Strategy Zoo / S0907
PriceMomentum_V0907
ARCHIVEDhybridstructuraladded exit filter: dist_sma_200 < 0.1009
Fitness
0.6127
Generation
41
Complexity
4
Created
2026-09-30
Lineage
Parents (1)
logic of PriceMomentum_V0450 with risk overlay of LongTermTrend_V0561
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0907 [hybrid]
if flat and ret_20d > 0.05:
position = 1.0
if long and (ret_20d < -0.0017 or dist_sma_200 < 0.1009):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 15.5% | 102.4% | 4.2% | 26.4% |
| Total Return | 215.0% | 729.8% | 16.5% | 3036.0% |
| Sharpe | 0.62 | 1.69 | 0.29 | 0.84 |
| Sortino | 0.65 | 1.79 | 0.26 | 0.85 |
| Calmar | 0.25 | 3.04 | 0.10 | 0.43 |
| Volatility | 30.4% | 49.0% | 31.1% | 35.2% |
| Max DD | -61.1% | -33.7% | -43.3% | -61.1% |
| Win Rate | 43.2% | 49.1% | 51.8% | 46.8% |
| Avg Win | 5.1% | 13.8% | 3.4% | 6.4% |
| Avg Loss | -2.2% | -2.8% | -3.1% | -2.5% |
| Payoff | 2.31 | 5.00 | 1.10 | 2.53 |
| Expectancy | 0.9% | 5.4% | 0.3% | 1.7% |
| Profit Factor | 1.76 | 4.82 | 1.19 | 2.23 |
| Trades | 192 | 57 | 110 | 359 |
| Avg Holding Days | 4.7 | 7.2 | 3.7 | 4.9 |
| Turnover | 48.2 | 38.0 | 59.1 | 48.8 |
| Exposure | 37.1% | 46.7% | 31.9% | 37.8% |
Growth of $100
PriceMomentum_V0907 vs TSLA Buy & Hold
PriceMomentum_V0907 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 | -1.8% | -0.08 | -19.8% | 33 |
| 2017 | 0.7% | 0.15 | -24.5% | 15 |
| 2018 | -26.5% | -1.32 | -29.6% | 30 |
| 2019 | 0.5% | 0.15 | -31.0% | 30 |
| 2020 | 577.3% | 3.01 | -33.7% | 6 |
| 2021 | 54.1% | 1.41 | -18.2% | 30 |
| 2022 | -23.9% | -1.00 | -23.8% | 21 |
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 | 274 | 1.6% | 0.07 | 16% |
| hidden test | EXPENSIVE | 83 | 62.0% | 1.37 | 67% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 8.0% | 0.20 | 31% |
| hidden test | LOW VOLATILITY | 434 | 40.8% | 1.76 | 29% |
| hidden test | MEDIUM VOLATILITY | 250 | -45.3% | -1.38 | 37% |
| hidden test | NORMAL | 807 | -6.9% | -0.26 | 26% |
| hidden test | SIDEWAYS | 293 | -14.4% | -0.66 | 25% |
| hidden test | UPTREND | 371 | 32.9% | 0.80 | 49% |
| train | DOWNTREND | 518 | -2.7% | -0.25 | 9% |
| train | EXPENSIVE | 311 | 57.2% | 1.46 | 74% |
| train | EXTREME | 100 | 403.3% | 5.47 | 97% |
| train | HIGH VOLATILITY | 699 | 45.7% | 1.14 | 36% |
| train | LOW VOLATILITY | 745 | 21.2% | 0.98 | 44% |
| train | MEDIUM VOLATILITY | 568 | -17.0% | -0.65 | 30% |
| train | NORMAL | 1,601 | -12.5% | -0.57 | 26% |
| train | SIDEWAYS | 592 | -13.8% | -0.61 | 26% |
| train | UPTREND | 902 | 52.8% | 1.30 | 60% |
| validation | DOWNTREND | 125 | 8.4% | 0.91 | 6% |
| validation | EXPENSIVE | 138 | 77.3% | 1.44 | 58% |
| validation | EXTREME | 144 | 347.4% | 4.17 | 93% |
| validation | HIGH VOLATILITY | 258 | 104.8% | 1.55 | 50% |
| validation | LOW VOLATILITY | 183 | 34.0% | 1.69 | 36% |
| validation | MEDIUM VOLATILITY | 315 | 92.5% | 2.18 | 51% |
| validation | NORMAL | 474 | 3.6% | 0.13 | 29% |
| validation | SIDEWAYS | 206 | -5.1% | -0.18 | 30% |
| validation | UPTREND | 425 | 146.8% | 2.38 | 67% |
Trades (full period)
latest 100 of 359
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-25 | 2026-09-28 | $372.11 | $357.45 | -1.74% | 2 | |
| 2026-09-23 | 2026-09-24 | $380.12 | $377.94 | 0.12% | 2 | |
| 2026-09-21 | 2026-09-22 | $375.30 | $378.90 | 2.83% | 2 | |
| 2026-09-16 | 2026-09-17 | $358.08 | $366.20 | 0.22% | 2 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.32% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-02 | 2026-09-03 | $357.01 | $376.37 | 0.06% | 2 | |
| 2026-08-31 | 2026-09-01 | $367.95 | $356.09 | 5.30% | 2 | |
| 2026-08-27 | 2026-08-28 | $354.81 | $348.75 | 2.40% | 2 | |
| 2026-08-25 | 2026-08-26 | $350.25 | $345.82 | 0.17% | 2 | |
| 2026-08-21 | 2026-08-24 | $362.86 | $348.95 | 4.93% | 2 | |
| 2026-07-13 | 2026-07-14 | $394.76 | $396.18 | -3.38% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -4.76% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.19% | 2 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.58% | 2 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.06% | 2 | |
| 2026-05-18 | 2026-05-19 | $409.99 | $404.11 | -3.10% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.64% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.79% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.82% | 2 | |
| 2026-05-06 | 2026-05-07 | $398.73 | $411.79 | 2.20% | 2 | |
| 2026-05-04 | 2026-05-05 | $392.51 | $389.37 | 0.23% | 2 | |
| 2026-04-29 | 2026-04-30 | $372.80 | $381.63 | -1.06% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-11-03 | 2025-11-13 | $468.37 | $401.99 | -5.87% | 9 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-09-12 | 2025-10-23 | $395.94 | $448.98 | 18.79% | 30 | |
| 2025-09-09 | 2025-09-10 | $346.97 | $347.79 | -0.04% | 2 | |
| 2025-09-05 | 2025-09-08 | $350.84 | $346.40 | 3.43% | 2 | |
| 2025-09-03 | 2025-09-04 | $334.09 | $338.53 | 1.23% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.70% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.79% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.74% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.69% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.63% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 2.64% | 2 | |
| 2025-08-07 | 2025-08-08 | $322.27 | $329.65 | 0.54% | 2 | |
| 2025-08-05 | 2025-08-06 | $308.72 | $319.91 | -0.37% | 2 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-05-14 | 2025-06-05 | $347.68 | $284.70 | -0.80% | 16 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2025-05-07 | 2025-05-08 | $276.22 | $284.82 | 0.12% | 2 | |
| 2025-05-05 | 2025-05-06 | $280.26 | $275.35 | -2.62% | 2 | |
| 2025-05-01 | 2025-05-02 | $280.52 | $287.21 | -0.78% | 2 | |
| 2025-04-29 | 2025-04-30 | $292.03 | $282.16 | 1.95% | 2 | |
| 2025-04-15 | 2025-04-16 | $254.11 | $241.55 | 0.50% | 2 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -7.47% | 2 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 36.54% | 44 | |
| 2024-09-10 | 2024-10-14 | $226.17 | $219.16 | 0.51% | 25 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-09-04 | 2024-09-05 | $219.41 | $230.17 | 3.98% | 2 | |
| 2024-07-30 | 2024-07-31 | $222.62 | $232.07 | -4.28% | 2 | |
| 2024-07-26 | 2024-07-29 | $219.80 | $232.10 | -0.40% | 2 | |
| 2024-07-03 | 2024-07-25 | $246.39 | $220.25 | -6.78% | 16 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 5.85% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 | |
| 2024-06-25 | 2024-06-26 | $187.35 | $196.37 | 2.41% | 2 | |
| 2024-06-18 | 2024-06-20 | $184.86 | $181.57 | -1.57% | 2 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-05-22 | 2024-05-23 | $180.11 | $173.74 | -3.67% | 2 | |
| 2024-05-20 | 2024-05-21 | $174.95 | $186.60 | -1.61% | 2 | |
| 2024-05-16 | 2024-05-17 | $174.84 | $177.46 | 0.29% | 2 | |
| 2024-05-14 | 2024-05-15 | $177.55 | $173.99 | 3.09% | 2 | |
| 2024-05-06 | 2024-05-07 | $184.76 | $177.81 | 1.77% | 2 | |
| 2024-05-02 | 2024-05-03 | $180.01 | $181.19 | -0.19% | 2 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2024-04-15 | 2024-04-16 | $161.48 | $157.11 | -5.79% | 2 | |
| 2024-03-04 | 2024-03-05 | $188.14 | $180.74 | -7.35% | 2 | |
| 2024-02-29 | 2024-03-01 | $201.88 | $202.64 | -0.28% | 2 | |
| 2024-02-26 | 2024-02-27 | $199.40 | $199.73 | 3.67% | 2 | |
| 2023-12-22 | 2024-01-02 | $252.54 | $248.42 | -2.56% | 6 | |
| 2023-12-18 | 2023-12-21 | $252.08 | $254.50 | -2.70% | 4 | |
| 2023-12-13 | 2023-12-14 | $239.29 | $251.05 | 0.76% | 2 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.88% | 2 | |
| 2023-12-07 | 2023-12-08 | $242.64 | $243.84 | 1.16% | 2 | |
| 2023-12-05 | 2023-12-06 | $238.72 | $239.37 | 1.13% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.72% | 2 | |
| 2023-11-28 | 2023-11-30 | $246.72 | $240.08 | 3.21% | 3 | |
| 2023-11-24 | 2023-11-27 | $235.45 | $236.08 | 0.33% | 2 | |
| 2023-11-21 | 2023-11-22 | $241.20 | $234.21 | 2.17% | 2 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.10% | 2 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -12.27% | 13 | |
| 2023-07-26 | 2023-07-28 | $264.35 | $266.44 | -3.80% | 3 | |
| 2023-06-07 | 2023-07-24 | $224.57 | $269.06 | 17.26% | 32 | |
| 2023-06-05 | 2023-06-06 | $217.61 | $221.31 | 1.50% | 2 | |
| 2023-06-01 | 2023-06-02 | $207.52 | $213.97 | 1.56% | 2 | |
| 2023-05-30 | 2023-05-31 | $201.16 | $203.93 | 3.93% | 2 | |
| 2023-05-25 | 2023-05-26 | $184.47 | $193.17 | 0.66% | 2 | |
| 2023-05-23 | 2023-05-24 | $185.77 | $182.90 | -1.84% | 2 | |
| 2023-05-19 | 2023-05-22 | $180.14 | $188.87 | 1.64% | 2 | |
| 2023-04-12 | 2023-04-13 | $180.54 | $185.90 | -3.54% | 2 | |
| 2023-04-10 | 2023-04-11 | $184.51 | $186.79 | -0.50% | 2 | |
| 2023-03-03 | 2023-03-06 | $197.79 | $193.81 | 3.41% | 2 | |
| 2023-03-01 | 2023-03-02 | $202.77 | $190.90 | -1.63% | 2 | |
| 2023-02-27 | 2023-02-28 | $207.63 | $205.71 | 5.25% | 2 | |
| 2023-02-23 | 2023-02-24 | $202.07 | $196.88 | 0.40% | 2 |