Strategy Zoo / S0728
PriceMomentum_V0728
ARCHIVEDhybridstructuralreduce exposure to 41% during MEDIUM_VOLATILITY; added entry filter: rel_volume > 1.1075
Fitness
0.5652
Generation
33
Complexity
6
Created
2026-09-25
Lineage
Parents (1)
added entry filter: breakout_50 == 1
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0728 [hybrid]
if flat and (ret_20d > 0.05 and breakout_50 == 1 and rel_volume > 1.1075):
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.8% | 58.1% | 21.7% | 28.1% |
| Total Return | 353.3% | 295.1% | 107.2% | 3720.7% |
| Sharpe | 0.86 | 1.41 | 0.92 | 1.02 |
| Sortino | 0.76 | 1.06 | 0.58 | 0.79 |
| Calmar | 0.43 | 1.72 | 0.93 | 0.58 |
| Volatility | 25.9% | 37.4% | 24.5% | 28.3% |
| Max DD | -48.2% | -33.8% | -23.2% | -48.2% |
| Win Rate | 38.1% | 57.1% | 71.4% | 48.6% |
| Avg Win | 30.7% | 45.8% | 21.1% | 37.6% |
| Avg Loss | -5.5% | -4.0% | -10.2% | -5.8% |
| Payoff | 5.58 | 10.00 | 2.08 | 6.52 |
| Expectancy | 8.3% | 24.5% | 12.2% | 15.3% |
| Profit Factor | 3.43 | 10.00 | 5.19 | 6.16 |
| Trades | 21 | 7 | 7 | 35 |
| Avg Holding Days | 27.9 | 39.6 | 27.1 | 31.6 |
| Turnover | 7.2 | 5.8 | 6.3 | 6.6 |
| Exposure | 27.3% | 25.0% | 16.7% | 24.2% |
Growth of $100
PriceMomentum_V0728 vs TSLA Buy & Hold
PriceMomentum_V0728 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 | 0.5% | 0.11 | -4.9% | 1 |
| 2017 | 0.4% | 0.11 | -22.4% | 4 |
| 2018 | -22.4% | -1.12 | -35.0% | 3 |
| 2019 | 43.7% | 1.40 | -14.0% | 1 |
| 2020 | 147.5% | 1.81 | -33.8% | 3 |
| 2021 | 64.8% | 2.51 | -8.0% | 2 |
| 2022 | -4.8% | -0.49 | -8.1% | 2 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 77.4% | 2.11 | 44% |
| hidden test | EXTREME | 48 | 169.3% | 3.16 | 61% |
| hidden test | HIGH VOLATILITY | 254 | 30.5% | 0.92 | 23% |
| hidden test | LOW VOLATILITY | 431 | 34.4% | 1.85 | 17% |
| hidden test | MEDIUM VOLATILITY | 250 | -5.7% | -0.25 | 10% |
| hidden test | NORMAL | 804 | 8.2% | 0.42 | 11% |
| hidden test | SIDEWAYS | 293 | -2.4% | -0.17 | 9% |
| hidden test | UPTREND | 371 | 59.0% | 1.61 | 35% |
| train | DOWNTREND | 518 | 0.6% | 0.30 | 1% |
| train | EXPENSIVE | 311 | 28.8% | 0.99 | 51% |
| train | EXTREME | 100 | 373.2% | 5.24 | 87% |
| train | HIGH VOLATILITY | 699 | 47.6% | 1.32 | 30% |
| train | LOW VOLATILITY | 745 | 25.6% | 1.29 | 37% |
| train | MEDIUM VOLATILITY | 568 | -13.5% | -0.84 | 11% |
| train | NORMAL | 1,601 | -1.0% | -0.06 | 19% |
| train | SIDEWAYS | 592 | -10.6% | -0.68 | 9% |
| train | UPTREND | 902 | 56.1% | 1.54 | 54% |
| validation | DOWNTREND | 125 | 7.7% | 1.38 | 2% |
| validation | EXPENSIVE | 138 | 31.2% | 0.75 | 26% |
| validation | EXTREME | 144 | 177.3% | 2.55 | 58% |
| validation | HIGH VOLATILITY | 258 | 57.5% | 1.00 | 30% |
| validation | LOW VOLATILITY | 183 | 42.2% | 2.39 | 28% |
| validation | MEDIUM VOLATILITY | 315 | 55.1% | 2.49 | 19% |
| validation | NORMAL | 474 | 21.3% | 1.36 | 15% |
| validation | SIDEWAYS | 206 | -6.0% | -0.86 | 5% |
| validation | UPTREND | 425 | 94.6% | 1.92 | 41% |
Trades (full period)
35 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-12 | 2026-06-08 | $433.45 | $408.95 | -12.31% | 19 | |
| 2025-12-16 | 2026-01-05 | $489.88 | $451.67 | -8.02% | 13 | |
| 2025-09-12 | 2025-10-23 | $395.94 | $448.98 | 15.23% | 30 | |
| 2025-05-12 | 2025-06-12 | $318.38 | $319.11 | 21.09% | 23 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 33.16% | 44 | |
| 2024-06-27 | 2024-08-02 | $197.42 | $207.67 | 7.61% | 26 | |
| 2023-06-02 | 2023-07-24 | $213.97 | $269.06 | 28.47% | 35 | |
| 2022-07-22 | 2022-08-29 | $272.24 | $284.82 | -0.51% | 27 | |
| 2022-03-29 | 2022-04-21 | $366.52 | $336.26 | -4.33% | 17 | |
| 2021-09-08 | 2021-12-01 | $251.29 | $365.00 | 53.29% | 60 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 27.60% | 55 | |
| 2020-08-18 | 2020-09-24 | $125.81 | $129.26 | -7.06% | 27 | |
| 2020-06-02 | 2020-08-10 | $58.77 | $94.57 | 48.39% | 49 | |
| 2019-10-15 | 2020-03-04 | $17.19 | $49.97 | 158.53% | 97 | |
| 2019-07-25 | 2019-08-02 | $15.25 | $15.62 | -11.91% | 7 | |
| 2018-10-30 | 2018-12-19 | $21.99 | $22.20 | 0.08% | 35 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -19.68% | 9 | |
| 2018-06-07 | 2018-07-06 | $21.07 | $20.59 | -3.43% | 21 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -5.77% | 6 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.56% | 25 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | -3.73% | 36 | |
| 2016-12-21 | 2017-02-28 | $13.85 | $16.67 | 20.61% | 46 | |
| 2016-04-05 | 2016-05-03 | $17.03 | $15.49 | -1.85% | 21 | |
| 2015-07-21 | 2015-07-27 | $17.78 | $16.87 | -2.53% | 5 | |
| 2015-04-23 | 2015-07-09 | $14.57 | $17.19 | 15.95% | 54 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.78% | 28 | |
| 2014-06-18 | 2014-07-16 | $15.14 | $14.48 | -5.41% | 20 | |
| 2014-01-22 | 2014-03-26 | $11.90 | $14.20 | 11.13% | 45 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 52.44% | 79 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 142.98% | 61 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2012-11-20 | 2012-12-31 | $2.20 | $2.26 | 0.71% | 28 | |
| 2012-07-17 | 2012-07-20 | $2.22 | $2.12 | -4.34% | 4 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -4.01% | 10 | |
| 2012-02-21 | 2012-03-23 | $2.30 | $2.27 | -1.83% | 24 |