Strategy Zoo / S0889

PriceMomentum_V0889

ARCHIVEDhybrid

structuraladded entry filter: ret_5d < 0.0403; restricted to trend regimes ['DOWNTREND']

Fitness

0.2593

Generation

Complexity

Created

2026-09-29

Lineage

Parents (1)

PriceMomentum_V0838S0838 · gen 38ARCHIVEDstructural

changed sma_200_slope threshold 0.0 -> -0.002

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0889  [hybrid]
require regime.trend in ['DOWNTREND']
if flat and (((((close > sma_200 and sma_200_slope > -0.002) or ret_20d > 0.0923) and ret_20d > 0.05 and cumret_252d > -0.1997) or ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.1) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05)) and ret_5d < 0.0403):
    position = 1.0
if long and ret_20d < -0.006:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	1.7%	7.3%	-1.6%	2.0%
Total Return	14.4%	23.6%	-5.7%	33.3%
Sharpe	0.47	0.84	-0.09	0.31
Sortino	0.06	0.23	-0.03	0.07
Calmar	0.17	1.36	-0.07	0.09
Volatility	3.7%	8.9%	10.7%	7.3%
Max DD	-10.1%	-5.4%	-22.5%	-22.5%
Win Rate	75.0%	50.0%	50.0%	60.0%
Avg Win	4.9%	25.2%	5.5%	8.5%
Avg Loss	-0.6%	-1.2%	-8.6%	-4.8%
Payoff	8.78	10.00	0.63	1.78
Expectancy	3.5%	12.0%	-1.6%	3.2%
Profit Factor	10.00	10.00	0.63	2.67
Trades	4	2	4	10
Avg Holding Days	6.0	9.0	6.8	6.9
Turnover	1.0	1.3	2.4	1.4
Exposure	1.0%	2.1%	5.0%	2.2%

Growth of $100

PriceMomentum_V0889 vs TSLA Buy & Hold

PriceMomentum_V0889 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	14.3%	2.32	-0.1%	2
2017	0.0%	0.00	0.0%	0
2018	-0.6%	-0.05	-5.6%	1
2019	0.6%	0.13	-5.4%	1
2020	0.0%	0.00	0.0%	0
2021	0.0%	0.00	0.0%	0
2022	23.7%	1.46	-5.4%	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	-9.3%	-0.49	16%
hidden test	EXPENSIVE	83	0.0%	0.00	0%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	-14.7%	-1.01	7%
hidden test	LOW VOLATILITY	433	5.9%	0.76	4%
hidden test	MEDIUM VOLATILITY	250	0.9%	0.08	5%
hidden test	NORMAL	806	-1.2%	-0.10	6%
hidden test	SIDEWAYS	293	5.4%	0.99	1%
hidden test	UPTREND	371	0.0%	0.00	0%
train	DOWNTREND	518	4.5%	0.64	3%
train	EXPENSIVE	311	0.0%	0.00	0%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	1.7%	0.37	1%
train	LOW VOLATILITY	745	-0.0%	-0.58	0%
train	MEDIUM VOLATILITY	568	4.2%	0.86	2%
train	NORMAL	1,601	2.2%	0.53	1%
train	SIDEWAYS	592	2.1%	0.88	0%
train	UPTREND	902	0.0%	0.00	0%
validation	DOWNTREND	125	45.2%	2.08	12%
validation	EXPENSIVE	138	0.0%	0.00	0%
validation	EXTREME	144	0.0%	0.00	0%
validation	HIGH VOLATILITY	258	-1.0%	-0.15	1%
validation	LOW VOLATILITY	183	1.1%	1.17	1%
validation	MEDIUM VOLATILITY	315	18.0%	1.46	4%
validation	NORMAL	474	11.9%	1.06	3%
validation	SIDEWAYS	206	-0.1%	-0.58	0%
validation	UPTREND	425	0.0%	0.00	0%

Trades (full period)

11 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-25	—	$350.25	—	2.33%	24	OPEN
2026-05-05	2026-05-08	$389.37	$428.35	4.70%	4
2025-05-06	2025-05-12	$275.35	$318.38	6.21%	5
2025-04-10	2025-04-22	$252.40	$237.97	-16.60%	8
2024-05-15	2024-05-29	$173.99	$176.19	-0.65%	10
2022-07-14	2022-08-02	$238.31	$300.59	25.16%	14
2022-06-24	2022-06-29	$245.71	$228.49	-1.22%	4
2019-09-27	2019-10-10	$16.14	$16.32	0.61%	10
2018-04-27	2018-05-04	$19.61	$19.61	-0.56%	6
2016-03-24	2016-03-28	$15.18	$15.35	2.12%	2
2016-03-14	2016-03-21	$14.34	$15.89	11.94%	6