Strategy Zoo / S0688
PriceMomentum_V0688
ARCHIVEDmomentumparameterchanged ret_20d threshold 0.1146 -> -0.0015
Fitness
0.5447
Generation
31
Complexity
4
Created
2026-09-24
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1146
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0688 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > -0.0015:
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 | 20.7% | 69.5% | 6.2% | 25.5% |
| Total Return | 348.6% | 387.1% | 25.0% | 2712.2% |
| Sharpe | 0.74 | 1.37 | 0.35 | 0.80 |
| Sortino | 0.81 | 1.43 | 0.36 | 0.84 |
| Calmar | 0.28 | 1.67 | 0.11 | 0.35 |
| Volatility | 32.1% | 46.3% | 37.8% | 36.9% |
| Max DD | -72.8% | -41.6% | -56.4% | -72.8% |
| Win Rate | 50.0% | 37.5% | 41.4% | 45.3% |
| Avg Win | 21.8% | 51.4% | 15.1% | 25.7% |
| Avg Loss | -7.7% | -7.1% | -7.8% | -7.7% |
| Payoff | 2.81 | 7.25 | 1.92 | 3.36 |
| Expectancy | 7.0% | 14.8% | 1.6% | 7.4% |
| Profit Factor | 2.81 | 4.35 | 1.36 | 2.78 |
| Trades | 50 | 16 | 29 | 95 |
| Avg Holding Days | 21.0 | 25.9 | 14.2 | 20.3 |
| Turnover | 15.4 | 12.4 | 17.8 | 15.3 |
| Exposure | 47.3% | 45.8% | 39.7% | 45.1% |
Growth of $100
PriceMomentum_V0688 vs TSLA Buy & Hold
PriceMomentum_V0688 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 | 4.8% | 0.34 | -29.9% | 6 |
| 2017 | 18.4% | 0.79 | -24.8% | 5 |
| 2018 | -52.9% | -2.05 | -55.1% | 12 |
| 2019 | 19.7% | 0.82 | -28.5% | 5 |
| 2020 | 433.2% | 2.77 | -33.8% | 4 |
| 2021 | 24.1% | 0.87 | -23.4% | 4 |
| 2022 | -34.8% | -1.67 | -36.9% | 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 | 7.5% | 0.18 | 40% |
| hidden test | EXPENSIVE | 83 | 65.0% | 1.29 | 70% |
| hidden test | EXTREME | 48 | 192.0% | 3.25 | 75% |
| hidden test | HIGH VOLATILITY | 254 | 22.0% | 0.39 | 57% |
| hidden test | LOW VOLATILITY | 430 | 31.0% | 1.24 | 33% |
| hidden test | MEDIUM VOLATILITY | 250 | -27.0% | -0.83 | 33% |
| hidden test | NORMAL | 803 | -3.0% | -0.09 | 34% |
| hidden test | SIDEWAYS | 293 | -19.0% | -1.16 | 6% |
| hidden test | UPTREND | 371 | 42.5% | 0.92 | 66% |
| train | DOWNTREND | 518 | -4.2% | -0.16 | 43% |
| train | EXPENSIVE | 311 | 35.4% | 1.01 | 63% |
| train | EXTREME | 100 | 400.8% | 5.56 | 94% |
| train | HIGH VOLATILITY | 699 | 32.3% | 0.77 | 41% |
| train | LOW VOLATILITY | 745 | 39.4% | 1.55 | 60% |
| train | MEDIUM VOLATILITY | 568 | -6.9% | -0.28 | 38% |
| train | NORMAL | 1,601 | -1.9% | -0.07 | 41% |
| train | SIDEWAYS | 592 | -1.8% | -0.11 | 6% |
| train | UPTREND | 902 | 56.8% | 1.37 | 77% |
| validation | DOWNTREND | 125 | 26.7% | 1.27 | 16% |
| validation | EXPENSIVE | 138 | 34.4% | 0.66 | 65% |
| validation | EXTREME | 144 | 317.6% | 4.09 | 81% |
| validation | HIGH VOLATILITY | 258 | 101.3% | 1.53 | 51% |
| validation | LOW VOLATILITY | 183 | 25.1% | 0.95 | 53% |
| validation | MEDIUM VOLATILITY | 315 | 54.9% | 1.62 | 37% |
| validation | NORMAL | 474 | -5.2% | -0.19 | 30% |
| validation | SIDEWAYS | 206 | -28.5% | -2.07 | 4% |
| validation | UPTREND | 425 | 119.0% | 1.99 | 75% |
Trades (full period)
96 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 7.30% | 23 | OPEN |
| 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 | |
| 2025-12-04 | 2026-01-13 | $454.53 | $447.20 | -0.25% | 27 | |
| 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 | |
| 2025-08-06 | 2025-08-11 | $319.91 | $339.03 | 6.57% | 4 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -3.77% | 4 | |
| 2025-07-18 | 2025-07-25 | $329.65 | $316.06 | -5.78% | 6 | |
| 2025-07-08 | 2025-07-09 | $297.81 | $295.88 | 0.76% | 2 | |
| 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 | |
| 2025-04-28 | 2025-05-12 | $285.88 | $318.38 | 4.46% | 11 | |
| 2025-04-03 | 2025-04-23 | $267.28 | $250.74 | -16.01% | 14 | |
| 2025-02-03 | 2025-02-11 | $383.68 | $328.50 | -12.36% | 7 | |
| 2024-10-25 | 2025-01-17 | $269.19 | $426.50 | 56.46% | 57 | |
| 2024-10-03 | 2024-10-22 | $240.66 | $217.97 | -12.84% | 14 | |
| 2024-09-03 | 2024-09-27 | $210.60 | $260.46 | 14.71% | 19 | |
| 2024-08-22 | 2024-08-29 | $210.66 | $206.28 | -8.04% | 6 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 1.87% | 23 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2024-04-12 | 2024-04-19 | $171.05 | $147.05 | -13.60% | 6 | |
| 2024-02-26 | 2024-03-15 | $199.40 | $163.57 | -15.52% | 15 | |
| 2024-01-03 | 2024-01-12 | $238.45 | $218.89 | -8.72% | 8 | |
| 2023-08-31 | 2023-09-05 | $258.08 | $256.49 | -4.82% | 3 | |
| 2023-06-02 | 2023-08-03 | $213.97 | $259.32 | 23.90% | 43 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-01-24 | 2023-02-10 | $143.89 | $196.89 | 43.93% | 14 | |
| 2022-09-16 | 2022-09-23 | $303.35 | $275.33 | -5.18% | 6 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.71% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.63% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.64% | 2 | |
| 2022-07-08 | 2022-08-02 | $250.76 | $300.59 | 17.97% | 18 | |
| 2022-06-22 | 2022-07-05 | $236.09 | $233.07 | -4.32% | 9 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -16.47% | 16 | |
| 2021-12-28 | 2022-01-20 | $362.82 | $332.09 | -12.78% | 17 | |
| 2021-12-09 | 2021-12-17 | $334.60 | $310.86 | -9.27% | 7 | |
| 2021-08-24 | 2021-12-03 | $236.16 | $338.32 | 57.07% | 72 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 23.65% | 64 | |
| 2020-10-02 | 2020-11-13 | $138.36 | $136.17 | -7.40% | 31 | |
| 2020-05-15 | 2020-09-30 | $53.28 | $143.00 | 123.67% | 96 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-05 | $21.88 | $48.30 | 134.52% | 90 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.05% | 2 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 3.91% | 13 | |
| 2019-06-18 | 2019-07-22 | $14.98 | $17.05 | 13.63% | 24 | |
| 2019-04-02 | 2019-04-29 | $19.06 | $16.10 | -14.47% | 19 | |
| 2019-01-18 | 2019-01-23 | $20.15 | $19.17 | -14.12% | 3 | |
| 2018-11-27 | 2018-12-26 | $22.93 | $21.74 | -11.42% | 20 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-10-02 | 2018-10-09 | $20.07 | $17.52 | -19.52% | 6 | |
| 2018-09-28 | 2018-10-01 | $17.65 | $20.71 | -14.09% | 2 | |
| 2018-08-21 | 2018-08-28 | $21.46 | $20.79 | 3.31% | 6 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-04-26 | 2018-06-12 | $19.03 | $22.85 | 16.32% | 33 | |
| 2018-02-26 | 2018-03-02 | $23.83 | $22.34 | -6.19% | 5 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -8.82% | 2 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -5.21% | 4 | |
| 2017-12-26 | 2018-01-09 | $21.15 | $22.25 | 3.73% | 10 | |
| 2017-12-08 | 2017-12-12 | $21.01 | $22.74 | 5.47% | 3 | |
| 2017-12-06 | 2017-12-07 | $20.88 | $20.75 | 2.94% | 2 | |
| 2017-09-18 | 2017-10-25 | $25.67 | $21.72 | -9.75% | 28 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | 0.18% | 15 | |
| 2017-01-05 | 2017-07-07 | $15.12 | $20.88 | 25.88% | 127 | |
| 2016-10-06 | 2016-12-28 | $13.40 | $14.65 | 1.00% | 58 | |
| 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 | |
| 2016-04-05 | 2016-05-05 | $17.03 | $14.10 | -9.88% | 23 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 1.44% | 2 | |
| 2016-02-29 | 2016-03-21 | $12.80 | $15.89 | 20.20% | 16 | |
| 2015-12-03 | 2015-12-29 | $15.51 | $15.81 | -0.24% | 18 | |
| 2015-11-18 | 2015-12-02 | $14.74 | $15.47 | 10.62% | 10 | |
| 2015-11-12 | 2015-11-16 | $14.20 | $14.29 | -5.62% | 3 | |
| 2015-05-11 | 2015-08-12 | $15.97 | $15.88 | 5.27% | 66 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-21 | 2015-04-28 | $13.96 | $15.37 | 12.58% | 6 | |
| 2015-04-07 | 2015-04-14 | $13.55 | $13.83 | 3.08% | 6 | |
| 2015-02-04 | 2015-03-09 | $14.57 | $12.73 | -11.39% | 23 | |
| 2014-06-23 | 2014-10-01 | $15.81 | $16.02 | 7.97% | 71 | |
| 2014-05-06 | 2014-05-08 | $13.82 | $11.91 | -4.95% | 3 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 14.08% | 43 | |
| 2013-11-06 | 2013-11-07 | $10.08 | $9.32 | -9.99% | 2 | |
| 2013-03-22 | 2013-10-24 | $2.44 | $11.54 | 364.18% | 151 | |
| 2012-12-18 | 2013-03-20 | $2.31 | $2.40 | 1.78% | 63 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-10-24 | 2012-11-06 | $1.83 | $2.08 | 10.73% | 8 | |
| 2012-09-21 | 2012-10-15 | $2.00 | $1.82 | -5.68% | 17 | |
| 2012-09-14 | 2012-09-18 | $2.03 | $2.09 | 10.16% | 3 | |
| 2012-08-29 | 2012-09-12 | $1.89 | $1.89 | -2.95% | 10 | |
| 2012-06-15 | 2012-06-18 | $1.99 | $2.12 | 1.07% | 2 | |
| 2012-02-23 | 2012-04-25 | $2.30 | $2.19 | -1.63% | 44 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |