Strategy Zoo / S0660
PriceMomentum_V0660
ARCHIVEDmomentumstructuralswapped indicator ret_20d -> ret_5d
Fitness
0.5436
Generation
30
Complexity
4
Created
2026-09-24
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1146
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0660 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_5d > -0.1478:
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 29.9% | 49.6% | 27.1% | 33.3% |
| Total Return | 709.1% | 235.0% | 143.4% | 6687.0% |
| Sharpe | 0.91 | 1.04 | 0.76 | 0.90 |
| Sortino | 1.15 | 1.25 | 1.00 | 1.12 |
| Calmar | 0.42 | 0.99 | 0.64 | 0.46 |
| Volatility | 35.5% | 51.5% | 43.7% | 41.3% |
| Max DD | -71.8% | -50.3% | -42.2% | -71.8% |
| Win Rate | 50.6% | 38.0% | 49.0% | 47.7% |
| Avg Win | 8.4% | 14.3% | 7.2% | 9.4% |
| Avg Loss | -3.7% | -4.1% | -4.3% | -4.0% |
| Payoff | 2.27 | 3.48 | 1.66 | 2.37 |
| Expectancy | 2.4% | 2.9% | 1.3% | 2.4% |
| Profit Factor | 2.32 | 2.14 | 1.59 | 2.16 |
| Trades | 172 | 71 | 98 | 342 |
| Avg Holding Days | 8.3 | 7.8 | 6.4 | 7.7 |
| Turnover | 42.9 | 44.3 | 54.4 | 46.1 |
| Exposure | 58.5% | 55.1% | 54.4% | 56.8% |
Growth of $100
PriceMomentum_V0660 vs TSLA Buy & Hold
PriceMomentum_V0660 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 | 31.6% | 1.25 | -20.8% | 27 |
| 2017 | 35.9% | 1.28 | -16.8% | 15 |
| 2018 | -48.7% | -1.42 | -53.6% | 28 |
| 2019 | 28.2% | 0.95 | -41.6% | 29 |
| 2020 | 366.0% | 2.47 | -33.8% | 11 |
| 2021 | 27.2% | 0.91 | -29.2% | 18 |
| 2022 | -49.9% | -1.69 | -50.3% | 42 |
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 | 64.6% | 1.20 | 71% |
| hidden test | EXPENSIVE | 83 | 68.3% | 1.34 | 73% |
| hidden test | EXTREME | 48 | 155.8% | 2.58 | 90% |
| hidden test | HIGH VOLATILITY | 254 | 84.5% | 1.31 | 74% |
| hidden test | LOW VOLATILITY | 430 | 25.3% | 0.83 | 49% |
| hidden test | MEDIUM VOLATILITY | 250 | -4.7% | -0.13 | 44% |
| hidden test | NORMAL | 803 | 22.5% | 0.54 | 50% |
| hidden test | SIDEWAYS | 293 | -16.4% | -0.96 | 7% |
| hidden test | UPTREND | 371 | 50.0% | 1.01 | 80% |
| train | DOWNTREND | 518 | 9.3% | 0.26 | 72% |
| train | EXPENSIVE | 311 | 42.3% | 1.16 | 70% |
| train | EXTREME | 100 | 400.8% | 5.56 | 94% |
| train | HIGH VOLATILITY | 699 | 52.1% | 1.11 | 56% |
| train | LOW VOLATILITY | 745 | 40.6% | 1.46 | 69% |
| train | MEDIUM VOLATILITY | 568 | -2.5% | -0.09 | 47% |
| train | NORMAL | 1,601 | 7.5% | 0.24 | 54% |
| train | SIDEWAYS | 592 | 8.1% | 0.44 | 8% |
| train | UPTREND | 902 | 61.7% | 1.44 | 84% |
| validation | DOWNTREND | 125 | -32.8% | -0.73 | 53% |
| validation | EXPENSIVE | 138 | 40.5% | 0.70 | 69% |
| validation | EXTREME | 144 | 292.8% | 3.64 | 83% |
| validation | HIGH VOLATILITY | 258 | 82.0% | 1.11 | 66% |
| validation | LOW VOLATILITY | 183 | 37.4% | 1.38 | 56% |
| validation | MEDIUM VOLATILITY | 315 | 39.6% | 1.04 | 46% |
| validation | NORMAL | 474 | -15.3% | -0.44 | 42% |
| validation | SIDEWAYS | 206 | -29.0% | -1.54 | 7% |
| validation | UPTREND | 425 | 118.9% | 1.90 | 79% |
Trades (full period)
latest 100 of 343
