Strategy Zoo / S0799
PriceMomentum_V0799
ARCHIVEDmomentumstructuralrestricted to bubble regimes ['NORMAL']
Fitness
0.1299
Generation
36
Complexity
4
Created
2026-09-26
Lineage
Parents (1)
changed ret_20d threshold -0.1766 -> -0.0991; changed ret_20d threshold 0.05 -> 0.1096
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0799 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['NORMAL']
if flat and ret_20d > 0.1096:
position = 1.0
if long and ret_20d < -0.0991:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 1.9% | -3.3% | 14.2% | 3.8% |
| Total Return | 16.4% | -9.6% | 63.7% | 72.1% |
| Sharpe | 0.20 | -0.04 | 0.64 | 0.28 |
| Sortino | 0.13 | -0.02 | 0.38 | 0.17 |
| Calmar | 0.04 | -0.07 | 0.39 | 0.08 |
| Volatility | 19.0% | 22.1% | 26.1% | 21.6% |
| Max DD | -43.2% | -46.9% | -36.8% | -46.9% |
| Win Rate | 55.2% | 25.0% | 57.1% | 51.0% |
| Avg Win | 7.5% | 33.3% | 12.6% | 11.1% |
| Avg Loss | -7.0% | -10.2% | -6.9% | -7.8% |
| Payoff | 1.08 | 3.25 | 1.82 | 1.43 |
| Expectancy | 1.0% | 0.6% | 4.2% | 1.8% |
| Profit Factor | 1.32 | 1.08 | 2.42 | 1.48 |
| Trades | 29 | 8 | 14 | 51 |
| Avg Holding Days | 16.8 | 14.5 | 12.4 | 15.2 |
| Turnover | 7.3 | 5.3 | 7.8 | 7.0 |
| Exposure | 22.7% | 14.3% | 19.7% | 20.2% |
Growth of $100
PriceMomentum_V0799 vs TSLA Buy & Hold
PriceMomentum_V0799 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 | 8.0% | 0.59 | -21.4% | 6 |
| 2017 | 13.4% | 2.19 | -1.1% | 3 |
| 2018 | -33.7% | -1.33 | -43.1% | 5 |
| 2019 | 57.6% | 2.49 | -8.5% | 3 |
| 2020 | 0.0% | 0.00 | 0.0% | 0 |
| 2021 | 34.6% | 1.24 | -17.6% | 2 |
| 2022 | -33.0% | -1.33 | -39.7% | 6 |
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 | 33.6% | 1.27 | 22% |
| hidden test | EXPENSIVE | 83 | 20.8% | 1.72 | 1% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | 6.3% | 0.17 | 21% |
| hidden test | LOW VOLATILITY | 432 | 17.7% | 0.97 | 19% |
| hidden test | MEDIUM VOLATILITY | 250 | 25.6% | 1.01 | 19% |
| hidden test | NORMAL | 805 | 17.3% | 0.62 | 23% |
| hidden test | SIDEWAYS | 293 | -2.7% | -0.18 | 3% |
| hidden test | UPTREND | 371 | 19.7% | 0.61 | 31% |
| train | DOWNTREND | 518 | 20.3% | 1.36 | 17% |
| train | EXPENSIVE | 311 | 12.3% | 1.73 | 2% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -4.2% | -0.22 | 12% |
| train | LOW VOLATILITY | 745 | 20.8% | 1.10 | 33% |
| train | MEDIUM VOLATILITY | 568 | -9.0% | -0.49 | 22% |
| train | NORMAL | 1,601 | 2.3% | 0.11 | 28% |
| train | SIDEWAYS | 592 | -3.8% | -0.32 | 3% |
| train | UPTREND | 902 | -0.9% | -0.04 | 39% |
| validation | DOWNTREND | 125 | 37.6% | 1.70 | 12% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 0.0% | 0.00 | 0% |
| validation | HIGH VOLATILITY | 258 | -22.5% | -1.11 | 10% |
| validation | LOW VOLATILITY | 183 | 15.3% | 1.15 | 20% |
| validation | MEDIUM VOLATILITY | 315 | 7.3% | 0.27 | 15% |
| validation | NORMAL | 474 | -1.5% | -0.05 | 23% |
| validation | SIDEWAYS | 206 | -29.1% | -1.82 | 3% |
| validation | UPTREND | 425 | 1.4% | 0.06 | 20% |
Trades (full period)
52 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 4.05% | 24 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-05 | 2026-05-08 | $389.37 | $428.35 | 4.70% | 4 | |
| 2025-12-15 | 2026-01-13 | $475.31 | $447.20 | -2.37% | 20 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -17.99% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 8.23% | 4 | |
| 2025-04-30 | 2025-05-12 | $282.16 | $318.38 | 1.93% | 9 | |
| 2025-04-16 | 2025-04-23 | $241.55 | $250.74 | -6.54% | 5 | |
| 2024-10-03 | 2024-10-22 | $240.66 | $217.97 | -12.29% | 14 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 10.22% | 16 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 3.14% | 23 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.65% | 10 | |
| 2023-06-02 | 2023-08-03 | $213.97 | $259.32 | 22.21% | 43 | |
| 2023-05-23 | 2023-05-31 | $185.77 | $203.93 | 6.29% | 6 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-07-19 | 2022-08-02 | $245.53 | $300.59 | 23.34% | 11 | |
| 2022-06-24 | 2022-07-05 | $245.71 | $233.07 | -3.51% | 7 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -17.18% | 12 | |
| 2021-09-16 | 2021-12-03 | $252.33 | $338.32 | 43.21% | 56 | |
| 2021-08-13 | 2021-08-23 | $239.06 | $235.43 | -6.00% | 7 | |
| 2019-10-25 | 2019-12-17 | $21.88 | $25.27 | 27.06% | 37 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 5.72% | 13 | |
| 2019-06-21 | 2019-07-22 | $14.79 | $17.05 | 17.32% | 21 | |
| 2018-12-14 | 2018-12-26 | $24.38 | $21.74 | -21.76% | 8 | |
| 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 | 12.77% | 30 | |
| 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 | 4.93% | 5 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -6.63% | 26 | |
| 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 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 2.12% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 18.67% | 12 | |
| 2015-12-03 | 2015-12-29 | $15.51 | $15.81 | -1.51% | 18 | |
| 2015-12-01 | 2015-12-02 | $15.81 | $15.47 | 2.81% | 2 | |
| 2015-05-11 | 2015-08-12 | $15.97 | $15.88 | 0.12% | 66 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-24 | 2015-04-28 | $14.56 | $15.37 | 5.71% | 3 | |
| 2014-06-23 | 2014-10-01 | $15.81 | $16.02 | 5.49% | 71 | |
| 2013-04-02 | 2013-04-11 | $2.96 | $2.91 | -4.90% | 8 | |
| 2013-02-15 | 2013-03-20 | $2.47 | $2.40 | -8.52% | 23 | |
| 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 | -7.20% | 44 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |