Strategy Zoo / S0707
PriceMomentum_V0707
ARCHIVEDhybridparameterchanged ret_20d threshold 0.05 -> 0.1275; changed sma_200_slope threshold 0.0 -> 0.001
Fitness
0.6965
Generation
32
Complexity
15
Created
2026-09-25
Lineage
Parents (1)
entry = PriceMomentum_V0267 AND LongTermTrend_V0182
Children (4)
Strategy Logic (pseudocode)
# PriceMomentum_V0707 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.1146 and ((((close > sma_200 and sma_200_slope > 0.001) or ret_20d > 0.05) and ret_20d > 0.1275 and cumret_252d > -0.1997) and ret_20d > 0.05)):
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 | 27.4% | 82.2% | 14.6% | 33.7% |
| Total Return | 592.7% | 505.2% | 65.7% | 7049.9% |
| Sharpe | 1.03 | 1.57 | 0.62 | 1.07 |
| Sortino | 1.02 | 1.47 | 0.48 | 0.96 |
| Calmar | 0.86 | 2.37 | 0.55 | 0.97 |
| Volatility | 27.0% | 44.8% | 28.3% | 31.8% |
| Max DD | -32.0% | -34.7% | -26.4% | -34.7% |
| Win Rate | 54.5% | 63.6% | 50.0% | 55.3% |
| Avg Win | 31.2% | 42.6% | 13.4% | 32.2% |
| Avg Loss | -5.8% | -10.7% | -4.8% | -6.4% |
| Payoff | 5.38 | 3.96 | 2.78 | 5.03 |
| Expectancy | 14.4% | 23.2% | 4.3% | 14.9% |
| Profit Factor | 6.46 | 6.93 | 2.78 | 6.22 |
| Trades | 22 | 11 | 14 | 47 |
| Avg Holding Days | 31.7 | 31.2 | 18.1 | 28.6 |
| Turnover | 7.7 | 9.0 | 9.9 | 8.5 |
| Exposure | 33.1% | 37.6% | 25.0% | 32.0% |
Growth of $100
PriceMomentum_V0707 vs TSLA Buy & Hold
PriceMomentum_V0707 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 | 4.9% | 0.43 | -20.2% | 5 |
| 2017 | 23.8% | 1.04 | -20.6% | 2 |
| 2018 | -16.4% | -0.63 | -27.3% | 4 |
| 2019 | 41.8% | 2.10 | -8.5% | 1 |
| 2020 | 473.8% | 2.90 | -33.8% | 4 |
| 2021 | 37.1% | 1.29 | -21.0% | 2 |
| 2022 | -25.5% | -1.28 | -31.7% | 5 |
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 | 3.3% | 0.18 | 14% |
| hidden test | EXPENSIVE | 83 | 44.2% | 1.13 | 56% |
| hidden test | EXTREME | 48 | 202.9% | 3.49 | 72% |
| hidden test | HIGH VOLATILITY | 254 | 9.0% | 0.24 | 30% |
| hidden test | LOW VOLATILITY | 431 | 35.5% | 1.80 | 21% |
| hidden test | MEDIUM VOLATILITY | 250 | -4.4% | -0.15 | 27% |
| hidden test | NORMAL | 804 | 3.8% | 0.16 | 19% |
| hidden test | SIDEWAYS | 293 | -1.0% | -0.09 | 3% |
| hidden test | UPTREND | 371 | 42.8% | 1.05 | 51% |
| train | DOWNTREND | 518 | 11.2% | 1.13 | 8% |
| train | EXPENSIVE | 311 | 39.6% | 1.19 | 60% |
| train | EXTREME | 100 | 400.8% | 5.56 | 94% |
| train | HIGH VOLATILITY | 699 | 51.1% | 1.42 | 33% |
| train | LOW VOLATILITY | 745 | 26.8% | 1.27 | 41% |
| train | MEDIUM VOLATILITY | 568 | 0.5% | 0.03 | 23% |
| train | NORMAL | 1,601 | 2.2% | 0.12 | 24% |
| train | SIDEWAYS | 592 | -3.3% | -0.32 | 2% |
| train | UPTREND | 902 | 57.7% | 1.49 | 68% |
| validation | DOWNTREND | 125 | 36.3% | 2.18 | 5% |
| validation | EXPENSIVE | 138 | 48.2% | 0.95 | 63% |
| validation | EXTREME | 144 | 316.5% | 4.08 | 79% |
| validation | HIGH VOLATILITY | 258 | 107.9% | 1.67 | 45% |
| validation | LOW VOLATILITY | 183 | 32.3% | 1.43 | 34% |
| validation | MEDIUM VOLATILITY | 315 | 61.0% | 1.84 | 34% |
| validation | NORMAL | 474 | 1.5% | 0.07 | 18% |
| validation | SIDEWAYS | 206 | -19.7% | -1.61 | 3% |
| validation | UPTREND | 425 | 123.5% | 2.12 | 64% |
Trades (full period)
48 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 2.38% | 23 | OPEN |
| 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 | |
| 2025-12-15 | 2026-01-13 | $475.31 | $447.20 | -2.37% | 20 | |
| 2025-09-15 | 2025-11-21 | $410.04 | $391.09 | -0.15% | 50 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -9.43% | 11 | |
| 2025-05-06 | 2025-05-12 | $275.35 | $318.38 | 6.21% | 5 | |
| 2025-04-16 | 2025-04-23 | $241.55 | $250.74 | -6.54% | 5 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 41.25% | 48 | |
| 2024-10-03 | 2024-10-22 | $240.66 | $217.97 | -12.84% | 14 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 9.15% | 16 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 1.87% | 23 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.65% | 10 | |
| 2023-06-02 | 2023-08-03 | $213.97 | $259.32 | 23.90% | 43 | |
| 2023-05-24 | 2023-05-31 | $182.90 | $203.93 | 8.07% | 5 | |
| 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 | |
| 2022-07-19 | 2022-08-02 | $245.53 | $300.59 | 18.87% | 11 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -16.47% | 16 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -18.24% | 12 | |
| 2021-09-16 | 2021-12-03 | $252.33 | $338.32 | 46.78% | 56 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 23.65% | 64 | |
| 2020-10-07 | 2020-11-13 | $141.77 | $136.17 | 0.26% | 28 | |
| 2020-05-20 | 2020-09-30 | $54.37 | $143.00 | 122.37% | 93 | |
| 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 | |
| 2019-07-16 | 2019-07-22 | $16.83 | $17.05 | 1.64% | 5 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 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 | |
| 2018-05-01 | 2018-06-12 | $19.99 | $22.85 | 11.09% | 30 | |
| 2017-08-07 | 2017-08-24 | $23.68 | $23.53 | -1.71% | 14 | |
| 2017-01-05 | 2017-07-07 | $15.12 | $20.88 | 25.88% | 127 | |
| 2016-12-21 | 2016-12-28 | $13.85 | $14.65 | 5.11% | 5 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -6.63% | 26 | |
| 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 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 16.89% | 12 | |
| 2015-05-12 | 2015-08-12 | $16.32 | $15.88 | 4.01% | 65 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-27 | 2015-04-28 | $15.44 | $15.37 | 5.80% | 2 | |
| 2014-06-24 | 2014-10-01 | $15.50 | $16.02 | 4.49% | 70 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 14.08% | 43 | |
| 2013-04-02 | 2013-10-24 | $2.96 | $11.54 | 280.49% | 145 | |
| 2013-01-29 | 2013-03-20 | $2.53 | $2.40 | -7.93% | 36 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 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 |