2018-02-07 | $22.26 | $23.00 | 0.05% | 2 | |
| 2018-01-22 | 2018-02-01 | $23.44 | $23.28 | 1.02% | 9 | |
| 2018-01-09 | 2018-01-12 | $22.25 | $22.41 | 0.26% | 4 | |
| 2017-12-12 | 2017-12-26 | $22.74 | $21.15 | -1.32% | 10 | |
| 2017-08-25 | 2017-09-05 | $23.20 | $23.31 | 0.50% | 7 | |
| 2016-12-28 | 2017-01-05 | $14.65 | $15.12 | 3.19% | 6 | |
| 2016-10-04 | 2016-10-06 | $14.09 | $13.40 | -2.65% | 3 | |
| 2016-07-19 | 2016-07-26 | $15.02 | $15.30 | 1.46% | 6 | |
| 2016-06-09 | 2016-06-21 | $15.29 | $14.64 | -6.91% | 9 | |
| 2016-03-28 | 2016-04-05 | $15.35 | $17.03 | 8.23% | 7 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -4.55% | 4 | |
| 2015-12-02 | 2015-12-03 | $15.47 | $15.51 | -2.39% | 2 | |
| 2015-11-09 | 2015-11-11 | $15.02 | $14.61 | -7.01% | 3 | |
| 2015-09-21 | 2015-09-30 | $17.61 | $16.56 | -5.55% | 8 | |
| 2015-05-01 | 2015-05-11 | $15.07 | $15.97 | 4.46% | 7 | |
| 2015-04-28 | 2015-04-29 | $15.37 | $15.50 | -0.66% | 2 | |
| 2015-04-14 | 2015-04-21 | $13.83 | $13.96 | -2.35% | 6 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -4.44% | 15 | |
| 2014-06-09 | 2014-06-23 | $13.69 | $15.81 | 10.07% | 11 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -3.44% | 5 | |
| 2014-01-15 | 2014-01-24 | $10.94 | $11.64 | 12.32% | 7 | |
| 2013-12-13 | 2014-01-14 | $9.84 | $10.75 | -5.70% | 21 | |
| 2012-12-14 | 2012-12-18 | $2.25 | $2.31 | 2.15% | 3 | |
| 2012-11-06 | 2012-11-23 | $2.08 | $2.14 | 2.87% | 13 | |
| 2012-09-18 | 2012-09-21 | $2.09 | $2.00 | -5.23% | 4 | |
| 2012-08-24 | 2012-08-29 | $1.97 | $1.89 | -6.83% | 4 | |
| 2012-06-28 | 2012-07-20 | $2.09 | $2.12 | 0.77% | 16 | |
| 2012-06-19 | 2012-06-27 | $2.14 | $2.13 | -0.92% | 7 | |
| 2012-02-22 | 2012-02-23 | $2.28 | $2.30 | -1.01% | 2 | |
| 2012-02-02 | 2012-02-21 | $2.02 | $2.30 | 17.99% | 13 |