Strategy Zoo / S0927
PriceMomentum_V0927
ARCHIVEDhybridstructuralreplaced exit rule with: cumret_252d < 0.7855; replaced exit rule with: vol_pctile > 0.9179
Fitness
0.4662
Generation
42
Complexity
2
Created
2026-09-30
Lineage
Parents (1)
logic of PriceMomentum_V0450 with risk overlay of LongTermTrend_V0561
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0927 [hybrid]
if flat and ret_20d > 0.05:
position = 1.0
if long and vol_pctile > 0.9179:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 24.1% | 51.2% | 11.5% | 24.9% |
| Total Return | 460.0% | 245.9% | 50.1% | 2523.7% |
| Sharpe | 0.70 | 0.96 | 0.47 | 0.69 |
| Sortino | 0.97 | 1.41 | 0.67 | 0.96 |
| Calmar | 0.37 | 0.70 | 0.20 | 0.33 |
| Volatility | 45.7% | 64.6% | 51.3% | 51.6% |
| Max DD | -65.8% | -73.4% | -57.1% | -76.3% |
| Win Rate | 50.9% | 55.6% | 62.5% | 54.2% |
| Avg Win | 10.6% | 24.5% | 6.0% | 13.2% |
| Avg Loss | -3.8% | -5.0% | -6.0% | -4.9% |
| Payoff | 2.81 | 4.92 | 1.00 | 2.72 |
| Expectancy | 3.6% | 11.4% | 1.5% | 4.9% |
| Profit Factor | 2.92 | 6.14 | 1.66 | 3.22 |
| Trades | 53 | 18 | 24 | 96 |
| Avg Holding Days | 30.5 | 8.7 | 21.5 | 32.0 |
| Turnover | 13.4 | 12.3 | 13.2 | 13.1 |
| Exposure | 88.4% | 92.7% | 89.4% | 89.6% |
Growth of $100
PriceMomentum_V0927 vs TSLA Buy & Hold
PriceMomentum_V0927 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 | -19.7% | -0.41 | -35.8% | 2 |
| 2017 | 43.6% | 1.20 | -22.3% | 0 |
| 2018 | -28.3% | -0.81 | -42.3% | 23 |
| 2019 | 43.1% | 1.02 | -44.1% | 1 |
| 2020 | 555.6% | 3.04 | -33.8% | 18 |
| 2021 | 44.7% | 0.94 | -36.2% | 0 |
| 2022 | -69.4% | -1.48 | -72.7% | 0 |
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 | 10.2% | 0.21 | 79% |
| hidden test | EXPENSIVE | 83 | 94.9% | 1.53 | 89% |
| hidden test | EXTREME | 48 | 191.2% | 3.20 | 94% |
| hidden test | HIGH VOLATILITY | 254 | 66.5% | 1.09 | 63% |
| hidden test | LOW VOLATILITY | 434 | 33.4% | 0.80 | 100% |
| hidden test | MEDIUM VOLATILITY | 250 | -35.4% | -0.64 | 98% |
| hidden test | NORMAL | 807 | 6.8% | 0.14 | 89% |
| hidden test | SIDEWAYS | 293 | -41.8% | -0.83 | 99% |
| hidden test | UPTREND | 371 | 86.2% | 1.61 | 89% |
| train | DOWNTREND | 518 | -43.6% | -1.06 | 82% |
| train | EXPENSIVE | 311 | 92.7% | 1.80 | 97% |
| train | EXTREME | 100 | 354.5% | 5.23 | 83% |
| train | HIGH VOLATILITY | 699 | 51.5% | 0.90 | 70% |
| train | LOW VOLATILITY | 745 | 45.4% | 1.37 | 99% |
| train | MEDIUM VOLATILITY | 568 | -9.8% | -0.22 | 98% |
| train | NORMAL | 1,601 | -0.0% | -0.00 | 87% |
| train | SIDEWAYS | 592 | 33.4% | 0.72 | 86% |
| train | UPTREND | 902 | 74.4% | 1.56 | 94% |
| validation | DOWNTREND | 125 | -107.7% | -1.57 | 100% |
| validation | EXPENSIVE | 138 | 69.9% | 1.22 | 79% |
| validation | EXTREME | 144 | 326.8% | 4.15 | 85% |
| validation | HIGH VOLATILITY | 258 | 88.8% | 1.09 | 79% |
