Strategy Zoo / S0732
PriceMomentum_V0732
ARCHIVEDmomentumstructuralreduce exposure to 56% during MEDIUM_VOLATILITY
Fitness
0.5789
Generation
33
Complexity
5
Created
2026-09-25
Lineage
Parents (1)
changed ret_20d threshold -0.03 -> -0.1766
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0732 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and ret_20d > 0.05:
position = 1.0
if long and ret_20d < -0.1766:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.56Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.6% | 62.1% | 3.9% | 23.6% |
| Total Return | 345.0% | 325.7% | 15.2% | 2146.0% |
| Sharpe | 0.96 | 1.38 | 0.30 | 0.94 |
| Sortino | 0.73 | 1.04 | 0.18 | 0.62 |
| Calmar | 0.69 | 1.84 | 0.12 | 0.70 |
| Volatility | 21.7% | 41.1% | 17.7% | 26.1% |
| Max DD | -29.9% | -33.8% | -31.3% | -33.8% |
| Win Rate | 55.6% | 100.0% | 66.7% | 68.8% |
| Avg Win | 56.0% | 47.4% | 9.8% | 46.0% |
| Avg Loss | -2.6% | 0.0% | -4.2% | -2.9% |
| Payoff | 10.00 | 5.00 | 2.33 | 10.00 |
| Expectancy | 30.0% | 47.4% | 5.1% | 30.7% |
| Profit Factor | 10.00 | 5.00 | 4.65 | 10.00 |
| Trades | 9 | 4 | 3 | 16 |
| Avg Holding Days | 38.2 | 62.3 | 37.7 | 44.8 |
| Turnover | 4.5 | 5.0 | 3.0 | 4.2 |
| Exposure | 15.1% | 26.4% | 9.7% | 16.1% |
Growth of $100
PriceMomentum_V0732 vs TSLA Buy & Hold
PriceMomentum_V0732 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 | 0.0% | 0.00 | 0.0% | 0 |
| 2017 | 3.2% | 0.25 | -15.7% | 5 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 9.5% | 1.31 | -3.8% | 0 |
| 2020 | 310.4% | 2.38 | -33.8% | 3 |
| 2021 | 1.1% | 0.15 | -9.3% | 1 |
| 2022 | 0.0% | 0.00 | 0.0% | 0 |
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 | -24.5% | -0.65 | 55% |
| hidden test | EXTREME | 48 | 171.5% | 2.86 | 92% |
| hidden test | HIGH VOLATILITY | 254 | 25.7% | 0.96 | 18% |
| hidden test | LOW VOLATILITY | 431 | 15.4% | 1.73 | 4% |
| hidden test | MEDIUM VOLATILITY | 250 | -32.6% | -1.85 | 12% |
| hidden test | NORMAL | 804 | -1.5% | -0.73 | 0% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 13.5% | 0.48 | 25% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 16.9% | 0.49 | 67% |
| train | EXTREME | 100 | 395.1% | 5.51 | 92% |
| train | HIGH VOLATILITY | 699 | 46.5% | 1.45 | 23% |
| train | LOW VOLATILITY | 745 | 10.4% | 0.94 | 11% |
| train | MEDIUM VOLATILITY | 568 | 3.4% | 0.22 | 11% |
| train | NORMAL | 1,601 | -1.6% | -0.90 | 0% |
| train | SIDEWAYS | 592 | 0.8% | 0.63 | 0% |
| train | UPTREND | 902 | 46.3% | 1.43 | 34% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 33.2% | 0.66 | 60% |
| validation | EXTREME | 144 | 268.8% | 3.39 | 81% |
| validation | HIGH VOLATILITY | 258 | 99.5% | 1.55 | 42% |
| validation | LOW VOLATILITY | 183 | 10.3% | 0.52 | 17% |
| validation | MEDIUM VOLATILITY | 315 | 48.7% | 2.29 | 19% |
| validation | NORMAL | 474 | -0.8% | -0.78 | 0% |
| validation | SIDEWAYS | 206 | 3.1% | 0.66 | 1% |
| validation | UPTREND | 425 | 99.5% | 1.82 | 47% |
Trades (full period)
16 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-15 | 2025-11-13 | $410.04 | $401.99 | 4.68% | 44 | |
| 2025-05-28 | 2025-06-02 | $356.90 | $342.69 | -4.20% | 4 | |
| 2024-11-07 | 2025-02-12 | $296.91 | $336.51 | 14.84% | 65 | |
| 2020-11-19 | 2021-02-19 | $166.42 | $260.43 | 27.60% | 62 | |
| 2020-05-15 | 2020-11-13 | $53.28 | $136.17 | 110.09% | 128 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-12-17 | 2020-03-10 | $25.27 | $43.02 | 45.90% | 57 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -7.18% | 7 | |
| 2017-04-07 | 2017-08-24 | $20.17 | $23.53 | 7.95% | 97 | |
| 2017-03-28 | 2017-04-06 | $18.50 | $19.91 | 5.47% | 8 | |
| 2017-02-03 | 2017-02-28 | $16.76 | $16.67 | -0.60% | 17 | |
| 2017-01-25 | 2017-01-31 | $16.96 | $16.80 | -1.76% | 5 | |
| 2014-01-24 | 2014-03-28 | $11.64 | $14.16 | 4.72% | 45 | |
| 2013-04-11 | 2013-11-08 | $2.91 | $9.20 | 255.32% | 149 | |
| 2013-02-14 | 2013-02-15 | $2.55 | $2.47 | -0.67% | 2 | |
| 2013-01-24 | 2013-02-12 | $2.47 | $2.53 | 6.51% | 14 |