Strategy Zoo / S0736
PriceMomentum_V0736
ARCHIVEDhybridcrossoverentry from PriceMomentum_V0267, exit from LongTermTrend_V0663
Fitness
0.5555
Generation
34
Complexity
4
Created
2026-09-25
Lineage
Parents (2)
changed ret_20d threshold 0.05 -> 0.1146
swapped indicator macd_hist -> rsi_14
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0736 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.1146:
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 16.6% | 60.5% | 25.4% | 27.0% |
| Total Return | 241.0% | 313.5% | 131.5% | 3260.6% |
| Sharpe | 0.78 | 1.44 | 1.06 | 1.02 |
| Sortino | 0.66 | 1.33 | 0.81 | 0.85 |
| Calmar | 0.52 | 1.68 | 0.79 | 0.75 |
| Volatility | 22.9% | 37.6% | 24.1% | 26.9% |
| Max DD | -32.2% | -36.1% | -32.2% | -36.1% |
| Win Rate | 50.7% | 59.6% | 48.6% | 52.9% |
| Avg Win | 7.2% | 9.1% | 8.6% | 8.3% |
| Avg Loss | -2.9% | -4.1% | -2.7% | -3.1% |
| Payoff | 2.51 | 2.21 | 3.21 | 2.63 |
| Expectancy | 2.2% | 3.7% | 2.8% | 2.9% |
| Profit Factor | 2.57 | 3.25 | 3.03 | 2.94 |
| Trades | 75 | 47 | 35 | 157 |
| Avg Holding Days | 6.5 | 5.7 | 6.1 | 6.2 |
| Turnover | 18.8 | 28.6 | 18.9 | 20.7 |
| Exposure | 19.9% | 24.8% | 17.8% | 20.4% |
Growth of $100
PriceMomentum_V0736 vs TSLA Buy & Hold
PriceMomentum_V0736 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 | 27.2% | 2.35 | -4.5% | 7 |
| 2017 | 19.5% | 1.27 | -6.6% | 9 |
| 2018 | -27.3% | -1.40 | -30.3% | 7 |
| 2019 | 32.1% | 1.76 | -8.3% | 4 |
| 2020 | 280.9% | 2.63 | -24.2% | 24 |
| 2021 | 34.6% | 1.44 | -11.6% | 12 |
| 2022 | -19.8% | -0.96 | -32.5% | 10 |
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 | 24.6% | 0.96 | 18% |
| hidden test | EXPENSIVE | 83 | 18.2% | 0.55 | 33% |
| hidden test | EXTREME | 48 | 143.2% | 3.19 | 45% |
| hidden test | HIGH VOLATILITY | 254 | 36.1% | 1.08 | 27% |
| hidden test | LOW VOLATILITY | 431 | 33.5% | 1.85 | 15% |
| hidden test | MEDIUM VOLATILITY | 250 | 0.9% | 0.04 | 14% |
| hidden test | NORMAL | 804 | 19.2% | 0.91 | 15% |
| hidden test | SIDEWAYS | 293 | 9.2% | 1.25 | 2% |
| hidden test | UPTREND | 371 | 39.0% | 1.27 | 30% |
| train | DOWNTREND | 518 | 14.2% | 1.50 | 8% |
| train | EXPENSIVE | 311 | 12.1% | 0.46 | 38% |
| train | EXTREME | 100 | 305.8% | 4.38 | 76% |
| train | HIGH VOLATILITY | 699 | 33.1% | 0.99 | 25% |
| train | LOW VOLATILITY | 745 | 7.9% | 0.52 | 24% |
| train | MEDIUM VOLATILITY | 568 | 12.3% | 0.93 | 8% |
| train | NORMAL | 1,601 | 1.0% | 0.07 | 13% |
| train | SIDEWAYS | 592 | -5.1% | -0.53 | 2% |
| train | UPTREND | 902 | 35.2% | 1.08 | 39% |
| validation | DOWNTREND | 125 | 40.6% | 1.85 | 16% |
| validation | EXPENSIVE | 138 | 86.6% | 2.75 | 31% |
| validation | EXTREME | 144 | 199.2% | 2.82 | 61% |
| validation | HIGH VOLATILITY | 258 | 58.5% | 1.07 | 35% |
| validation | LOW VOLATILITY | 183 | 23.7% | 1.65 | 11% |
| validation | MEDIUM VOLATILITY | 315 | 68.6% | 2.37 | 25% |
| validation | NORMAL | 474 | 0.9% | 0.04 | 12% |
| validation | SIDEWAYS | 206 | -1.1% | -0.16 | 1% |
| validation | UPTREND | 425 | 85.2% | 1.76 | 39% |
Trades (full period)
latest 100 of 157
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-17 | $348.95 | $366.20 | -1.85% | 18 | |
| 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 | 2025-12-30 | $475.31 | $454.43 | -0.05% | 11 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.62% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -3.16% | 2 | |
| 2025-09-15 | 2025-10-06 | $410.04 | $453.25 | 7.21% | 16 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.55% | 2 | |
| 2025-05-22 | 2025-06-03 | $341.04 | $344.27 | 2.46% | 8 | |
| 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 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -6.28% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.50% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.96% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 14.78% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-11-07 | 2024-11-29 | $296.91 | $345.16 | 15.15% | 16 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.42% | 2 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 9.15% | 16 | |
| 2024-07-30 | 2024-07-31 | $222.62 | $232.07 | -4.28% | 2 | |
| 2024-07-25 | 2024-07-26 | $220.25 | $219.80 | 1.77% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -2.24% | 2 | |
| 2024-07-02 | 2024-07-22 | $231.26 | $251.51 | 12.36% | 14 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.65% | 10 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.33% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -0.93% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 15.93% | 17 | |
| 2023-05-23 | 2023-05-31 | $185.77 | $203.93 | 6.29% | 6 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.56% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.64% | 2 | |
| 2022-06-24 | 2022-08-02 | $245.71 | $300.59 | 20.82% | 27 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -3.50% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.62% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.63% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -7.32% | 5 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -2.02% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2022-01-04 | 2022-01-12 | $383.20 | $368.74 | -11.46% | 7 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.54% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.48% | 2 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.88% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -3.03% | 2 | |
| 2021-10-19 | 2021-11-11 | $288.09 | $354.50 | 22.88% | 18 | |
| 2021-09-16 | 2021-09-21 | $252.33 | $246.46 | -3.59% | 4 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.04% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -1.55% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 3.83% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -2.40% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.04% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 10.75% | 14 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 0.93% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.10% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 1.53% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.66% | 4 | |
| 2020-11-19 | 2020-12-17 | $166.42 | $218.63 | 18.49% | 20 | |
| 2020-10-09 | 2020-10-12 | $144.67 | $147.43 | 1.70% | 2 | |
| 2020-10-07 | 2020-10-08 | $141.77 | $141.97 | 2.53% | 2 | |
| 2020-09-17 | 2020-09-18 | $141.14 | $147.38 | -4.35% | 2 | |
| 2020-09-15 | 2020-09-16 | $149.92 | $147.25 | 6.98% | 2 | |
| 2020-09-11 | 2020-09-14 | $124.24 | $139.87 | 0.17% | 2 | |
| 2020-09-09 | 2020-09-10 | $122.09 | $123.78 | 10.71% | 2 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 7.41% | 15 | |
| 2020-08-03 | 2020-08-04 | $99.00 | $99.13 | 3.59% | 2 | |
| 2020-07-30 | 2020-07-31 | $99.17 | $95.38 | -0.97% | 2 | |
| 2020-07-28 | 2020-07-29 | $98.43 | $99.94 | -4.29% | 2 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 23.34% | 17 | |
| 2020-06-30 | 2020-07-01 | $71.99 | $74.64 | 4.61% | 2 | |
| 2020-06-26 | 2020-06-29 | $63.98 | $67.29 | -1.94% | 2 | |
| 2020-06-02 | 2020-06-25 | $58.77 | $65.73 | 9.78% | 18 | |
| 2020-05-22 | 2020-05-26 | $54.46 | $54.59 | -1.49% | 2 | |
| 2020-05-20 | 2020-05-21 | $54.37 | $55.17 | 0.73% | 2 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-03-03 | 2020-03-04 | $49.70 | $49.97 | 0.05% | 2 | |
| 2020-02-27 | 2020-02-28 | $45.27 | $44.53 | -13.00% | 2 | |
| 2019-12-20 | 2020-02-26 | $27.04 | $51.92 | 85.63% | 45 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -6.33% | 2 | |
| 2019-10-25 | 2019-11-21 | $21.88 | $23.66 | 17.31% | 20 | |
| 2019-09-27 | 2019-09-30 | $16.14 | $16.06 | -0.26% | 2 | |
| 2019-06-21 | 2019-07-22 | $14.79 | $17.05 | 16.51% | 21 | |
| 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 | |
| 2018-07-03 | 2018-07-05 | $20.72 | $20.61 | -7.42% | 2 | |
| 2018-06-29 | 2018-07-02 | $22.86 | $22.34 | -2.19% | 2 | |
| 2018-06-27 | 2018-06-28 | $22.97 | $23.33 | 0.53% | 2 | |
| 2018-06-15 | 2018-06-26 | $23.88 | $22.80 | -7.09% | 8 | |
| 2018-05-01 | 2018-05-17 | $19.99 | $18.97 | -0.95% | 13 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.73% | 13 | |
| 2017-06-05 | 2017-06-27 | $23.15 | $24.16 | 7.14% | 17 | |
| 2017-05-01 | 2017-05-04 | $21.52 | $19.70 | -1.64% | 4 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -0.92% | 2 | |
| 2017-04-24 | 2017-04-25 | $20.54 | $20.92 | 0.40% | 2 | |
| 2017-04-04 | 2017-04-21 | $20.25 | $20.37 | 1.46% | 13 | |
| 2017-02-09 | 2017-02-22 | $17.95 | $18.23 | 5.63% | 9 |