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-20 | — | $345.13 | — | 5.46% | 24 | OPEN |
| 2026-08-18 | 2026-08-19 | $336.87 | $351.12 | -0.92% | 2 | |
| 2026-08-14 | 2026-08-17 | $342.27 | $339.30 | 0.48% | 2 | |
| 2026-08-12 | 2026-08-13 | $327.51 | $339.96 | -1.79% | 2 | |
| 2026-08-10 | 2026-08-11 | $330.88 | $332.81 | 0.50% | 2 | |
| 2026-08-06 | 2026-08-07 | $319.53 | $328.58 | -0.83% | 2 | |
| 2026-08-04 | 2026-08-05 | $327.35 | $321.55 | 1.43% | 2 | |
| 2026-07-31 | 2026-08-03 | $311.21 | $322.08 | 0.56% | 2 | |
| 2026-07-23 | 2026-07-24 | $319.69 | $313.03 | -10.01% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -4.50% | 3 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-21 | 2026-05-08 | $386.42 | $428.35 | 6.17% | 14 | |
| 2026-04-13 | 2026-04-20 | $352.42 | $392.50 | 13.79% | 6 | |
| 2026-04-09 | 2026-04-10 | $345.62 | $348.95 | 0.49% | 2 | |
| 2026-04-07 | 2026-04-08 | $346.65 | $343.25 | -1.95% | 2 | |
| 2026-03-31 | 2026-04-06 | $371.75 | $352.82 | 1.30% | 4 | |
| 2026-03-24 | 2026-03-30 | $383.03 | $355.28 | -5.18% | 5 | |
| 2026-03-19 | 2026-03-23 | $380.30 | $380.85 | -6.51% | 3 | |
| 2026-03-16 | 2026-03-17 | $395.56 | $399.27 | 0.91% | 2 | |
| 2026-02-02 | 2026-02-18 | $421.81 | $411.32 | -4.79% | 12 | |
| 2025-11-24 | 2026-01-13 | $417.78 | $447.20 | 9.27% | 34 | |
| 2025-09-12 | 2025-11-21 | $395.94 | $391.09 | 7.20% | 51 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-21 | 2025-08-22 | $320.11 | $340.01 | -1.37% | 2 | |
| 2025-08-06 | 2025-08-11 | $319.91 | $339.03 | 6.57% | 4 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -3.77% | 4 | |
| 2025-07-10 | 2025-07-25 | $309.87 | $316.06 | -0.70% | 12 | |
| 2025-07-03 | 2025-07-09 | $315.35 | $295.88 | -6.23% | 4 | |
| 2025-06-10 | 2025-07-02 | $326.09 | $315.65 | -2.74% | 16 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -9.43% | 11 | |
| 2025-04-24 | 2025-05-12 | $259.51 | $318.38 | 18.72% | 13 | |
| 2025-04-01 | 2025-04-23 | $268.46 | $250.74 | -8.36% | 16 | |
| 2025-03-27 | 2025-03-31 | $273.13 | $259.16 | -3.32% | 3 | |
| 2025-03-25 | 2025-03-26 | $288.14 | $272.06 | 3.30% | 2 | |
| 2025-03-21 | 2025-03-24 | $248.71 | $278.39 | 5.06% | 2 | |
| 2025-03-19 | 2025-03-20 | $235.86 | $236.26 | 4.48% | 2 | |
| 2025-03-17 | 2025-03-18 | $238.01 | $225.31 | -4.98% | 2 | |
| 2025-03-13 | 2025-03-14 | $240.68 | $249.98 | -3.18% | 2 | |
| 2025-03-07 | 2025-03-10 | $262.67 | $222.15 | -0.50% | 2 | |
| 2025-03-05 | 2025-03-06 | $279.10 | $263.45 | 1.63% | 2 | |
| 2025-02-20 | 2025-02-21 | $354.40 | $337.80 | -1.91% | 2 | |
| 2025-02-18 | 2025-02-19 | $354.11 | $360.56 | -0.69% | 2 | |
| 2025-02-13 | 2025-02-14 | $355.94 | $355.84 | 3.79% | 2 | |
| 2025-01-29 | 2025-02-11 | $389.10 | $328.50 | -12.08% | 10 | |
| 2025-01-21 | 2025-01-28 | $424.07 | $398.09 | -7.07% | 6 | |
| 2024-10-25 | 2025-01-17 | $269.19 | $426.50 | 56.46% | 57 | |
| 2024-10-23 | 2024-10-24 | $213.65 | $260.48 | -2.18% | 2 | |
| 2024-10-03 | 2024-10-22 | $240.66 | $217.97 | -12.84% | 14 | |
| 2024-08-30 | 2024-09-27 | $214.11 | $260.46 | 17.67% | 20 | |
| 2024-08-21 | 2024-08-29 | $223.27 | $206.28 | -7.13% | 7 | |
