Strategy Zoo / S0908
PriceMomentum_V0908
ARCHIVEDmomentumparameterchanged ret_20d threshold -0.1003 -> -0.2314
Fitness
0.6847
Generation
41
Complexity
4
Created
2026-09-30
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1146
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0908 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.1146:
position = 1.0
if long and ret_20d < -0.2314:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 33.5% | 66.6% | 32.0% | 39.6% |
| Total Return | 906.6% | 362.7% | 181.1% | 13380.0% |
| Sharpe | 1.12 | 1.31 | 0.96 | 1.11 |
| Sortino | 1.19 | 1.30 | 1.01 | 1.12 |
| Calmar | 1.19 | 1.71 | 0.88 | 1.02 |
| Volatility | 29.6% | 48.0% | 35.6% | 35.6% |
| Max DD | -28.1% | -39.0% | -36.5% | -39.0% |
| Win Rate | 63.6% | 66.7% | 66.7% | 65.1% |
| Avg Win | 30.1% | 38.7% | 17.8% | 30.3% |
| Avg Loss | -6.5% | -8.2% | -4.4% | -6.3% |
| Payoff | 4.62 | 4.69 | 4.07 | 4.82 |
| Expectancy | 16.8% | 23.1% | 10.4% | 17.5% |
| Profit Factor | 8.09 | 9.39 | 8.14 | 9.00 |
| Trades | 22 | 9 | 12 | 43 |
| Avg Holding Days | 38.5 | 44.0 | 29.3 | 38.2 |
| Turnover | 8.4 | 8.3 | 9.6 | 8.6 |
| Exposure | 39.4% | 43.4% | 35.2% | 39.2% |
Growth of $100
PriceMomentum_V0908 vs TSLA Buy & Hold
PriceMomentum_V0908 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 | 2.8% | 0.26 | -21.7% | 5 |
| 2017 | 39.3% | 1.44 | -16.8% | 1 |
| 2018 | -16.4% | -0.63 | -27.3% | 4 |
| 2019 | 68.8% | 2.79 | -8.5% | 2 |
| 2020 | 325.3% | 2.37 | -39.0% | 3 |
| 2021 | 27.5% | 0.93 | -25.5% | 1 |
| 2022 | -24.3% | -1.07 | -34.8% | 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 | 274 | 45.7% | 1.60 | 23% |
| hidden test | EXPENSIVE | 83 | 97.8% | 1.54 | 78% |
| hidden test | EXTREME | 48 | 175.2% | 2.89 | 94% |
| hidden test | HIGH VOLATILITY | 254 | 86.0% | 1.65 | 46% |
| hidden test | LOW VOLATILITY | 434 | 30.7% | 1.31 | 30% |
| hidden test | MEDIUM VOLATILITY | 250 | -13.2% | -0.41 | 33% |
| hidden test | NORMAL | 807 | 19.0% | 0.66 | 27% |
| hidden test | SIDEWAYS | 293 | -7.0% | -0.52 | 4% |
| hidden test | UPTREND | 371 | 57.7% | 1.17 | 69% |
| train | DOWNTREND | 518 | 18.7% | 1.61 | 12% |
| train | EXPENSIVE | 311 | 41.3% | 1.07 | 73% |
| train | EXTREME | 100 | 400.8% | 5.56 | 94% |
| train | HIGH VOLATILITY | 699 | 55.6% | 1.44 | 37% |
| train | LOW VOLATILITY | 745 | 33.3% | 1.44 | 48% |
| train | MEDIUM VOLATILITY | 568 | 5.5% | 0.23 | 32% |
| train | NORMAL | 1,601 | 8.7% | 0.41 | 30% |
| train | SIDEWAYS | 592 | -2.1% | -0.18 | 3% |
| train | UPTREND | 902 | 64.7% | 1.54 | 79% |
| validation | DOWNTREND | 125 | 40.6% | 1.85 | 16% |
| validation | EXPENSIVE | 138 | 17.7% | 0.32 | 67% |
| validation | EXTREME | 144 | 297.6% | 3.68 | 83% |
| validation | HIGH VOLATILITY | 258 | 82.0% | 1.18 | 52% |
| validation | LOW VOLATILITY | 183 | 32.3% | 1.43 | 34% |
| validation | MEDIUM VOLATILITY | 315 | 64.3% | 1.78 | 41% |
| validation | NORMAL | 474 | 4.3% | 0.16 | 25% |
| validation | SIDEWAYS | 206 | -19.7% | -1.61 | 3% |
| validation | UPTREND | 425 | 109.0% | 1.75 | 71% |
Trades (full period)
44 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | -4.60% | 26 | OPEN |
| 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 | |
| 2025-09-15 | 2026-01-13 | $410.04 | $447.20 | 8.47% | 84 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -9.43% | 11 | |
| 2025-04-16 | 2025-05-12 | $241.55 | $318.38 | 17.13% | 18 | |
| 2024-10-03 | 2025-02-24 | $240.66 | $330.53 | 32.16% | 97 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 9.15% | 16 | |
| 2024-07-02 | 2024-08-07 | $231.26 | $191.76 | -5.75% | 26 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.65% | 10 | |
| 2023-06-02 | 2023-09-05 | $213.97 | $256.49 | 19.46% | 65 | |
| 2023-05-23 | 2023-05-31 | $185.77 | $203.93 | 6.29% | 6 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.63% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.64% | 2 | |
| 2022-06-24 | 2022-08-02 | $245.71 | $300.59 | 20.82% | 27 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -16.47% | 16 | |
| 2021-09-16 | 2022-01-20 | $252.33 | $332.09 | 29.34% | 88 | |
| 2020-11-19 | 2021-03-04 | $166.42 | $207.15 | 16.58% | 71 | |
| 2020-05-20 | 2020-11-13 | $54.37 | $136.17 | 120.68% | 125 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-13 | $21.88 | $36.44 | 75.39% | 96 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 3.91% | 13 | |
| 2019-06-21 | 2019-07-22 | $14.79 | $17.05 | 16.51% | 21 | |
| 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 | |
| 2018-05-01 | 2018-06-12 | $19.99 | $22.85 | 11.09% | 30 | |
| 2017-01-05 | 2017-08-24 | $15.12 | $23.53 | 39.15% | 161 | |
| 2016-12-21 | 2016-12-28 | $13.85 | $14.65 | 5.11% | 5 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -6.63% | 26 | |
| 2016-04-05 | 2016-06-02 | $17.03 | $14.60 | -11.64% | 42 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 1.44% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 16.89% | 12 | |
| 2015-05-11 | 2015-08-18 | $15.97 | $17.38 | 10.58% | 70 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-24 | 2015-04-28 | $14.56 | $15.37 | 5.71% | 3 | |
| 2014-06-23 | 2014-10-22 | $15.81 | $15.41 | 5.54% | 86 | |
| 2014-01-24 | 2014-05-08 | $11.64 | $11.91 | 6.17% | 73 | |
| 2013-01-29 | 2013-11-12 | $2.53 | $9.19 | 295.04% | 201 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-02-23 | 2012-05-04 | $2.30 | $2.12 | 0.29% | 51 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 | |
| 2012-01-04 | 2012-01-06 | $1.85 | $1.79 | -3.61% | 3 |