Strategy Zoo / S0868
PriceMomentum_V0868
ARCHIVEDhybridstructuralchanged ret_20d threshold 0.05 -> 0.0873; restricted to trend regimes ['UPTREND']
Fitness
0.6614
Generation
39
Complexity
3
Created
2026-09-29
Lineage
Parents (1)
logic of PriceMomentum_V0567 with risk overlay of PriceMomentum_V0730
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0868 [hybrid]
require regime.trend in ['UPTREND']
if flat and ret_20d > 0.0873:
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.3% | 99.6% | 11.6% | 31.1% |
| Total Return | 336.5% | 695.6% | 50.6% | 5282.7% |
| Sharpe | 0.80 | 1.71 | 0.54 | 1.00 |
| Sortino | 0.71 | 1.58 | 0.33 | 0.80 |
| Calmar | 0.40 | 2.39 | 0.38 | 0.61 |
| Volatility | 27.6% | 46.7% | 27.1% | 32.3% |
| Max DD | -51.1% | -41.6% | -30.2% | -51.1% |
| Win Rate | 40.0% | 50.0% | 50.0% | 44.9% |
| Avg Win | 29.3% | 47.8% | 18.2% | 36.1% |
| Avg Loss | -5.7% | -7.0% | -7.6% | -6.4% |
| Payoff | 5.10 | 6.79 | 2.40 | 5.62 |
| Expectancy | 8.3% | 20.4% | 5.3% | 12.7% |
| Profit Factor | 3.40 | 6.79 | 2.40 | 4.58 |
| Trades | 25 | 14 | 10 | 49 |
| Avg Holding Days | 21.8 | 22.6 | 18.6 | 22.3 |
| Turnover | 6.4 | 9.3 | 5.4 | 6.7 |
| Exposure | 28.1% | 40.1% | 18.8% | 28.2% |
Growth of $100
PriceMomentum_V0868 vs TSLA Buy & Hold
PriceMomentum_V0868 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 | -3.2% | -0.27 | -10.1% | 3 |
| 2017 | 3.0% | 0.24 | -24.7% | 5 |
| 2018 | -35.3% | -1.93 | -35.2% | 5 |
| 2019 | 39.5% | 2.02 | -8.5% | 0 |
| 2020 | 568.2% | 3.04 | -33.7% | 6 |
| 2021 | 81.8% | 1.99 | -17.6% | 3 |
| 2022 | -37.3% | -2.56 | -37.2% | 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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 52.1% | 1.35 | 51% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | -1.0% | -0.03 | 23% |
| hidden test | LOW VOLATILITY | 433 | 29.8% | 1.77 | 15% |
| hidden test | MEDIUM VOLATILITY | 250 | 4.5% | 0.15 | 22% |
| hidden test | NORMAL | 806 | 0.8% | 0.03 | 13% |
| hidden test | SIDEWAYS | 293 | -14.8% | -1.11 | 1% |
| hidden test | UPTREND | 371 | 48.8% | 1.18 | 47% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 36.2% | 0.95 | 64% |
| train | EXTREME | 100 | 403.3% | 5.47 | 97% |
| train | HIGH VOLATILITY | 699 | 48.5% | 1.30 | 27% |
| train | LOW VOLATILITY | 745 | 20.8% | 1.08 | 36% |
| train | MEDIUM VOLATILITY | 568 | -8.5% | -0.39 | 18% |
| train | NORMAL | 1,601 | -4.4% | -0.25 | 17% |
| train | SIDEWAYS | 592 | -11.8% | -1.38 | 1% |
| train | UPTREND | 902 | 57.2% | 1.41 | 62% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 81.4% | 1.52 | 57% |
| validation | EXTREME | 144 | 339.0% | 4.19 | 83% |
| validation | HIGH VOLATILITY | 258 | 92.0% | 1.40 | 42% |
| validation | LOW VOLATILITY | 183 | 45.2% | 2.25 | 38% |
| validation | MEDIUM VOLATILITY | 315 | 90.6% | 2.34 | 39% |
| validation | NORMAL | 474 | 1.0% | 0.04 | 22% |
| validation | SIDEWAYS | 206 | -9.1% | -0.93 | 2% |
| validation | UPTREND | 425 | 146.9% | 2.38 | 70% |
Trades (full period)
49 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-09-15 | 2025-10-23 | $410.04 | $448.98 | 10.65% | 29 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 36.54% | 44 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.71% | 8 | |
| 2024-09-05 | 2024-09-27 | $230.17 | $260.46 | 15.64% | 17 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 3.14% | 23 | |
| 2023-07-26 | 2023-07-28 | $264.35 | $266.44 | -3.80% | 3 | |
| 2023-06-02 | 2023-07-24 | $213.97 | $269.06 | 25.05% | 35 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -14.86% | 12 | |
| 2022-01-12 | 2022-01-20 | $368.74 | $332.09 | -6.64% | 6 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-08-25 | 2021-12-01 | $237.07 | $365.00 | 61.26% | 69 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-10-22 | 2020-10-27 | $141.93 | $141.56 | -0.76% | 4 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.68% | 6 | |
| 2020-08-17 | 2020-09-24 | $122.38 | $129.26 | 14.99% | 28 | |
| 2020-05-19 | 2020-08-10 | $53.87 | $94.57 | 78.19% | 58 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 148.29% | 89 | |
| 2018-12-13 | 2018-12-19 | $25.12 | $22.20 | -8.25% | 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 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 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 | |
| 2017-06-02 | 2017-07-06 | $22.66 | $20.59 | -4.09% | 24 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 12.23% | 41 | |
| 2017-01-05 | 2017-02-28 | $15.12 | $16.67 | 8.26% | 37 | |
| 2016-07-26 | 2016-08-16 | $15.30 | $14.91 | -2.12% | 16 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-05-03 | $17.03 | $15.49 | -2.29% | 21 | |
| 2015-05-11 | 2015-07-09 | $15.97 | $17.19 | 7.54% | 42 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2014-08-06 | 2014-09-16 | $16.60 | $17.38 | 6.24% | 29 | |
| 2014-06-23 | 2014-07-16 | $15.81 | $14.48 | -4.55% | 17 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 21.21% | 43 | |
| 2013-07-01 | 2013-10-22 | $7.81 | $11.44 | 60.46% | 80 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 172.31% | 65 | |
| 2013-01-28 | 2013-02-22 | $2.54 | $2.41 | -5.11% | 19 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -11.54% | 10 | |
| 2012-02-23 | 2012-03-23 | $2.30 | $2.27 | 0.33% | 22 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |