Strategy Zoo / S0644
PriceMomentum_V0644
ARCHIVEDmomentumparameterchanged ret_20d threshold -0.1766 -> -0.0991; changed ret_20d threshold 0.05 -> 0.1096
Fitness
0.6940
Generation
29
Complexity
4
Created
2026-09-24
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> -0.1766
Children (7)
Strategy Logic (pseudocode)
# PriceMomentum_V0644 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and ret_20d > 0.1096:
position = 1.0
if long and ret_20d < -0.0991:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.8% | 101.6% | 11.2% | 31.6% |
| Total Return | 351.5% | 719.2% | 48.0% | 5536.7% |
| Sharpe | 0.94 | 1.80 | 0.65 | 1.12 |
| Sortino | 0.66 | 1.50 | 0.39 | 0.76 |
| Calmar | 0.83 | 3.01 | 0.53 | 0.94 |
| Volatility | 22.9% | 44.4% | 18.9% | 27.9% |
| Max DD | -25.1% | -33.7% | -21.0% | -33.7% |
| Win Rate | 60.0% | 80.0% | 66.7% | 66.7% |
| Avg Win | 51.6% | 74.4% | 25.8% | 55.8% |
| Avg Loss | -3.8% | -0.7% | -4.7% | -3.5% |
| Payoff | 10.00 | 10.00 | 5.47 | 10.00 |
| Expectancy | 29.4% | 59.4% | 15.7% | 36.1% |
| Profit Factor | 10.00 | 10.00 | 10.00 | 10.00 |
| Trades | 10 | 5 | 3 | 18 |
| Avg Holding Days | 30.3 | 47.2 | 32.0 | 35.7 |
| Turnover | 2.6 | 3.3 | 1.6 | 2.5 |
| Exposure | 14.9% | 30.6% | 10.0% | 16.9% |
Growth of $100
PriceMomentum_V0644 vs TSLA Buy & Hold
PriceMomentum_V0644 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 | -4.5% | -0.06 | -25.1% | 6 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 3.4% | 0.65 | -3.8% | 0 |
| 2020 | 629.1% | 3.08 | -33.7% | 4 |
| 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 | 270 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 34.0% | 0.79 | 66% |
| hidden test | EXTREME | 48 | 210.8% | 3.53 | 75% |
| hidden test | HIGH VOLATILITY | 254 | 27.8% | 1.06 | 15% |
| hidden test | LOW VOLATILITY | 430 | 19.2% | 2.12 | 4% |
| hidden test | MEDIUM VOLATILITY | 250 | -15.2% | -0.69 | 15% |
| hidden test | NORMAL | 803 | -1.8% | -0.80 | 0% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 31.1% | 1.04 | 25% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 15.1% | 0.40 | 62% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 49.1% | 1.48 | 21% |
| train | LOW VOLATILITY | 745 | 7.2% | 0.71 | 10% |
| train | MEDIUM VOLATILITY | 568 | 5.9% | 0.31 | 14% |
| train | NORMAL | 1,601 | -2.0% | -0.87 | 0% |
| train | SIDEWAYS | 592 | 1.4% | 0.63 | 0% |
| train | UPTREND | 902 | 46.8% | 1.38 | 33% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 49.4% | 0.86 | 78% |
| validation | EXTREME | 144 | 374.9% | 4.55 | 85% |
| validation | HIGH VOLATILITY | 258 | 133.0% | 2.07 | 37% |
| validation | LOW VOLATILITY | 183 | 8.8% | 0.44 | 18% |
| validation | MEDIUM VOLATILITY | 315 | 77.8% | 2.34 | 32% |
| validation | NORMAL | 474 | -0.8% | -0.78 | 0% |
| validation | SIDEWAYS | 206 | 3.2% | 0.67 | 1% |
| validation | UPTREND | 425 | 140.7% | 2.39 | 54% |
Trades (full period)
18 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-15 | 2025-11-13 | $410.04 | $401.99 | 8.54% | 44 | |
| 2025-05-28 | 2025-06-02 | $356.90 | $342.69 | -4.72% | 4 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 43.14% | 48 | |
| 2020-11-19 | 2021-02-19 | $166.42 | $260.43 | 61.48% | 62 | |
| 2020-10-07 | 2020-11-13 | $141.77 | $136.17 | -0.73% | 28 | |
| 2020-05-20 | 2020-09-25 | $54.37 | $135.78 | 139.49% | 90 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-12-20 | 2020-03-05 | $27.04 | $48.30 | 85.13% | 51 | |
| 2017-09-20 | 2017-09-26 | $24.93 | $23.02 | -8.21% | 5 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | 1.44% | 15 | |
| 2017-04-07 | 2017-07-07 | $20.17 | $20.88 | 3.19% | 63 | |
| 2017-03-29 | 2017-04-06 | $18.49 | $19.91 | 6.11% | 7 | |
| 2017-02-07 | 2017-02-28 | $17.17 | $16.67 | -4.67% | 15 | |
| 2017-01-25 | 2017-01-31 | $16.96 | $16.80 | -1.76% | 5 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 21.21% | 43 | |
| 2013-04-12 | 2013-10-24 | $2.92 | $11.54 | 276.63% | 137 | |
| 2013-02-14 | 2013-02-15 | $2.55 | $2.47 | -0.67% | 2 | |
| 2013-01-29 | 2013-02-12 | $2.53 | $2.53 | 0.82% | 11 |