Strategy Zoo / S0755
PriceMomentum_V0755
ARCHIVEDhybridstructuralrestricted to bubble regimes ['EXTREME', 'NORMAL']
Fitness
0.3522
Generation
34
Complexity
16
Created
2026-09-25
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1275; changed sma_200_slope threshold 0.0 -> 0.001
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0755 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXTREME', 'NORMAL']
if flat and (ret_20d > 0.1146 and ((((close > sma_200 and sma_200_slope > 0.001) or ret_20d > 0.05) and ret_20d > 0.1275 and cumret_252d > -0.1997) and ret_20d > 0.05)):
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.1% | 18.4% | 4.2% | 11.8% |
| Total Return | 166.3% | 65.8% | 16.4% | 413.9% |
| Sharpe | 0.65 | 0.63 | 0.29 | 0.54 |
| Sortino | 0.53 | 0.46 | 0.18 | 0.39 |
| Calmar | 0.47 | 0.39 | 0.13 | 0.25 |
| Volatility | 22.8% | 39.4% | 25.0% | 27.5% |
| Max DD | -27.7% | -47.6% | -32.8% | -47.6% |
| Win Rate | 51.6% | 46.7% | 55.6% | 51.6% |
| Avg Win | 14.6% | 22.3% | 6.5% | 13.8% |
| Avg Loss | -5.5% | -9.9% | -5.8% | -6.7% |
| Payoff | 2.65 | 2.24 | 1.13 | 2.05 |
| Expectancy | 4.9% | 5.1% | 1.1% | 3.8% |
| Profit Factor | 2.83 | 1.96 | 1.41 | 2.18 |
| Trades | 31 | 15 | 18 | 64 |
| Avg Holding Days | 16.9 | 15.2 | 10.8 | 14.8 |
| Turnover | 8.4 | 10.0 | 11.4 | 9.5 |
| Exposure | 22.9% | 25.0% | 19.5% | 22.5% |
Growth of $100
PriceMomentum_V0755 vs TSLA Buy & Hold
PriceMomentum_V0755 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 | 4.9% | 0.43 | -20.2% | 5 |
| 2017 | 8.8% | 1.07 | -5.9% | 4 |
| 2018 | -16.4% | -0.63 | -27.3% | 4 |
| 2019 | 29.1% | 1.69 | -8.5% | 2 |
| 2020 | 59.9% | 1.08 | -42.6% | 8 |
| 2021 | 38.8% | 1.56 | -12.5% | 2 |
| 2022 | -25.5% | -1.28 | -31.7% | 5 |
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 | 3.3% | 0.18 | 14% |
| hidden test | EXPENSIVE | 83 | -11.2% | -0.64 | 6% |
| hidden test | EXTREME | 48 | 41.9% | 0.85 | 61% |
| hidden test | HIGH VOLATILITY | 254 | -31.9% | -0.97 | 25% |
| hidden test | LOW VOLATILITY | 431 | 25.3% | 1.35 | 18% |
| hidden test | MEDIUM VOLATILITY | 250 | 16.0% | 0.63 | 16% |
| hidden test | NORMAL | 804 | 7.1% | 0.30 | 18% |
| hidden test | SIDEWAYS | 293 | -1.0% | -0.09 | 3% |
| hidden test | UPTREND | 371 | 16.7% | 0.47 | 37% |
| train | DOWNTREND | 518 | 11.2% | 1.13 | 8% |
| train | EXPENSIVE | 311 | -6.0% | -0.45 | 4% |
| train | EXTREME | 100 | 276.8% | 4.14 | 85% |
| train | HIGH VOLATILITY | 699 | 25.0% | 0.80 | 21% |
| train | LOW VOLATILITY | 745 | 15.1% | 0.83 | 32% |
| train | MEDIUM VOLATILITY | 568 | 1.8% | 0.12 | 14% |
| train | NORMAL | 1,601 | 2.5% | 0.14 | 23% |
| train | SIDEWAYS | 592 | -4.2% | -0.41 | 2% |
| train | UPTREND | 902 | 29.3% | 0.91 | 45% |
| validation | DOWNTREND | 125 | 36.3% | 2.18 | 5% |
| validation | EXPENSIVE | 138 | -87.0% | -2.62 | 4% |
| validation | EXTREME | 144 | 188.7% | 2.58 | 71% |
| validation | HIGH VOLATILITY | 258 | 40.4% | 0.67 | 39% |
| validation | LOW VOLATILITY | 183 | 30.8% | 2.17 | 19% |
| validation | MEDIUM VOLATILITY | 315 | 8.1% | 0.33 | 17% |
| validation | NORMAL | 474 | 7.3% | 0.33 | 17% |
| validation | SIDEWAYS | 206 | -18.0% | -1.48 | 2% |
| validation | UPTREND | 425 | 41.9% | 0.82 | 42% |
Trades (full period)
65 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 2.38% | 23 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-07 | 2026-05-08 | $411.79 | $428.35 | 3.07% | 2 | |