| validation | LOW VOLATILITY | 183 | 55.7% | 1.54 | 99% |
| validation | MEDIUM VOLATILITY | 315 | 44.1% | 0.71 | 100% |
| validation | NORMAL | 474 | -20.5% | -0.34 | 99% |
| validation | SIDEWAYS | 206 | -25.4% | -0.45 | 97% |
| validation | UPTREND | 425 | 154.6% | 2.33 | 89% |
Trades (full period)
97 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-05-12 | — | $318.38 | — | 18.19% | 348 | OPEN |
| 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 | |
| 2024-11-21 | 2025-03-13 | $339.64 | $240.68 | -27.61% | 75 | |
| 2024-11-19 | 2024-11-20 | $346.00 | $342.03 | 1.94% | 2 | |
| 2024-11-15 | 2024-11-18 | $320.72 | $338.74 | 2.86% | 2 | |
| 2024-11-13 | 2024-11-14 | $330.24 | $311.18 | 0.33% | 2 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 8.75% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2024-09-04 | 2024-10-25 | $219.41 | $269.19 | 23.44% | 38 | |
| 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 | |
| 2024-05-14 | 2024-07-25 | $177.55 | $220.25 | 25.41% | 50 | |
| 2024-05-07 | 2024-05-08 | $177.81 | $174.72 | -3.96% | 2 | |
| 2024-05-03 | 2024-05-06 | $181.19 | $184.76 | 0.46% | 2 | |
| 2024-05-01 | 2024-05-02 | $179.99 | $180.01 | -1.99% | 2 | |
| 2023-02-02 | 2024-04-30 | $188.27 | $183.28 | 6.76% | 312 | |
| 2023-01-31 | 2023-02-01 | $173.22 | $181.41 | 3.73% | 2 | |
| 2023-01-27 | 2023-01-30 | $177.90 | $166.66 | 10.79% | 2 | |
| 2023-01-25 | 2023-01-26 | $144.43 | $160.27 | 0.17% | 2 | |
| 2020-10-07 | 2023-01-04 | $141.77 | $113.64 | -21.82% | 565 | |
| 2020-09-22 | 2020-09-23 | $141.41 | $126.79 | -5.79% | 2 | |
| 2020-09-18 | 2020-09-21 | $147.38 | $149.80 | 4.22% | 2 | |
| 2020-09-16 | 2020-09-17 | $147.25 | $141.14 | -1.98% | 2 | |
| 2020-09-14 | 2020-09-15 | $139.87 | $149.92 | 12.37% | 2 | |
| 2020-09-10 | 2020-09-11 | $123.78 | $124.24 | 1.18% | 2 | |
| 2020-04-16 | 2020-09-09 | $49.68 | $122.09 | 125.78% | 102 | |
| 2020-04-14 | 2020-04-15 | $47.33 | $48.66 | 8.85% | 2 | |
| 2020-03-03 | 2020-03-04 | $49.70 | $49.97 | 0.05% | 2 | |
| 2020-02-28 | 2020-03-02 | $44.53 | $49.57 | -1.82% | 2 | |
| 2020-02-26 | 2020-02-27 | $51.92 | $45.27 | -2.84% | 2 | |
| 2020-02-24 | 2020-02-25 | $55.59 | $53.33 | -7.65% | 2 | |
| 2020-02-20 | 2020-02-21 | $59.96 | $60.07 | -2.16% | 2 | |
| 2020-02-18 | 2020-02-19 | $57.23 | $61.16 | 7.09% | 2 | |
| 2020-02-13 | 2020-02-14 | $53.60 | $53.34 | 4.58% | 2 | |
| 2020-02-11 | 2020-02-12 | $51.63 | $51.15 | 0.20% | 2 | |
| 2020-02-07 | 2020-02-10 | $49.87 | $51.42 | -0.32% | 2 | |
| 2020-02-05 | 2020-02-06 | $48.98 | $49.93 | -17.36% | 2 | |
| 2019-02-28 | 2020-02-04 | $21.33 | $59.14 | 147.33% | 236 | |
| 2018-11-02 | 2019-01-08 | $23.09 | $22.36 | -2.90% | 44 | |
| 2018-10-31 | 2018-11-01 | $22.49 | $22.95 | 2.05% | 2 | |
| 2018-10-29 | 2018-10-30 | $22.32 | $21.99 | 0.99% | 2 | |
