Strategy Zoo / S0685
PriceMomentum_V0685
ARCHIVEDhybridstructuralchanged sma_200_slope threshold 0.0 -> -0.0015; replaced exit rule with: breakout_50 == 1
Fitness
0.3129
Generation
31
Complexity
13
Created
2026-09-24
Lineage
Parents (1)
added entry filter: vol_chg < 1.2824; swapped indicator vol_chg -> rel_volume
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0685 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > -0.0015) or ret_20d > 0.0923) and ret_20d > 0.05 and cumret_252d > -0.1997) and rel_volume < 1.5953):
position = 1.0
if long and breakout_50 == 1:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 14.0% | 14.9% | 13.7% | 14.3% |
| Total Return | 183.7% | 51.6% | 61.1% | 613.2% |
| Sharpe | 0.61 | 0.53 | 0.55 | 0.55 |
| Sortino | 0.56 | 0.53 | 0.52 | 0.51 |
| Calmar | 0.34 | 0.25 | 0.35 | 0.24 |
| Volatility | 28.0% | 51.6% | 34.3% | 35.6% |
| Max DD | -41.3% | -60.0% | -39.1% | -60.0% |
| Win Rate | 83.2% | 79.7% | 84.2% | 82.4% |
| Avg Win | 3.0% | 5.5% | 3.9% | 3.8% |
| Avg Loss | -8.3% | -13.6% | -12.3% | -10.6% |
| Payoff | 0.36 | 0.40 | 0.32 | 0.36 |
| Expectancy | 1.1% | 1.6% | 1.3% | 1.3% |
| Profit Factor | 1.79 | 1.59 | 1.68 | 1.69 |
| Trades | 119 | 59 | 38 | 216 |
| Avg Holding Days | 7.3 | 7.2 | 9.3 | 7.6 |
| Turnover | 29.9 | 39.3 | 20.8 | 29.5 |
| Exposure | 37.2% | 48.0% | 36.1% | 39.1% |
Growth of $100
PriceMomentum_V0685 vs TSLA Buy & Hold
PriceMomentum_V0685 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 | -2.5% | -0.08 | -20.6% | 6 |
| 2017 | 24.5% | 0.89 | -19.6% | 21 |
| 2018 | -29.2% | -1.12 | -32.4% | 12 |
| 2019 | 21.0% | 1.66 | -7.3% | 9 |
| 2020 | 89.8% | 1.28 | -60.0% | 29 |
| 2021 | 8.7% | 0.41 | -36.5% | 21 |
| 2022 | -35.6% | -1.36 | -39.7% | 8 |
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 | 17.4% | 0.72 | 24% |
| hidden test | EXPENSIVE | 83 | 127.1% | 2.15 | 67% |
| hidden test | EXTREME | 48 | 138.8% | 2.74 | 81% |
| hidden test | HIGH VOLATILITY | 254 | 26.3% | 0.54 | 47% |
| hidden test | LOW VOLATILITY | 430 | 21.9% | 0.97 | 28% |
| hidden test | MEDIUM VOLATILITY | 250 | 5.5% | 0.17 | 39% |
| hidden test | NORMAL | 803 | 0.3% | 0.01 | 30% |
| hidden test | SIDEWAYS | 293 | -11.8% | -0.73 | 3% |
| hidden test | UPTREND | 371 | 43.7% | 0.91 | 71% |
| train | DOWNTREND | 518 | 13.8% | 1.03 | 12% |
| train | EXPENSIVE | 311 | 11.1% | 0.27 | 70% |
| train | EXTREME | 100 | 273.3% | 5.11 | 68% |
| train | HIGH VOLATILITY | 699 | 26.7% | 0.80 | 31% |
| train | LOW VOLATILITY | 745 | 13.6% | 0.63 | 42% |
| train | MEDIUM VOLATILITY | 568 | 9.4% | 0.33 | 38% |
| train | NORMAL | 1,601 | 2.1% | 0.10 | 29% |
| train | SIDEWAYS | 592 | -7.2% | -0.62 | 4% |
| train | UPTREND | 902 | 34.7% | 0.88 | 74% |
| validation | DOWNTREND | 125 | 44.7% | 1.74 | 18% |
| validation | EXPENSIVE | 138 | -49.7% | -0.78 | 74% |
| validation | EXTREME | 144 | 230.4% | 3.39 | 71% |
| validation | HIGH VOLATILITY | 258 | 26.7% | 0.38 | 50% |
| validation | LOW VOLATILITY | 183 | 14.2% | 0.60 | 40% |
| validation | MEDIUM VOLATILITY | 315 | 35.4% | 0.78 | 51% |
| validation | NORMAL | 474 | -12.0% | -0.30 | 34% |
| validation | SIDEWAYS | 206 | -56.2% | -2.24 | 5% |
| validation | UPTREND | 425 | 62.6% | 0.96 | 78% |
Trades (full period)
latest 100 of 217
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-25 | — | $350.25 | — | 8.47% | 21 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-05 | 2026-05-08 | $389.37 | $428.35 | 4.70% | 4 | |
| 2025-12-17 | 2026-01-13 | $467.26 | $447.20 | -8.54% | 18 | |
| 2025-11-06 | 2025-12-16 | $445.91 | $489.88 | 2.66% | 28 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-03 | 2025-10-29 | $429.83 | $461.51 | 5.42% | 19 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-26 | 2025-09-30 | $440.40 | $444.72 | 4.48% | 3 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.77% | 3 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 2.01% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-05-29 | 2025-06-06 | $358.43 | $295.14 | -20.39% | 7 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 8.23% | 4 | |
