Strategy Zoo / S0776
PriceMomentum_V0776
ARCHIVEDhybridstructuralswapped indicator ret_20d -> cumret_252d; added exit filter: cumret_252d < 0.9645
Fitness
0.5213
Generation
35
Complexity
11
Created
2026-09-26
Lineage
Parents (1)
entry = PriceMomentum_V0570 OR Breakout20_V0692
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0776 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (ret_20d > 0.05 or (breakout_20 == 1 and dist_sma_20 > -0.121 and vol_chg < 1.2007)):
position = 1.0
if long and (cumret_252d < 1.2578 or cumret_252d < 0.9645):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 16.6% | 61.4% | -0.6% | 19.9% |
| Total Return | 240.9% | 320.6% | -2.2% | 1338.8% |
| Sharpe | 0.79 | 1.34 | 0.01 | 0.82 |
| Sortino | 0.51 | 1.04 | 0.01 | 0.50 |
| Calmar | 0.55 | 1.55 | -0.02 | 0.50 |
| Volatility | 22.6% | 42.8% | 12.6% | 26.3% |
| Max DD | -30.2% | -39.7% | -24.4% | -39.7% |
| Win Rate | 54.9% | 66.7% | 50.0% | 55.2% |
| Avg Win | 5.1% | 26.0% | 3.3% | 7.6% |
| Avg Loss | -1.5% | -7.0% | -3.3% | -2.6% |
| Payoff | 3.52 | 3.71 | 1.01 | 2.97 |
| Expectancy | 2.2% | 15.0% | 0.0% | 3.0% |
| Profit Factor | 4.28 | 7.43 | 1.01 | 3.66 |
| Trades | 71 | 15 | 38 | 125 |
| Avg Holding Days | 4.5 | 16.5 | 2.0 | 5.2 |
| Turnover | 17.8 | 10.0 | 20.5 | 17.0 |
| Exposure | 12.5% | 30.7% | 4.1% | 14.1% |
Growth of $100
PriceMomentum_V0776 vs TSLA Buy & Hold
PriceMomentum_V0776 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 | 14.3% | 1.05 | -10.7% | 45 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 2.0% | 0.37 | -3.9% | 5 |
| 2020 | 275.3% | 2.23 | -39.7% | 14 |
| 2021 | 7.7% | 0.48 | -10.9% | 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 | -40.9% | -1.92 | 27% |
| hidden test | EXTREME | 48 | 92.7% | 1.95 | 31% |
| hidden test | HIGH VOLATILITY | 254 | 18.3% | 0.99 | 7% |
| hidden test | LOW VOLATILITY | 432 | 9.3% | 1.41 | 2% |
| hidden test | MEDIUM VOLATILITY | 250 | -34.0% | -2.65 | 5% |
| hidden test | NORMAL | 805 | -1.1% | -0.58 | 0% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 0.4% | 0.02 | 10% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 14.7% | 0.37 | 52% |
| train | EXTREME | 100 | 343.4% | 4.89 | 85% |
| train | HIGH VOLATILITY | 699 | 35.3% | 1.08 | 17% |
| train | LOW VOLATILITY | 745 | 9.7% | 0.87 | 8% |
| train | MEDIUM VOLATILITY | 568 | 7.1% | 0.39 | 12% |
| train | NORMAL | 1,601 | -1.9% | -0.68 | 0% |
| train | SIDEWAYS | 592 | 2.0% | 0.64 | 0% |
| train | UPTREND | 902 | 38.5% | 1.14 | 28% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 34.4% | 0.60 | 78% |
| validation | EXTREME | 144 | 269.4% | 3.39 | 85% |
| validation | HIGH VOLATILITY | 258 | 81.9% | 1.32 | 41% |
| validation | LOW VOLATILITY | 183 | 1.8% | 0.10 | 16% |
| validation | MEDIUM VOLATILITY | 315 | 68.9% | 2.17 | 30% |
| validation | NORMAL | 474 | -0.8% | -0.78 | 0% |
| validation | SIDEWAYS | 206 | 3.2% | 0.67 | 1% |
| validation | UPTREND | 425 | 100.0% | 1.76 | 54% |
Trades (full period)
latest 100 of 125
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-10-03 | 2025-10-06 | $429.83 | $453.25 | -1.61% | 2 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-29 | 2025-09-30 | $443.21 | $444.72 | 0.44% | 2 | |
| 2025-09-25 | 2025-09-26 | $423.39 | $440.40 | -4.58% | 2 | |
| 2025-09-23 | 2025-09-24 | $425.85 | $442.79 | -2.12% | 2 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 2.01% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 2 | |
| 2025-09-15 | 2025-09-16 | $410.04 | $421.62 | 3.36% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -3.54% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.85% | 2 | |
| 2025-01-07 | 2025-01-08 | $394.36 | $394.94 | -4.26% | 2 | |
| 2025-01-03 | 2025-01-06 | $410.44 | $411.05 | 8.01% | 2 | |
| 2024-12-31 | 2025-01-02 | $403.84 | $379.28 | -3.45% | 2 | |
| 2024-12-27 | 2024-12-30 | $431.66 | $417.41 | -5.14% | 2 | |
| 2024-12-24 | 2024-12-26 | $462.28 | $454.13 | 7.15% | 2 | |
| 2024-12-20 | 2024-12-23 | $421.06 | $430.60 | -3.66% | 2 | |
| 2024-12-18 | 2024-12-19 | $440.13 | $436.17 | -8.47% | 2 | |
| 2024-12-16 | 2024-12-17 | $463.02 | $479.86 | 5.94% | 2 | |
| 2024-12-12 | 2024-12-13 | $418.10 | $436.23 | -1.77% | 2 | |
| 2024-12-10 | 2024-12-11 | $400.99 | $424.77 | 2.67% | 2 | |
| 2024-12-06 | 2024-12-09 | $389.22 | $389.79 | 5.13% | 2 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-11-27 | 2024-11-29 | $332.89 | $345.16 | -1.78% | 2 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -4.16% | 2 | |
| 2024-11-21 | 2024-11-22 | $339.64 | $352.56 | -0.90% | 2 | |
| 2024-11-19 | 2024-11-20 | $346.00 | $342.03 | 1.94% | 2 | |
| 2024-11-15 | 2024-11-18 | $320.72 | $338.74 | 2.86% | 2 | |
| 2024-11-13 | 2024-11-14 | $330.24 | $311.18 | 0.33% | 2 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 8.75% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2020-11-19 | 2021-02-19 | $166.42 | $260.43 | 61.48% | 62 | |
| 2020-05-15 | 2020-11-13 | $53.28 | $136.17 | 155.77% | 128 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-03-03 | 2020-03-10 | $49.70 | $43.02 | -18.40% | 6 | |
| 2020-02-04 | 2020-02-28 | $59.14 | $44.53 | -13.11% | 18 | |
| 2020-01-31 | 2020-02-03 | $43.37 | $52.00 | 1.32% | 2 | |
| 2020-01-29 | 2020-01-30 | $38.73 | $42.72 | 2.28% | 2 | |
| 2020-01-27 | 2020-01-28 | $37.20 | $37.79 | -1.40% | 2 | |
| 2020-01-23 | 2020-01-24 | $38.15 | $37.65 | 0.26% | 2 | |
| 2020-01-21 | 2020-01-22 | $36.48 | $37.97 | 6.98% | 2 | |
| 2020-01-16 | 2020-01-17 | $34.23 | $34.03 | -1.17% | 2 | |
| 2020-01-14 | 2020-01-15 | $35.86 | $34.57 | 2.29% | 2 | |
| 2020-01-10 | 2020-01-13 | $31.88 | $34.99 | -0.86% | 2 | |
| 2020-01-08 | 2020-01-09 | $32.81 | $32.09 | 4.72% | 2 | |
| 2020-01-06 | 2020-01-07 | $30.10 | $31.27 | 1.72% | 2 | |
| 2020-01-02 | 2020-01-03 | $28.68 | $29.53 | 2.65% | 2 | |
| 2019-12-30 | 2019-12-31 | $27.65 | $27.89 | -3.84% | 2 | |
| 2019-12-26 | 2019-12-27 | $28.73 | $28.69 | 1.14% | 2 | |
| 2019-12-23 | 2019-12-24 | $27.95 | $28.35 | 3.16% | 2 | |
| 2019-12-19 | 2019-12-20 | $26.94 | $27.04 | 2.57% | 2 | |
| 2019-12-17 | 2019-12-18 | $25.27 | $26.21 | -0.86% | 2 | |
| 2017-09-20 | 2017-09-21 | $24.93 | $24.43 | -0.52% | 2 | |
| 2017-09-18 | 2017-09-19 | $25.67 | $25.01 | 1.17% | 2 | |
| 2017-08-18 | 2017-08-21 | $23.16 | $22.52 | -1.47% | 2 | |
| 2017-08-16 | 2017-08-17 | $24.19 | $23.46 | -0.04% | 2 | |
| 2017-08-14 | 2017-08-15 | $24.25 | $24.16 | 1.46% | 2 | |
| 2017-08-10 | 2017-08-11 | $23.69 | $23.86 | -2.43% | 2 | |
| 2017-08-08 | 2017-08-09 | $24.35 | $24.24 | 2.63% | 2 | |
| 2017-08-04 | 2017-08-07 | $23.79 | $23.68 | 2.63% | 2 | |
| 2017-06-30 | 2017-07-03 | $24.11 | $23.51 | 0.04% | 2 | |
| 2017-06-28 | 2017-06-29 | $24.75 | $24.05 | 2.25% | 2 | |
| 2017-06-26 | 2017-06-27 | $25.17 | $24.16 | -1.75% | 2 | |
| 2017-06-22 | 2017-06-23 | $25.51 | $25.56 | 1.45% | 2 | |
| 2017-06-20 | 2017-06-21 | $24.82 | $25.09 | 0.46% | 2 | |
| 2017-06-16 | 2017-06-19 | $24.76 | $24.65 | -1.25% | 2 | |
| 2017-06-14 | 2017-06-15 | $25.38 | $25.02 | 1.05% | 2 | |
| 2017-06-12 | 2017-06-13 | $23.93 | $25.06 | 0.27% | 2 | |
| 2017-06-08 | 2017-06-09 | $24.67 | $23.82 | 2.67% | 2 | |
| 2017-06-06 | 2017-06-07 | $23.52 | $23.98 | 1.39% | 2 | |
| 2017-06-02 | 2017-06-05 | $22.66 | $23.15 | -0.35% | 2 | |
| 2017-05-31 | 2017-06-01 | $22.73 | $22.69 | 1.56% | 2 | |
| 2017-05-17 | 2017-05-18 | $20.41 | $20.87 | -3.63% | 2 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -2.95% | 2 | |
| 2017-05-11 | 2017-05-12 | $21.54 | $21.65 | -0.85% | 2 | |
| 2017-05-02 | 2017-05-03 | $21.26 | $20.73 | -1.42% | 2 | |
| 2017-04-28 | 2017-05-01 | $20.94 | $21.52 | 1.56% | 2 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -1.35% | 2 | |
| 2017-04-24 | 2017-04-25 | $20.54 | $20.92 | 0.59% | 2 | |
| 2017-04-20 | 2017-04-21 | $20.17 | $20.37 | -1.18% | 2 | |
| 2017-04-18 | 2017-04-19 | $20.02 | $20.37 | -0.59% | 2 | |
| 2017-04-13 | 2017-04-17 | $20.27 | $20.10 | 2.21% | 2 | |
| 2017-04-11 | 2017-04-12 | $20.58 | $19.79 | -1.38% | 2 | |
| 2017-04-07 | 2017-04-10 | $20.17 | $20.83 | 1.08% | 2 | |
| 2017-04-05 | 2017-04-06 | $19.67 | $19.91 | -3.06% | 2 | |
| 2017-04-03 | 2017-04-04 | $19.90 | $20.25 | 7.06% | 2 | |
| 2017-03-30 | 2017-03-31 | $18.53 | $18.55 | -0.01% | 2 | |
| 2017-03-28 | 2017-03-29 | $18.50 | $18.49 | 2.47% | 2 | |
| 2017-02-22 | 2017-02-23 | $18.23 | $17.07 | -1.60% | 2 | |
| 2017-02-17 | 2017-02-21 | $18.15 | $18.49 | 1.02% | 2 | |
| 2017-02-15 | 2017-02-16 | $18.65 | $17.93 | -0.63% | 2 | |
| 2017-02-13 | 2017-02-14 | $18.71 | $18.73 | 4.02% | 2 | |
| 2017-02-09 | 2017-02-10 | $17.95 | $17.95 | 2.51% | 2 |