Strategy Zoo / S0747
PriceMomentum_V0747
ARCHIVEDhybridstructuraladded exit filter: rel_volume > 2.8368
Fitness
0.6818
Generation
34
Complexity
6
Created
2026-09-25
Lineage
Parents (1)
added entry filter: breakout_50 == 1
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0747 [hybrid]
if flat and (ret_20d > 0.05 and breakout_50 == 1):
position = 1.0
if long and (ret_20d < -0.0017 or rel_volume > 2.8368):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.5% | 109.4% | 12.9% | 28.7% |
| Total Return | 175.0% | 818.2% | 56.9% | 3978.2% |
| Sharpe | 0.59 | 1.85 | 0.56 | 0.94 |
| Sortino | 0.50 | 1.68 | 0.40 | 0.77 |
| Calmar | 0.28 | 3.24 | 0.42 | 0.59 |
| Volatility | 27.6% | 45.5% | 29.8% | 32.6% |
| Max DD | -48.6% | -33.7% | -30.4% | -48.6% |
| Win Rate | 46.4% | 88.9% | 50.0% | 55.3% |
| Avg Win | 16.2% | 36.2% | 21.1% | 25.3% |
| Avg Loss | -6.7% | -10.7% | -9.3% | -7.5% |
| Payoff | 2.41 | 3.39 | 2.28 | 3.38 |
| Expectancy | 3.9% | 31.0% | 5.9% | 10.7% |
| Profit Factor | 2.09 | 10.00 | 2.28 | 4.18 |
| Trades | 28 | 9 | 10 | 47 |
| Avg Holding Days | 21.8 | 34.3 | 24.1 | 25.7 |
| Turnover | 7.1 | 6.0 | 5.4 | 6.4 |
| Exposure | 31.2% | 39.7% | 24.7% | 31.3% |
Growth of $100
PriceMomentum_V0747 vs TSLA Buy & Hold
PriceMomentum_V0747 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 | 4.6% | 0.42 | -9.6% | 2 |
| 2017 | 1.6% | 0.19 | -21.5% | 4 |
| 2018 | -25.9% | -1.15 | -35.0% | 4 |
| 2019 | 34.0% | 1.20 | -13.9% | 2 |
| 2020 | 398.3% | 2.71 | -33.7% | 4 |
| 2021 | 87.3% | 2.07 | -17.6% | 3 |
| 2022 | -5.5% | -0.18 | -18.9% | 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 | 2.0% | 0.96 | 0% |
| hidden test | EXPENSIVE | 83 | 83.9% | 2.01 | 58% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 20.2% | 0.51 | 28% |
| hidden test | LOW VOLATILITY | 431 | 35.6% | 1.69 | 23% |
| hidden test | MEDIUM VOLATILITY | 250 | -19.7% | -0.63 | 24% |
| hidden test | NORMAL | 804 | -0.3% | -0.01 | 19% |
| hidden test | SIDEWAYS | 293 | -14.8% | -0.57 | 21% |
| hidden test | UPTREND | 371 | 52.1% | 1.27 | 45% |
| train | DOWNTREND | 518 | -2.0% | -0.50 | 2% |
| train | EXPENSIVE | 311 | 34.4% | 0.93 | 59% |
| train | EXTREME | 100 | 280.8% | 4.13 | 84% |
| train | HIGH VOLATILITY | 699 | 26.9% | 0.75 | 28% |
| train | LOW VOLATILITY | 745 | 28.4% | 1.40 | 40% |
| train | MEDIUM VOLATILITY | 568 | -12.2% | -0.52 | 23% |
| train | NORMAL | 1,601 | -3.6% | -0.18 | 22% |
| train | SIDEWAYS | 592 | -7.1% | -0.40 | 13% |
| train | UPTREND | 902 | 42.4% | 1.10 | 60% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 65.3% | 1.25 | 46% |
| validation | EXTREME | 144 | 299.0% | 3.84 | 79% |
| validation | HIGH VOLATILITY | 258 | 83.1% | 1.34 | 36% |
| validation | LOW VOLATILITY | 183 | 49.4% | 2.34 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 105.6% | 2.66 | 42% |
| validation | NORMAL | 474 | 24.6% | 0.99 | 26% |
