Strategy Zoo / S0932
PriceMomentum_V0932
ARCHIVEDhybridparameterchanged ret_20d threshold -0.025 -> 0.0567
Fitness
0.6250
Generation
42
Complexity
6
Created
2026-09-30
Lineage
Parents (1)
added exit filter: ret_20d < -0.025
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0932 [hybrid]
if flat and (ret_20d > 0.05 and breakout_50 == 1):
position = 1.0
if long and (ret_20d < -0.0017 or ret_20d < 0.0567):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.0% | 91.2% | 16.2% | 27.0% |
| Total Return | 166.1% | 598.9% | 75.0% | 3250.1% |
| Sharpe | 0.60 | 1.68 | 0.68 | 0.92 |
| Sortino | 0.48 | 1.49 | 0.44 | 0.72 |
| Calmar | 0.28 | 2.70 | 0.60 | 0.57 |
| Volatility | 26.0% | 44.5% | 27.6% | 31.1% |
| Max DD | -47.3% | -33.7% | -26.8% | -47.3% |
| Win Rate | 33.3% | 53.8% | 36.4% | 38.3% |
| Avg Win | 21.1% | 39.5% | 23.2% | 27.9% |
| Avg Loss | -4.4% | -4.0% | -3.7% | -4.2% |
| Payoff | 4.77 | 9.97 | 6.30 | 6.64 |
| Expectancy | 4.1% | 19.5% | 6.1% | 8.1% |
| Profit Factor | 2.39 | 10.00 | 3.60 | 4.13 |
| Trades | 36 | 13 | 11 | 60 |
| Avg Holding Days | 15.2 | 21.9 | 17.6 | 17.3 |
| Turnover | 9.1 | 8.7 | 5.9 | 8.2 |
| Exposure | 25.9% | 36.0% | 19.5% | 26.4% |
Growth of $100
PriceMomentum_V0932 vs TSLA Buy & Hold
PriceMomentum_V0932 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 | 11.5% | 0.93 | -7.5% | 1 |
| 2017 | 18.0% | 0.98 | -11.5% | 5 |
| 2018 | -31.0% | -1.83 | -34.0% | 7 |
| 2019 | 4.8% | 0.33 | -15.8% | 4 |
| 2020 | 395.4% | 2.74 | -33.7% | 4 |
| 2021 | 39.4% | 1.21 | -17.6% | 7 |
| 2022 | -2.9% | -0.05 | -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 | 64.8% | 1.62 | 48% |
| hidden test | EXTREME | 48 | 183.4% | 3.26 | 63% |
| hidden test | HIGH VOLATILITY | 254 | 12.7% | 0.33 | 26% |
| hidden test | LOW VOLATILITY | 434 | 37.7% | 2.02 | 16% |
| hidden test | MEDIUM VOLATILITY | 250 | -7.6% | -0.27 | 19% |
| hidden test | NORMAL | 807 | 4.3% | 0.19 | 14% |
| hidden test | SIDEWAYS | 293 | -9.2% | -0.39 | 14% |
| hidden test | UPTREND | 371 | 53.4% | 1.39 | 38% |
| train | DOWNTREND | 518 | -2.3% | -0.58 | 1% |
| train | EXPENSIVE | 311 | 19.0% | 0.60 | 47% |
| train | EXTREME | 100 | 378.0% | 5.19 | 95% |
| train | HIGH VOLATILITY | 699 | 37.4% | 1.06 | 27% |
| train | LOW VOLATILITY | 745 | 16.0% | 0.88 | 32% |
| train | MEDIUM VOLATILITY | 568 | -11.8% | -0.57 | 16% |
| train | NORMAL | 1,601 | -7.7% | -0.45 | 17% |
| train | SIDEWAYS | 592 | -5.7% | -0.36 | 11% |
| train | UPTREND | 902 | 39.8% | 1.09 | 50% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 88.8% | 1.73 | 49% |
| validation | EXTREME | 144 | 271.7% | 3.55 | 76% |
| validation | HIGH VOLATILITY | 258 | 81.8% | 1.36 | 34% |
| validation | LOW VOLATILITY | 183 | 19.6% | 1.06 | 26% |
| validation | MEDIUM VOLATILITY | 315 | 100.9% | 2.52 | 43% |
| validation | NORMAL | 474 | 10.8% | 0.45 | 20% |
| validation | SIDEWAYS | 206 | -6.8% | -0.55 | 10% |
| validation | UPTREND | 425 | 130.7% | 2.25 | 58% |
Trades (full period)
60 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-11 | 2026-05-18 | $445.00 | $409.99 | -1.62% | 6 | |
| 2025-12-16 | 2025-12-31 | $489.88 | $449.72 | -4.58% | 11 | |
| 2025-09-12 | 2025-10-13 | $395.94 | $435.90 | 11.90% | 22 | |
| 2025-08-27 | 2025-09-09 | $349.60 | $346.97 | -1.70% | 9 | |
| 2025-05-12 | 2025-06-06 | $318.38 | $295.14 | -4.73% | 19 | |
