Strategy Zoo / S0851
PriceMomentum_V0851
ARCHIVEDhybridcrossoverentry from PriceMomentum_V0227, exit from LongTermTrend_V0521
Fitness
0.5603
Generation
39
Complexity
5
Created
2026-09-29
Lineage
Parents (2)
logic of PriceMomentum_V0186 with risk overlay of PriceMomentum_V0160
entry = LongTermTrend_V0469 OR MACDMomentum_V0272
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0851 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and rel_volume > 1.2635):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.2% | 62.4% | 10.0% | 21.2% |
| Total Return | 168.3% | 328.5% | 42.4% | 1585.1% |
| Sharpe | 0.63 | 1.48 | 0.53 | 0.84 |
| Sortino | 0.47 | 1.19 | 0.33 | 0.61 |
| Calmar | 0.35 | 2.28 | 0.32 | 0.56 |
| Volatility | 23.9% | 37.3% | 22.9% | 27.0% |
| Max DD | -37.8% | -27.3% | -30.7% | -37.8% |
| Win Rate | 45.8% | 57.1% | 50.0% | 48.7% |
| Avg Win | 12.4% | 27.5% | 13.2% | 16.4% |
| Avg Loss | -4.5% | -5.9% | -6.7% | -5.1% |
| Payoff | 2.78 | 4.67 | 1.98 | 3.24 |
| Expectancy | 3.3% | 13.2% | 3.3% | 5.4% |
| Profit Factor | 2.35 | 6.22 | 1.98 | 3.07 |
| Trades | 48 | 14 | 14 | 76 |
| Avg Holding Days | 8.4 | 13.7 | 11.5 | 10.1 |
| Turnover | 12.1 | 9.3 | 7.8 | 10.4 |
| Exposure | 18.2% | 23.5% | 16.3% | 18.9% |
Growth of $100
PriceMomentum_V0851 vs TSLA Buy & Hold
PriceMomentum_V0851 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 | 15.0% | 1.59 | -6.6% | 3 |
| 2017 | 10.5% | 0.61 | -15.9% | 8 |
| 2018 | -24.5% | -1.32 | -27.7% | 5 |
| 2019 | 40.4% | 2.31 | -4.5% | 3 |
| 2020 | 245.5% | 2.50 | -18.3% | 8 |
| 2021 | 11.4% | 0.56 | -16.8% | 4 |
| 2022 | 10.9% | 0.61 | -16.2% | 2 |
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 | -14.6% | -0.61 | 22% |
| hidden test | EXPENSIVE | 83 | 44.9% | 1.41 | 31% |
| hidden test | EXTREME | 48 | 33.0% | 0.87 | 23% |
| hidden test | HIGH VOLATILITY | 254 | -1.4% | -0.04 | 26% |
| hidden test | LOW VOLATILITY | 433 | 26.5% | 1.54 | 13% |
| hidden test | MEDIUM VOLATILITY | 250 | 0.9% | 0.04 | 13% |
| hidden test | NORMAL | 806 | 7.5% | 0.36 | 14% |
| hidden test | SIDEWAYS | 293 | 3.7% | 0.73 | 1% |
| hidden test | UPTREND | 371 | 38.4% | 1.29 | 24% |
| train | DOWNTREND | 518 | 2.9% | 0.44 | 6% |
| train | EXPENSIVE | 311 | 19.3% | 0.64 | 38% |
| train | EXTREME | 100 | 262.4% | 3.85 | 62% |
| train | HIGH VOLATILITY | 699 | 25.9% | 0.75 | 18% |
| train | LOW VOLATILITY | 745 | 11.5% | 0.78 | 24% |
| train | MEDIUM VOLATILITY | 568 | 6.5% | 0.39 | 11% |
| train | NORMAL | 1,601 | -1.1% | -0.07 | 12% |
| train | SIDEWAYS | 592 | -3.7% | -0.37 | 2% |
| train | UPTREND | 902 | 34.5% | 1.00 | 36% |
| validation | DOWNTREND | 125 | 48.7% | 1.87 | 22% |
| validation | EXPENSIVE | 138 | 35.4% | 1.08 | 29% |
| validation | EXTREME | 144 | 204.8% | 3.02 | 55% |
| validation | HIGH VOLATILITY | 258 | 61.6% | 1.18 | 29% |
| validation | LOW VOLATILITY | 183 | 14.6% | 1.30 | 10% |
| validation | MEDIUM VOLATILITY | 315 | 73.9% | 2.31 | 27% |
| validation | NORMAL | 474 | 15.8% | 0.71 | 12% |
| validation | SIDEWAYS | 206 | 4.8% | 1.06 | 1% |
| validation | UPTREND | 425 | 81.8% | 1.72 | 35% |
Trades (full period)
77 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-21 | — | $375.30 | — | -1.97% | 6 | OPEN |
| 2026-08-24 | 2026-09-17 | $348.95 | $366.20 | -1.52% | 18 | |
| 2025-12-16 | 2025-12-30 | $489.88 | $454.43 | -3.49% | 10 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 16.32% | 17 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2024-12-17 | 2024-12-24 | $479.86 | $462.28 | -7.18% | 6 | |
| 2024-11-07 | 2024-11-29 | $296.91 | $345.16 | 15.15% | 16 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 10.22% | 16 | |