| 2025-12-15 | 2026-01-13 | $475.31 | $447.20 | -2.37% | 20 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -12.37% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 7.76% | 4 | |
| 2025-05-06 | 2025-05-12 | $275.35 | $318.38 | 6.21% | 5 | |
| 2025-04-16 | 2025-04-23 | $241.55 | $250.74 | -6.54% | 5 | |
| 2025-01-06 | 2025-01-17 | $411.05 | $426.50 | 0.62% | 9 | |
| 2024-12-03 | 2025-01-03 | $351.42 | $410.44 | 4.60% | 22 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -4.16% | 2 | |
| 2024-11-19 | 2024-11-22 | $346.00 | $352.56 | 0.07% | 4 | |
| 2024-11-12 | 2024-11-14 | $328.49 | $311.18 | -5.84% | 3 | |
| 2024-10-03 | 2024-10-22 | $240.66 | $217.97 | -12.84% | 14 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 9.15% | 16 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 1.87% | 23 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.65% | 10 | |
| 2023-06-02 | 2023-08-03 | $213.97 | $259.32 | 23.90% | 43 | |
| 2023-05-24 | 2023-05-31 | $182.90 | $203.93 | 8.07% | 5 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.63% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.64% | 2 | |
| 2022-07-19 | 2022-08-02 | $245.53 | $300.59 | 18.87% | 11 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -16.47% | 16 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -18.24% | 12 | |
| 2021-09-16 | 2021-12-03 | $252.33 | $338.32 | 46.78% | 56 | |
| 2021-01-11 | 2021-01-12 | $270.40 | $283.15 | -5.45% | 2 | |
| 2020-12-08 | 2020-12-10 | $216.63 | $209.02 | -4.06% | 3 | |
| 2020-09-15 | 2020-09-24 | $149.92 | $129.26 | -9.53% | 8 | |
| 2020-08-19 | 2020-09-09 | $125.24 | $122.09 | -17.53% | 15 | |
| 2020-07-01 | 2020-08-11 | $74.64 | $91.63 | 27.54% | 29 | |
| 2020-06-02 | 2020-06-25 | $58.77 | $65.73 | 9.78% | 18 | |
| 2020-05-20 | 2020-05-29 | $54.37 | $55.67 | 0.05% | 7 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-01-22 | 2020-03-05 | $37.97 | $48.30 | 30.14% | 31 | |
| 2019-10-25 | 2019-12-17 | $21.88 | $25.27 | 27.06% | 37 | |
| 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 | 2018-06-12 | $19.99 | $22.85 | 11.09% | 30 | |
| 2017-06-14 | 2017-06-30 | $25.38 | $24.11 | -4.03% | 13 | |
| 2017-04-06 | 2017-04-07 | $19.91 | $20.17 | 1.05% | 2 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.17% | 4 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 11.94% | 14 | |
| 2016-12-21 | 2016-12-28 | $13.85 | $14.65 | 5.11% | 5 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -6.63% | 26 | |
| 2016-04-05 | 2016-05-05 | $17.03 | $14.10 | -9.88% | 23 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 1.44% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 16.89% | 12 | |
| 2015-05-12 | 2015-08-12 | $16.32 | $15.88 | 4.01% | 65 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-27 | 2015-04-28 | $15.44 | $15.37 | 5.80% | 2 | |
| 2014-06-24 | 2014-10-01 | $15.50 | $16.02 | 4.49% | 70 | |
| 2013-08-23 | 2013-09-09 | $10.79 | $10.71 | 6.07% | 11 | |
| 2013-08-09 | 2013-08-15 | $10.20 | $9.31 | -9.38% | 5 | |
| 2013-07-22 | 2013-08-08 | $8.16 | $10.23 | 11.94% | 14 | |
| 2013-07-18 | 2013-07-19 | $7.94 | $7.98 | -1.21% | 2 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -3.46% | 11 | |
| 2013-04-19 | 2013-06-25 | $3.19 | $6.83 | 120.85% | 47 | |
| 2013-04-02 | 2013-04-11 | $2.96 | $2.91 | -4.90% | 8 | |
| 2013-02-20 | 2013-03-20 | $2.57 | $2.40 | -10.87% | 21 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.12% | 3 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-02-23 | 2012-04-25 | $2.30 | $2.19 | -1.63% | 44 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |