Strategy Zoo / S0670
PriceMomentum_V0670
ARCHIVEDhybridcrossoverentry = PriceMomentum_V0227 AND PriceMomentum_V0564
Fitness
0.6690
Generation
31
Complexity
20
Created
2026-09-24
Lineage
Parents (2)
logic of PriceMomentum_V0186 with risk overlay of PriceMomentum_V0160
entry from PriceMomentum_V0557, exit from PriceMomentum_V0361
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0670 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ((ret_20d > 0.05 and rel_volume > 1.2635) and (ret_20d > 0.1146 and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05))):
position = 1.0
if long and (ret_20d < -0.1357 or roll_high_50 < sma_20):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 25.4% | 91.8% | 23.1% | 36.4% |
| Total Return | 509.3% | 605.4% | 115.9% | 9453.9% |
| Sharpe | 0.92 | 1.63 | 0.87 | 1.10 |
| Sortino | 0.84 | 1.42 | 0.68 | 0.93 |
| Calmar | 0.60 | 2.62 | 0.83 | 0.86 |
| Volatility | 28.9% | 46.6% | 28.6% | 33.2% |
| Max DD | -42.3% | -35.0% | -27.9% | -42.3% |
| Win Rate | 64.3% | 85.7% | 83.3% | 74.1% |
| Avg Win | 43.0% | 46.6% | 16.4% | 41.2% |
| Avg Loss | -9.7% | -17.2% | -1.2% | -9.6% |
| Payoff | 4.43 | 2.71 | 10.00 | 4.31 |
| Expectancy | 24.2% | 37.5% | 13.5% | 28.1% |
| Profit Factor | 7.98 | 10.00 | 10.00 | 10.00 |
| Trades | 14 | 7 | 6 | 27 |
| Avg Holding Days | 44.8 | 38.9 | 38.7 | 43.6 |
| Turnover | 3.6 | 4.7 | 3.5 | 3.7 |
| Exposure | 32.8% | 35.1% | 26.6% | 31.7% |
Growth of $100
PriceMomentum_V0670 vs TSLA Buy & Hold
PriceMomentum_V0670 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 | -10.1% | -0.95 | -16.2% | 1 |
| 2017 | 37.9% | 1.33 | -21.8% | 2 |
| 2018 | -27.1% | -1.52 | -27.0% | 2 |
| 2019 | 49.9% | 2.27 | -8.5% | 2 |
| 2020 | 474.2% | 2.84 | -33.7% | 3 |
| 2021 | 30.3% | 0.94 | -22.4% | 2 |
| 2022 | -9.6% | -0.57 | -21.2% | 2 |
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 | 8.4% | 0.62 | 9% |
| hidden test | EXPENSIVE | 83 | 38.0% | 0.88 | 64% |
| hidden test | EXTREME | 48 | 189.8% | 3.11 | 88% |
| hidden test | HIGH VOLATILITY | 254 | 10.0% | 0.28 | 27% |
| hidden test | LOW VOLATILITY | 430 | 35.5% | 1.78 | 22% |
| hidden test | MEDIUM VOLATILITY | 250 | 21.6% | 0.67 | 35% |
| hidden test | NORMAL | 803 | 13.6% | 0.59 | 19% |
| hidden test | SIDEWAYS | 293 | 3.1% | 0.77 | 1% |
| hidden test | UPTREND | 371 | 54.0% | 1.24 | 59% |
| train | DOWNTREND | 518 | 1.1% | 0.25 | 3% |
| train | EXPENSIVE | 311 | 37.9% | 1.00 | 63% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 46.4% | 1.23 | 28% |
| train | LOW VOLATILITY | 745 | 25.9% | 1.26 | 37% |
| train | MEDIUM VOLATILITY | 568 | 3.5% | 0.14 | 32% |
| train | NORMAL | 1,601 | 0.2% | 0.01 | 23% |
| train | SIDEWAYS | 592 | -4.5% | -0.47 | 1% |
| train | UPTREND | 902 | 61.9% | 1.47 | 71% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 66.8% | 1.22 | 59% |
| validation | EXTREME | 144 | 312.5% | 3.90 | 75% |
| validation | HIGH VOLATILITY | 258 | 107.1% | 1.61 | 43% |
| validation | LOW VOLATILITY | 183 | 26.5% | 1.72 | 21% |
| validation | MEDIUM VOLATILITY | 315 | 79.2% | 2.10 | 37% |
| validation | NORMAL | 474 | 6.8% | 0.29 | 16% |
| validation | SIDEWAYS | 206 | 0.5% | 0.09 | 1% |
| validation | UPTREND | 425 | 129.4% | 2.11 | 60% |
Trades (full period)
28 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 4.31% | 22 | OPEN |
| 2025-09-15 | 2026-01-13 | $410.04 | $447.20 | 13.17% | 84 | |
| 2024-11-07 | 2025-01-28 | $296.91 | $398.09 | 37.37% | 54 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 10.22% | 16 | |
| 2024-07-02 | 2024-08-05 | $231.26 | $198.88 | -1.23% | 24 | |
| 2023-06-05 | 2023-08-14 | $217.61 | $239.76 | 13.18% | 49 | |
| 2023-05-24 | 2023-05-31 | $182.90 | $203.93 | 8.07% | 5 | |
| 2022-07-22 | 2022-08-02 | $272.24 | $300.59 | 9.19% | 8 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -17.18% | 12 | |
| 2021-09-20 | 2021-12-06 | $243.39 | $336.34 | 33.37% | 55 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 46.53% | 64 | |
| 2020-06-11 | 2020-09-30 | $64.86 | $143.00 | 103.99% | 78 | |
| 2020-04-15 | 2020-04-30 | $48.66 | $52.13 | 12.54% | 12 | |
| 2019-10-25 | 2020-03-05 | $21.88 | $48.30 | 149.62% | 90 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 5.72% | 13 | |
| 2019-07-16 | 2019-07-22 | $16.83 | $17.05 | 1.64% | 5 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-19 | 2018-07-05 | $23.50 | $20.61 | -16.34% | 12 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | 1.44% | 15 | |
| 2017-01-05 | 2017-07-07 | $15.12 | $20.88 | 35.78% | 127 | |
| 2016-04-05 | 2016-05-05 | $17.03 | $14.10 | -10.07% | 23 | |
| 2015-05-13 | 2015-08-18 | $16.21 | $17.38 | 3.98% | 68 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2014-06-24 | 2014-10-01 | $15.50 | $16.02 | 2.10% | 70 | |
| 2014-02-11 | 2014-03-27 | $13.11 | $13.82 | 8.13% | 32 | |
| 2013-01-29 | 2013-10-29 | $2.53 | $10.96 | 327.38% | 191 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-02-23 | 2012-04-25 | $2.30 | $2.19 | -7.20% | 44 |