Strategy Zoo / S0653
PriceMomentum_V0653
ARCHIVEDmomentumstructuraladded entry filter: rsi_14 > 16.3634; replaced exit rule with: breakout_252 == 1
Fitness
0.3088
Generation
30
Complexity
6
Created
2026-09-24
Lineage
Parents (1)
changed ret_20d threshold -0.1766 -> -0.0991; changed ret_20d threshold 0.05 -> 0.1096
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0653 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (ret_20d > 0.1096 and rsi_14 > 16.3634):
position = 1.0
if long and breakout_252 == 1:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 12.3% | 25.4% | 4.1% | 12.9% |
| Total Return | 152.6% | 97.0% | 16.0% | 494.5% |
| Sharpe | 0.62 | 0.75 | 0.31 | 0.58 |
| Sortino | 0.40 | 0.55 | 0.20 | 0.36 |
| Calmar | 0.34 | 0.42 | 0.13 | 0.22 |
| Volatility | 23.0% | 42.9% | 18.4% | 27.4% |
| Max DD | -36.5% | -60.0% | -30.4% | -60.0% |
| Win Rate | 83.9% | 86.1% | 83.3% | 84.6% |
| Avg Win | 4.1% | 6.3% | 4.8% | 5.0% |
| Avg Loss | -9.1% | -16.9% | -14.1% | -12.2% |
| Payoff | 0.45 | 0.37 | 0.34 | 0.41 |
| Expectancy | 2.0% | 3.1% | 1.6% | 2.3% |
| Profit Factor | 2.36 | 2.32 | 1.70 | 2.25 |
| Trades | 56 | 36 | 12 | 104 |
| Avg Holding Days | 6.0 | 7.0 | 10.0 | 6.8 |
| Turnover | 14.2 | 24.0 | 6.5 | 14.2 |
| Exposure | 14.0% | 28.7% | 11.6% | 16.4% |
Growth of $100
PriceMomentum_V0653 vs TSLA Buy & Hold
PriceMomentum_V0653 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 | -7.3% | -0.16 | -19.6% | 16 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | -1.6% | -0.39 | -4.0% | 2 |
| 2020 | 104.3% | 1.36 | -60.0% | 31 |
| 2021 | -3.7% | -0.13 | -11.2% | 4 |
| 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 | -23.5% | -0.52 | 78% |
| hidden test | EXTREME | 48 | 180.6% | 3.33 | 85% |
| hidden test | HIGH VOLATILITY | 254 | 23.2% | 0.96 | 16% |
| hidden test | LOW VOLATILITY | 430 | 14.0% | 1.63 | 5% |
| hidden test | MEDIUM VOLATILITY | 250 | -26.4% | -1.13 | 18% |
| hidden test | NORMAL | 803 | -1.8% | -0.80 | 0% |
| hidden test | SIDEWAYS | 293 | -4.1% | -0.95 | 0% |
| hidden test | UPTREND | 371 | 17.6% | 0.61 | 29% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | -18.7% | -0.46 | 64% |
| train | EXTREME | 100 | 391.0% | 5.65 | 76% |
| train | HIGH VOLATILITY | 699 | 33.2% | 1.02 | 19% |
| train | LOW VOLATILITY | 745 | 1.7% | 0.15 | 9% |
| train | MEDIUM VOLATILITY | 568 | 7.2% | 0.35 | 14% |
| train | NORMAL | 1,601 | -3.0% | -0.90 | 0% |
| train | SIDEWAYS | 592 | 3.4% | 0.89 | 0% |
| train | UPTREND | 902 | 29.4% | 0.86 | 31% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | -68.8% | -1.07 | 78% |
| validation | EXTREME | 144 | 264.7% | 3.73 | 75% |
| validation | HIGH VOLATILITY | 258 | 34.0% | 0.54 | 39% |
| validation | LOW VOLATILITY | 183 | 0.0% | 0.00 | 16% |
| validation | MEDIUM VOLATILITY | 315 | 49.0% | 1.60 | 28% |
| validation | NORMAL | 474 | -9.3% | -0.80 | 0% |
| validation | SIDEWAYS | 206 | -16.4% | -0.89 | 1% |
| validation | UPTREND | 425 | 64.9% | 1.16 | 50% |
Trades (full period)
latest 100 of 104
| 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 | |
| 2024-12-19 | 2025-02-24 | $436.17 | $330.53 | -23.40% | 43 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-12 | 2024-12-16 | $418.10 | $463.02 | 2.49% | 3 | |
| 2024-12-10 | 2024-12-11 | $400.99 | $424.77 | 2.67% | 2 | |
| 2024-12-06 | 2024-12-09 | $389.22 | $389.79 | 5.13% | 2 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-11-26 | 2024-12-03 | $338.23 | $351.42 | 5.25% | 5 | |
| 2024-11-13 | 2024-11-25 | $330.24 | $338.59 | 7.11% | 9 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 8.75% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2021-01-27 | 2021-02-19 | $288.05 | $260.43 | -11.02% | 17 | |
| 2021-01-11 | 2021-01-26 | $270.40 | $294.36 | -0.12% | 11 | |
| 2021-01-07 | 2021-01-08 | $272.01 | $293.34 | 7.74% | 2 | |
| 2021-01-05 | 2021-01-06 | $245.04 | $251.99 | 0.53% | 2 | |
| 2020-12-21 | 2021-01-04 | $216.62 | $243.26 | 1.33% | 9 | |
| 2020-12-09 | 2020-12-18 | $201.49 | $231.67 | 0.72% | 8 | |
| 2020-12-07 | 2020-12-08 | $213.92 | $216.63 | 6.92% | 2 | |
| 2020-11-30 | 2020-12-04 | $189.20 | $199.68 | 1.10% | 5 | |
| 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 | |
| 2020-09-02 | 2020-11-13 | $149.12 | $136.17 | -13.50% | 52 | |
| 2020-08-28 | 2020-09-01 | $147.56 | $158.35 | 11.07% | 3 | |
| 2020-08-24 | 2020-08-27 | $134.28 | $149.25 | 4.82% | 4 | |
| 2020-08-20 | 2020-08-21 | $133.46 | $136.67 | 6.36% | 2 | |
| 2020-08-18 | 2020-08-19 | $125.81 | $125.24 | 2.60% | 2 | |
| 2020-07-22 | 2020-08-17 | $106.16 | $122.38 | 5.04% | 19 | |
| 2020-07-17 | 2020-07-21 | $100.06 | $104.56 | 9.27% | 3 | |
| 2020-07-13 | 2020-07-16 | $99.80 | $100.04 | -0.12% | 4 | |
| 2020-07-09 | 2020-07-10 | $92.95 | $102.98 | 1.88% | 2 | |
| 2020-07-07 | 2020-07-08 | $92.66 | $91.06 | 1.13% | 2 | |
| 2020-07-02 | 2020-07-06 | $80.58 | $91.44 | 7.74% | 2 | |
| 2020-06-12 | 2020-07-01 | $62.35 | $74.64 | 10.77% | 14 | |
| 2020-06-10 | 2020-06-11 | $68.34 | $64.86 | 8.76% | 2 | |
| 2020-05-20 | 2020-06-09 | $54.37 | $62.71 | 17.33% | 14 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-02-21 | 2020-03-19 | $60.07 | $28.51 | -59.92% | 20 | |
| 2020-02-06 | 2020-02-20 | $49.93 | $59.96 | 24.62% | 10 | |
| 2020-02-04 | 2020-02-05 | $59.14 | $48.98 | 13.51% | 2 | |
| 2020-01-31 | 2020-02-03 | $43.37 | $52.00 | 1.32% | 2 | |
| 2020-01-27 | 2020-01-30 | $37.20 | $42.72 | 2.66% | 4 | |
| 2020-01-23 | 2020-01-24 | $38.15 | $37.65 | 0.26% | 2 | |
| 2020-01-15 | 2020-01-22 | $34.57 | $37.97 | 1.52% | 5 | |
| 2020-01-09 | 2020-01-14 | $32.09 | $35.86 | 6.43% | 4 | |
| 2020-01-07 | 2020-01-08 | $31.27 | $32.81 | 3.68% | 2 | |
| 2019-12-27 | 2020-01-06 | $28.69 | $30.10 | 2.60% | 6 | |
| 2019-12-24 | 2019-12-26 | $28.35 | $28.73 | 1.24% | 2 | |
| 2019-12-20 | 2019-12-23 | $27.04 | $27.95 | 0.18% | 2 | |
| 2017-09-20 | 2017-09-26 | $24.93 | $23.02 | -8.21% | 5 | |
| 2017-06-26 | 2017-08-24 | $25.17 | $23.53 | -8.19% | 43 | |
| 2017-06-15 | 2017-06-23 | $25.02 | $25.56 | 0.31% | 7 | |
| 2017-06-09 | 2017-06-14 | $23.82 | $25.38 | 1.40% | 4 | |
| 2017-06-07 | 2017-06-08 | $23.98 | $24.67 | 1.73% | 2 | |
| 2017-06-05 | 2017-06-06 | $23.15 | $23.52 | 2.00% | 2 | |
| 2017-05-02 | 2017-05-11 | $21.26 | $21.54 | 0.54% | 8 | |
| 2017-04-27 | 2017-05-01 | $20.58 | $21.52 | 1.05% | 3 | |
| 2017-04-12 | 2017-04-26 | $19.79 | $20.68 | 1.44% | 10 | |
| 2017-04-07 | 2017-04-11 | $20.17 | $20.58 | 4.38% | 3 | |
| 2017-04-05 | 2017-04-06 | $19.67 | $19.91 | -3.06% | 2 | |
| 2017-03-29 | 2017-04-04 | $18.49 | $20.25 | 7.38% | 5 | |
| 2017-02-15 | 2017-02-28 | $18.65 | $16.67 | -12.54% | 9 | |
| 2017-02-13 | 2017-02-14 | $18.71 | $18.73 | 4.02% | 2 | |
| 2017-02-07 | 2017-02-10 | $17.17 | $17.95 | 4.23% | 4 | |
| 2017-01-25 | 2017-01-31 | $16.96 | $16.80 | -1.76% | 5 | |
| 2014-03-06 | 2014-04-11 | $16.86 | $13.59 | -19.35% | 27 | |
| 2014-02-28 | 2014-03-05 | $16.32 | $16.84 | 0.71% | 4 | |
| 2014-02-26 | 2014-02-27 | $16.87 | $16.84 | 1.81% | 2 | |
| 2014-02-21 | 2014-02-25 | $13.97 | $16.53 | 3.45% | 3 | |
| 2014-02-18 | 2014-02-19 | $13.58 | $12.91 | 2.56% | 2 | |
| 2014-02-12 | 2014-02-14 | $13.02 | $13.22 | 1.33% | 3 | |
| 2014-01-24 | 2014-02-11 | $11.64 | $13.11 | 8.08% | 13 | |
| 2013-10-01 | 2013-11-12 | $12.87 | $9.19 | -25.32% | 31 | |
| 2013-09-27 | 2013-09-30 | $12.73 | $12.89 | 1.00% | 2 | |
| 2013-09-23 | 2013-09-26 | $12.07 | $12.58 | 0.81% | 4 | |
| 2013-09-06 | 2013-09-20 | $11.13 | $12.23 | 4.49% | 11 | |
| 2013-09-04 | 2013-09-05 | $11.37 | $11.33 | 0.79% | 2 | |
| 2013-08-28 | 2013-09-03 | $11.10 | $11.26 | 0.99% | 4 | |
| 2013-08-26 | 2013-08-27 | $10.95 | $11.13 | 1.27% | 2 | |
| 2013-08-12 | 2013-08-23 | $9.83 | $10.79 | 2.47% | 10 | |
| 2013-08-07 | 2013-08-09 | $8.95 | $10.20 | 7.75% | 3 | |
| 2013-08-05 | 2013-08-06 | $9.65 | $9.48 | 4.64% | 2 | |
| 2013-07-31 | 2013-08-02 | $8.95 | $9.20 | 2.69% | 3 | |
| 2013-07-15 | 2013-07-30 | $8.48 | $8.78 | 3.42% | 12 | |
| 2013-07-11 | 2013-07-12 | $8.37 | $8.66 | 2.53% | 2 | |
| 2013-07-09 | 2013-07-10 | $8.23 | $8.15 | 1.31% | 2 | |
| 2013-07-03 | 2013-07-08 | $7.68 | $8.11 | 1.72% | 3 | |
| 2013-05-30 | 2013-07-02 | $7.00 | $7.85 | 11.77% | 24 | |
| 2013-05-28 | 2013-05-29 | $7.36 | $6.98 | 13.44% | 2 | |
| 2013-05-20 | 2013-05-24 | $6.00 | $6.47 | 1.14% | 5 | |
| 2013-05-15 | 2013-05-17 | $5.66 | $6.10 | 10.60% | 3 | |
| 2013-05-13 | 2013-05-14 | $5.85 | $5.55 | 14.17% | 2 | |
| 2013-05-08 | 2013-05-10 | $3.72 | $5.12 | 24.77% | 3 | |
| 2013-05-01 | 2013-05-07 | $3.55 | $3.70 | 9.98% | 5 | |
| 2013-04-29 | 2013-04-30 | $3.66 | $3.60 | 7.10% | 2 | |
| 2013-04-24 | 2013-04-26 | $3.36 | $3.41 | 1.74% | 3 | |
| 2013-04-22 | 2013-04-23 | $3.35 | $3.40 | 4.73% | 2 | |
| 2013-04-18 | 2013-04-19 | $3.13 | $3.19 | 3.14% | 2 | |
| 2013-04-12 | 2013-04-17 | $2.92 | $3.03 | 4.38% | 4 |