| 2024-11-07 | 2025-01-08 | $296.91 | $394.94 | 36.41% | 42 | |
| 2024-09-26 | 2024-10-04 | $254.22 | $250.08 | -6.55% | 7 | |
| 2024-06-27 | 2024-08-01 | $197.42 | $216.86 | 17.94% | 25 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -3.36% | 2 | |
| 2023-06-02 | 2023-07-21 | $213.97 | $260.02 | 26.44% | 34 | |
| 2023-02-08 | 2023-03-03 | $201.29 | $197.79 | -3.19% | 17 | |
| 2022-07-22 | 2022-08-26 | $272.24 | $288.09 | 8.75% | 26 | |
| 2022-03-29 | 2022-04-21 | $366.52 | $336.26 | -10.68% | 17 | |
| 2021-10-08 | 2021-11-29 | $261.83 | $379.00 | 36.05% | 36 | |
| 2021-09-27 | 2021-10-01 | $263.79 | $258.41 | -0.06% | 5 | |
| 2021-09-16 | 2021-09-22 | $252.33 | $250.65 | -2.37% | 5 | |
| 2021-09-08 | 2021-09-13 | $251.29 | $247.67 | -2.41% | 4 | |
| 2021-08-13 | 2021-08-18 | $239.06 | $229.66 | -8.01% | 4 | |
| 2021-08-04 | 2021-08-10 | $236.97 | $236.66 | 0.37% | 5 | |
| 2020-11-19 | 2021-02-08 | $166.42 | $287.81 | 74.78% | 54 | |
| 2020-08-17 | 2020-09-23 | $122.38 | $126.79 | 28.26% | 27 | |
| 2020-06-01 | 2020-08-10 | $59.87 | $94.57 | 73.64% | 50 | |
| 2020-05-11 | 2020-05-27 | $54.09 | $54.68 | -0.27% | 12 | |
| 2019-12-17 | 2020-03-02 | $25.27 | $49.57 | 74.74% | 51 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-10-17 | 2019-10-22 | $17.46 | $17.04 | -2.60% | 4 | |
| 2019-10-15 | 2019-10-16 | $17.19 | $17.32 | 0.16% | 2 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -11.55% | 5 | |
| 2018-12-14 | 2018-12-18 | $24.38 | $22.47 | -7.72% | 3 | |
| 2018-12-06 | 2018-12-10 | $24.20 | $24.34 | -0.68% | 3 | |
| 2018-10-30 | 2018-11-26 | $21.99 | $23.07 | -2.89% | 19 | |
| 2018-08-08 | 2018-08-16 | $24.69 | $22.36 | -10.95% | 7 | |
| 2018-06-12 | 2018-07-06 | $22.85 | $20.59 | -7.09% | 18 | |
| 2018-06-07 | 2018-06-08 | $21.07 | $21.18 | -1.27% | 2 | |
| 2018-01-22 | 2018-02-06 | $23.44 | $22.26 | -5.02% | 12 | |
| 2017-09-18 | 2017-09-22 | $25.67 | $23.41 | -3.70% | 5 | |
| 2017-06-01 | 2017-07-05 | $22.69 | $21.81 | 3.20% | 24 | |
| 2017-05-11 | 2017-05-16 | $21.54 | $21.13 | -3.07% | 4 | |
| 2017-04-04 | 2017-05-04 | $20.25 | $19.70 | 3.98% | 22 | |
| 2016-12-21 | 2017-02-24 | $13.85 | $17.13 | 22.36% | 44 | |
| 2016-03-18 | 2016-04-20 | $15.52 | $16.66 | 9.06% | 23 | |
| 2015-07-21 | 2015-07-22 | $17.78 | $17.86 | -5.68% | 2 | |
| 2015-07-02 | 2015-07-08 | $18.67 | $17.00 | -0.67% | 4 | |
| 2015-06-24 | 2015-06-30 | $17.68 | $17.88 | -2.31% | 5 | |
| 2015-06-18 | 2015-06-23 | $17.46 | $17.84 | -0.44% | 4 | |
| 2015-06-09 | 2015-06-11 | $17.07 | $16.76 | -2.38% | 3 | |
| 2015-04-23 | 2015-06-08 | $14.57 | $17.09 | 13.31% | 32 | |
| 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 | 2014-03-25 | $11.90 | $14.70 | 24.37% | 44 | |
| 2013-09-20 | 2013-10-04 | $12.23 | $12.07 | -2.78% | 11 | |
| 2013-07-02 | 2013-09-10 | $7.85 | $11.09 | 36.87% | 49 | |
| 2013-04-17 | 2013-06-25 | $3.03 | $6.83 | 122.17% | 49 | |
| 2013-04-02 | 2013-04-10 | $2.96 | $2.79 | -7.99% | 7 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2012-11-20 | 2012-12-19 | $2.20 | $2.31 | 4.86% | 21 | |
| 2012-07-16 | 2012-07-18 | $2.40 | $2.14 | -2.82% | 3 | |
| 2012-03-27 | 2012-04-09 | $2.53 | $2.21 | -7.99% | 9 | |
| 2012-03-13 | 2012-03-16 | $2.41 | $2.35 | -3.00% | 4 | |
| 2012-02-21 | 2012-03-07 | $2.30 | $2.21 | -5.51% | 12 |