| 2018-10-04 | 2018-10-05 | $18.79 | $17.46 | -4.60% | 2 | |
| 2018-08-27 | 2018-08-28 | $21.28 | $20.79 | -1.30% | 2 | |
| 2018-08-22 | 2018-08-23 | $21.44 | $21.34 | -0.28% | 2 | |
| 2018-08-15 | 2018-08-16 | $22.58 | $22.36 | -2.77% | 2 | |
| 2018-08-13 | 2018-08-14 | $23.76 | $23.18 | 0.06% | 2 | |
| 2018-08-09 | 2018-08-10 | $23.50 | $23.70 | -5.03% | 2 | |
| 2018-08-07 | 2018-08-08 | $25.30 | $24.69 | 10.78% | 2 | |
| 2018-08-03 | 2018-08-06 | $23.21 | $22.80 | -0.59% | 2 | |
| 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 | |
| 2018-06-25 | 2018-06-26 | $22.20 | $22.80 | -0.39% | 2 | |
| 2018-06-21 | 2018-06-22 | $23.17 | $22.24 | -4.26% | 2 | |
| 2018-06-18 | 2018-06-20 | $24.72 | $24.15 | -1.76% | 3 | |
| 2018-06-14 | 2018-06-15 | $23.85 | $23.88 | 3.55% | 2 | |
| 2018-06-12 | 2018-06-13 | $22.85 | $22.99 | 3.01% | 2 | |
| 2018-06-07 | 2018-06-08 | $21.07 | $21.18 | -1.27% | 2 | |
| 2018-05-01 | 2018-05-02 | $19.99 | $20.08 | 1.85% | 2 | |
| 2018-04-27 | 2018-04-30 | $19.61 | $19.59 | 2.81% | 2 | |
| 2018-03-13 | 2018-03-29 | $22.79 | $17.74 | -25.54% | 13 | |
| 2016-03-08 | 2018-02-23 | $13.51 | $23.47 | 68.29% | 496 | |
| 2016-03-04 | 2016-03-07 | $13.40 | $13.69 | 2.51% | 2 | |
| 2013-12-13 | 2016-02-18 | $9.84 | $11.12 | 14.15% | 548 | |
| 2013-08-14 | 2013-12-04 | $9.29 | $9.26 | -0.71% | 79 | |
| 2013-08-12 | 2013-08-13 | $9.83 | $9.70 | -3.87% | 2 | |
| 2013-06-13 | 2013-08-09 | $6.55 | $10.20 | 56.73% | 41 | |
| 2013-06-11 | 2013-06-12 | $6.30 | $6.52 | -5.77% | 2 | |
| 2013-06-07 | 2013-06-10 | $6.80 | $6.67 | 4.61% | 2 | |
| 2013-06-05 | 2013-06-06 | $6.36 | $6.49 | 0.36% | 2 | |
| 2013-06-03 | 2013-06-04 | $6.17 | $6.32 | -5.48% | 2 | |
| 2013-05-30 | 2013-05-31 | $7.00 | $6.52 | 0.11% | 2 | |
| 2013-05-28 | 2013-05-29 | $7.36 | $6.98 | 13.44% | 2 | |
| 2013-05-23 | 2013-05-24 | $6.18 | $6.47 | 6.09% | 2 | |
| 2013-05-21 | 2013-05-22 | $5.84 | $5.82 | -2.81% | 2 | |
| 2013-05-17 | 2013-05-20 | $6.10 | $6.00 | -1.01% | 2 | |
| 2013-05-15 | 2013-05-16 | $5.66 | $6.15 | 1.72% | 2 | |
| 2013-05-13 | 2013-05-14 | $5.85 | $5.55 | 14.17% | 2 | |
| 2013-04-30 | 2013-05-10 | $3.60 | $5.12 | 26.06% | 9 | |
| 2013-04-26 | 2013-04-29 | $3.41 | $3.66 | -1.74% | 2 | |
| 2013-04-24 | 2013-04-25 | $3.36 | $3.47 | -1.34% | 2 | |
| 2013-04-15 | 2013-04-23 | $2.89 | $3.40 | 14.49% | 7 | |
| 2013-04-11 | 2013-04-12 | $2.91 | $2.92 | 3.93% | 2 | |
| 2013-04-09 | 2013-04-10 | $2.70 | $2.79 | -3.38% | 2 | |
| 2013-04-05 | 2013-04-08 | $2.76 | $2.79 | -1.72% | 2 | |
| 2012-02-14 | 2013-04-04 | $2.21 | $2.80 | 30.26% | 285 | |
| 2012-02-10 | 2012-02-13 | $2.07 | $2.10 | -4.74% | 2 | |
| 2012-02-08 | 2012-02-09 | $2.13 | $2.17 | 0.84% | 2 | |
| 2012-02-06 | 2012-02-07 | $2.12 | $2.11 | 1.88% | 2 | |
| 2012-02-02 | 2012-02-03 | $2.02 | $2.08 | 2.06% | 2 | |
| 2012-01-04 | 2012-01-18 | $1.85 | $1.79 | -5.46% | 10 |