Strategy Zoo / S0818
PriceMomentum_V0818
ARCHIVEDhybridstructuralchanged sma_200_slope threshold 0.0 -> -0.0015; replaced exit rule with: breakout_50 == 1
Fitness
0.2764
Generation
37
Complexity
12
Created
2026-09-26
Lineage
Parents (1)
logic of PriceMomentum_V0539 with risk overlay of LongTermTrend_V0472
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0818 [hybrid]
if flat and (ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > -0.0015) or ret_20d > 0.0923) and ret_20d > -0.0674 and cumret_252d > -0.1997)):
position = 1.0
if long and breakout_50 == 1:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 11.5% | 14.2% | 14.4% | 12.6% |
| Total Return | 138.1% | 49.1% | 65.0% | 472.7% |
| Sharpe | 0.48 | 0.51 | 0.54 | 0.49 |
| Sortino | 0.62 | 0.76 | 0.69 | 0.65 |
| Calmar | 0.23 | 0.22 | 0.35 | 0.19 |
| Volatility | 37.6% | 51.8% | 40.2% | 41.5% |
| Max DD | -50.0% | -66.1% | -41.3% | -66.2% |
| Win Rate | 83.7% | 85.0% | 88.4% | 84.5% |
| Avg Win | 2.5% | 3.7% | 3.8% | 2.9% |
| Avg Loss | -7.4% | -5.2% | -11.8% | -8.7% |
| Payoff | 0.33 | 0.71 | 0.32 | 0.33 |
| Expectancy | 0.8% | 2.4% | 2.0% | 1.1% |
| Profit Factor | 1.70 | 4.01 | 2.43 | 1.81 |
| Trades | 135 | 60 | 43 | 238 |
| Avg Holding Days | 13.9 | 10.9 | 15.7 | 13.9 |
| Turnover | 34.1 | 41.3 | 23.4 | 32.8 |
| Exposure | 69.1% | 72.5% | 63.4% | 68.4% |
Growth of $100
PriceMomentum_V0818 vs TSLA Buy & Hold
PriceMomentum_V0818 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 | -10.1% | -0.24 | -34.2% | 6 |
| 2017 | 6.5% | 0.36 | -22.5% | 22 |
| 2018 | 3.8% | 0.28 | -26.6% | 17 |
| 2019 | 5.6% | 0.33 | -40.4% | 12 |
| 2020 | 239.5% | 2.72 | -30.0% | 31 |
| 2021 | -2.0% | 0.21 | -36.5% | 20 |
| 2022 | -60.8% | -1.49 | -62.8% | 8 |
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 | 13.8% | 0.41 | 45% |
| hidden test | EXPENSIVE | 83 | 96.6% | 1.78 | 64% |
| hidden test | EXTREME | 48 | 81.3% | 2.74 | 46% |
| hidden test | HIGH VOLATILITY | 254 | 21.5% | 0.49 | 38% |
| hidden test | LOW VOLATILITY | 432 | 31.7% | 0.93 | 73% |
| hidden test | MEDIUM VOLATILITY | 250 | 3.9% | 0.08 | 72% |
| hidden test | NORMAL | 805 | 10.2% | 0.26 | 64% |
| hidden test | SIDEWAYS | 293 | -13.3% | -0.33 | 72% |
| hidden test | UPTREND | 371 | 54.6% | 1.25 | 70% |
| train | DOWNTREND | 518 | -35.4% | -0.94 | 73% |
| train | EXPENSIVE | 311 | 31.7% | 0.78 | 65% |
| train | EXTREME | 100 | 203.3% | 5.53 | 45% |
| train | HIGH VOLATILITY | 699 | 23.1% | 0.57 | 40% |
| train | LOW VOLATILITY | 745 | 27.6% | 0.86 | 88% |
| train | MEDIUM VOLATILITY | 568 | -1.2% | -0.03 | 81% |
| train | NORMAL | 1,601 | 3.7% | 0.10 | 72% |
| train | SIDEWAYS | 592 | 28.1% | 0.77 | 65% |
| train | UPTREND | 902 | 41.9% | 1.09 | 69% |
| validation | DOWNTREND | 125 | -127.6% | -2.42 | 70% |
| validation | EXPENSIVE | 138 | 27.6% | 0.53 | 76% |
| validation | EXTREME | 144 | 208.1% | 4.61 | 46% |
| validation | HIGH VOLATILITY | 258 | 46.6% | 0.87 | 43% |
| validation | LOW VOLATILITY | 183 | 36.2% | 1.03 | 89% |
| validation | MEDIUM VOLATILITY | 315 | 4.7% | 0.08 | 88% |
| validation | NORMAL | 474 | -28.8% | -0.54 | 80% |
