Strategy Zoo / S0865
PriceMomentum_V0865
ARCHIVEDhybridparameterchanged ret_20d threshold 0.05 -> 0.0191
Fitness
0.7023
Generation
39
Complexity
4
Created
2026-09-29
Lineage
Parents (1)
added entry filter: breakout_50 == 1
Children (7)
Strategy Logic (pseudocode)
# PriceMomentum_V0865 [hybrid]
if flat and (ret_20d > 0.0191 and breakout_50 == 1):
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 18.2% | 111.6% | 8.4% | 30.5% |
| Total Return | 280.1% | 848.0% | 35.1% | 4912.2% |
| Sharpe | 0.72 | 1.87 | 0.42 | 0.96 |
| Sortino | 0.64 | 1.71 | 0.32 | 0.82 |
| Calmar | 0.36 | 3.31 | 0.24 | 0.61 |
| Volatility | 28.8% | 45.7% | 30.4% | 33.4% |
| Max DD | -50.4% | -33.7% | -35.8% | -50.4% |
| Win Rate | 40.0% | 85.7% | 41.7% | 47.7% |
| Avg Win | 24.9% | 51.5% | 21.1% | 37.1% |
| Avg Loss | -6.5% | -10.7% | -8.7% | -7.3% |
| Payoff | 3.85 | 4.82 | 2.44 | 5.07 |
| Expectancy | 6.1% | 42.6% | 3.7% | 13.9% |
| Profit Factor | 2.57 | 10.00 | 1.74 | 4.63 |
| Trades | 25 | 7 | 12 | 44 |
| Avg Holding Days | 25.0 | 45.4 | 21.6 | 28.6 |
| Turnover | 6.4 | 4.7 | 6.5 | 6.0 |
| Exposure | 32.5% | 41.1% | 26.4% | 32.7% |
Growth of $100
PriceMomentum_V0865 vs TSLA Buy & Hold
PriceMomentum_V0865 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 | 9.0% | 0.71 | -9.6% | 1 |
| 2017 | 4.0% | 0.29 | -20.9% | 4 |
| 2018 | -29.0% | -1.32 | -35.0% | 5 |
| 2019 | 47.0% | 1.47 | -13.9% | 1 |
| 2020 | 406.4% | 2.71 | -33.7% | 3 |
| 2021 | 90.1% | 2.11 | -17.6% | 2 |
| 2022 | -5.5% | -0.18 | -18.9% | 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 | 2.0% | 0.96 | 0% |
| hidden test | EXPENSIVE | 83 | 47.7% | 1.02 | 76% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 12.3% | 0.31 | 30% |
| hidden test | LOW VOLATILITY | 433 | 36.9% | 1.75 | 23% |
| hidden test | MEDIUM VOLATILITY | 250 | -28.6% | -0.86 | 28% |
| hidden test | NORMAL | 806 | -1.0% | -0.04 | 19% |
| hidden test | SIDEWAYS | 293 | -14.8% | -0.57 | 21% |
| hidden test | UPTREND | 371 | 42.5% | 1.00 | 50% |
| train | DOWNTREND | 518 | -2.0% | -0.50 | 2% |
| train | EXPENSIVE | 311 | 37.3% | 1.01 | 61% |
| train | EXTREME | 100 | 380.3% | 5.23 | 96% |
| train | HIGH VOLATILITY | 699 | 44.2% | 1.15 | 31% |
| train | LOW VOLATILITY | 745 | 26.7% | 1.31 | 41% |
| train | MEDIUM VOLATILITY | 568 | -15.7% | -0.65 | 24% |
| train | NORMAL | 1,601 | -4.9% | -0.24 | 23% |
| train | SIDEWAYS | 592 | -10.2% | -0.56 | 14% |
| train | UPTREND | 902 | 54.2% | 1.35 | 63% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 69.1% | 1.29 | 51% |
| validation | EXTREME | 144 | 299.0% | 3.84 | 79% |
| validation | HIGH VOLATILITY | 258 | 83.1% | 1.34 | 36% |
| validation | LOW VOLATILITY | 183 | 49.4% | 2.34 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 108.4% | 2.68 | 45% |
| validation | NORMAL | 474 | 25.4% | 1.02 | 27% |
| validation | SIDEWAYS | 206 | -9.0% | -0.70 | 12% |
| validation | UPTREND | 425 | 150.9% | 2.53 | 66% |
Trades (full period)
44 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-11 | 2026-06-08 | $445.00 | $408.95 | -8.90% | 20 | |
| 2025-12-16 | 2026-01-05 | $489.88 | $451.67 | -8.02% | 13 | |
| 2025-10-29 | 2025-11-13 | $461.51 | $401.99 | -6.69% | 12 | |
| 2025-08-27 | 2025-10-23 | $349.60 | $448.98 | 24.57% | 41 | |
| 2025-05-12 | 2025-06-12 | $318.38 | $319.11 | 9.23% | 23 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 36.54% | 44 | |
| 2024-10-28 | 2024-11-04 | $262.51 | $242.84 | -7.70% | 6 | |
| 2024-09-26 | 2024-10-14 | $254.22 | $219.16 | -15.43% | 13 | |
| 2024-06-27 | 2024-08-02 | $197.42 | $207.67 | 10.21% | 26 | |
| 2023-12-28 | 2024-01-05 | $253.18 | $237.49 | -9.18% | 6 | |
| 2023-06-02 | 2023-07-24 | $213.97 | $269.06 | 25.05% | 35 | |
| 2023-02-08 | 2023-03-08 | $201.29 | $182.00 | -4.81% | 20 | |
| 2022-07-22 | 2022-08-29 | $272.24 | $284.82 | 5.82% | 27 | |
| 2022-03-29 | 2022-04-21 | $366.52 | $336.26 | -10.68% | 17 | |
| 2021-08-03 | 2021-12-01 | $236.58 | $365.00 | 60.99% | 85 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-08-17 | 2020-09-24 | $122.38 | $129.26 | 14.99% | 28 | |
| 2020-05-11 | 2020-08-10 | $54.09 | $94.57 | 76.93% | 64 | |
| 2019-10-15 | 2020-03-04 | $17.19 | $49.97 | 189.55% | 97 | |
| 2019-07-22 | 2019-08-02 | $17.05 | $15.62 | -9.61% | 10 | |
| 2018-10-30 | 2018-12-19 | $21.99 | $22.20 | 0.45% | 35 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -19.68% | 9 | |
| 2018-06-07 | 2018-07-06 | $21.07 | $20.59 | -3.43% | 21 | |
| 2018-02-27 | 2018-03-01 | $23.40 | $22.06 | -4.21% | 3 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -4.78% | 13 | |
| 2017-09-15 | 2017-09-25 | $25.32 | $23.00 | -7.22% | 7 | |
| 2017-05-31 | 2017-07-06 | $22.73 | $20.59 | -2.58% | 26 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | 1.59% | 36 | |
| 2016-12-21 | 2017-02-28 | $13.85 | $16.67 | 17.70% | 46 | |
| 2016-03-18 | 2016-05-03 | $15.52 | $15.49 | 6.60% | 32 | |
| 2016-01-04 | 2016-01-05 | $14.89 | $14.90 | -7.11% | 2 | |
| 2015-07-21 | 2015-07-27 | $17.78 | $16.87 | -6.16% | 5 | |
| 2015-04-23 | 2015-07-09 | $14.57 | $17.19 | 15.95% | 54 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.78% | 28 | |
| 2014-06-18 | 2014-07-16 | $15.14 | $14.48 | -5.41% | 20 | |
| 2014-01-22 | 2014-03-26 | $11.90 | $14.20 | 24.52% | 45 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 47.00% | 79 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 132.63% | 61 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2013-01-03 | 2013-01-09 | $2.32 | $2.24 | -4.94% | 5 | |
| 2012-11-20 | 2012-12-31 | $2.20 | $2.26 | 0.71% | 28 | |
| 2012-07-16 | 2012-07-20 | $2.40 | $2.12 | -5.96% | 5 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -11.54% | 10 | |
| 2012-02-21 | 2012-03-23 | $2.30 | $2.27 | -1.83% | 24 |