| 2025-04-10 | 2025-05-12 | $252.40 | $318.38 | 9.35% | 22 | |
| 2024-12-20 | 2025-02-24 | $421.06 | $330.53 | -22.71% | 42 | |
| 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 | |
| 2024-11-08 | 2024-11-11 | $321.22 | $350.00 | 7.98% | 2 | |
| 2024-10-03 | 2024-10-28 | $240.66 | $262.51 | 7.88% | 18 | |
| 2024-07-15 | 2024-09-26 | $252.64 | $254.22 | 3.34% | 53 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.15% | 2 | |
| 2024-05-01 | 2024-05-29 | $179.99 | $176.19 | -3.76% | 20 | |
| 2023-07-19 | 2023-09-05 | $291.26 | $256.49 | -16.64% | 34 | |
| 2023-07-06 | 2023-07-18 | $276.54 | $293.34 | 2.59% | 9 | |
| 2023-06-21 | 2023-07-05 | $259.46 | $282.48 | 1.75% | 10 | |
| 2023-06-14 | 2023-06-20 | $256.79 | $274.45 | 0.51% | 4 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 2.02% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 4.38% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.50% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.91% | 2 | |
| 2023-05-24 | 2023-05-31 | $182.90 | $203.93 | 8.07% | 5 | |
| 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 | |
| 2022-07-29 | 2022-08-01 | $297.15 | $297.28 | 5.58% | 2 | |
| 2022-07-25 | 2022-07-28 | $268.43 | $280.90 | 0.74% | 4 | |
| 2022-06-24 | 2022-07-22 | $245.71 | $272.24 | 15.36% | 20 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2021-11-05 | 2022-01-20 | $407.36 | $332.09 | -19.21% | 52 | |
| 2021-11-03 | 2021-11-04 | $404.62 | $409.97 | 3.37% | 2 | |
| 2021-11-01 | 2021-11-02 | $402.86 | $390.67 | 8.28% | 2 | |
| 2021-10-28 | 2021-10-29 | $359.01 | $371.33 | 3.57% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 12.45% | 2 | |
| 2021-10-20 | 2021-10-22 | $288.60 | $303.23 | 3.23% | 3 | |
| 2021-10-18 | 2021-10-19 | $290.04 | $288.09 | 3.01% | 2 | |
| 2021-10-14 | 2021-10-15 | $272.77 | $281.01 | 0.69% | 2 | |
| 2021-10-11 | 2021-10-13 | $263.98 | $270.36 | 2.37% | 3 | |
| 2021-09-28 | 2021-10-08 | $259.19 | $261.83 | 0.08% | 9 | |
| 2021-09-21 | 2021-09-27 | $246.46 | $263.79 | 5.85% | 5 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.13% | 2 | |
| 2021-09-10 | 2021-09-16 | $245.42 | $252.33 | -0.07% | 5 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 2021-08-24 | 2021-08-31 | $236.16 | $245.24 | 3.28% | 6 | |
| 2021-08-16 | 2021-08-23 | $228.72 | $235.43 | -5.34% | 6 | |
| 2021-08-09 | 2021-08-13 | $237.92 | $239.06 | 3.11% | 5 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.32% | 2 | |
| 2021-01-27 | 2021-03-17 | $288.05 | $233.94 | -23.51% | 35 | |
| 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 | |
| 2020-12-22 | 2021-01-04 | $213.45 | $243.26 | 8.37% | 8 | |
| 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 | |
| 2020-09-02 | 2020-11-13 | $149.12 | $136.17 | -13.50% | 52 | |
| 2020-08-31 | 2020-09-01 | $166.11 | $158.35 | 12.36% | 2 | |
| 2020-08-25 | 2020-08-27 | $134.89 | $149.25 | 6.69% | 3 | |
| 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 | |
| 2020-07-15 | 2020-07-16 | $103.07 | $100.04 | 1.72% | 2 | |
| 2020-07-09 | 2020-07-10 | $92.95 | $102.98 | 1.88% | 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 | |
| 2020-06-02 | 2020-06-09 | $58.77 | $62.71 | 5.56% | 6 | |
| 2020-05-26 | 2020-06-01 | $54.59 | $59.87 | 2.01% | 5 | |
| 2020-05-15 | 2020-05-22 | $53.28 | $54.46 | 2.81% | 6 | |
| 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 | |
| 2020-02-07 | 2020-02-20 | $49.87 | $59.96 | 22.25% | 9 | |
| 2020-01-31 | 2020-02-03 | $43.37 | $52.00 | 1.32% | 2 | |
| 2020-01-24 | 2020-01-30 | $37.65 | $42.72 | 1.33% | 5 | |
| 2020-01-16 | 2020-01-22 | $34.23 | $37.97 | 5.32% | 4 | |
| 2020-01-13 | 2020-01-14 | $34.99 | $35.86 | 9.56% | 2 | |
| 2020-01-07 | 2020-01-08 | $31.27 | $32.81 | 3.68% | 2 | |
| 2019-12-30 | 2020-01-06 | $27.65 | $30.10 | 2.73% | 5 | |
| 2019-12-26 | 2019-12-27 | $28.73 | $28.69 | 1.14% | 2 | |
| 2019-12-23 | 2019-12-24 | $27.95 | $28.35 | 3.16% | 2 |