Strategy Zoo / S0870
PriceMomentum_V0870
ARCHIVEDhybridcrossoverentry from PriceMomentum_V0840, exit from MACDMomentum_V0005
Fitness
0.5544
Generation
40
Complexity
14
Created
2026-09-29
Lineage
Parents (2)
seed strategy
changed ret_20d threshold 0.05 -> -0.0982
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0870 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.1146 and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > -0.0982) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > -0.1688)):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.0% | 71.2% | 14.0% | 24.7% |
| Total Return | 205.1% | 401.9% | 62.6% | 2464.3% |
| Sharpe | 0.70 | 1.49 | 0.67 | 0.92 |
| Sortino | 0.56 | 1.40 | 0.47 | 0.73 |
| Calmar | 0.44 | 1.64 | 0.42 | 0.57 |
| Volatility | 23.9% | 41.9% | 23.5% | 28.5% |
| Max DD | -34.3% | -43.5% | -33.1% | -43.5% |
| Win Rate | 50.7% | 59.6% | 47.1% | 52.6% |
| Avg Win | 7.2% | 10.6% | 6.8% | 8.4% |
| Avg Loss | -3.1% | -4.8% | -2.9% | -3.5% |
| Payoff | 2.27 | 2.21 | 2.31 | 2.39 |
| Expectancy | 2.1% | 4.4% | 1.6% | 2.7% |
| Profit Factor | 2.33 | 3.26 | 2.05 | 2.65 |
| Trades | 75 | 47 | 34 | 156 |
| Avg Holding Days | 6.3 | 5.7 | 5.9 | 6.1 |
| Turnover | 18.9 | 31.3 | 18.3 | 21.2 |
| Exposure | 20.1% | 29.4% | 17.8% | 21.4% |
Growth of $100
PriceMomentum_V0870 vs TSLA Buy & Hold
PriceMomentum_V0870 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 | 32.0% | 2.34 | -6.6% | 7 |
| 2017 | 23.4% | 1.40 | -7.6% | 9 |
| 2018 | -28.6% | -1.47 | -31.5% | 7 |
| 2019 | 15.1% | 1.03 | -8.3% | 4 |
| 2020 | 367.1% | 2.82 | -24.2% | 24 |
| 2021 | 40.1% | 1.33 | -16.8% | 12 |
| 2022 | -23.8% | -0.99 | -36.7% | 10 |
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% | -0.33 | 14% |
| hidden test | EXPENSIVE | 83 | 15.2% | 0.45 | 36% |
| hidden test | EXTREME | 48 | 151.1% | 3.22 | 48% |
| hidden test | HIGH VOLATILITY | 254 | -5.7% | -0.19 | 23% |
| hidden test | LOW VOLATILITY | 433 | 35.2% | 1.94 | 15% |
| hidden test | MEDIUM VOLATILITY | 250 | 4.1% | 0.17 | 18% |
| hidden test | NORMAL | 806 | 7.8% | 0.40 | 14% |
| hidden test | SIDEWAYS | 293 | 6.4% | 0.92 | 2% |
| hidden test | UPTREND | 371 | 39.4% | 1.19 | 33% |
| train | DOWNTREND | 518 | 6.7% | 0.83 | 6% |
| train | EXPENSIVE | 311 | 15.8% | 0.52 | 40% |
| train | EXTREME | 100 | 307.4% | 4.34 | 80% |
| train | HIGH VOLATILITY | 699 | 31.9% | 0.92 | 25% |
| train | LOW VOLATILITY | 745 | 3.8% | 0.26 | 24% |
| train | MEDIUM VOLATILITY | 568 | 15.1% | 0.95 | 9% |
| train | NORMAL | 1,601 | -1.2% | -0.09 | 12% |
| train | SIDEWAYS | 592 | -4.5% | -0.46 | 2% |
| train | UPTREND | 902 | 36.5% | 1.06 | 40% |
| validation | DOWNTREND | 125 | 50.4% | 1.94 | 20% |
| validation | EXPENSIVE | 138 | 96.9% | 2.43 | 41% |
| validation | EXTREME | 144 | 238.6% | 3.20 | 67% |
| validation | HIGH VOLATILITY | 258 | 64.6% | 1.13 | 35% |
| validation | LOW VOLATILITY | 183 | 23.1% | 1.59 | 11% |
| validation | MEDIUM VOLATILITY | 315 | 83.6% | 2.23 | 35% |
| validation | NORMAL | 474 | -1.1% | -0.04 | 15% |
| validation | SIDEWAYS | 206 | -3.8% | -0.44 | 1% |
| validation | UPTREND | 425 | 98.1% | 1.83 | 46% |
Trades (full period)
latest 100 of 156
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-17 | $348.95 | $366.20 | -1.52% | 18 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-06 | 2026-05-08 | $398.73 | $428.35 | 5.55% | 3 | |
| 2025-12-15 | 2025-12-30 | $475.31 | $454.43 | -0.05% | 11 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-09-15 | 2025-10-06 | $410.04 | $453.25 | 8.35% | 16 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-05-22 | 2025-06-03 | $341.04 | $344.27 | 2.21% | 8 | |
| 2025-04-30 | 2025-05-12 | $282.16 | $318.38 | 1.93% | 9 | |
| 2025-04-16 | 2025-04-22 | $241.55 | $237.97 | -10.66% | 4 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -6.28% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.50% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.96% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 16.31% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-11-07 | 2024-11-29 | $296.91 | $345.16 | 15.15% | 16 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 10.22% | 16 | |
| 2024-07-30 | 2024-07-31 | $222.62 | $232.07 | -4.28% | 2 | |
| 2024-07-25 | 2024-07-26 | $220.25 | $219.80 | 1.77% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -2.24% | 2 | |
| 2024-07-02 | 2024-07-22 | $231.26 | $251.51 | 13.76% | 14 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.65% | 10 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.95% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.37% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 15.93% | 17 | |
| 2023-05-24 | 2023-05-31 | $182.90 | $203.93 | 8.07% | 5 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.28% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-06-24 | 2022-08-02 | $245.71 | $300.59 | 26.22% | 27 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -5.15% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.85% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.93% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -10.66% | 5 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -2.02% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2022-01-04 | 2022-01-12 | $383.20 | $368.74 | -11.46% | 7 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.54% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.48% | 2 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.88% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -3.03% | 2 | |
| 2021-10-19 | 2021-11-11 | $288.09 | $354.50 | 22.49% | 18 | |
| 2021-09-16 | 2021-09-21 | $252.33 | $246.46 | -3.59% | 4 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.06% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -2.27% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 5.63% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -3.52% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 15.78% | 14 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 1.37% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.15% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 2.24% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -2.56% | 4 | |
| 2020-11-19 | 2020-12-17 | $166.42 | $218.63 | 27.72% | 20 | |
| 2020-10-09 | 2020-10-12 | $144.67 | $147.43 | 1.70% | 2 | |
| 2020-10-07 | 2020-10-08 | $141.77 | $141.97 | 2.53% | 2 | |
| 2020-09-17 | 2020-09-18 | $141.14 | $147.38 | -4.35% | 2 | |
| 2020-09-15 | 2020-09-16 | $149.92 | $147.25 | 6.98% | 2 | |
| 2020-09-11 | 2020-09-14 | $124.24 | $139.87 | 0.17% | 2 | |
| 2020-09-09 | 2020-09-10 | $122.09 | $123.78 | 10.71% | 2 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 13.72% | 15 | |
| 2020-08-03 | 2020-08-04 | $99.00 | $99.13 | 3.59% | 2 | |
| 2020-07-30 | 2020-07-31 | $99.17 | $95.38 | -0.97% | 2 | |
| 2020-07-28 | 2020-07-29 | $98.43 | $99.94 | -4.29% | 2 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 26.32% | 17 | |
| 2020-06-30 | 2020-07-01 | $71.99 | $74.64 | 6.77% | 2 | |
| 2020-06-26 | 2020-06-29 | $63.98 | $67.29 | -2.86% | 2 | |
| 2020-06-02 | 2020-06-25 | $58.77 | $65.73 | 6.77% | 18 | |
| 2020-05-22 | 2020-05-26 | $54.46 | $54.59 | -1.49% | 2 | |
| 2020-05-20 | 2020-05-21 | $54.37 | $55.17 | 0.73% | 2 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-03-03 | 2020-03-04 | $49.70 | $49.97 | 0.05% | 2 | |
| 2020-02-27 | 2020-02-28 | $45.27 | $44.53 | -13.00% | 2 | |
| 2019-12-20 | 2020-02-26 | $27.04 | $51.92 | 97.58% | 45 | |
| 2019-11-22 | 2019-11-25 | $22.20 | $22.42 | -6.33% | 2 | |
| 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 | |
| 2019-07-16 | 2019-07-22 | $16.83 | $17.05 | 1.64% | 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 | |
| 2018-07-03 | 2018-07-05 | $20.72 | $20.61 | -7.42% | 2 | |
| 2018-06-29 | 2018-07-02 | $22.86 | $22.34 | -2.19% | 2 | |
| 2018-06-27 | 2018-06-28 | $22.97 | $23.33 | 0.53% | 2 | |
| 2018-06-15 | 2018-06-26 | $23.88 | $22.80 | -7.09% | 8 | |
| 2018-05-01 | 2018-05-17 | $19.99 | $18.97 | -2.72% | 13 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-06-05 | 2017-06-27 | $23.15 | $24.16 | 10.86% | 17 | |
| 2017-05-01 | 2017-05-04 | $21.52 | $19.70 | -1.17% | 4 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -1.35% | 2 | |
| 2017-04-24 | 2017-04-25 | $20.54 | $20.92 | 0.59% | 2 | |
| 2017-04-04 | 2017-04-21 | $20.25 | $20.37 | 1.14% | 13 | |
| 2017-02-09 | 2017-02-22 | $17.95 | $18.23 | 5.63% | 9 | |
| 2017-02-07 | 2017-02-08 | $17.17 | $17.47 | -0.31% | 2 |