| 2024-08-19 | 2024-08-20 | $222.72 | $221.10 | 2.85% | 2 | |
| 2024-08-15 | 2024-08-16 | $214.14 | $216.12 | 6.13% | 2 | |
| 2024-08-13 | 2024-08-14 | $207.83 | $201.38 | 5.03% | 2 | |
| 2024-08-09 | 2024-08-12 | $200.00 | $197.49 | 0.38% | 2 | |
| 2024-08-07 | 2024-08-08 | $191.76 | $198.84 | -4.62% | 2 | |
| 2024-08-05 | 2024-08-06 | $198.88 | $200.64 | -4.43% | 2 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 1.87% | 23 | |
| 2024-04-24 | 2024-05-29 | $162.13 | $176.19 | 21.94% | 25 | |
| 2024-04-22 | 2024-04-23 | $142.05 | $144.68 | -3.60% | 2 | |
| 2024-04-03 | 2024-04-19 | $168.38 | $147.05 | -9.99% | 13 | |
| 2024-04-01 | 2024-04-02 | $175.22 | $166.63 | -0.52% | 2 | |
| 2024-03-27 | 2024-03-28 | $179.83 | $175.79 | 1.01% | 2 | |
| 2024-03-25 | 2024-03-26 | $172.63 | $177.67 | 0.85% | 2 | |
| 2024-03-20 | 2024-03-22 | $175.66 | $170.83 | 0.68% | 3 | |
| 2024-03-18 | 2024-03-19 | $173.80 | $171.32 | 6.05% | 2 | |
| 2024-02-16 | 2024-03-15 | $199.95 | $163.57 | -17.95% | 20 | |
| 2024-02-14 | 2024-02-15 | $188.71 | $200.45 | 1.60% | 2 | |
| 2024-02-12 | 2024-02-13 | $188.13 | $184.02 | -2.05% | 2 | |
| 2024-02-08 | 2024-02-09 | $189.56 | $193.57 | 0.58% | 2 | |
| 2024-02-06 | 2024-02-07 | $185.10 | $187.58 | 2.03% | 2 | |
| 2024-02-02 | 2024-02-05 | $187.91 | $181.06 | -0.70% | 2 | |
| 2024-01-03 | 2024-01-12 | $238.45 | $218.89 | -8.72% | 8 | |
| 2023-11-01 | 2023-11-02 | $205.66 | $218.51 | 2.20% | 2 | |
| 2023-10-30 | 2023-10-31 | $197.36 | $200.84 | -4.99% | 2 | |
| 2023-10-26 | 2023-10-27 | $205.76 | $207.30 | -3.33% | 2 | |
| 2023-08-29 | 2023-09-05 | $257.18 | $256.49 | 2.39% | 5 | |
| 2023-08-25 | 2023-08-28 | $238.59 | $238.82 | 3.51% | 2 | |
| 2023-08-23 | 2023-08-24 | $236.86 | $230.04 | 1.37% | 2 | |
| 2023-08-21 | 2023-08-22 | $231.28 | $233.19 | 7.12% | 2 | |
| 2023-08-17 | 2023-08-18 | $219.22 | $215.49 | -3.03% | 2 | |
| 2023-08-15 | 2023-08-16 | $232.96 | $225.60 | -3.03% | 2 | |
| 2023-08-11 | 2023-08-14 | $242.65 | $239.76 | -1.30% | 2 | |
| 2023-08-04 | 2023-08-10 | $253.86 | $245.34 | -6.79% | 5 | |
| 2023-06-02 | 2023-08-03 | $213.97 | $259.32 | 23.90% | 43 | |
| 2023-05-17 | 2023-05-31 | $173.86 | $203.93 | 19.83% | 10 | |
| 2023-05-08 | 2023-05-16 | $171.79 | $166.52 | -1.84% | 7 | |
| 2023-05-04 | 2023-05-05 | $161.20 | $170.06 | 0.17% | 2 | |
| 2023-05-02 | 2023-05-03 | $160.31 | $160.61 | -1.14% | 2 | |
| 2023-04-28 | 2023-05-01 | $164.31 | $161.83 | 1.61% | 2 | |
| 2023-04-26 | 2023-04-27 | $153.75 | $160.19 | -3.06% | 2 | |
| 2023-04-24 | 2023-04-25 | $162.55 | $160.67 | -1.18% | 2 | |
| 2023-01-23 | 2023-02-10 | $143.75 | $196.89 | 55.09% | 15 | |
| 2023-01-19 | 2023-01-20 | $127.17 | $133.42 | -1.45% | 2 | |
| 2023-01-17 | 2023-01-18 | $131.49 | $128.78 | 7.22% | 2 | |
| 2023-01-12 | 2023-01-13 | $123.56 | $122.40 | 0.08% | 2 | |
| 2023-01-10 | 2023-01-11 | $118.85 | $123.22 | -0.97% | 2 | |
| 2023-01-06 | 2023-01-09 | $113.06 | $119.77 | 2.26% | 2 | |
| 2023-01-04 | 2023-01-05 | $113.64 | $110.34 | 4.92% | 2 | |
| 2022-12-30 | 2023-01-03 | $123.18 | $108.10 | 0.92% | 2 |