Strategy Zoo / S0916
PriceMomentum_V0916
ARCHIVEDhybridcrossoverentry = PriceMomentum_V0677 AND MACDMomentum_V0726
Fitness
0.6884
Generation
42
Complexity
18
Created
2026-09-30
Lineage
Parents (2)
added entry filter: breakout_50 == 1
changed rel_volume threshold 1.5045 -> 1.3475
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0916 [hybrid]
if flat and ((ret_20d > 0.05 and breakout_50 == 1) and ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.3475) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))):
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.4% | 104.3% | 12.9% | 32.2% |
| Total Return | 339.0% | 752.3% | 56.9% | 5944.1% |
| Sharpe | 0.79 | 1.80 | 0.56 | 1.01 |
| Sortino | 0.69 | 1.63 | 0.40 | 0.84 |
| Calmar | 0.42 | 3.09 | 0.42 | 0.66 |
| Volatility | 28.7% | 45.3% | 29.8% | 33.0% |
| Max DD | -48.6% | -33.7% | -30.4% | -48.6% |
| Win Rate | 45.5% | 85.7% | 50.0% | 53.8% |
| Avg Win | 24.9% | 49.5% | 21.1% | 36.6% |
| Avg Loss | -6.9% | -10.7% | -9.3% | -7.8% |
| Payoff | 3.60 | 4.64 | 2.28 | 4.71 |
| Expectancy | 7.5% | 40.9% | 5.9% | 16.1% |
| Profit Factor | 3.00 | 10.00 | 2.28 | 5.49 |
| Trades | 22 | 7 | 10 | 39 |
| Avg Holding Days | 27.9 | 45.1 | 24.1 | 31.4 |
| Turnover | 5.6 | 4.7 | 5.4 | 5.3 |
| Exposure | 32.1% | 40.9% | 24.6% | 32.0% |
Growth of $100
PriceMomentum_V0916 vs TSLA Buy & Hold
PriceMomentum_V0916 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 | 9.0% | 0.71 | -9.6% | 1 |
| 2017 | 1.6% | 0.19 | -21.5% | 4 |
| 2018 | -25.9% | -1.15 | -35.0% | 4 |
| 2019 | 47.0% | 1.47 | -13.9% | 1 |
| 2020 | 355.6% | 2.58 | -33.7% | 3 |
| 2021 | 90.1% | 2.11 | -17.6% | 2 |
| 2022 | -5.5% | -0.18 | -18.9% | 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 | 274 | 2.0% | 0.96 | 0% |
| hidden test | EXPENSIVE | 83 | 83.9% | 2.01 | 58% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 20.2% | 0.51 | 28% |
| hidden test | LOW VOLATILITY | 434 | 35.3% | 1.68 | 23% |
| hidden test | MEDIUM VOLATILITY | 250 | -19.7% | -0.63 | 24% |
| hidden test | NORMAL | 807 | -0.3% | -0.01 | 19% |
| hidden test | SIDEWAYS | 293 | -14.8% | -0.57 | 21% |
| hidden test | UPTREND | 371 | 52.1% | 1.27 | 45% |
| train | DOWNTREND | 518 | -2.0% | -0.50 | 2% |
| train | EXPENSIVE | 311 | 35.4% | 0.96 | 60% |
| train | EXTREME | 100 | 380.3% | 5.23 | 96% |
| train | HIGH VOLATILITY | 699 | 45.1% | 1.18 | 30% |
| train | LOW VOLATILITY | 745 | 28.4% | 1.40 | 40% |
| train | MEDIUM VOLATILITY | 568 | -12.8% | -0.54 | 24% |
| train | NORMAL | 1,601 | -2.3% | -0.11 | 23% |
| train | SIDEWAYS | 592 | -7.1% | -0.40 | 13% |
| train | UPTREND | 902 | 56.1% | 1.40 | 62% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 69.1% | 1.29 | 51% |
| validation | EXTREME | 144 | 279.4% | 3.65 | 78% |
| validation | HIGH VOLATILITY | 258 | 72.1% | 1.18 | 35% |
| validation | LOW VOLATILITY | 183 | 49.4% | 2.34 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 108.4% | 2.68 | 45% |
| validation | NORMAL | 474 | 25.4% | 1.02 | 26% |
| validation | SIDEWAYS | 206 | -8.9% | -0.69 | 11% |
| validation | UPTREND | 425 | 144.2% | 2.44 | 66% |
Trades (full period)
39 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-11 | 2026-06-08 | $445.00 | $408.95 | -8.90% | 20 | |
| 2025-12-16 | 2026-01-05 | $489.88 | $451.67 | -8.02% | 13 | |
| 2025-08-27 | 2025-10-23 | $349.60 | $448.98 | 24.57% | 41 | |
| 2025-05-12 | 2025-06-12 | $318.38 | $319.11 | 9.23% | 23 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 36.54% | 44 | |
| 2024-09-26 | 2024-10-14 | $254.22 | $219.16 | -15.43% | 13 | |
| 2024-06-27 | 2024-08-02 | $197.42 | $207.67 | 10.21% | 26 | |
| 2023-12-28 | 2024-01-05 | $253.18 | $237.49 | -9.18% | 6 | |
| 2023-06-02 | 2023-07-24 | $213.97 | $269.06 | 25.05% | 35 | |
| 2023-02-08 | 2023-03-08 | $201.29 | $182.00 | -4.81% | 20 | |
| 2022-07-22 | 2022-08-29 | $272.24 | $284.82 | 5.82% | 27 | |
| 2022-03-29 | 2022-04-21 | $366.52 | $336.26 | -10.68% | 17 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 60.97% | 84 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-08-18 | 2020-09-24 | $125.81 | $129.26 | 3.40% | 27 | |
| 2020-05-11 | 2020-08-10 | $54.09 | $94.57 | 76.93% | 64 | |
| 2019-10-15 | 2020-03-04 | $17.19 | $49.97 | 189.55% | 97 | |
| 2019-07-22 | 2019-08-02 | $17.05 | $15.62 | -9.61% | 10 | |
| 2018-10-30 | 2018-12-19 | $21.99 | $22.20 | 0.45% | 35 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -19.68% | 9 | |
| 2018-06-07 | 2018-07-06 | $21.07 | $20.59 | -3.43% | 21 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -4.78% | 13 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -7.75% | 6 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.27% | 25 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | 1.59% | 36 | |
| 2016-12-21 | 2017-02-28 | $13.85 | $16.67 | 17.70% | 46 | |
| 2016-03-18 | 2016-05-03 | $15.52 | $15.49 | 6.60% | 32 | |
| 2015-07-21 | 2015-07-27 | $17.78 | $16.87 | -6.16% | 5 | |
| 2015-04-23 | 2015-07-09 | $14.57 | $17.19 | 15.95% | 54 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.78% | 28 | |
| 2014-06-18 | 2014-07-16 | $15.14 | $14.48 | -5.41% | 20 | |
| 2014-01-22 | 2014-03-26 | $11.90 | $14.20 | 24.52% | 45 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 47.00% | 79 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 132.63% | 61 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2012-11-20 | 2012-12-31 | $2.20 | $2.26 | 0.71% | 28 | |
| 2012-07-16 | 2012-07-20 | $2.40 | $2.12 | -5.96% | 5 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -11.54% | 10 | |
| 2012-02-21 | 2012-03-23 | $2.30 | $2.27 | -1.83% | 24 |