Strategy Zoo / S0774
PriceMomentum_V0774
ARCHIVEDmomentumstructuraladded exit filter: dist_sma_200 < 0.1009
Fitness
0.6274
Generation
35
Complexity
9
Created
2026-09-26
Lineage
Parents (1)
changed rel_volume threshold 1.2635 -> 1.4539; added entry filter: breakout_20 == 1
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0774 [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 or dist_sma_200 < 0.1009):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 18.4% | 81.2% | 3.1% | 24.9% |
| Total Return | 285.4% | 494.8% | 11.9% | 2540.2% |
| Sharpe | 0.77 | 1.52 | 0.25 | 0.87 |
| Sortino | 0.62 | 1.30 | 0.16 | 0.66 |
| Calmar | 0.53 | 2.41 | 0.12 | 0.57 |
| Volatility | 26.3% | 46.2% | 24.7% | 31.1% |
| Max DD | -34.5% | -33.7% | -25.1% | -43.5% |
| Win Rate | 36.8% | 62.5% | 33.3% | 41.7% |
| Avg Win | 43.1% | 53.0% | 17.8% | 46.4% |
| Avg Loss | -4.6% | -7.1% | -5.7% | -5.3% |
| Payoff | 9.34 | 7.48 | 3.09 | 8.77 |
| Expectancy | 12.9% | 30.5% | 2.1% | 16.2% |
| Profit Factor | 5.45 | 10.00 | 1.55 | 6.26 |
| Trades | 19 | 8 | 9 | 36 |
| Avg Holding Days | 25.3 | 32.8 | 18.6 | 26.6 |
| Turnover | 4.9 | 5.3 | 4.8 | 4.9 |
| Exposure | 25.2% | 33.6% | 16.9% | 24.8% |
Growth of $100
PriceMomentum_V0774 vs TSLA Buy & Hold
PriceMomentum_V0774 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 | 2.3% | 0.37 | -5.9% | 3 |
| 2017 | 14.4% | 0.62 | -28.1% | 4 |
| 2018 | -10.3% | -1.73 | -10.3% | 3 |
| 2019 | 39.5% | 2.02 | -8.5% | 0 |
| 2020 | 474.2% | 2.84 | -33.7% | 3 |
| 2021 | 20.0% | 0.70 | -24.1% | 3 |
| 2022 | -17.2% | -1.47 | -17.2% | 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 | 272 | -23.9% | -2.15 | 2% |
| hidden test | EXPENSIVE | 83 | 38.0% | 0.88 | 64% |
| hidden test | EXTREME | 48 | 189.8% | 3.11 | 88% |
| hidden test | HIGH VOLATILITY | 254 | -15.1% | -0.44 | 23% |
| hidden test | LOW VOLATILITY | 432 | 15.2% | 1.13 | 10% |
| hidden test | MEDIUM VOLATILITY | 250 | 11.8% | 0.42 | 23% |
| hidden test | NORMAL | 805 | -8.2% | -0.48 | 8% |
| hidden test | SIDEWAYS | 293 | 0.7% | 0.82 | 0% |
| hidden test | UPTREND | 371 | 32.3% | 0.85 | 41% |
| train | DOWNTREND | 518 | -0.9% | -0.96 | 1% |
| train | EXPENSIVE | 311 | 29.0% | 0.78 | 64% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 47.1% | 1.37 | 25% |
| train | LOW VOLATILITY | 745 | 13.7% | 0.76 | 25% |
| train | MEDIUM VOLATILITY | 568 | -4.1% | -0.17 | 25% |
| train | NORMAL | 1,601 | -6.1% | -0.41 | 13% |
| train | SIDEWAYS | 592 | -0.2% | -0.04 | 1% |
| train | UPTREND | 902 | 45.8% | 1.17 | 56% |
| validation | DOWNTREND | 125 | -0.0% | -0.03 | 1% |
| 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 | 15.1% | 1.02 | 19% |
| validation | MEDIUM VOLATILITY | 315 | 71.8% | 1.95 | 35% |
| validation | NORMAL | 474 | -2.5% | -0.11 | 14% |
| validation | SIDEWAYS | 206 | 0.6% | 0.10 | 1% |
| validation | UPTREND | 425 | 124.4% | 2.03 | 59% |
Trades (full period)
36 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 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 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-02 | 2024-07-25 | $231.26 | $220.25 | 2.72% | 17 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2023-01-30 | 2023-01-31 | $166.66 | $173.22 | -6.51% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -17.18% | 12 | |
| 2021-09-28 | 2021-12-06 | $259.19 | $336.34 | 28.00% | 49 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -4.06% | 2 | |
| 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 | |
| 2018-08-08 | 2018-08-15 | $24.69 | $22.58 | -8.60% | 6 | |
| 2018-08-03 | 2018-08-06 | $23.21 | $22.80 | -0.59% | 2 | |
| 2018-06-07 | 2018-06-08 | $21.07 | $21.18 | -1.27% | 2 | |
| 2017-09-19 | 2017-10-23 | $25.01 | $22.47 | -10.55% | 25 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | 1.44% | 15 | |
| 2017-01-20 | 2017-07-07 | $16.32 | $20.88 | 26.44% | 117 | |
| 2017-01-05 | 2017-01-06 | $15.12 | $15.27 | -0.31% | 2 | |
| 2016-12-14 | 2016-12-15 | $13.25 | $13.17 | 0.07% | 2 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-04-11 | $17.03 | $16.66 | 1.05% | 5 | |
| 2015-06-18 | 2015-08-07 | $17.46 | $16.17 | -5.67% | 36 | |
| 2015-04-23 | 2015-04-24 | $14.57 | $14.56 | -0.58% | 2 | |
| 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 | |
| 2013-04-02 | 2013-10-29 | $2.96 | $10.96 | 269.99% | 148 | |
| 2013-01-25 | 2013-02-26 | $2.47 | $2.30 | -7.24% | 22 | |
| 2012-12-12 | 2012-12-14 | $2.35 | $2.25 | -4.92% | 3 | |
| 2012-12-04 | 2012-12-05 | $2.26 | $2.25 | -2.28% | 2 | |
| 2012-03-13 | 2012-04-17 | $2.41 | $2.15 | -10.62% | 25 |