| validation | SIDEWAYS | 206 | -8.9% | -0.69 | 11% |
| validation | UPTREND | 425 | 148.7% | 2.51 | 64% |
Trades (full period)
47 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-11 | 2026-06-08 | $445.00 | $408.95 | -8.90% | 20 | |
| 2025-12-16 | 2026-01-05 | $489.88 | $451.67 | -8.02% | 13 | |
| 2025-08-27 | 2025-10-23 | $349.60 | $448.98 | 24.57% | 41 | |
| 2025-05-12 | 2025-06-12 | $318.38 | $319.11 | 9.23% | 23 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 36.54% | 44 | |
| 2024-09-26 | 2024-10-14 | $254.22 | $219.16 | -15.43% | 13 | |
| 2024-06-27 | 2024-08-02 | $197.42 | $207.67 | 10.21% | 26 | |
| 2023-12-28 | 2024-01-05 | $253.18 | $237.49 | -9.18% | 6 | |
| 2023-06-02 | 2023-07-24 | $213.97 | $269.06 | 25.05% | 35 | |
| 2023-02-08 | 2023-03-08 | $201.29 | $182.00 | -4.81% | 20 | |
| 2022-07-22 | 2022-08-29 | $272.24 | $284.82 | 5.82% | 27 | |
| 2022-03-29 | 2022-04-21 | $366.52 | $336.26 | -10.68% | 17 | |
| 2021-10-28 | 2021-12-01 | $359.01 | $365.00 | 10.08% | 24 | |
| 2021-08-04 | 2021-10-26 | $236.97 | $339.48 | 44.11% | 59 | |
| 2021-01-04 | 2021-02-09 | $243.26 | $283.15 | 22.11% | 26 | |
| 2020-11-19 | 2020-12-21 | $166.42 | $216.62 | 42.53% | 22 | |
| 2020-08-17 | 2020-09-24 | $122.38 | $129.26 | 14.99% | 28 | |
| 2020-05-11 | 2020-08-10 | $54.09 | $94.57 | 76.93% | 64 | |
| 2019-10-28 | 2020-03-04 | $21.85 | $49.97 | 126.75% | 88 | |
| 2019-10-15 | 2019-10-25 | $17.19 | $21.88 | 16.39% | 9 | |
| 2019-07-22 | 2019-08-02 | $17.05 | $15.62 | -9.61% | 10 | |
| 2018-10-30 | 2018-12-19 | $21.99 | $22.20 | 0.45% | 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 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -4.78% | 13 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -7.75% | 6 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.27% | 25 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | 1.59% | 36 | |
| 2016-12-21 | 2017-02-28 | $13.85 | $16.67 | 17.70% | 46 | |
| 2016-04-05 | 2016-05-03 | $17.03 | $15.49 | -2.29% | 21 | |
| 2016-03-18 | 2016-04-04 | $15.52 | $16.47 | 4.74% | 11 | |
| 2015-07-21 | 2015-07-27 | $17.78 | $16.87 | -6.16% | 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 | |
| 2014-02-27 | 2014-03-26 | $16.84 | $14.20 | -13.04% | 20 | |
| 2014-01-22 | 2014-02-26 | $11.90 | $16.87 | 40.09% | 25 | |
| 2013-07-30 | 2013-10-22 | $8.78 | $11.44 | 27.95% | 60 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -7.12% | 11 | |
| 2013-05-17 | 2013-06-26 | $6.10 | $7.05 | 10.78% | 28 | |
| 2013-05-13 | 2013-05-14 | $5.85 | $5.55 | 14.17% | 2 | |
| 2013-04-02 | 2013-05-10 | $2.96 | $5.12 | 57.66% | 29 | |
| 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 | |
| 2012-07-16 | 2012-07-20 | $2.40 | $2.12 | -5.96% | 5 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -6.60% | 8 | |
| 2012-02-21 | 2012-03-23 | $2.30 | $2.27 | -1.83% | 24 |