Strategy Zoo / S0866
PriceMomentum_V0866
ARCHIVEDmomentumstructuralreduce exposure to 41% during MEDIUM_VOLATILITY; added entry filter: rel_volume > 1.1075
Fitness
0.5946
Generation
39
Complexity
6
Created
2026-09-29
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1146
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0866 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.1146 and rel_volume > 1.1075):
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 23.5% | 63.3% | 16.3% | 29.0% |
| Total Return | 438.1% | 335.2% | 75.1% | 4121.5% |
| Sharpe | 0.97 | 1.41 | 0.69 | 1.01 |
| Sortino | 0.90 | 1.14 | 0.52 | 0.83 |
| Calmar | 0.63 | 1.87 | 0.59 | 0.78 |
| Volatility | 24.9% | 40.8% | 26.9% | 29.3% |
| Max DD | -37.3% | -33.8% | -27.8% | -37.3% |
| Win Rate | 52.9% | 75.0% | 54.5% | 58.3% |
| Avg Win | 37.6% | 36.9% | 18.2% | 35.1% |
| Avg Loss | -6.1% | -12.9% | -6.5% | -7.1% |
| Payoff | 6.21 | 2.85 | 2.79 | 4.92 |
| Expectancy | 17.1% | 24.4% | 7.0% | 17.5% |
| Profit Factor | 6.99 | 8.55 | 3.35 | 6.89 |
| Trades | 17 | 8 | 11 | 36 |
| Avg Holding Days | 37.0 | 36.6 | 22.2 | 33.7 |
| Turnover | 7.6 | 7.3 | 9.7 | 8.0 |
| Exposure | 27.6% | 27.7% | 21.9% | 26.2% |
Growth of $100
PriceMomentum_V0866 vs TSLA Buy & Hold
PriceMomentum_V0866 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 | -5.0% | -0.61 | -12.6% | 2 |
| 2017 | 16.8% | 0.86 | -16.7% | 2 |
| 2018 | -24.4% | -1.31 | -27.0% | 2 |
| 2019 | 56.6% | 2.52 | -8.5% | 2 |
| 2020 | 308.8% | 2.51 | -33.8% | 3 |
| 2021 | 33.4% | 1.35 | -20.5% | 2 |
| 2022 | -21.8% | -1.68 | -26.1% | 3 |
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 | 15.9% | 0.78 | 13% |
| hidden test | EXPENSIVE | 83 | 13.9% | 0.41 | 44% |
| hidden test | EXTREME | 48 | 196.2% | 3.42 | 69% |
| hidden test | HIGH VOLATILITY | 254 | 42.4% | 1.14 | 28% |
| hidden test | LOW VOLATILITY | 433 | 31.0% | 1.60 | 20% |
| hidden test | MEDIUM VOLATILITY | 250 | -26.7% | -1.04 | 18% |
| hidden test | NORMAL | 806 | 8.6% | 0.38 | 17% |
| hidden test | SIDEWAYS | 293 | -0.1% | -0.02 | 2% |
| hidden test | UPTREND | 371 | 35.6% | 0.92 | 45% |
| train | DOWNTREND | 518 | 5.4% | 1.10 | 3% |
| train | EXPENSIVE | 311 | 28.1% | 0.99 | 51% |
| train | EXTREME | 100 | 387.9% | 5.44 | 89% |
| train | HIGH VOLATILITY | 699 | 41.6% | 1.25 | 27% |
| train | LOW VOLATILITY | 745 | 29.0% | 1.41 | 37% |
| train | MEDIUM VOLATILITY | 568 | -3.9% | -0.24 | 16% |
| train | NORMAL | 1,601 | 0.6% | 0.04 | 19% |
| train | SIDEWAYS | 592 | -7.7% | -0.88 | 1% |
| train | UPTREND | 902 | 55.7% | 1.54 | 59% |
| validation | DOWNTREND | 125 | 7.7% | 1.38 | 2% |
| validation | EXPENSIVE | 138 | 33.0% | 0.76 | 33% |
| validation | EXTREME | 144 | 256.9% | 3.43 | 69% |
| validation | HIGH VOLATILITY | 258 | 90.9% | 1.44 | 42% |
| validation | LOW VOLATILITY | 183 | 36.0% | 2.00 | 24% |
| validation | MEDIUM VOLATILITY | 315 | 42.3% | 1.79 | 18% |
| validation | NORMAL | 474 | 3.8% | 0.21 | 14% |
| validation | SIDEWAYS | 206 | -5.6% | -0.69 | 1% |
| validation | UPTREND | 425 | 102.5% | 1.90 | 48% |
Trades (full period)
37 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | -5.52% | 25 | OPEN |
| 2025-12-15 | 2026-01-13 | $475.31 | $447.20 | -2.37% | 20 | |
| 2025-09-15 | 2025-11-21 | $410.04 | $391.09 | -0.23% | 50 | |
| 2025-05-28 | 2025-06-06 | $356.90 | $295.14 | -11.18% | 8 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 39.60% | 48 | |
| 2024-10-03 | 2024-10-22 | $240.66 | $217.97 | -13.31% | 14 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 8.11% | 16 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 0.70% | 23 | |
| 2024-05-22 | 2024-05-29 | $180.11 | $176.19 | -5.47% | 5 | |
| 2023-06-02 | 2023-08-03 | $213.97 | $259.32 | 25.31% | 43 | |
| 2023-05-23 | 2023-05-31 | $185.77 | $203.93 | 6.29% | 6 | |
| 2023-01-27 | 2023-02-10 | $177.90 | $196.89 | 29.11% | 11 | |
| 2022-07-22 | 2022-08-02 | $272.24 | $300.59 | 3.78% | 8 | |
| 2022-04-07 | 2022-04-27 | $352.42 | $293.84 | -6.75% | 14 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -19.13% | 12 | |
| 2021-09-20 | 2021-12-03 | $243.39 | $338.32 | 48.67% | 54 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 6.49% | 64 | |
| 2020-06-02 | 2020-09-30 | $58.77 | $143.00 | 84.98% | 85 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-05 | $21.88 | $48.30 | 122.15% | 90 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 2.37% | 13 | |
| 2019-07-05 | 2019-07-22 | $15.54 | $17.05 | 9.69% | 12 | |
| 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 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | -0.89% | 15 | |
| 2017-01-05 | 2017-07-07 | $15.12 | $20.88 | 17.78% | 127 | |
| 2016-12-21 | 2016-12-28 | $13.85 | $14.65 | 5.26% | 5 | |
| 2016-04-05 | 2016-05-05 | $17.03 | $14.10 | -9.77% | 23 | |
| 2015-05-12 | 2015-08-12 | $16.32 | $15.88 | 8.35% | 65 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2014-06-24 | 2014-10-01 | $15.50 | $16.02 | 6.54% | 70 | |
| 2014-02-11 | 2014-03-26 | $13.11 | $14.20 | -0.11% | 31 | |
| 2013-04-02 | 2013-10-24 | $2.96 | $11.54 | 284.69% | 145 | |
| 2013-01-29 | 2013-03-20 | $2.53 | $2.40 | -8.01% | 36 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-02-23 | 2012-04-25 | $2.30 | $2.19 | 3.22% | 44 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |