Strategy Zoo / S0658
PriceMomentum_V0658
ARCHIVEDmomentumstructuraladded entry filter: vol_chg < 1.2824; swapped indicator ret_20d -> ret_60d
Fitness
0.4786
Generation
30
Complexity
5
Created
2026-09-24
Lineage
Parents (1)
changed ret_20d threshold -0.1437 -> -0.006
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0658 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and vol_chg < 1.2824):
position = 1.0
if long and ret_60d < -0.0619:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 22.2% | 43.0% | 10.9% | 23.4% |
| Total Return | 396.0% | 192.2% | 46.9% | 2091.7% |
| Sharpe | 0.78 | 0.93 | 0.47 | 0.74 |
| Sortino | 0.80 | 0.94 | 0.44 | 0.72 |
| Calmar | 0.39 | 0.71 | 0.22 | 0.39 |
| Volatility | 32.6% | 55.2% | 35.0% | 38.8% |
| Max DD | -57.6% | -60.7% | -49.9% | -60.7% |
| Win Rate | 46.7% | 40.0% | 57.1% | 50.4% |
| Avg Win | 16.3% | 30.8% | 5.0% | 13.2% |
| Avg Loss | -4.1% | -5.4% | -4.4% | -4.2% |
| Payoff | 4.03 | 5.70 | 1.13 | 3.12 |
| Expectancy | 5.5% | 9.1% | 0.9% | 4.5% |
| Profit Factor | 3.53 | 3.80 | 1.50 | 3.16 |
| Trades | 60 | 20 | 49 | 129 |
| Avg Holding Days | 15.8 | 21.2 | 8.1 | 14.1 |
| Turnover | 15.2 | 13.3 | 26.7 | 17.6 |
| Exposure | 46.4% | 53.4% | 37.7% | 45.7% |
Growth of $100
PriceMomentum_V0658 vs TSLA Buy & Hold
PriceMomentum_V0658 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 | 0.2% | 0.10 | -20.6% | 9 |
| 2017 | 37.7% | 1.19 | -19.5% | 2 |
| 2018 | -39.6% | -1.93 | -40.5% | 9 |
| 2019 | 25.3% | 1.31 | -14.0% | 14 |
| 2020 | 269.4% | 2.02 | -60.7% | 4 |
| 2021 | 16.7% | 0.58 | -36.7% | 2 |
| 2022 | -42.8% | -2.30 | -42.7% | 14 |
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 | 1.3% | 0.06 | 18% |
| hidden test | EXPENSIVE | 83 | 25.5% | 0.50 | 82% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | -3.5% | -0.08 | 44% |
| hidden test | LOW VOLATILITY | 430 | 42.0% | 1.72 | 31% |
| hidden test | MEDIUM VOLATILITY | 250 | -7.0% | -0.18 | 43% |
| hidden test | NORMAL | 803 | 5.5% | 0.18 | 29% |
| hidden test | SIDEWAYS | 293 | -15.6% | -0.95 | 4% |
| hidden test | UPTREND | 371 | 53.0% | 1.06 | 78% |
| train | DOWNTREND | 518 | 0.3% | 0.03 | 12% |
| train | EXPENSIVE | 311 | 51.3% | 1.12 | 84% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 38.9% | 0.95 | 36% |
| train | LOW VOLATILITY | 745 | 30.1% | 1.25 | 55% |
| train | MEDIUM VOLATILITY | 568 | 2.3% | 0.07 | 48% |
| train | NORMAL | 1,601 | -4.2% | -0.18 | 36% |
| train | SIDEWAYS | 592 | -6.8% | -0.51 | 5% |
| train | UPTREND | 902 | 60.7% | 1.30 | 93% |
| validation | DOWNTREND | 125 | 8.4% | 0.91 | 6% |
| validation | EXPENSIVE | 138 | -12.3% | -0.18 | 84% |
| validation | EXTREME | 144 | 353.5% | 4.13 | 91% |
| validation | HIGH VOLATILITY | 258 | 70.6% | 0.92 | 53% |
