Strategy Zoo / S0671
PriceMomentum_V0671
ARCHIVEDhybridcrossoverlogic of PriceMomentum_V0539 with risk overlay of LongTermTrend_V0472
Fitness
0.6927
Generation
31
Complexity
12
Created
2026-09-24
Lineage
Parents (2)
logic of LongTermTrend_V0452 with risk overlay of Breakout20_V0374
removed entry condition: rel_volume < 1.5953; changed ret_20d threshold 0.05 -> -0.0674
Children (6)
Strategy Logic (pseudocode)
# PriceMomentum_V0671 [hybrid]
if flat and (ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > -0.0674 and cumret_252d > -0.1997)):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.8% | 96.4% | 12.6% | 28.3% |
| Total Return | 221.6% | 657.7% | 55.2% | 3794.9% |
| Sharpe | 0.67 | 1.96 | 0.55 | 0.97 |
| Sortino | 0.64 | 2.36 | 0.50 | 0.97 |
| Calmar | 0.34 | 3.79 | 0.44 | 0.60 |
| Volatility | 27.4% | 38.1% | 29.3% | 30.4% |
| Max DD | -46.8% | -25.4% | -28.9% | -46.8% |
| Win Rate | 43.8% | 57.1% | 38.5% | 45.8% |
| Avg Win | 15.2% | 37.6% | 19.8% | 26.2% |
| Avg Loss | -5.9% | -5.8% | -5.7% | -5.9% |
| Payoff | 2.56 | 6.52 | 3.45 | 4.47 |
| Expectancy | 3.3% | 19.0% | 4.1% | 8.8% |
| Profit Factor | 1.99 | 8.69 | 2.16 | 3.77 |
| Trades | 32 | 14 | 13 | 59 |
| Avg Holding Days | 29.0 | 31.7 | 28.5 | 30.9 |
| Turnover | 9.5 | 9.7 | 7.6 | 9.0 |
| Exposure | 39.7% | 46.4% | 34.3% | 39.7% |
Growth of $100
PriceMomentum_V0671 vs TSLA Buy & Hold
PriceMomentum_V0671 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 | -1.2% | 0.04 | -26.1% | 3 |
| 2017 | 2.4% | 0.22 | -28.1% | 5 |
| 2018 | -13.2% | -0.60 | -24.0% | 6 |
| 2019 | 40.3% | 1.30 | -20.8% | 1 |
| 2020 | 372.8% | 3.64 | -14.9% | 5 |
| 2021 | 44.7% | 1.18 | -25.4% | 5 |
| 2022 | 6.3% | 0.36 | -23.9% | 4 |
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 | -8.7% | -0.54 | 17% |
| hidden test | EXPENSIVE | 83 | 78.3% | 1.90 | 65% |
| hidden test | EXTREME | 48 | 97.5% | 2.65 | 38% |
| hidden test | HIGH VOLATILITY | 254 | -12.3% | -0.47 | 18% |
| hidden test | LOW VOLATILITY | 430 | 57.9% | 2.21 | 39% |
| hidden test | MEDIUM VOLATILITY | 250 | -26.6% | -0.74 | 42% |
| hidden test | NORMAL | 803 | 4.9% | 0.18 | 31% |
| hidden test | SIDEWAYS | 293 | 1.9% | 0.07 | 33% |
| hidden test | UPTREND | 371 | 45.6% | 1.19 | 48% |
| train | DOWNTREND | 518 | 3.9% | 0.33 | 12% |
| train | EXPENSIVE | 311 | 40.4% | 1.17 | 57% |
| train | EXTREME | 100 | 198.9% | 5.05 | 56% |
| train | HIGH VOLATILITY | 699 | 22.0% | 0.76 | 19% |
| train | LOW VOLATILITY | 745 | 36.1% | 1.48 | 57% |
| train | MEDIUM VOLATILITY | 568 | -9.4% | -0.32 | 42% |
| train | NORMAL | 1,601 | 2.8% | 0.11 | 35% |
| train | SIDEWAYS | 592 | -8.8% | -0.35 | 35% |
| train | UPTREND | 902 | 44.5% | 1.29 | 58% |
| validation | DOWNTREND | 125 | 46.4% | 2.33 | 11% |
| validation | EXPENSIVE | 138 | 69.6% | 1.57 | 59% |
| validation | EXTREME | 144 | 251.2% | 5.14 | 53% |
| validation | HIGH VOLATILITY | 258 | 57.3% | 1.66 | 22% |
| validation | LOW VOLATILITY | 183 | 42.2% | 1.61 | 61% |
| validation | MEDIUM VOLATILITY | 315 | 108.0% | 2.35 | 58% |
| validation | NORMAL | 474 | 22.7% | 0.73 | 41% |
| validation | SIDEWAYS | 206 | -14.4% | -0.47 | 40% |
| validation | UPTREND | 425 | 126.3% | 2.83 | 60% |
Trades (full period)
60 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 4.31% | 22 | OPEN |
| 2026-05-05 | 2026-06-08 | $389.37 | $408.95 | -0.58% | 24 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2025-12-15 | 2026-01-07 | $475.31 | $431.41 | -5.85% | 16 | |
| 2025-08-11 | 2025-11-14 | $339.03 | $404.35 | 21.70% | 69 | |
| 2025-04-30 | 2025-06-13 | $282.16 | $325.31 | -4.69% | 32 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -7.04% | 8 | |
| 2024-11-07 | 2025-01-14 | $296.91 | $396.36 | 18.71% | 45 | |
| 2024-09-05 | 2024-10-14 | $230.17 | $219.16 | -4.85% | 28 | |
| 2024-06-27 | 2024-08-02 | $197.42 | $207.67 | 17.81% | 26 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -3.64% | 21 | |
| 2023-11-17 | 2024-01-10 | $234.30 | $233.94 | 0.39% | 36 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -12.27% | 13 | |
| 2023-05-24 | 2023-08-02 | $182.90 | $254.11 | 40.25% | 48 | |
| 2022-07-14 | 2022-08-29 | $238.31 | $284.82 | 21.29% | 33 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -0.45% | 4 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -5.04% | 26 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -7.28% | 14 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 49.70% | 84 | |
| 2021-06-14 | 2021-07-26 | $205.90 | $219.21 | 5.28% | 30 | |
| 2021-04-14 | 2021-05-11 | $244.08 | $205.73 | -17.65% | 20 | |
| 2021-04-05 | 2021-04-12 | $230.35 | $233.99 | 1.31% | 6 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 65.06% | 57 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -4.12% | 6 | |
| 2020-10-07 | 2020-10-20 | $141.77 | $140.65 | -0.10% | 10 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 20.42% | 29 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 77.03% | 83 | |
| 2019-09-13 | 2020-03-04 | $16.35 | $49.97 | 154.82% | 119 | |
| 2019-07-16 | 2019-08-12 | $16.83 | $15.27 | -8.88% | 20 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 2.69% | 36 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -5.43% | 21 | |
| 2018-06-12 | 2018-07-06 | $22.85 | $20.59 | -2.76% | 18 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.17% | 6 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -6.28% | 5 | |
| 2017-12-12 | 2018-02-09 | $22.74 | $20.69 | -4.19% | 41 | |
| 2017-09-18 | 2017-09-29 | $25.67 | $22.74 | -10.76% | 10 | |
| 2017-08-04 | 2017-09-07 | $23.79 | $23.37 | -0.01% | 24 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.08% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 11.30% | 41 | |
| 2016-12-20 | 2017-03-08 | $13.92 | $16.46 | 21.70% | 53 | |
| 2016-07-22 | 2016-08-23 | $14.82 | $14.99 | 0.90% | 23 | |
| 2016-06-08 | 2016-06-23 | $15.70 | $13.09 | -15.52% | 12 | |
| 2016-03-04 | 2016-05-04 | $13.40 | $14.84 | 10.05% | 43 | |
| 2015-11-30 | 2016-01-05 | $15.35 | $14.90 | -3.99% | 25 | |
| 2015-09-22 | 2015-10-02 | $17.40 | $16.50 | -9.39% | 9 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-04-13 | 2015-07-28 | $13.99 | $17.65 | 19.73% | 75 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -4.44% | 15 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-09 | 2014-07-17 | $13.69 | $14.36 | 4.11% | 28 | |
| 2014-05-28 | 2014-06-04 | $14.02 | $13.60 | -3.32% | 6 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 25.74% | 49 | |
| 2013-12-13 | 2014-01-14 | $9.84 | $10.75 | -6.58% | 21 | |
| 2013-07-01 | 2013-10-22 | $7.81 | $11.44 | 25.41% | 80 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 69.25% | 65 | |
| 2013-01-28 | 2013-02-26 | $2.54 | $2.30 | -7.21% | 21 | |
| 2012-11-06 | 2013-01-11 | $2.08 | $2.19 | 6.23% | 46 | |
| 2012-08-24 | 2012-09-06 | $1.97 | $1.90 | -4.74% | 9 | |
| 2012-06-19 | 2012-07-20 | $2.14 | $2.12 | 5.12% | 23 | |
| 2012-02-02 | 2012-04-10 | $2.02 | $2.16 | 4.63% | 47 |