Strategy Zoo / S0842
PriceMomentum_V0842
ARCHIVEDhybridstructuralreplaced exit rule with: sma_200 > roll_high_20
Fitness
0.5051
Generation
38
Complexity
6
Created
2026-09-29
Lineage
Parents (1)
entry = PriceMomentum_V0267 AND PriceMomentum_V0567
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0842 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.1146 and ret_20d > 0.05):
position = 1.0
if long and sma_200 > roll_high_20:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 26.4% | 39.6% | 18.8% | 27.2% |
| Total Return | 547.6% | 171.9% | 89.8% | 3339.9% |
| Sharpe | 0.95 | 0.92 | 0.67 | 0.85 |
| Sortino | 0.98 | 0.86 | 0.68 | 0.81 |
| Calmar | 0.88 | 0.65 | 0.42 | 0.45 |
| Volatility | 29.0% | 50.3% | 34.2% | 35.6% |
| Max DD | -30.0% | -60.7% | -44.6% | -60.7% |
| Win Rate | 51.4% | 53.8% | 57.1% | 55.3% |
| Avg Win | 21.2% | 28.5% | 7.1% | 16.9% |
| Avg Loss | -3.6% | -7.7% | -3.4% | -3.7% |
| Payoff | 5.96 | 3.71 | 2.09 | 4.54 |
| Expectancy | 9.2% | 11.8% | 2.6% | 7.7% |
| Profit Factor | 6.31 | 4.33 | 2.79 | 5.61 |
| Trades | 35 | 13 | 28 | 76 |
| Avg Holding Days | 22.9 | 30.2 | 13.1 | 21.2 |
| Turnover | 10.9 | 9.9 | 17.8 | 12.4 |
| Exposure | 36.9% | 42.6% | 32.7% | 37.0% |
Growth of $100
PriceMomentum_V0842 vs TSLA Buy & Hold
PriceMomentum_V0842 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 | -11.9% | -0.83 | -21.8% | 10 |
| 2017 | 39.3% | 1.44 | -16.8% | 1 |
| 2018 | -23.4% | -1.23 | -27.3% | 4 |
| 2019 | 46.6% | 2.20 | -8.5% | 10 |
| 2020 | 174.5% | 1.71 | -60.7% | 3 |
| 2021 | 31.3% | 0.95 | -30.1% | 1 |
| 2022 | -33.0% | -2.12 | -32.9% | 9 |
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 | 6.1% | 0.35 | 8% |
| hidden test | EXPENSIVE | 83 | 97.8% | 1.54 | 78% |
| hidden test | EXTREME | 48 | 175.2% | 2.89 | 94% |
| hidden test | HIGH VOLATILITY | 254 | 60.4% | 1.21 | 44% |
| hidden test | LOW VOLATILITY | 433 | 20.3% | 0.92 | 27% |
| hidden test | MEDIUM VOLATILITY | 250 | -10.4% | -0.33 | 31% |
| hidden test | NORMAL | 806 | 6.2% | 0.23 | 24% |
| hidden test | SIDEWAYS | 293 | -15.2% | -1.29 | 2% |
| hidden test | UPTREND | 371 | 65.5% | 1.29 | 75% |
| train | DOWNTREND | 518 | 5.1% | 0.90 | 3% |
| train | EXPENSIVE | 311 | 41.3% | 1.07 | 73% |
| train | EXTREME | 100 | 400.8% | 5.56 | 94% |
| train | HIGH VOLATILITY | 699 | 49.0% | 1.30 | 34% |
| train | LOW VOLATILITY | 745 | 27.3% | 1.21 | 46% |
| train | MEDIUM VOLATILITY | 568 | 1.3% | 0.06 | 28% |
| train | NORMAL | 1,601 | 1.5% | 0.08 | 26% |
| train | SIDEWAYS | 592 | -9.7% | -0.94 | 3% |
| train | UPTREND | 902 | 64.8% | 1.54 | 79% |
| validation | DOWNTREND | 125 | 14.0% | 2.05 | 2% |
| validation | EXPENSIVE | 138 | -26.9% | -0.45 | 69% |
| validation | EXTREME | 144 | 297.6% | 3.68 | 83% |
| validation | HIGH VOLATILITY | 258 | 68.4% | 0.92 | 54% |
| validation | LOW VOLATILITY | 183 | 31.4% | 1.40 | 34% |
| validation | MEDIUM VOLATILITY | 315 | 36.4% | 1.05 | 39% |
| validation | NORMAL | 474 | -9.0% | -0.30 | 23% |
| validation | SIDEWAYS | 206 | -44.9% | -2.04 | 4% |
| validation | UPTREND | 425 | 99.7% | 1.53 | 73% |
Trades (full period)
76 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.91% | 2 | |
| 2026-08-26 | 2026-08-27 | $345.82 | $354.81 | -1.46% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-06 | 2026-05-07 | $398.73 | $411.79 | 2.20% | 2 | |
| 2025-09-15 | 2026-01-13 | $410.04 | $447.20 | 8.47% | 84 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -9.43% | 11 | |
| 2025-05-08 | 2025-05-09 | $284.82 | $298.26 | 2.91% | 2 | |
| 2025-05-06 | 2025-05-07 | $275.35 | $276.22 | -1.95% | 2 | |
| 2025-04-30 | 2025-05-05 | $282.16 | $280.26 | -1.85% | 4 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -5.14% | 2 | |
| 2024-10-03 | 2025-02-24 | $240.66 | $330.53 | 32.16% | 97 | |
| 2024-07-02 | 2024-09-27 | $231.26 | $260.46 | 14.18% | 62 | |
| 2024-05-21 | 2024-05-22 | $186.60 | $180.11 | 6.45% | 2 | |
| 2024-05-17 | 2024-05-20 | $177.46 | $174.95 | 1.30% | 2 | |
| 2024-05-15 | 2024-05-16 | $173.99 | $174.84 | -2.20% | 2 | |
| 2023-06-02 | 2023-09-05 | $213.97 | $256.49 | 19.46% | 65 | |
| 2023-05-30 | 2023-05-31 | $201.16 | $203.93 | 3.93% | 2 | |
| 2023-05-25 | 2023-05-26 | $184.47 | $193.17 | 0.66% | 2 | |
| 2023-05-23 | 2023-05-24 | $185.77 | $182.90 | -1.84% | 2 | |
| 2023-02-08 | 2023-02-09 | $201.29 | $207.32 | 2.07% | 2 | |
| 2023-02-06 | 2023-02-07 | $194.76 | $196.81 | 2.31% | 2 | |
| 2023-02-02 | 2023-02-03 | $188.27 | $189.98 | 3.58% | 2 | |
| 2023-01-31 | 2023-02-01 | $173.22 | $181.41 | 3.73% | 2 | |
| 2023-01-27 | 2023-01-30 | $177.90 | $166.66 | 10.79% | 2 | |
| 2023-01-25 | 2023-01-26 | $144.43 | $160.27 | 0.17% | 2 | |
| 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 | |
| 2022-08-01 | 2022-08-02 | $297.28 | $300.59 | -0.11% | 2 | |
| 2022-07-28 | 2022-07-29 | $280.90 | $297.15 | 1.37% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-07-19 | 2022-07-20 | $245.53 | $247.50 | 1.27% | 2 | |
| 2022-06-24 | 2022-06-27 | $245.71 | $244.92 | 4.32% | 2 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -16.47% | 16 | |
| 2021-09-16 | 2022-01-20 | $252.33 | $332.09 | 29.34% | 88 | |
| 2020-11-19 | 2021-03-17 | $166.42 | $233.94 | 20.06% | 80 | |
| 2020-05-20 | 2020-11-13 | $54.37 | $136.17 | 120.68% | 125 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-19 | $21.88 | $28.51 | 13.02% | 100 | |
| 2019-09-27 | 2019-09-30 | $16.14 | $16.06 | -0.26% | 2 | |
| 2019-07-18 | 2019-07-19 | $16.90 | $17.21 | -0.72% | 2 | |
| 2019-07-16 | 2019-07-17 | $16.83 | $16.99 | -0.64% | 2 | |
| 2019-07-12 | 2019-07-15 | $16.34 | $16.90 | 2.51% | 2 | |
| 2019-07-08 | 2019-07-09 | $15.36 | $15.34 | -1.38% | 2 | |
| 2019-07-03 | 2019-07-05 | $15.66 | $15.54 | 4.40% | 2 | |
| 2019-07-01 | 2019-07-02 | $15.14 | $14.97 | 0.99% | 2 | |
| 2019-06-27 | 2019-06-28 | $14.86 | $14.90 | 0.97% | 2 | |
| 2019-06-25 | 2019-06-26 | $14.65 | $14.62 | -1.31% | 2 | |
| 2019-06-21 | 2019-06-24 | $14.79 | $14.91 | 0.56% | 2 | |
| 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 | 2018-05-02 | $19.99 | $20.08 | 1.85% | 2 | |
| 2017-01-05 | 2017-08-24 | $15.12 | $23.53 | 39.15% | 161 | |
| 2016-12-21 | 2016-12-22 | $13.85 | $13.90 | -0.49% | 2 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -6.63% | 26 | |
| 2016-04-05 | 2016-06-02 | $17.03 | $14.60 | -11.64% | 42 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 1.44% | 2 | |
| 2016-03-18 | 2016-03-21 | $15.52 | $15.89 | 1.77% | 2 | |
| 2016-03-16 | 2016-03-17 | $14.80 | $15.09 | 1.44% | 2 | |
| 2016-03-14 | 2016-03-15 | $14.34 | $14.56 | 3.48% | 2 | |
| 2016-03-10 | 2016-03-11 | $13.68 | $13.83 | -1.89% | 2 | |
| 2016-03-08 | 2016-03-09 | $13.51 | $13.91 | -1.51% | 2 | |
| 2016-03-04 | 2016-03-07 | $13.40 | $13.69 | 2.51% | 2 | |
| 2015-05-11 | 2015-08-18 | $15.97 | $17.38 | 10.58% | 70 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-24 | 2015-04-27 | $14.56 | $15.44 | -0.28% | 2 | |
| 2014-06-23 | 2014-10-22 | $15.81 | $15.41 | 5.54% | 86 | |
| 2014-01-24 | 2014-05-08 | $11.64 | $11.91 | 6.17% | 73 | |
| 2013-01-29 | 2013-11-12 | $2.53 | $9.19 | 295.04% | 201 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-02-23 | 2012-05-04 | $2.30 | $2.12 | 0.29% | 51 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 | |
| 2012-01-04 | 2012-01-06 | $1.85 | $1.79 | -3.61% | 3 |