Strategy Zoo / S0727
PriceMomentum_V0727
ARCHIVEDhybridparameterchanged ret_20d threshold 0.1146 -> -0.0003
Fitness
0.6560
Generation
33
Complexity
17
Created
2026-09-25
Lineage
Parents (1)
entry from PriceMomentum_V0557, exit from PriceMomentum_V0361
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0727 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > -0.0003 and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05)):
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 *= 0.55Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 31.1% | 70.8% | 10.6% | 32.8% |
| Total Return | 767.7% | 398.5% | 45.3% | 6368.6% |
| Sharpe | 1.05 | 1.44 | 0.47 | 1.00 |
| Sortino | 1.21 | 1.42 | 0.44 | 1.03 |
| Calmar | 0.62 | 1.86 | 0.23 | 0.66 |
| Volatility | 29.9% | 44.1% | 32.5% | 33.9% |
| Max DD | -49.8% | -38.0% | -46.2% | -49.8% |
| Win Rate | 54.3% | 53.8% | 55.6% | 54.5% |
| Avg Win | 27.1% | 39.7% | 10.7% | 26.9% |
| Avg Loss | -6.0% | -8.4% | -7.9% | -7.0% |
| Payoff | 4.53 | 4.72 | 1.35 | 3.86 |
| Expectancy | 12.0% | 17.5% | 2.4% | 11.5% |
| Profit Factor | 5.38 | 5.51 | 1.69 | 4.63 |
| Trades | 35 | 13 | 18 | 66 |
| Avg Holding Days | 27.2 | 30.5 | 19.3 | 26.4 |
| Turnover | 12.8 | 11.7 | 13.1 | 12.6 |
| Exposure | 41.9% | 41.4% | 32.5% | 39.4% |
Growth of $100
PriceMomentum_V0727 vs TSLA Buy & Hold
PriceMomentum_V0727 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 | 9.7% | 0.78 | -18.3% | 6 |
| 2017 | 10.5% | 0.55 | -23.7% | 3 |
| 2018 | -23.0% | -0.63 | -38.6% | 8 |
| 2019 | 24.9% | 1.19 | -14.7% | 4 |
| 2020 | 405.5% | 2.76 | -33.8% | 4 |
| 2021 | 33.8% | 1.21 | -23.0% | 3 |
| 2022 | -28.2% | -1.39 | -33.4% | 6 |
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 | -14.3% | -0.42 | 32% |
| hidden test | EXPENSIVE | 83 | 61.9% | 1.57 | 52% |
| hidden test | EXTREME | 48 | 178.6% | 3.03 | 83% |
| hidden test | HIGH VOLATILITY | 254 | 5.2% | 0.11 | 41% |
| hidden test | LOW VOLATILITY | 431 | 32.9% | 1.39 | 31% |
| hidden test | MEDIUM VOLATILITY | 250 | -5.0% | -0.17 | 27% |
| hidden test | NORMAL | 804 | 0.7% | 0.02 | 27% |
| hidden test | SIDEWAYS | 293 | 2.0% | 0.19 | 3% |
| hidden test | UPTREND | 371 | 47.4% | 1.15 | 56% |
| train | DOWNTREND | 518 | 10.5% | 0.46 | 29% |
| train | EXPENSIVE | 311 | 37.6% | 1.15 | 61% |
| train | EXTREME | 100 | 394.6% | 5.51 | 91% |
| train | HIGH VOLATILITY | 699 | 58.8% | 1.48 | 38% |
| train | LOW VOLATILITY | 745 | 33.7% | 1.40 | 54% |
| train | MEDIUM VOLATILITY | 568 | -5.2% | -0.24 | 30% |
| train | NORMAL | 1,601 | 7.5% | 0.32 | 35% |
| train | SIDEWAYS | 592 | 0.8% | 0.05 | 4% |
| train | UPTREND | 902 | 63.6% | 1.61 | 74% |
| validation | DOWNTREND | 125 | 34.9% | 1.69 | 16% |
| validation | EXPENSIVE | 138 | 41.8% | 0.86 | 56% |
| validation | EXTREME | 144 | 293.8% | 3.85 | 78% |
| validation | HIGH VOLATILITY | 258 | 95.0% | 1.48 | 49% |
| validation | LOW VOLATILITY | 183 | 26.8% | 1.04 | 50% |
| validation | MEDIUM VOLATILITY | 315 | 58.5% | 1.96 | 30% |
| validation | NORMAL | 474 | -0.5% | -0.02 | 26% |
| validation | SIDEWAYS | 206 | -20.6% | -1.78 | 4% |
| validation | UPTREND | 425 | 112.3% | 1.97 | 67% |
Trades (full period)
67 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 6.68% | 24 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-21 | 2026-05-08 | $386.42 | $428.35 | 6.77% | 14 | |
| 2025-09-12 | 2026-01-13 | $395.94 | $447.20 | 14.34% | 85 | |
| 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 | -1.97% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -7.10% | 11 | |
| 2025-04-29 | 2025-05-12 | $292.03 | $318.38 | 4.12% | 10 | |
| 2025-04-08 | 2025-04-23 | $221.86 | $250.74 | 1.80% | 11 | |
| 2024-11-07 | 2025-01-28 | $296.91 | $398.09 | 34.80% | 54 | |
| 2024-10-03 | 2024-10-23 | $240.66 | $213.65 | -13.41% | 15 | |
| 2024-09-04 | 2024-09-27 | $219.41 | $260.46 | 14.16% | 18 | |
| 2024-07-02 | 2024-08-05 | $231.26 | $198.88 | -2.98% | 24 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2024-04-15 | 2024-04-19 | $161.48 | $147.05 | -11.51% | 5 | |
| 2024-02-26 | 2024-03-15 | $199.40 | $163.57 | -15.52% | 15 | |
| 2023-06-02 | 2023-08-14 | $213.97 | $239.76 | 18.96% | 50 | |
| 2023-05-24 | 2023-05-31 | $182.90 | $203.93 | 8.07% | 5 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.37% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -3.75% | 2 | |
| 2022-06-22 | 2022-08-02 | $236.09 | $300.59 | 17.64% | 29 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -13.45% | 16 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -18.67% | 12 | |
| 2021-08-24 | 2021-12-06 | $236.16 | $336.34 | 52.87% | 73 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 15.15% | 64 | |
| 2020-10-07 | 2020-11-13 | $141.77 | $136.17 | 0.66% | 28 | |
| 2020-05-15 | 2020-09-30 | $53.28 | $143.00 | 109.90% | 96 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-05 | $21.88 | $48.30 | 128.52% | 90 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -0.85% | 2 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 3.17% | 13 | |
| 2019-07-16 | 2019-07-22 | $16.83 | $17.05 | 1.64% | 5 | |
| 2019-04-04 | 2019-04-29 | $17.85 | $16.10 | -13.88% | 17 | |
| 2018-11-29 | 2018-12-26 | $22.74 | $21.74 | -10.31% | 18 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-10-04 | 2018-10-26 | $18.79 | $22.06 | 6.59% | 17 | |
| 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 | |
| 2018-04-27 | 2018-06-12 | $19.61 | $22.85 | 13.62% | 32 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -4.82% | 4 | |
| 2017-09-18 | 2017-10-25 | $25.67 | $21.72 | -9.09% | 28 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | -0.33% | 15 | |
| 2017-01-05 | 2017-07-07 | $15.12 | $20.88 | 21.95% | 127 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 9.61% | 10 | |
| 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 | -9.82% | 23 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 1.17% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 16.17% | 12 | |
| 2015-12-03 | 2015-12-29 | $15.51 | $15.81 | 0.28% | 18 | |
| 2015-11-19 | 2015-12-02 | $14.79 | $15.47 | 7.08% | 9 | |
| 2015-05-11 | 2015-08-18 | $15.97 | $17.38 | 11.77% | 70 | |
| 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 | |
| 2015-02-10 | 2015-04-14 | $14.42 | $13.83 | -3.73% | 44 | |
| 2014-06-23 | 2014-10-01 | $15.81 | $16.02 | 8.99% | 71 | |
| 2014-01-24 | 2014-03-27 | $11.64 | $13.82 | 7.35% | 44 | |
| 2012-12-18 | 2013-10-29 | $2.31 | $10.96 | 380.10% | 218 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-10-03 | 2012-10-15 | $1.95 | $1.82 | -5.03% | 9 | |
| 2012-08-30 | 2012-09-18 | $1.89 | $2.09 | 14.27% | 13 | |
| 2012-02-23 | 2012-04-25 | $2.30 | $2.19 | 0.69% | 44 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |