Strategy Zoo / S0734

PriceMomentum_V0734

ARCHIVEDhybrid

crossoverentry from PriceMomentum_V0541, exit from LongTermTrend_V0668

Fitness

0.6700

Generation

Complexity

Created

2026-09-25

Lineage

Parents (2)

PriceMomentum_V0541S0541 · gen 25ARCHIVEDcrossover

logic of PriceMomentum_V0314 with risk overlay of PriceMomentum_V0386

LongTermTrend_V0668S0668 · gen 31ARCHIVEDcrossover

entry from LongTermTrend_V0519, exit from PriceMomentum_V0400

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0734  [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.1146 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 < -0.03:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	23.3%	91.4%	11.5%	31.7%
Total Return	431.4%	601.2%	49.6%	5637.4%
Sharpe	0.90	1.60	0.51	0.99
Sortino	0.79	1.46	0.38	0.83
Calmar	0.60	2.18	0.30	0.76
Volatility	27.4%	47.7%	30.4%	33.3%
Max DD	-39.1%	-41.9%	-38.8%	-41.9%
Win Rate	55.6%	61.5%	57.1%	57.4%
Avg Win	17.6%	40.2%	11.9%	24.4%
Avg Loss	-5.5%	-10.6%	-7.8%	-7.2%
Payoff	3.22	3.79	1.53	3.39
Expectancy	7.3%	20.7%	3.5%	10.9%
Profit Factor	4.02	6.06	2.05	4.57
Trades	27	13	14	54
Avg Holding Days	21.9	23.8	17.1	22.0
Turnover	6.9	8.7	7.8	7.4
Exposure	30.3%	39.3%	26.5%	31.2%

Growth of $100

PriceMomentum_V0734 vs TSLA Buy & Hold

PriceMomentum_V0734 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	15.5%	1.10	-15.9%	5
2017	8.2%	0.46	-17.1%	4
2018	-27.3%	-1.43	-28.9%	4
2019	49.9%	2.27	-8.5%	2
2020	488.4%	2.88	-33.7%	5
2021	66.4%	1.75	-17.6%	2
2022	-31.4%	-1.25	-37.5%	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	-0.5%	-0.02	17%
hidden test	EXPENSIVE	83	55.4%	1.24	67%
hidden test	EXTREME	48	195.3%	3.47	69%
hidden test	HIGH VOLATILITY	254	-11.1%	-0.28	30%
hidden test	LOW VOLATILITY	431	38.8%	1.94	20%
hidden test	MEDIUM VOLATILITY	250	2.4%	0.07	34%
hidden test	NORMAL	804	0.6%	0.02	20%
hidden test	SIDEWAYS	293	-5.9%	-0.39	2%
hidden test	UPTREND	371	44.0%	1.01	53%
train	DOWNTREND	518	7.5%	0.96	6%
train	EXPENSIVE	311	36.7%	0.99	61%
train	EXTREME	100	380.3%	5.23	96%
train	HIGH VOLATILITY	699	44.4%	1.22	30%
train	LOW VOLATILITY	745	25.6%	1.25	38%
train	MEDIUM VOLATILITY	568	-1.1%	-0.05	20%
train	NORMAL	1,601	0.0%	0.00	20%
train	SIDEWAYS	592	-1.5%	-0.15	2%
train	UPTREND	902	51.5%	1.30	63%
validation	DOWNTREND	125	42.2%	1.94	10%
validation	EXPENSIVE	138	63.9%	1.17	59%
validation	EXTREME	144	320.6%	4.01	82%
validation	HIGH VOLATILITY	258	80.5%	1.23	43%
validation	LOW VOLATILITY	183	35.5%	1.98	24%
validation	MEDIUM VOLATILITY	315	96.6%	2.28	45%
validation	NORMAL	474	5.7%	0.21	20%
validation	SIDEWAYS	206	-25.5%	-1.53	3%
validation	UPTREND	425	135.7%	2.22	66%

Trades (full period)

55 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	4.65%	23	OPEN
2026-05-29	2026-06-01	$435.79	$415.88	-1.63%	2
2026-05-06	2026-05-08	$398.73	$428.35	5.55%	3
2025-12-15	2026-01-07	$475.31	$431.41	-5.85%	16
2025-09-15	2025-11-14	$410.04	$404.35	1.33%	45
2025-05-22	2025-06-06	$341.04	$295.14	-15.09%	11
2025-04-30	2025-05-12	$282.16	$318.38	1.93%	9
2025-04-16	2025-04-22	$241.55	$237.97	-10.66%	4
2024-11-07	2025-01-14	$296.91	$396.36	39.51%	45
2024-10-03	2024-10-14	$240.66	$219.16	-12.71%	8
2024-09-06	2024-09-27	$210.73	$260.46	10.22%	16
2024-07-02	2024-08-02	$231.26	$207.67	3.14%	23
2024-05-15	2024-05-29	$173.99	$176.19	-0.65%	10
2023-06-02	2023-08-02	$213.97	$254.11	25.56%	42
2023-05-24	2023-05-31	$182.90	$203.93	8.07%	5
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
2022-07-19	2022-08-02	$245.53	$300.59	23.34%	11
2022-06-24	2022-06-29	$245.71	$228.49	-1.22%	4
2022-04-05	2022-04-27	$363.75	$293.84	-23.64%	16
2022-01-04	2022-01-20	$383.20	$332.09	-17.18%	12
2021-09-16	2021-12-01	$252.33	$365.00	51.15%	54
2020-11-19	2021-02-11	$166.42	$270.55	65.06%	57
2020-10-07	2020-10-20	$141.77	$140.65	3.87%	10
2020-08-18	2020-09-24	$125.81	$129.26	3.40%	27
2020-05-20	2020-08-10	$54.37	$94.57	79.43%	57
2020-04-14	2020-04-30	$47.33	$52.13	22.74%	13
2019-10-25	2020-03-04	$21.88	$49.97	148.29%	89
2019-09-27	2019-10-15	$16.14	$17.19	5.72%	13
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	2018-05-04	$19.99	$19.61	-3.41%	4
2017-08-04	2017-08-24	$23.79	$23.53	1.44%	15
2017-06-05	2017-07-06	$23.15	$20.59	-3.94%	23
2017-04-04	2017-05-24	$20.25	$20.68	1.59%	36
2017-01-05	2017-03-08	$15.12	$16.46	9.30%	43
2016-12-21	2016-12-28	$13.85	$14.65	4.93%	5
2016-07-26	2016-08-23	$15.30	$14.99	-3.27%	21
2016-04-05	2016-05-04	$17.03	$14.84	-6.12%	22
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
2015-05-11	2015-07-28	$15.97	$17.65	6.72%	55
2015-04-29	2015-05-01	$15.50	$15.07	-2.12%	3
2015-04-24	2015-04-28	$14.56	$15.37	5.71%	3
2014-08-07	2014-09-16	$16.83	$17.38	1.78%	28
2014-06-23	2014-07-17	$15.81	$14.36	-5.60%	18
2014-01-24	2014-03-26	$11.64	$14.20	21.21%	43
2013-07-02	2013-10-22	$7.85	$11.44	47.00%	79
2013-04-02	2013-06-26	$2.96	$7.05	132.63%	61
2013-01-29	2013-02-26	$2.53	$2.30	-9.78%	20
2012-11-23	2012-12-14	$2.14	$2.25	3.30%	16
2012-02-23	2012-04-10	$2.30	$2.16	-3.32%	33
2012-02-21	2012-02-22	$2.30	$2.28	-1.54%	2