Strategy Zoo / S0767

PriceMomentum_V0767

ARCHIVEDmomentum

structuraladded entry filter: volume_breakout == 1

Fitness

0.4751

Generation

Complexity

Created

2026-09-26

Lineage

Parents (1)

PriceMomentum_V0570S0570 · gen 26ARCHIVEDstructural

restricted to bubble regimes ['EXPENSIVE', 'EXTREME']

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0767  [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (ret_20d > 0.05 and volume_breakout == 1):
    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	16.0%	40.3%	8.6%	18.8%
Total Return	226.2%	176.4%	36.0%	1162.5%
Sharpe	0.87	1.25	0.56	0.90
Sortino	0.53	0.75	0.30	0.50
Calmar	0.70	1.48	0.41	0.69
Volatility	18.9%	31.0%	17.6%	21.7%
Max DD	-22.7%	-27.2%	-21.0%	-27.2%
Win Rate	60.0%	66.7%	100.0%	70.0%
Avg Win	51.9%	69.0%	16.9%	49.9%
Avg Loss	-5.0%	-3.2%	0.0%	-4.4%
Payoff	10.00	10.00	5.00	10.00
Expectancy	29.1%	44.9%	16.9%	33.6%
Profit Factor	10.00	10.00	5.00	10.00
Trades	5	3	2	10
Avg Holding Days	30.0	39.7	43.5	36.7
Turnover	1.4	2.0	1.1	1.4
Exposure	7.7%	15.3%	9.1%	9.6%

Growth of $100

PriceMomentum_V0767 vs TSLA Buy & Hold

PriceMomentum_V0767 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	0.0%	0.00	0.0%	0
2017	-9.9%	-0.84	-14.8%	2
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	141.8%	2.02	-27.2%	2
2021	10.1%	0.59	-10.1%	1
2022	0.0%	0.00	0.0%	0

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	272	0.0%	0.00	0%
hidden test	EXPENSIVE	83	4.7%	0.12	61%
hidden test	EXTREME	48	194.8%	3.46	69%
hidden test	HIGH VOLATILITY	254	13.9%	0.60	13%
hidden test	LOW VOLATILITY	432	18.9%	2.09	3%
hidden test	MEDIUM VOLATILITY	250	-10.0%	-0.46	14%
hidden test	NORMAL	805	-0.7%	-0.59	0%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	24.8%	0.89	23%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	10.9%	0.42	26%
train	EXTREME	100	305.2%	4.43	73%
train	HIGH VOLATILITY	699	41.9%	1.44	13%
train	LOW VOLATILITY	745	5.2%	0.63	5%
train	MEDIUM VOLATILITY	568	-0.0%	-0.00	5%
train	NORMAL	1,601	-0.5%	-0.40	0%
train	SIDEWAYS	592	0.0%	0.00	0%
train	UPTREND	902	36.8%	1.31	17%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	101.7%	2.55	46%
validation	EXTREME	144	105.5%	1.78	36%
validation	HIGH VOLATILITY	258	32.4%	0.77	16%
validation	LOW VOLATILITY	183	5.2%	0.47	4%
validation	MEDIUM VOLATILITY	315	63.2%	2.26	21%
validation	NORMAL	474	0.0%	0.00	0%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	68.8%	1.66	27%

Trades (full period)

10 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-15	2025-11-13	$410.04	$401.99	8.54%	44
2024-11-11	2025-01-14	$350.00	$396.36	25.32%	43
2020-11-19	2021-02-11	$166.42	$270.55	65.06%	57
2020-07-14	2020-08-10	$101.12	$94.57	-3.16%	20
2019-12-17	2020-03-04	$25.27	$49.97	95.02%	53
2017-06-12	2017-07-06	$23.93	$20.59	-8.64%	18
2017-04-04	2017-04-06	$20.25	$19.91	-1.38%	3
2014-02-20	2014-03-26	$14.00	$14.20	13.62%	25
2013-07-17	2013-10-22	$8.02	$11.44	57.97%	69
2013-05-08	2013-06-26	$3.72	$7.05	84.10%	35