Strategy Zoo / S0938
PriceMomentum_V0938
ARCHIVEDhybridparameterchanged ret_20d threshold -0.1003 -> -0.0517
Fitness
0.6865
Generation
43
Complexity
3
Created
2026-09-30
Lineage
Parents (1)
removed entry condition: ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05)
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0938 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.1146:
position = 1.0
if long and ret_20d < -0.0517:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 26.0% | 88.0% | 20.5% | 35.4% |
| Total Return | 532.6% | 564.3% | 100.1% | 8558.2% |
| Sharpe | 0.97 | 1.56 | 0.74 | 1.07 |
| Sortino | 0.88 | 1.44 | 0.59 | 0.91 |
| Calmar | 0.70 | 2.10 | 0.52 | 0.85 |
| Volatility | 27.7% | 47.8% | 32.0% | 33.8% |
| Max DD | -37.3% | -41.9% | -39.3% | -41.9% |
| Win Rate | 53.8% | 53.8% | 60.0% | 55.6% |
| Avg Win | 20.2% | 45.6% | 15.0% | 27.1% |
| Avg Loss | -5.5% | -9.2% | -7.2% | -6.8% |
| Payoff | 3.68 | 4.95 | 2.09 | 3.96 |
| Expectancy | 8.3% | 20.3% | 6.1% | 12.0% |
| Profit Factor | 4.29 | 5.77 | 3.13 | 4.95 |
| Trades | 26 | 13 | 15 | 54 |
| Avg Holding Days | 24.2 | 24.5 | 17.2 | 23.2 |
| Turnover | 6.6 | 8.7 | 8.3 | 7.4 |
| Exposure | 32.2% | 40.3% | 28.7% | 33.0% |
Growth of $100
PriceMomentum_V0938 vs TSLA Buy & Hold
PriceMomentum_V0938 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 | 13.9% | 1.00 | -17.1% | 5 |
| 2017 | 19.5% | 0.87 | -17.1% | 3 |
| 2018 | -27.3% | -1.43 | -28.9% | 4 |
| 2019 | 73.0% | 2.81 | -8.5% | 2 |
| 2020 | 457.6% | 2.80 | -33.7% | 5 |
| 2021 | 66.4% | 1.75 | -17.6% | 2 |
| 2022 | -31.4% | -1.25 | -37.5% | 6 |
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 | 23.6% | 0.90 | 22% |
| hidden test | EXPENSIVE | 83 | 55.4% | 1.24 | 67% |
| hidden test | EXTREME | 48 | 186.3% | 3.29 | 71% |
| hidden test | HIGH VOLATILITY | 254 | 24.9% | 0.57 | 35% |
| hidden test | LOW VOLATILITY | 434 | 37.7% | 1.87 | 22% |
| hidden test | MEDIUM VOLATILITY | 250 | -1.6% | -0.05 | 34% |
| hidden test | NORMAL | 807 | 10.8% | 0.39 | 22% |
| hidden test | SIDEWAYS | 293 | -2.7% | -0.18 | 3% |
| hidden test | UPTREND | 371 | 44.8% | 1.03 | 54% |
| train | DOWNTREND | 518 | 14.7% | 1.52 | 9% |
| train | EXPENSIVE | 311 | 45.5% | 1.22 | 63% |
| train | EXTREME | 100 | 380.3% | 5.23 | 96% |
| train | HIGH VOLATILITY | 699 | 48.4% | 1.33 | 31% |
| train | LOW VOLATILITY | 745 | 29.0% | 1.38 | 40% |
| train | MEDIUM VOLATILITY | 568 | -2.4% | -0.11 | 24% |
| train | NORMAL | 1,601 | 1.2% | 0.06 | 22% |
| train | SIDEWAYS | 592 | -1.6% | -0.15 | 2% |
| train | UPTREND | 902 | 52.5% | 1.32 | 65% |
| validation | DOWNTREND | 125 | 42.2% | 1.94 | 10% |
| validation | EXPENSIVE | 138 | 53.3% | 0.97 | 64% |
| validation | EXTREME | 144 | 321.5% | 4.03 | 83% |
| validation | HIGH VOLATILITY | 258 | 81.0% | 1.24 | 44% |
| validation | LOW VOLATILITY | 183 | 29.0% | 1.54 | 26% |
| validation | MEDIUM VOLATILITY | 315 | 95.8% | 2.26 | 46% |
| validation | NORMAL | 474 | 5.7% | 0.21 | 20% |
| validation | SIDEWAYS | 206 | -25.5% | -1.53 | 3% |
| validation | UPTREND | 425 | 132.6% | 2.16 | 68% |
Trades (full period)
55 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | -2.86% | 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 | |
| 2025-12-15 | 2026-01-13 | $475.31 | $447.20 | -2.37% | 20 | |
| 2025-09-15 | 2025-11-14 | $410.04 | $404.35 | 1.33% | 45 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2025-04-30 | 2025-05-12 | $282.16 | $318.38 | 1.93% | 9 | |
| 2025-04-16 | 2025-04-22 | $241.55 | $237.97 | -10.66% | 4 | |
| 2024-11-07 | 2025-01-15 | $296.91 | $428.22 | 37.10% | 46 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.71% | 8 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 10.22% | 16 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 3.14% | 23 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.65% | 10 | |
| 2023-06-02 | 2023-08-02 | $213.97 | $254.11 | 25.56% | 42 | |
| 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 | -4.28% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-07-19 | 2022-08-02 | $245.53 | $300.59 | 23.34% | 11 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -1.22% | 4 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -17.18% | 12 | |
| 2021-09-16 | 2021-12-01 | $252.33 | $365.00 | 51.15% | 54 | |
| 2020-11-19 | 2021-02-11 | $166.42 | $270.55 | 65.06% | 57 | |
| 2020-10-07 | 2020-10-29 | $141.77 | $136.94 | -2.12% | 17 | |
| 2020-08-18 | 2020-09-24 | $125.81 | $129.26 | 3.40% | 27 | |
| 2020-05-20 | 2020-08-10 | $54.37 | $94.57 | 79.43% | 57 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-05 | $21.88 | $48.30 | 149.62% | 90 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 5.72% | 13 | |
| 2019-06-21 | 2019-07-22 | $14.79 | $17.05 | 17.32% | 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 | 2018-05-04 | $19.99 | $19.61 | -3.41% | 4 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | 1.44% | 15 | |
| 2017-04-04 | 2017-07-06 | $20.25 | $20.59 | 9.35% | 65 | |
| 2017-01-05 | 2017-03-10 | $15.12 | $16.25 | 7.67% | 45 | |
| 2016-12-21 | 2016-12-28 | $13.85 | $14.65 | 4.93% | 5 | |
| 2016-07-26 | 2016-08-29 | $15.30 | $14.35 | -4.55% | 25 | |
| 2016-04-05 | 2016-05-04 | $17.03 | $14.84 | -6.12% | 22 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 2.12% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 18.67% | 12 | |
| 2015-05-11 | 2015-07-28 | $15.97 | $17.65 | 6.72% | 55 | |
| 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 | |
| 2014-08-07 | 2014-09-26 | $16.83 | $16.44 | -0.99% | 36 | |
| 2014-06-23 | 2014-07-17 | $15.81 | $14.36 | -5.60% | 18 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 21.21% | 43 | |
| 2013-07-02 | 2013-10-23 | $7.85 | $10.97 | 46.10% | 80 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 132.63% | 61 | |
| 2013-01-29 | 2013-02-26 | $2.53 | $2.30 | -9.78% | 20 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-02-23 | 2012-04-11 | $2.30 | $2.21 | -5.33% | 34 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |