Strategy Zoo / S0704
PriceMomentum_V0704
ARCHIVEDhybridstructuralreduce exposure to 41% during HIGH_VOLATILITY; added exit filter: macd_hist > -2.9049
Fitness
0.1997
Generation
32
Complexity
15
Created
2026-09-25
Lineage
Parents (1)
entry from PriceMomentum_V0298, exit from PriceMomentum_V0557
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0704 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
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 > 0.05 and cumret_252d > -0.1997)):
position = 1.0
if long and (ret_20d < -0.1003 or macd_hist > -2.9049):
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -3.6% | 19.3% | 1.6% | 2.2% |
| Total Return | -25.2% | 69.6% | 6.0% | 38.1% |
| Sharpe | -0.16 | 0.85 | 0.18 | 0.21 |
| Sortino | -0.11 | 0.74 | 0.13 | 0.16 |
| Calmar | -0.11 | 0.64 | 0.07 | 0.07 |
| Volatility | 15.2% | 24.0% | 17.8% | 18.0% |
| Max DD | -32.3% | -29.9% | -21.3% | -32.3% |
| Win Rate | 46.4% | 56.8% | 51.5% | 50.4% |
| Avg Win | 1.7% | 2.3% | 2.5% | 2.1% |
| Avg Loss | -1.6% | -2.1% | -2.4% | -1.9% |
| Payoff | 1.06 | 1.10 | 1.03 | 1.09 |
| Expectancy | -0.1% | 0.4% | 0.1% | 0.1% |
| Profit Factor | 0.92 | 1.45 | 1.09 | 1.11 |
| Trades | 280 | 148 | 103 | 532 |
| Avg Holding Days | 2.0 | 2.2 | 2.3 | 2.1 |
| Turnover | 55.1 | 78.2 | 44.7 | 57.3 |
| Exposure | 10.9% | 18.2% | 10.8% | 12.4% |
Growth of $100
PriceMomentum_V0704 vs TSLA Buy & Hold
PriceMomentum_V0704 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 | 12.7% | 1.49 | -3.6% | 20 |
| 2017 | 3.8% | 0.32 | -15.5% | 53 |
| 2018 | -16.3% | -2.10 | -16.2% | 21 |
| 2019 | -3.3% | -0.30 | -8.7% | 21 |
| 2020 | 103.2% | 2.63 | -14.4% | 87 |
| 2021 | 9.3% | 0.50 | -14.9% | 42 |
| 2022 | -23.9% | -1.34 | -25.7% | 18 |
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 | 271 | -10.0% | -0.95 | 5% |
| hidden test | EXPENSIVE | 83 | 57.9% | 1.86 | 31% |
| hidden test | EXTREME | 48 | 25.5% | 0.81 | 24% |
| hidden test | HIGH VOLATILITY | 254 | -13.3% | -0.90 | 8% |
| hidden test | LOW VOLATILITY | 431 | 5.0% | 0.32 | 10% |
| hidden test | MEDIUM VOLATILITY | 250 | 16.6% | 0.71 | 14% |
| hidden test | NORMAL | 804 | -3.8% | -0.27 | 8% |
| hidden test | SIDEWAYS | 293 | 0.9% | 0.25 | 1% |
| hidden test | UPTREND | 371 | 14.6% | 0.55 | 22% |
| train | DOWNTREND | 518 | 1.8% | 0.63 | 2% |
| train | EXPENSIVE | 311 | -0.6% | -0.03 | 23% |
| train | EXTREME | 100 | 78.0% | 2.47 | 28% |
| train | HIGH VOLATILITY | 699 | 0.1% | 0.01 | 7% |
| train | LOW VOLATILITY | 745 | -1.0% | -0.08 | 16% |
| train | MEDIUM VOLATILITY | 568 | -7.5% | -0.45 | 9% |
| train | NORMAL | 1,601 | -7.9% | -0.71 | 7% |
| train | SIDEWAYS | 592 | -3.6% | -0.73 | 1% |
| train | UPTREND | 902 | -4.1% | -0.19 | 22% |
| validation | DOWNTREND | 125 | 4.5% | 0.63 | 4% |
| validation | EXPENSIVE | 138 | 45.1% | 1.46 | 30% |
| validation | EXTREME | 144 | 95.0% | 3.24 | 25% |
| validation | HIGH VOLATILITY | 258 | 15.4% | 0.65 | 11% |
| validation | LOW VOLATILITY | 183 | 9.2% | 0.84 | 17% |
| validation | MEDIUM VOLATILITY | 315 | 31.3% | 1.07 | 25% |
| validation | NORMAL | 474 | -9.2% | -0.48 | 13% |
| validation | SIDEWAYS | 206 | -25.7% | -1.66 | 2% |
| validation | UPTREND | 425 | 47.6% | 1.60 | 30% |
Trades (full period)
latest 100 of 532
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.32% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-03 | 2026-09-04 | $376.37 | $354.08 | 5.22% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.91% | 2 | |
| 2026-08-26 | 2026-08-27 | $345.82 | $354.81 | -1.46% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-07 | 2026-05-08 | $411.79 | $428.35 | 3.07% | 2 | |
| 2026-05-05 | 2026-05-06 | $389.37 | $398.73 | -1.00% | 2 | |
| 2025-12-30 | 2025-12-31 | $454.43 | $449.72 | -1.33% | 2 | |
| 2025-12-26 | 2025-12-29 | $475.19 | $459.64 | -2.30% | 2 | |
| 2025-12-23 | 2025-12-24 | $485.56 | $485.40 | -0.85% | 2 | |
| 2025-12-19 | 2025-12-22 | $481.20 | $488.73 | -0.65% | 2 | |
| 2025-12-17 | 2025-12-18 | $467.26 | $483.37 | -4.81% | 2 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 3.36% | 2 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-10 | 2025-10-22 | $413.49 | $438.97 | 1.41% | 9 | |
| 2025-10-08 | 2025-10-09 | $438.69 | $435.54 | 1.09% | 2 | |
| 2025-10-06 | 2025-10-07 | $453.25 | $433.09 | 5.24% | 2 | |
| 2025-10-02 | 2025-10-03 | $436.00 | $429.83 | -5.30% | 2 | |
| 2025-09-30 | 2025-10-01 | $444.72 | $459.46 | 0.14% | 2 | |
| 2025-09-26 | 2025-09-29 | $440.40 | $443.21 | 3.81% | 2 | |
| 2025-09-24 | 2025-09-25 | $442.79 | $423.39 | 3.77% | 2 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.71% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -2.31% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 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 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-06-02 | 2025-06-03 | $342.69 | $344.27 | -1.29% | 2 | |
| 2025-05-29 | 2025-05-30 | $358.43 | $346.46 | 0.23% | 2 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 6.73% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.72% | 2 | |
| 2025-05-08 | 2025-05-09 | $284.82 | $298.26 | 1.19% | 2 | |
| 2025-05-06 | 2025-05-07 | $275.35 | $276.22 | -0.80% | 2 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -1.47% | 2 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -2.11% | 2 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -3.06% | 2 | |
| 2024-12-31 | 2025-01-17 | $403.84 | $426.50 | -0.18% | 12 | |
| 2024-12-27 | 2024-12-30 | $431.66 | $417.41 | -2.11% | 2 | |
| 2024-12-24 | 2024-12-26 | $462.28 | $454.13 | 2.93% | 2 | |
| 2024-12-20 | 2024-12-23 | $421.06 | $430.60 | -3.66% | 2 | |
| 2024-12-18 | 2024-12-19 | $440.13 | $436.17 | -8.47% | 2 | |
| 2024-12-16 | 2024-12-17 | $463.02 | $479.86 | 5.94% | 2 | |
| 2024-12-12 | 2024-12-13 | $418.10 | $436.23 | -1.77% | 2 | |
| 2024-12-10 | 2024-12-11 | $400.99 | $424.77 | 1.10% | 2 | |
| 2024-12-06 | 2024-12-09 | $389.22 | $389.79 | 2.11% | 2 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 0.68% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 1.33% | 2 | |
| 2024-11-27 | 2024-11-29 | $332.89 | $345.16 | -0.73% | 2 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -1.71% | 2 | |
| 2024-11-21 | 2024-11-22 | $339.64 | $352.56 | -0.37% | 2 | |
| 2024-11-19 | 2024-11-20 | $346.00 | $342.03 | 0.80% | 2 | |
| 2024-11-15 | 2024-11-18 | $320.72 | $338.74 | 1.17% | 2 | |
| 2024-11-13 | 2024-11-14 | $330.24 | $311.18 | 0.14% | 2 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 3.59% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 1.11% | 2 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -1.29% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.51% | 2 | |
| 2024-09-20 | 2024-09-23 | $238.25 | $250.00 | -1.03% | 2 | |
| 2024-09-13 | 2024-09-16 | $230.29 | $226.78 | 0.00% | 2 | |
| 2024-09-11 | 2024-09-12 | $228.13 | $229.81 | 0.27% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 4.70% | 2 | |
| 2024-07-25 | 2024-08-02 | $220.25 | $207.67 | 0.22% | 7 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -0.92% | 2 | |
| 2024-07-19 | 2024-07-22 | $239.20 | $251.51 | -1.73% | 2 | |
| 2024-07-17 | 2024-07-18 | $248.50 | $249.23 | -1.37% | 2 | |
| 2024-07-15 | 2024-07-16 | $252.64 | $256.56 | 0.65% | 2 | |
| 2024-07-11 | 2024-07-12 | $241.03 | $248.23 | -8.64% | 2 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-05-23 | 2024-05-24 | $173.74 | $179.24 | -1.53% | 2 | |
| 2024-05-21 | 2024-05-22 | $186.60 | $180.11 | 2.65% | 2 | |
| 2024-05-17 | 2024-05-20 | $177.46 | $174.95 | 0.53% | 2 | |
| 2024-05-15 | 2024-05-16 | $173.99 | $174.84 | -0.90% | 2 | |
| 2024-05-06 | 2024-05-07 | $184.76 | $177.81 | 0.73% | 2 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -2.36% | 2 | |
| 2023-07-26 | 2023-08-03 | $264.35 | $259.32 | -4.40% | 7 | |
| 2023-07-19 | 2023-07-20 | $291.26 | $262.90 | -0.91% | 2 | |
| 2023-07-17 | 2023-07-18 | $290.38 | $293.34 | 3.00% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.61% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.95% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 6.69% | 2 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.29% | 2 | |
| 2023-06-27 | 2023-06-28 | $250.21 | $256.24 | 3.60% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -3.22% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -5.66% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.61% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.94% | 2 | |
| 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 |