| validation | SIDEWAYS | 206 | -16.9% | -0.34 | 84% |
| validation | UPTREND | 425 | 93.1% | 1.78 | 68% |
Trades (full period)
latest 100 of 239
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-15 | — | $422.24 | — | -18.20% | 92 | OPEN |
| 2026-05-12 | 2026-05-14 | $433.45 | $443.30 | -0.14% | 3 | |
| 2025-12-17 | 2026-05-11 | $467.26 | $445.00 | -12.74% | 99 | |
| 2025-11-06 | 2025-12-16 | $445.91 | $489.88 | 2.66% | 28 | |
| 2025-11-03 | 2025-11-04 | $468.37 | $444.26 | 2.38% | 2 | |
| 2025-10-03 | 2025-10-29 | $429.83 | $461.51 | 5.42% | 19 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-26 | 2025-09-30 | $440.40 | $444.72 | 4.48% | 3 | |
| 2025-09-23 | 2025-09-25 | $425.85 | $423.39 | 1.77% | 3 | |
| 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 | |
| 2025-08-28 | 2025-09-12 | $345.98 | $395.94 | 5.28% | 11 | |
| 2025-05-29 | 2025-08-27 | $358.43 | $349.60 | -3.28% | 63 | |
| 2025-05-20 | 2025-05-28 | $343.82 | $356.90 | 5.87% | 6 | |
| 2025-05-15 | 2025-05-19 | $342.82 | $342.09 | 0.20% | 3 | |
| 2025-05-13 | 2025-05-14 | $334.07 | $347.68 | 1.94% | 2 | |
| 2024-12-19 | 2025-05-12 | $436.17 | $318.38 | -31.56% | 97 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-12 | 2024-12-16 | $418.10 | $463.02 | 2.49% | 3 | |
| 2024-12-10 | 2024-12-11 | $400.99 | $424.77 | 1.10% | 2 | |
| 2024-12-06 | 2024-12-09 | $389.22 | $389.79 | 2.11% | 2 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 0.68% | 2 | |
| 2024-11-26 | 2024-12-03 | $338.23 | $351.42 | 2.15% | 5 | |
| 2024-11-13 | 2024-11-25 | $330.24 | $338.59 | 2.98% | 9 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 3.59% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 1.11% | 2 | |
| 2024-10-01 | 2024-10-28 | $258.02 | $262.51 | 0.72% | 20 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 2.25% | 2 | |
| 2024-07-11 | 2024-09-26 | $241.03 | $254.22 | 3.18% | 55 | |
| 2024-07-09 | 2024-07-10 | $262.33 | $263.26 | 3.51% | 2 | |
| 2024-07-05 | 2024-07-08 | $251.52 | $252.94 | 1.88% | 2 | |
| 2024-07-02 | 2024-07-03 | $231.26 | $246.39 | 9.99% | 2 | |
| 2024-04-30 | 2024-06-27 | $183.28 | $197.42 | 6.93% | 41 | |
| 2023-07-19 | 2023-12-28 | $291.26 | $253.18 | -11.05% | 114 | |
| 2023-07-06 | 2023-07-18 | $276.54 | $293.34 | 2.59% | 9 | |
| 2023-06-21 | 2023-07-05 | $259.46 | $282.48 | 1.75% | 10 | |
| 2023-06-15 | 2023-06-20 | $255.90 | $274.45 | 1.26% | 3 | |
| 2023-06-13 | 2023-06-14 | $258.71 | $256.79 | 3.35% | 2 | |
| 2023-06-09 | 2023-06-12 | $244.40 | $249.83 | 3.86% | 2 | |
| 2023-06-07 | 2023-06-08 | $224.57 | $234.86 | 1.27% | 2 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.50% | 2 | |
| 2023-05-24 | 2023-06-02 | $182.90 | $213.97 | 11.48% | 7 | |
| 2022-08-17 | 2023-02-08 | $304.00 | $201.29 | -51.24% | 121 | |
| 2022-08-08 | 2022-08-16 | $290.42 | $306.56 | 7.13% | 7 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.20% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.91% | 2 | |
| 2022-07-29 | 2022-08-01 | $297.15 | $297.28 | 5.58% | 2 | |
| 2022-07-25 | 2022-07-28 | $268.43 | $280.90 | 0.74% | 4 | |
| 2022-04-06 | 2022-07-22 | $348.59 | $272.24 | -14.77% | 74 | |
| 2022-03-30 | 2022-04-05 | $364.66 | $363.75 | 3.96% | 5 | |
| 2021-11-05 | 2022-03-29 | $407.36 | $366.52 | -12.48% | 99 | |
| 2021-11-02 | 2021-11-04 | $390.67 | $409.97 | 0.23% | 3 | |
| 2021-10-29 | 2021-11-01 | $371.33 | $402.86 | 3.23% | 2 | |
| 2021-10-27 | 2021-10-28 | $345.95 | $359.01 | 1.71% | 2 | |
| 2021-10-25 | 2021-10-26 | $341.62 | $339.48 | 12.45% | 2 | |
| 2021-10-20 | 2021-10-22 | $288.60 | $303.23 | 3.23% | 3 | |
| 2021-10-18 | 2021-10-19 | $290.04 | $288.09 | 3.01% | 2 | |
| 2021-10-14 | 2021-10-15 | $272.77 | $281.01 | 0.69% | 2 | |
| 2021-10-11 | 2021-10-13 | $263.98 | $270.36 | 2.37% | 3 | |
| 2021-09-28 | 2021-10-08 | $259.19 | $261.83 | 0.08% | 9 | |
| 2021-09-21 | 2021-09-27 | $246.46 | $263.79 | 5.85% | 5 | |
| 2021-09-17 | 2021-09-20 | $253.16 | $243.39 | 0.13% | 2 | |
| 2021-09-10 | 2021-09-16 | $245.42 | $252.33 | -0.07% | 5 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 2021-08-16 | 2021-08-31 | $228.72 | $245.24 | 1.71% | 12 | |
| 2021-08-06 | 2021-08-13 | $233.03 | $239.06 | 0.86% | 6 | |
| 2021-08-04 | 2021-08-05 | $236.97 | $238.21 | -0.03% | 2 | |
| 2021-01-27 | 2021-08-03 | $288.05 | $236.58 | -19.49% | 131 | |
| 2021-01-11 | 2021-01-26 | $270.40 | $294.36 | -0.12% | 11 | |
| 2021-01-07 | 2021-01-08 | $272.01 | $293.34 | 7.74% | 2 | |
| 2021-01-05 | 2021-01-06 | $245.04 | $251.99 | 0.53% | 2 | |
| 2020-12-21 | 2021-01-04 | $216.62 | $243.26 | 1.33% | 9 | |
| 2020-12-09 | 2020-12-18 | $201.49 | $231.67 | 0.72% | 8 | |
| 2020-12-07 | 2020-12-08 | $213.92 | $216.63 | 6.92% | 2 | |
| 2020-11-30 | 2020-12-04 | $189.20 | $199.68 | 1.10% | 5 | |
| 2020-11-25 | 2020-11-27 | $191.33 | $195.25 | 3.15% | 2 | |
| 2020-11-20 | 2020-11-24 | $163.20 | $185.13 | 4.31% | 3 | |
| 2020-09-02 | 2020-11-19 | $149.12 | $166.42 | 8.36% | 56 | |
| 2020-08-28 | 2020-09-01 | $147.56 | $158.35 | 11.83% | 3 | |
| 2020-08-24 | 2020-08-27 | $134.28 | $149.25 | 5.64% | 4 | |
| 2020-08-20 | 2020-08-21 | $133.46 | $136.67 | 2.61% | 2 | |
| 2020-08-18 | 2020-08-19 | $125.81 | $125.24 | 1.07% | 2 | |
| 2020-07-22 | 2020-08-17 | $106.16 | $122.38 | 6.36% | 19 | |
| 2020-07-17 | 2020-07-21 | $100.06 | $104.56 | 3.80% | 3 | |
| 2020-07-13 | 2020-07-16 | $99.80 | $100.04 | -0.03% | 4 | |
| 2020-07-09 | 2020-07-10 | $92.95 | $102.98 | 0.77% | 2 | |
| 2020-07-07 | 2020-07-08 | $92.66 | $91.06 | 0.46% | 2 | |
| 2020-07-02 | 2020-07-06 | $80.58 | $91.44 | 7.74% | 2 | |
| 2020-06-12 | 2020-07-01 | $62.35 | $74.64 | 10.77% | 14 | |
| 2020-06-10 | 2020-06-11 | $68.34 | $64.86 | 8.76% | 2 | |
| 2020-06-02 | 2020-06-09 | $58.77 | $62.71 | 5.56% | 6 | |
| 2020-05-26 | 2020-06-01 | $54.59 | $59.87 | 1.87% | 5 | |
| 2020-05-12 | 2020-05-22 | $53.96 | $54.46 | 0.75% | 9 | |
| 2020-02-21 | 2020-05-11 | $60.07 | $54.09 | -0.14% | 56 | |
| 2020-02-06 | 2020-02-20 | $49.93 | $59.96 | 9.62% | 10 | |
| 2020-02-04 | 2020-02-05 | $59.14 | $48.98 | 5.54% | 2 | |
| 2020-01-31 | 2020-02-03 | $43.37 | $52.00 | 0.54% | 2 | |
| 2020-01-27 | 2020-01-30 | $37.20 | $42.72 | 2.66% | 4 | |
| 2020-01-23 | 2020-01-24 | $38.15 | $37.65 | 0.26% | 2 |