| validation | LOW VOLATILITY | 183 | 24.4% | 0.94 | 51% |
| validation | MEDIUM VOLATILITY | 315 | 50.7% | 1.09 | 55% |
| validation | NORMAL | 474 | -22.3% | -0.63 | 33% |
| validation | SIDEWAYS | 206 | -50.8% | -2.06 | 5% |
| validation | UPTREND | 425 | 113.1% | 1.59 | 91% |
Trades (full period)
latest 100 of 130
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-21 | — | $375.30 | — | 3.92% | 3 | OPEN |
| 2026-09-16 | 2026-09-17 | $358.08 | $366.20 | 0.22% | 2 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.32% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-02 | 2026-09-03 | $357.01 | $376.37 | 0.06% | 2 | |
| 2026-08-31 | 2026-09-01 | $367.95 | $356.09 | 5.30% | 2 | |
| 2026-08-27 | 2026-08-28 | $354.81 | $348.75 | 2.40% | 2 | |
| 2026-08-25 | 2026-08-26 | $350.25 | $345.82 | 0.17% | 2 | |
| 2026-08-21 | 2026-08-24 | $362.86 | $348.95 | 4.93% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-04 | 2026-05-08 | $392.51 | $428.35 | 5.16% | 5 | |
| 2026-04-29 | 2026-04-30 | $372.80 | $381.63 | -1.06% | 2 | |
| 2026-04-21 | 2026-04-22 | $386.42 | $387.51 | -1.75% | 2 | |
| 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 | |
| 2025-05-07 | 2025-05-08 | $276.22 | $284.82 | 0.12% | 2 | |
| 2025-05-05 | 2025-05-06 | $280.26 | $275.35 | -2.62% | 2 | |
| 2025-05-01 | 2025-05-02 | $280.52 | $287.21 | -0.78% | 2 | |
| 2025-04-29 | 2025-04-30 | $292.03 | $282.16 | 1.95% | 2 | |
| 2025-04-15 | 2025-04-16 | $254.11 | $241.55 | 0.50% | 2 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -7.47% | 2 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2024-11-08 | 2025-02-24 | $321.22 | $330.53 | 13.55% | 71 | |
| 2024-10-07 | 2024-10-14 | $240.83 | $219.16 | -13.09% | 6 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-07-02 | 2024-09-27 | $231.26 | $260.46 | 20.91% | 62 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-05-22 | 2024-05-23 | $180.11 | $173.74 | -3.67% | 2 | |
| 2024-05-20 | 2024-05-21 | $174.95 | $186.60 | -1.61% | 2 | |
| 2024-05-16 | 2024-05-17 | $174.84 | $177.46 | 0.29% | 2 | |
| 2024-05-14 | 2024-05-15 | $177.55 | $173.99 | 3.09% | 2 | |
| 2024-04-30 | 2024-05-08 | $183.28 | $174.72 | -8.56% | 7 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -5.79% | 2 | |
| 2024-03-04 | 2024-03-05 | $188.14 | $180.74 | -7.35% | 2 | |
| 2024-02-29 | 2024-03-01 | $201.88 | $202.64 | -0.28% | 2 | |
| 2024-02-26 | 2024-02-27 | $199.40 | $199.73 | 3.67% | 2 | |
| 2023-06-02 | 2023-09-05 | $213.97 | $256.49 | 17.83% | 65 | |
| 2023-05-30 | 2023-05-31 | $201.16 | $203.93 | 3.93% | 2 | |
| 2023-05-25 | 2023-05-26 | $184.47 | $193.17 | 0.66% | 2 | |
| 2023-05-23 | 2023-05-24 | $185.77 | $182.90 | -1.84% | 2 | |
| 2023-05-19 | 2023-05-22 | $180.14 | $188.87 | 1.64% | 2 | |
| 2023-02-06 | 2023-02-10 | $194.76 | $196.89 | 8.91% | 5 | |
| 2023-02-02 | 2023-02-03 | $188.27 | $189.98 | 3.58% | 2 | |
| 2023-01-31 | 2023-02-01 | $173.22 | $181.41 | 3.73% | 2 | |
| 2023-01-27 | 2023-01-30 | $177.90 | $166.66 | 10.79% | 2 | |
| 2023-01-25 | 2023-01-26 | $144.43 | $160.27 | 0.17% | 2 | |
| 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 | |
| 2022-08-01 | 2022-08-02 | $297.28 | $300.59 | -0.16% | 2 | |
| 2022-07-28 | 2022-07-29 | $280.90 | $297.15 | 2.01% | 2 | |
| 2022-07-26 | 2022-07-27 | $258.86 | $274.82 | -3.76% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-07-19 | 2022-07-20 | $245.53 | $247.50 | 1.87% | 2 | |
| 2022-07-14 | 2022-07-15 | $238.31 | $240.07 | 0.34% | 2 | |
| 2022-06-24 | 2022-06-27 | $245.71 | $244.92 | 4.32% | 2 | |
| 2022-06-22 | 2022-06-23 | $236.09 | $235.07 | -0.60% | 2 | |
| 2022-04-12 | 2022-04-27 | $328.98 | $293.84 | -10.37% | 11 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -10.66% | 5 | |
| 2021-08-24 | 2022-01-20 | $236.16 | $332.09 | 40.69% | 104 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-11-23 | 2021-03-08 | $173.95 | $187.67 | 21.89% | 71 | |
| 2020-05-19 | 2020-11-13 | $53.87 | $136.17 | 152.53% | 126 | |
| 2020-05-15 | 2020-05-18 | $53.28 | $54.24 | -0.72% | 2 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-31 | 2020-03-19 | $20.99 | $28.51 | 14.44% | 96 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2019-09-30 | 2019-10-15 | $16.06 | $17.19 | 5.91% | 12 | |
| 2019-07-17 | 2019-07-22 | $16.99 | $17.05 | 2.09% | 4 | |
| 2019-07-15 | 2019-07-16 | $16.90 | $16.83 | 3.23% | 2 | |
| 2019-07-11 | 2019-07-12 | $15.91 | $16.34 | -0.33% | 2 | |
| 2019-07-09 | 2019-07-10 | $15.34 | $15.93 | -0.32% | 2 | |
| 2019-07-05 | 2019-07-08 | $15.54 | $15.36 | -0.97% | 2 | |
| 2019-07-02 | 2019-07-03 | $14.97 | $15.66 | -1.35% | 2 | |
| 2019-06-28 | 2019-07-01 | $14.90 | $15.14 | 0.08% | 2 | |
| 2019-06-26 | 2019-06-27 | $14.62 | $14.86 | -0.42% | 2 | |
| 2019-06-24 | 2019-06-25 | $14.91 | $14.65 | 0.60% | 2 | |
| 2019-06-20 | 2019-06-21 | $14.64 | $14.79 | -3.20% | 2 | |
| 2019-06-18 | 2019-06-19 | $14.98 | $15.10 | -0.33% | 2 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 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 | 2018-10-05 | $18.79 | $17.46 | -4.60% | 2 | |
| 2018-08-22 | 2018-08-28 | $21.44 | $20.79 | -1.02% | 5 | |
| 2018-08-07 | 2018-08-20 | $25.30 | $20.56 | -10.84% | 10 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-05-01 | 2018-05-02 | $19.99 | $20.08 | 1.85% | 2 | |
| 2018-04-27 | 2018-04-30 | $19.61 | $19.59 | 2.81% | 2 | |
| 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 | |
| 2016-04-08 | 2016-06-02 | $16.67 | $14.60 | -14.81% | 39 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 2.12% | 2 |