| 2024-07-02 | 2024-07-22 | $231.26 | $251.51 | 13.76% | 14 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2023-06-05 | 2023-06-27 | $217.61 | $250.21 | 12.43% | 16 | |
| 2023-05-24 | 2023-05-31 | $182.90 | $203.93 | 8.07% | 5 | |
| 2023-01-30 | 2023-02-10 | $166.66 | $196.89 | 16.30% | 10 | |
| 2022-06-22 | 2022-08-02 | $236.09 | $300.59 | 25.16% | 29 | |
| 2022-01-04 | 2022-01-12 | $383.20 | $368.74 | -11.46% | 7 | |
| 2021-10-19 | 2021-11-11 | $288.09 | $354.50 | 22.49% | 18 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.29% | 8 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -4.06% | 2 | |
| 2021-01-11 | 2021-01-25 | $270.40 | $293.60 | -3.99% | 10 | |
| 2020-12-21 | 2020-12-23 | $216.62 | $215.33 | -8.06% | 3 | |
| 2020-11-19 | 2020-12-17 | $166.42 | $218.63 | 27.72% | 20 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 13.72% | 15 | |
| 2020-08-14 | 2020-08-17 | $110.05 | $122.38 | 1.63% | 2 | |
| 2020-07-01 | 2020-07-27 | $74.64 | $102.64 | 30.97% | 18 | |
| 2020-06-11 | 2020-06-25 | $64.86 | $65.73 | -6.46% | 11 | |
| 2020-04-15 | 2020-04-30 | $48.66 | $52.13 | 12.54% | 12 | |
| 2019-12-17 | 2020-02-26 | $25.27 | $51.92 | 109.25% | 48 | |
| 2019-10-25 | 2019-11-21 | $21.88 | $23.66 | 17.31% | 20 | |
| 2019-09-27 | 2019-09-30 | $16.14 | $16.06 | -0.38% | 2 | |
| 2019-07-05 | 2019-07-22 | $15.54 | $17.05 | 9.69% | 12 | |
| 2018-12-06 | 2018-12-07 | $24.20 | $23.86 | 0.73% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-07-03 | 2018-07-05 | $20.72 | $20.61 | -7.42% | 2 | |
| 2018-06-19 | 2018-06-26 | $23.50 | $22.80 | -10.38% | 6 | |
| 2018-06-07 | 2018-06-12 | $21.07 | $22.85 | 3.73% | 4 | |
| 2017-09-19 | 2017-09-25 | $25.01 | $23.00 | -8.99% | 5 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-06-01 | 2017-06-27 | $22.69 | $24.16 | 10.48% | 19 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.85% | 3 | |
| 2017-03-28 | 2017-04-21 | $18.50 | $20.37 | 11.73% | 18 | |
| 2017-02-23 | 2017-02-24 | $17.07 | $17.13 | -6.60% | 2 | |
| 2017-02-10 | 2017-02-22 | $17.95 | $18.23 | 2.84% | 8 | |
| 2017-01-05 | 2017-02-02 | $15.12 | $16.77 | 9.58% | 20 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 10.57% | 10 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-04-14 | $17.03 | $16.79 | 2.85% | 8 | |
| 2015-12-17 | 2015-12-29 | $15.56 | $15.81 | -2.57% | 8 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-06-24 | 2015-07-09 | $17.68 | $17.19 | -4.94% | 11 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.37% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.31% | 2 | |
| 2015-05-13 | 2015-05-22 | $16.21 | $16.52 | 0.16% | 8 | |
| 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 | 2015-02-18 | $14.19 | $13.63 | -5.71% | 5 | |
| 2014-09-03 | 2014-09-12 | $18.75 | $18.61 | -1.54% | 8 | |
| 2014-08-07 | 2014-08-25 | $16.83 | $17.50 | 2.95% | 13 | |
| 2014-06-24 | 2014-07-07 | $15.50 | $14.84 | -3.55% | 9 | |
| 2014-02-11 | 2014-03-11 | $13.11 | $15.63 | 21.27% | 20 | |
| 2013-10-09 | 2013-10-10 | $11.25 | $11.53 | -3.60% | 2 | |
| 2013-10-07 | 2013-10-08 | $12.20 | $11.65 | 0.95% | 2 | |
| 2013-09-20 | 2013-10-04 | $12.23 | $12.07 | -2.78% | 11 | |
| 2013-08-27 | 2013-09-10 | $11.13 | $11.09 | -2.34% | 10 | |
| 2013-08-08 | 2013-08-15 | $10.23 | $9.31 | 3.63% | 6 | |
| 2013-07-18 | 2013-07-19 | $7.94 | $7.98 | -1.21% | 2 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -7.12% | 11 | |
| 2013-03-26 | 2013-06-04 | $2.52 | $6.32 | 146.22% | 49 | |
| 2013-02-20 | 2013-02-21 | $2.57 | $2.34 | -2.08% | 2 | |
| 2013-01-24 | 2013-02-14 | $2.47 | $2.55 | 6.59% | 16 | |
| 2012-12-19 | 2012-12-20 | $2.31 | $2.30 | -0.14% | 2 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -6.60% | 8 | |
| 2012-03-12 | 2012-03-13 | $2.40 | $2.41 | 3.45% | 2 | |
| 2012-02-23 | 2012-02-29 | $2.30 | $2.23 | -1.39% | 5 |