Strategy Zoo / S0825
PriceMomentum_V0825
ARCHIVEDhybridcrossoverentry from PriceMomentum_V0816, exit from PriceMomentum_V0748
Fitness
0.6757
Generation
38
Complexity
27
Created
2026-09-29
Lineage
Parents (2)
changed rel_volume threshold 1.2635 -> 1.4539; added entry filter: breakout_20 == 1
changed ret_1d threshold 0.0336 -> -0.005
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0825 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (((ret_20d > 0.05 and rel_volume > 1.2635) or (((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > -0.3135)) or ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.1) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_1d > -0.005)):
position = 1.0
if long and (ret_20d < -0.1357 or roll_high_50 < sma_20):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 34.0% | 93.9% | 16.8% | 39.9% |
| Total Return | 936.1% | 628.7% | 78.4% | 13767.4% |
| Sharpe | 1.08 | 1.56 | 0.61 | 1.08 |
| Sortino | 1.17 | 1.64 | 0.57 | 1.10 |
| Calmar | 0.66 | 1.85 | 0.40 | 0.78 |
| Volatility | 31.8% | 50.6% | 35.7% | 37.4% |
| Max DD | -51.3% | -50.7% | -41.7% | -51.3% |
| Win Rate | 53.1% | 46.2% | 62.5% | 54.1% |
| Avg Win | 31.1% | 62.0% | 13.5% | 33.7% |
| Avg Loss | -6.3% | -9.1% | -9.7% | -7.7% |
| Payoff | 4.96 | 6.79 | 1.39 | 4.36 |
| Expectancy | 13.6% | 23.7% | 4.8% | 14.7% |
| Profit Factor | 5.62 | 5.82 | 2.32 | 5.14 |
| Trades | 32 | 13 | 16 | 61 |
| Avg Holding Days | 28.3 | 30.5 | 21.1 | 27.7 |
| Turnover | 8.1 | 8.7 | 8.9 | 8.4 |
| Exposure | 45.8% | 50.8% | 37.0% | 44.6% |
Growth of $100
PriceMomentum_V0825 vs TSLA Buy & Hold
PriceMomentum_V0825 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 | 13.8% | 0.92 | -21.2% | 6 |
| 2017 | 22.2% | 0.84 | -27.7% | 3 |
| 2018 | -31.3% | -1.15 | -39.0% | 7 |
| 2019 | 59.2% | 2.48 | -8.5% | 3 |
| 2020 | 692.3% | 3.19 | -33.7% | 4 |
| 2021 | 33.8% | 1.00 | -24.4% | 3 |
| 2022 | -34.3% | -1.28 | -40.2% | 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 | 273 | -2.1% | -0.06 | 33% |
| hidden test | EXPENSIVE | 83 | 77.7% | 1.68 | 69% |
| hidden test | EXTREME | 48 | 189.8% | 3.11 | 88% |
| hidden test | HIGH VOLATILITY | 254 | 6.6% | 0.13 | 45% |
| hidden test | LOW VOLATILITY | 433 | 31.8% | 1.35 | 30% |
| hidden test | MEDIUM VOLATILITY | 250 | 20.4% | 0.56 | 41% |
| hidden test | NORMAL | 806 | 6.2% | 0.19 | 31% |
| hidden test | SIDEWAYS | 293 | -1.7% | -0.11 | 3% |
| hidden test | UPTREND | 371 | 58.2% | 1.27 | 67% |
| train | DOWNTREND | 518 | 23.2% | 1.20 | 27% |
| train | EXPENSIVE | 311 | 47.0% | 1.18 | 71% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 56.9% | 1.42 | 36% |
| train | LOW VOLATILITY | 745 | 35.9% | 1.46 | 57% |
| train | MEDIUM VOLATILITY | 568 | 4.2% | 0.15 | 43% |
| train | NORMAL | 1,601 | 7.9% | 0.33 | 37% |
| train | SIDEWAYS | 592 | -0.2% | -0.02 | 4% |
| train | UPTREND | 902 | 63.2% | 1.44 | 84% |
| validation | DOWNTREND | 125 | 48.7% | 1.87 | 22% |
| validation | EXPENSIVE | 138 | 63.9% | 1.10 | 80% |
| validation | EXTREME | 144 | 376.0% | 4.56 | 88% |
| validation | HIGH VOLATILITY | 258 | 111.2% | 1.63 | 51% |
| validation | LOW VOLATILITY | 183 | 25.6% | 0.99 | 51% |
| validation | MEDIUM VOLATILITY | 315 | 83.8% | 1.89 | 50% |
| validation | NORMAL | 474 | -6.7% | -0.22 | 31% |
| validation | SIDEWAYS | 206 | -31.0% | -1.80 | 4% |
| validation | UPTREND | 425 | 141.3% | 2.18 | 82% |
Trades (full period)
62 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | -1.59% | 25 | 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 | |
| 2025-09-12 | 2026-01-13 | $395.94 | $447.20 | 21.50% | 85 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2025-04-30 | 2025-05-12 | $282.16 | $318.38 | 1.93% | 9 | |
| 2025-04-08 | 2025-04-23 | $221.86 | $250.74 | 1.80% | 11 | |
| 2024-11-07 | 2025-01-28 | $296.91 | $398.09 | 37.37% | 54 | |
| 2024-10-03 | 2024-10-23 | $240.66 | $213.65 | -12.65% | 15 | |
| 2024-09-04 | 2024-09-27 | $219.41 | $260.46 | 20.48% | 18 | |
| 2024-07-02 | 2024-08-05 | $231.26 | $198.88 | -1.23% | 24 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2024-02-27 | 2024-03-15 | $199.73 | $163.57 | -18.67% | 14 | |
| 2023-06-02 | 2023-08-14 | $213.97 | $239.76 | 16.70% | 50 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-01-30 | 2023-02-10 | $166.66 | $196.89 | 16.30% | 10 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 3 | |
| 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 | |
| 2022-06-22 | 2022-08-02 | $236.09 | $300.59 | 25.16% | 29 | |
| 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 | |
| 2021-08-24 | 2021-12-06 | $236.16 | $336.34 | 43.42% | 73 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 46.53% | 64 | |
| 2020-10-07 | 2020-11-13 | $141.77 | $136.17 | -0.73% | 28 | |
| 2020-05-15 | 2020-09-30 | $53.28 | $143.00 | 160.31% | 96 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-05 | $21.88 | $48.30 | 149.62% | 90 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 5.72% | 13 | |
| 2019-07-05 | 2019-07-22 | $15.54 | $17.05 | 9.69% | 12 | |
| 2018-11-29 | 2018-12-26 | $22.74 | $21.74 | -15.26% | 18 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-08-22 | 2018-08-28 | $21.44 | $20.79 | -1.02% | 5 | |
| 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 | |
| 2018-04-27 | 2018-06-12 | $19.61 | $22.85 | 16.10% | 32 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-09-18 | 2017-10-25 | $25.67 | $21.72 | -11.36% | 28 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | 1.44% | 15 | |
| 2017-01-05 | 2017-07-07 | $15.12 | $20.88 | 35.78% | 127 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 10.57% | 10 | |
| 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 | |
| 2015-11-30 | 2015-12-02 | $15.35 | $15.47 | 2.20% | 3 | |
| 2015-05-11 | 2015-08-18 | $15.97 | $17.38 | 7.55% | 70 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-23 | 2015-04-28 | $14.57 | $15.37 | 5.31% | 4 | |
| 2015-02-11 | 2015-04-14 | $14.19 | $13.83 | -3.21% | 43 | |
| 2014-06-23 | 2014-10-01 | $15.81 | $16.02 | 5.49% | 71 | |
| 2014-01-24 | 2014-03-27 | $11.64 | $13.82 | 17.09% | 44 | |
| 2012-12-18 | 2013-10-29 | $2.31 | $10.96 | 372.49% | 218 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-08-31 | 2012-09-18 | $1.90 | $2.09 | 14.31% | 12 | |
| 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 |