Strategy Zoo / S0748
PriceMomentum_V0748
ARCHIVEDmomentumstructuralchanged rel_volume threshold 1.2635 -> 1.4539; added entry filter: breakout_20 == 1
Fitness
0.6962
Generation
34
Complexity
8
Created
2026-09-25
Lineage
Parents (1)
logic of PriceMomentum_V0186 with risk overlay of PriceMomentum_V0160
Children (2)
Strategy Logic (pseudocode)
# PriceMomentum_V0748 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and rel_volume > 1.4539 and breakout_20 == 1):
position = 1.0
if long and (ret_20d < -0.1357 or roll_high_50 < sma_20):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 24.7% | 91.8% | 18.4% | 34.6% |
| Total Return | 481.7% | 605.4% | 87.2% | 7809.1% |
| Sharpe | 0.92 | 1.63 | 0.75 | 1.07 |
| Sortino | 0.80 | 1.42 | 0.58 | 0.89 |
| Calmar | 0.70 | 2.62 | 0.66 | 0.98 |
| Volatility | 28.1% | 46.6% | 27.6% | 32.6% |
| Max DD | -35.4% | -35.0% | -27.9% | -35.4% |
| Win Rate | 53.3% | 85.7% | 66.7% | 64.3% |
| Avg Win | 49.8% | 46.6% | 19.3% | 46.2% |
| Avg Loss | -7.9% | -17.2% | -5.2% | -8.3% |
| Payoff | 6.31 | 2.71 | 3.73 | 5.57 |
| Expectancy | 22.9% | 37.5% | 11.1% | 26.7% |
| Profit Factor | 7.21 | 10.00 | 7.46 | 10.00 |
| Trades | 15 | 7 | 6 | 28 |
| Avg Holding Days | 37.6 | 38.9 | 34.8 | 39.0 |
| Turnover | 3.9 | 4.7 | 3.5 | 3.9 |
| Exposure | 29.6% | 35.1% | 24.2% | 29.4% |
Growth of $100
PriceMomentum_V0748 vs TSLA Buy & Hold
PriceMomentum_V0748 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 | 0.6% | 0.11 | -16.2% | 3 |
| 2017 | 20.5% | 0.79 | -28.6% | 3 |
| 2018 | -9.6% | -0.53 | -19.6% | 2 |
| 2019 | 39.5% | 2.02 | -8.5% | 0 |
| 2020 | 474.2% | 2.84 | -33.7% | 3 |
| 2021 | 30.3% | 0.94 | -22.4% | 2 |
| 2022 | -9.6% | -0.57 | -21.2% | 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 | 10.2% | 0.50 | 18% |
| hidden test | EXPENSIVE | 83 | 38.0% | 0.88 | 64% |
| hidden test | EXTREME | 48 | 189.8% | 3.11 | 88% |
| hidden test | HIGH VOLATILITY | 254 | 18.4% | 0.46 | 38% |
| hidden test | LOW VOLATILITY | 431 | 21.8% | 1.46 | 12% |
| hidden test | MEDIUM VOLATILITY | 250 | 21.2% | 0.72 | 31% |
| hidden test | NORMAL | 804 | 8.8% | 0.41 | 16% |
| hidden test | SIDEWAYS | 293 | 0.9% | 0.26 | 1% |
| hidden test | UPTREND | 371 | 44.1% | 1.10 | 46% |
| train | DOWNTREND | 518 | 3.0% | 0.89 | 2% |
| train | EXPENSIVE | 311 | 29.0% | 0.78 | 64% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 54.0% | 1.46 | 27% |
| train | LOW VOLATILITY | 745 | 18.4% | 0.96 | 30% |
| train | MEDIUM VOLATILITY | 568 | 1.3% | 0.05 | 33% |
| train | NORMAL | 1,601 | 0.9% | 0.05 | 18% |
| train | SIDEWAYS | 592 | 3.7% | 0.40 | 2% |
| train | UPTREND | 902 | 53.6% | 1.30 | 64% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 66.8% | 1.22 | 59% |
| validation | EXTREME | 144 | 312.5% | 3.90 | 75% |
| validation | HIGH VOLATILITY | 258 | 107.1% | 1.61 | 43% |
| validation | LOW VOLATILITY | 183 | 26.5% | 1.72 | 21% |
| validation | MEDIUM VOLATILITY | 315 | 79.2% | 2.10 | 37% |
| validation | NORMAL | 474 | 6.8% | 0.29 | 16% |
| validation | SIDEWAYS | 206 | 0.5% | 0.09 | 1% |
| validation | UPTREND | 425 | 129.4% | 2.11 | 60% |
Trades (full period)
29 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 4.65% | 23 | OPEN |
| 2025-09-15 | 2026-01-13 | $410.04 | $447.20 | 13.17% | 84 | |
| 2024-11-07 | 2025-01-28 | $296.91 | $398.09 | 37.37% | 54 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 10.22% | 16 | |
| 2024-07-02 | 2024-08-05 | $231.26 | $198.88 | -1.23% | 24 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2023-01-30 | 2023-02-10 | $166.66 | $196.89 | 16.30% | 10 | |
| 2022-07-22 | 2022-08-02 | $272.24 | $300.59 | 9.19% | 8 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -17.18% | 12 | |
| 2021-09-20 | 2021-12-06 | $243.39 | $336.34 | 33.37% | 55 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 46.53% | 64 | |
| 2020-06-11 | 2020-09-30 | $64.86 | $143.00 | 103.99% | 78 | |
| 2020-04-15 | 2020-04-30 | $48.66 | $52.13 | 12.54% | 12 | |
| 2019-10-25 | 2020-03-05 | $21.88 | $48.30 | 149.62% | 90 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-07 | 2018-06-12 | $21.07 | $22.85 | 3.73% | 4 | |
| 2017-09-19 | 2017-10-25 | $25.01 | $21.72 | -12.56% | 27 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | 1.44% | 15 | |
| 2017-01-05 | 2017-07-07 | $15.12 | $20.88 | 35.78% | 127 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 10.57% | 10 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-05-05 | $17.03 | $14.10 | -10.07% | 23 | |
| 2015-06-18 | 2015-08-18 | $17.46 | $17.38 | -2.28% | 43 | |
| 2015-04-23 | 2015-04-28 | $14.57 | $15.37 | 5.31% | 4 | |
| 2014-08-07 | 2014-10-01 | $16.83 | $16.02 | -2.70% | 39 | |
| 2014-02-21 | 2014-03-27 | $13.97 | $13.82 | 1.22% | 25 | |
| 2013-01-25 | 2013-10-29 | $2.47 | $10.96 | 339.40% | 193 | |
| 2012-12-04 | 2012-12-14 | $2.26 | $2.25 | -3.11% | 9 | |
| 2012-03-13 | 2012-04-25 | $2.41 | $2.19 | -11.81% | 31 |