Strategy Zoo / S0839
PriceMomentum_V0839
ARCHIVEDhybridstructuraladded entry filter: sma_200 > roll_low_50
Fitness
0.6654
Generation
38
Complexity
16
Created
2026-09-29
Lineage
Parents (1)
entry = PriceMomentum_V0267 AND LongTermTrend_V0182
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0839 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.1146 and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05) and sma_200 > roll_low_50):
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 24.2% | 79.3% | 8.6% | 29.6% |
| Total Return | 464.4% | 476.1% | 35.9% | 4449.7% |
| Sharpe | 0.95 | 1.60 | 0.45 | 1.01 |
| Sortino | 0.92 | 1.27 | 0.32 | 0.85 |
| Calmar | 0.77 | 2.35 | 0.34 | 0.88 |
| Volatility | 26.3% | 42.0% | 26.4% | 30.2% |
| Max DD | -31.5% | -33.8% | -25.6% | -33.8% |
| Win Rate | 59.1% | 55.6% | 53.8% | 56.8% |
| Avg Win | 21.8% | 54.8% | 10.4% | 28.0% |
| Avg Loss | -6.2% | -7.1% | -5.2% | -6.1% |
| Payoff | 3.48 | 7.76 | 2.00 | 4.61 |
| Expectancy | 10.3% | 27.3% | 3.2% | 13.3% |
| Profit Factor | 5.03 | 9.70 | 2.33 | 6.06 |
| Trades | 22 | 9 | 13 | 44 |
| Avg Holding Days | 30.7 | 27.3 | 17.2 | 27.1 |
| Turnover | 7.4 | 7.1 | 9.3 | 7.8 |
| Exposure | 31.9% | 27.8% | 22.1% | 28.6% |
Growth of $100
PriceMomentum_V0839 vs TSLA Buy & Hold
PriceMomentum_V0839 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 | 4.9% | 0.43 | -20.2% | 5 |
| 2017 | 26.0% | 1.15 | -16.8% | 1 |
| 2018 | -16.4% | -0.63 | -27.3% | 4 |
| 2019 | 47.3% | 2.25 | -8.5% | 2 |
| 2020 | 343.2% | 2.59 | -33.8% | 3 |
| 2021 | 46.8% | 1.86 | -12.5% | 1 |
| 2022 | -12.0% | -0.58 | -20.3% | 5 |
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 | -3.9% | -0.20 | 16% |
| hidden test | EXPENSIVE | 83 | 36.4% | 1.09 | 45% |
| hidden test | EXTREME | 48 | 133.4% | 2.63 | 59% |
| hidden test | HIGH VOLATILITY | 254 | -10.7% | -0.32 | 25% |
| hidden test | LOW VOLATILITY | 433 | 36.6% | 2.03 | 17% |
| hidden test | MEDIUM VOLATILITY | 250 | -8.4% | -0.28 | 27% |
| hidden test | NORMAL | 806 | 2.0% | 0.08 | 18% |
| hidden test | SIDEWAYS | 293 | -1.6% | -0.14 | 2% |
| hidden test | UPTREND | 371 | 33.8% | 0.91 | 42% |
| train | DOWNTREND | 518 | 11.9% | 1.16 | 9% |
| train | EXPENSIVE | 311 | 31.2% | 0.97 | 54% |
| train | EXTREME | 100 | 330.0% | 4.71 | 82% |
| train | HIGH VOLATILITY | 699 | 45.5% | 1.30 | 29% |
| train | LOW VOLATILITY | 745 | 28.1% | 1.33 | 41% |
| train | MEDIUM VOLATILITY | 568 | -4.2% | -0.22 | 23% |
| train | NORMAL | 1,601 | 4.8% | 0.26 | 24% |
| train | SIDEWAYS | 592 | -3.1% | -0.30 | 2% |
| train | UPTREND | 902 | 51.1% | 1.36 | 64% |
| validation | DOWNTREND | 125 | 29.6% | 1.51 | 10% |
| validation | EXPENSIVE | 138 | 3.6% | 0.09 | 17% |
| validation | EXTREME | 144 | 297.2% | 3.84 | 77% |
| validation | HIGH VOLATILITY | 258 | 119.7% | 1.88 | 42% |
| validation | LOW VOLATILITY | 183 | 45.7% | 2.75 | 22% |
| validation | MEDIUM VOLATILITY | 315 | 36.6% | 1.35 | 19% |
| validation | NORMAL | 474 | 15.8% | 0.75 | 16% |
| validation | SIDEWAYS | 206 | -13.7% | -1.18 | 2% |
| validation | UPTREND | 425 | 117.5% | 2.17 | 46% |
Trades (full period)
45 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | -3.73% | 25 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-06 | 2026-05-08 | $398.73 | $428.35 | 5.55% | 3 | |
| 2025-09-15 | 2025-11-21 | $410.04 | $391.09 | -0.15% | 50 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -9.43% | 11 | |
| 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 | |
| 2024-11-29 | 2025-01-17 | $345.16 | $426.50 | 22.43% | 33 | |
| 2024-10-03 | 2024-10-22 | $240.66 | $217.97 | -12.84% | 14 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 9.15% | 16 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 1.87% | 23 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.65% | 10 | |
| 2023-06-02 | 2023-08-03 | $213.97 | $259.32 | 23.90% | 43 | |
| 2023-05-24 | 2023-05-31 | $182.90 | $203.93 | 8.07% | 5 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.63% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.64% | 2 | |
| 2022-07-19 | 2022-08-02 | $245.53 | $300.59 | 18.87% | 11 | |
| 2022-06-24 | 2022-07-05 | $245.71 | $233.07 | -3.51% | 7 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -16.47% | 16 | |
| 2021-09-16 | 2021-12-03 | $252.33 | $338.32 | 46.78% | 56 | |
| 2020-05-20 | 2020-09-30 | $54.37 | $143.00 | 122.37% | 93 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-05 | $21.88 | $48.30 | 134.52% | 90 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 3.91% | 13 | |
| 2019-07-16 | 2019-07-22 | $16.83 | $17.05 | 1.64% | 5 | |
| 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 | 11.09% | 30 | |
| 2017-01-05 | 2017-07-07 | $15.12 | $20.88 | 25.88% | 127 | |
| 2016-12-21 | 2016-12-28 | $13.85 | $14.65 | 5.11% | 5 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -6.63% | 26 | |
| 2016-04-05 | 2016-05-05 | $17.03 | $14.10 | -9.88% | 23 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 1.44% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 16.89% | 12 | |
| 2015-05-11 | 2015-08-12 | $15.97 | $15.88 | 5.27% | 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 | 7.97% | 71 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 14.08% | 43 | |
| 2013-05-07 | 2013-10-24 | $3.70 | $11.54 | 180.60% | 120 | |
| 2013-01-29 | 2013-03-20 | $2.53 | $2.40 | -7.93% | 36 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-02-23 | 2012-04-25 | $2.30 | $2.19 | -1.63% | 44 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |