Strategy Zoo / S0689
PriceMomentum_V0689
ARCHIVEDmomentumstructuraladded entry filter: ret_5d < 0.0403; restricted to trend regimes ['DOWNTREND']
Fitness
0.3343
Generation
31
Complexity
8
Created
2026-09-24
Lineage
Parents (1)
entry from PriceMomentum_V0054, exit from PriceMomentum_V0227
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0689 [momentum]
require regime.trend in ['DOWNTREND']
if flat and (ret_20d > 0.05 and ret_5d < 0.0403):
position = 1.0
if long and (ret_20d < -0.1357 or roll_high_50 < sma_20):
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 9.8% | 6.5% | 0.7% | 6.7% |
| Total Return | 110.3% | 20.8% | 2.7% | 161.0% |
| Sharpe | 0.82 | 0.75 | 0.13 | 0.54 |
| Sortino | 0.42 | 0.24 | 0.07 | 0.27 |
| Calmar | 0.53 | 0.75 | 0.02 | 0.19 |
| Volatility | 12.3% | 8.9% | 18.8% | 13.7% |
| Max DD | -18.4% | -8.6% | -35.9% | -35.9% |
| Win Rate | 83.3% | 100.0% | 62.5% | 76.2% |
| Avg Win | 8.6% | 20.8% | 6.2% | 8.6% |
| Avg Loss | -3.8% | 0.0% | -10.6% | -7.9% |
| Payoff | 2.27 | 5.00 | 0.59 | 1.09 |
| Expectancy | 6.6% | 20.8% | -0.1% | 4.7% |
| Profit Factor | 10.00 | 5.00 | 0.98 | 3.50 |
| Trades | 12 | 1 | 8 | 21 |
| Avg Holding Days | 15.3 | 27.0 | 9.0 | 13.4 |
| Turnover | 3.4 | 1.1 | 4.9 | 3.3 |
| Exposure | 7.7% | 2.8% | 8.9% | 7.0% |
Growth of $100
PriceMomentum_V0689 vs TSLA Buy & Hold
PriceMomentum_V0689 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 | 22.7% | 2.93 | -0.5% | 3 |
| 2017 | 0.0% | 0.00 | 0.0% | 0 |
| 2018 | 22.0% | 0.92 | -15.2% | 2 |
| 2019 | 18.2% | 1.74 | -3.7% | 2 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 0.0% | 0.00 | 0.0% | 0 |
| 2022 | 20.9% | 1.30 | -8.6% | 1 |
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 | -3.4% | -0.10 | 29% |
| hidden test | EXPENSIVE | 83 | 0.0% | 0.00 | 0% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | 1.4% | 0.05 | 11% |
| hidden test | LOW VOLATILITY | 430 | 6.1% | 0.41 | 10% |
| hidden test | MEDIUM VOLATILITY | 250 | -2.9% | -0.28 | 4% |
| hidden test | NORMAL | 803 | 2.8% | 0.14 | 10% |
| hidden test | SIDEWAYS | 293 | 10.8% | 1.54 | 2% |
| hidden test | UPTREND | 371 | 0.0% | 0.00 | 0% |
| train | DOWNTREND | 518 | 24.2% | 1.09 | 28% |
| train | EXPENSIVE | 311 | 0.0% | 0.00 | 0% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | 12.9% | 0.85 | 7% |
| train | LOW VOLATILITY | 745 | 9.4% | 0.88 | 9% |
| train | MEDIUM VOLATILITY | 568 | 7.4% | 0.73 | 7% |
| train | NORMAL | 1,601 | 12.6% | 0.92 | 10% |
| train | SIDEWAYS | 592 | 13.0% | 1.45 | 2% |
| train | UPTREND | 902 | 0.0% | 0.00 | 0% |
| validation | DOWNTREND | 125 | 40.6% | 1.85 | 16% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | -8.0% | -0.95 | 3% |
| validation | LOW VOLATILITY | 183 | 0.8% | 1.17 | 0% |
| validation | MEDIUM VOLATILITY | 315 | 22.2% | 1.94 | 4% |
| validation | NORMAL | 474 | 10.7% | 0.95 | 4% |
| validation | SIDEWAYS | 206 | -0.0% | -0.58 | 0% |
| validation | UPTREND | 425 | 0.0% | 0.00 | 0% |
Trades (full period)
22 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 7.30% | 23 | OPEN |
| 2026-04-29 | 2026-05-08 | $372.80 | $428.35 | 9.29% | 8 | |
| 2025-08-07 | 2025-08-11 | $322.27 | $339.03 | 2.84% | 3 | |
| 2025-05-05 | 2025-05-12 | $280.26 | $318.38 | 3.64% | 6 | |
| 2025-04-08 | 2025-04-23 | $221.86 | $250.74 | 1.80% | 11 | |
| 2024-05-07 | 2024-05-29 | $177.81 | $176.19 | -4.53% | 16 | |
| 2024-04-15 | 2024-04-19 | $161.48 | $147.05 | -11.81% | 5 | |
| 2024-02-26 | 2024-03-15 | $199.40 | $163.57 | -15.52% | 15 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2022-06-24 | 2022-08-02 | $245.71 | $300.59 | 20.82% | 27 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 3.91% | 13 | |
| 2019-06-19 | 2019-07-22 | $15.10 | $17.05 | 13.78% | 23 | |
| 2018-10-04 | 2018-10-26 | $18.79 | $22.06 | 6.59% | 17 | |
| 2018-04-27 | 2018-06-12 | $19.61 | $22.85 | 14.37% | 32 | |
| 2016-12-15 | 2016-12-28 | $13.17 | $14.65 | 9.68% | 9 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 1.44% | 2 | |
| 2016-03-14 | 2016-03-21 | $14.34 | $15.89 | 10.27% | 6 | |
| 2015-12-15 | 2015-12-29 | $14.74 | $15.81 | 5.04% | 10 | |
| 2015-11-19 | 2015-12-02 | $14.79 | $15.47 | 7.08% | 9 | |
| 2015-02-10 | 2015-04-14 | $14.42 | $13.83 | -3.73% | 44 | |
| 2012-10-09 | 2012-10-15 | $1.89 | $1.82 | -3.89% | 5 | |
| 2012-08-30 | 2012-09-18 | $1.89 | $2.09 | 14.28% | 13 |