Strategy Zoo / S0725
PriceMomentum_V0725
ARCHIVEDmomentumparameterchanged ret_20d threshold -0.1437 -> 0.0057
Fitness
0.6807
Generation
33
Complexity
3
Created
2026-09-25
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> -0.1437
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0725 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.05:
position = 1.0
if long and ret_20d < 0.0057:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 23.6% | 105.6% | 20.9% | 36.7% |
| Total Return | 444.4% | 769.7% | 102.3% | 9759.0% |
| Sharpe | 0.88 | 1.75 | 0.74 | 1.08 |
| Sortino | 0.83 | 1.69 | 0.60 | 0.97 |
| Calmar | 0.43 | 2.68 | 0.45 | 0.67 |
| Volatility | 28.9% | 47.6% | 32.7% | 34.5% |
| Max DD | -54.8% | -39.4% | -46.0% | -54.8% |
| Win Rate | 46.0% | 44.4% | 42.9% | 44.8% |
| Avg Win | 16.7% | 44.5% | 15.3% | 22.0% |
| Avg Loss | -4.6% | -6.0% | -6.1% | -5.3% |
| Payoff | 3.68 | 7.38 | 2.52 | 4.16 |
| Expectancy | 5.2% | 16.4% | 3.1% | 6.9% |
| Profit Factor | 3.13 | 5.90 | 1.89 | 3.38 |
| Trades | 50 | 18 | 28 | 96 |
| Avg Holding Days | 14.5 | 19.1 | 10.1 | 14.2 |
| Turnover | 12.7 | 12.0 | 15.4 | 13.1 |
| Exposure | 34.0% | 43.1% | 29.9% | 34.9% |
Growth of $100
PriceMomentum_V0725 vs TSLA Buy & Hold
PriceMomentum_V0725 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 | 29.6% | 1.94 | -10.2% | 6 |
| 2017 | -4.8% | -0.09 | -26.3% | 6 |
| 2018 | -31.3% | -1.46 | -32.7% | 9 |
| 2019 | 27.3% | 1.27 | -10.9% | 5 |
| 2020 | 573.6% | 3.05 | -33.7% | 7 |
| 2021 | 72.4% | 1.84 | -17.6% | 3 |
| 2022 | -28.3% | -1.26 | -31.0% | 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 | 271 | 12.9% | 0.41 | 32% |
| hidden test | EXPENSIVE | 83 | 53.2% | 1.20 | 61% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 13.7% | 0.31 | 39% |
| hidden test | LOW VOLATILITY | 431 | 52.1% | 2.38 | 23% |
| hidden test | MEDIUM VOLATILITY | 250 | -12.6% | -0.37 | 32% |
| hidden test | NORMAL | 804 | 11.9% | 0.41 | 25% |
| hidden test | SIDEWAYS | 293 | -3.6% | -0.23 | 4% |
| hidden test | UPTREND | 371 | 54.9% | 1.30 | 49% |
| train | DOWNTREND | 518 | 9.7% | 0.63 | 19% |
| train | EXPENSIVE | 311 | 31.3% | 0.85 | 62% |
| train | EXTREME | 100 | 403.3% | 5.47 | 97% |
| train | HIGH VOLATILITY | 699 | 45.0% | 1.16 | 32% |
| train | LOW VOLATILITY | 745 | 23.9% | 1.16 | 42% |
| train | MEDIUM VOLATILITY | 568 | 2.8% | 0.12 | 27% |
| train | NORMAL | 1,601 | 0.5% | 0.03 | 25% |
| train | SIDEWAYS | 592 | -3.6% | -0.34 | 3% |
| train | UPTREND | 902 | 53.2% | 1.31 | 63% |
| validation | DOWNTREND | 125 | 43.5% | 1.99 | 14% |
| validation | EXPENSIVE | 138 | 77.3% | 1.44 | 58% |
| validation | EXTREME | 144 | 344.5% | 4.26 | 85% |
| validation | HIGH VOLATILITY | 258 | 93.3% | 1.41 | 45% |
| validation | LOW VOLATILITY | 183 | 37.3% | 1.78 | 40% |
| validation | MEDIUM VOLATILITY | 315 | 102.2% | 2.53 | 43% |
| validation | NORMAL | 474 | 6.0% | 0.23 | 26% |
| validation | SIDEWAYS | 206 | -14.3% | -1.33 | 3% |
| validation | UPTREND | 425 | 142.6% | 2.31 | 71% |
Trades (full period)
97 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 10.03% | 24 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-04 | 2026-05-08 | $392.51 | $428.35 | 5.16% | 5 | |
| 2026-04-29 | 2026-04-30 | $372.80 | $381.63 | -1.06% | 2 | |
| 2026-04-21 | 2026-04-24 | $386.42 | $376.30 | -4.98% | 4 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-11-03 | 2025-11-13 | $468.37 | $401.99 | -5.87% | 9 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-09-12 | 2025-10-23 | $395.94 | $448.98 | 18.79% | 30 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-07 | 2025-08-11 | $322.27 | $339.03 | 2.84% | 3 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2025-05-05 | 2025-05-12 | $280.26 | $318.38 | 3.64% | 6 | |
| 2025-04-29 | 2025-05-02 | $292.03 | $287.21 | -2.07% | 4 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 36.54% | 44 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.71% | 8 | |
| 2024-09-04 | 2024-09-27 | $219.41 | $260.46 | 20.48% | 18 | |
| 2024-07-02 | 2024-08-01 | $231.26 | $216.86 | 10.37% | 22 | |
| 2024-05-14 | 2024-05-29 | $177.55 | $176.19 | 2.63% | 11 | |
| 2024-04-30 | 2024-05-08 | $183.28 | $174.72 | -8.56% | 7 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -5.79% | 2 | |
| 2024-02-26 | 2024-03-05 | $199.40 | $180.74 | -2.19% | 7 | |
| 2023-07-26 | 2023-07-28 | $264.35 | $266.44 | -3.80% | 3 | |
| 2023-06-02 | 2023-07-24 | $213.97 | $269.06 | 25.05% | 35 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 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 | |
| 2022-07-14 | 2022-08-02 | $238.31 | $300.59 | 25.16% | 14 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -14.86% | 12 | |
| 2022-01-12 | 2022-01-20 | $368.74 | $332.09 | -6.64% | 6 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-08-24 | 2021-11-29 | $236.16 | $379.00 | 52.88% | 68 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-10-22 | 2020-10-27 | $141.93 | $141.56 | -0.76% | 4 | |
| 2020-10-16 | 2020-10-19 | $146.56 | $143.61 | -2.25% | 2 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.68% | 6 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 17.09% | 29 | |
| 2020-05-15 | 2020-08-10 | $53.28 | $94.57 | 80.47% | 60 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-12-17 | 2020-03-04 | $25.27 | $49.97 | 95.02% | 53 | |
| 2019-10-25 | 2019-12-09 | $21.88 | $22.64 | 11.87% | 31 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2019-09-27 | 2019-10-10 | $16.14 | $16.32 | 0.61% | 10 | |
| 2019-06-18 | 2019-07-22 | $14.98 | $17.05 | 14.50% | 24 | |
| 2019-04-04 | 2019-04-05 | $17.85 | $18.33 | -8.43% | 2 | |
| 2018-11-29 | 2018-12-18 | $22.74 | $22.47 | -0.04% | 13 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-10-04 | 2018-10-05 | $18.79 | $17.46 | -4.60% | 2 | |
| 2018-08-22 | 2018-08-28 | $21.44 | $20.79 | -1.02% | 5 | |
| 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 | |
| 2018-06-07 | 2018-06-12 | $21.07 | $22.85 | 3.73% | 4 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -7.75% | 6 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.27% | 25 | |
| 2017-05-11 | 2017-05-18 | $21.54 | $20.87 | -6.06% | 6 | |
| 2017-03-28 | 2017-05-05 | $18.50 | $20.56 | 9.12% | 28 | |
| 2017-01-05 | 2017-02-28 | $15.12 | $16.67 | 8.26% | 37 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 10.57% | 10 | |
| 2016-07-26 | 2016-08-16 | $15.30 | $14.91 | -2.12% | 16 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-05-03 | $17.03 | $15.49 | -2.29% | 21 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 2.12% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 18.67% | 12 | |
| 2015-12-15 | 2015-12-28 | $14.74 | $15.26 | 5.28% | 9 | |
| 2015-12-03 | 2015-12-04 | $15.51 | $15.36 | 0.11% | 2 | |
| 2015-11-19 | 2015-12-02 | $14.79 | $15.47 | 7.08% | 9 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-07-15 | 2015-07-23 | $17.54 | $17.81 | 0.63% | 7 | |
| 2015-05-11 | 2015-07-09 | $15.97 | $17.19 | 7.54% | 42 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-23 | 2015-04-28 | $14.57 | $15.37 | 5.31% | 4 | |
| 2015-04-08 | 2015-04-14 | $13.84 | $13.83 | 3.01% | 5 | |
| 2015-02-10 | 2015-02-25 | $14.42 | $13.58 | -6.34% | 11 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-23 | 2014-07-16 | $15.81 | $14.48 | -4.55% | 17 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 21.21% | 43 | |
| 2013-07-01 | 2013-10-21 | $7.81 | $11.51 | 70.50% | 79 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 172.31% | 65 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2012-12-18 | 2012-12-31 | $2.31 | $2.26 | -3.62% | 9 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-10-09 | 2012-10-11 | $1.89 | $1.89 | -3.10% | 3 | |
| 2012-10-03 | 2012-10-08 | $1.95 | $1.95 | -3.25% | 4 | |
| 2012-08-30 | 2012-09-05 | $1.89 | $1.86 | -1.15% | 4 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -11.54% | 10 | |
| 2012-02-23 | 2012-03-20 | $2.30 | $2.33 | 2.02% | 19 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |