Strategy Zoo / S0943
PriceMomentum_V0943
ARCHIVEDmomentumstructuraladded entry filter: breakout_50 == 1
Fitness
0.6104
Generation
43
Complexity
6
Created
2026-09-30
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1146
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0943 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.1146 and breakout_50 == 1):
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 21.1% | 73.8% | 10.9% | 27.7% |
| Total Return | 359.7% | 425.0% | 46.8% | 3547.4% |
| Sharpe | 0.87 | 1.53 | 0.54 | 0.97 |
| Sortino | 0.77 | 1.27 | 0.35 | 0.78 |
| Calmar | 0.50 | 2.19 | 0.32 | 0.65 |
| Volatility | 25.8% | 41.9% | 24.8% | 29.6% |
| Max DD | -42.3% | -33.8% | -33.6% | -42.3% |
| Win Rate | 50.0% | 62.5% | 50.0% | 53.1% |
| Avg Win | 42.1% | 51.4% | 18.0% | 43.4% |
| Avg Loss | -7.8% | -8.2% | -5.7% | -7.3% |
| Payoff | 5.41 | 6.24 | 3.16 | 5.93 |
| Expectancy | 17.2% | 29.0% | 6.2% | 19.6% |
| Profit Factor | 5.41 | 10.00 | 3.16 | 6.72 |
| Trades | 16 | 8 | 8 | 32 |
| Avg Holding Days | 36.8 | 35.6 | 24.5 | 34.9 |
| Turnover | 5.8 | 6.2 | 5.5 | 5.7 |
| Exposure | 28.2% | 30.8% | 17.9% | 26.2% |
Growth of $100
PriceMomentum_V0943 vs TSLA Buy & Hold
PriceMomentum_V0943 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 | -3.6% | -0.34 | -14.5% | 3 |
| 2017 | 26.0% | 1.15 | -16.8% | 1 |
| 2018 | -30.7% | -2.15 | -33.0% | 3 |
| 2019 | 39.5% | 2.02 | -8.5% | 0 |
| 2020 | 355.7% | 2.67 | -33.8% | 2 |
| 2021 | 37.1% | 1.29 | -21.0% | 2 |
| 2022 | -18.5% | -1.36 | -19.2% | 4 |
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 | 23.1% | 0.62 | 54% |
| hidden test | EXTREME | 48 | 202.9% | 3.49 | 72% |
| hidden test | HIGH VOLATILITY | 254 | 9.7% | 0.28 | 22% |
| hidden test | LOW VOLATILITY | 434 | 27.7% | 1.67 | 15% |
| hidden test | MEDIUM VOLATILITY | 250 | -7.6% | -0.30 | 19% |
| hidden test | NORMAL | 807 | 1.1% | 0.06 | 11% |
| hidden test | SIDEWAYS | 293 | -6.0% | -0.63 | 1% |
| hidden test | UPTREND | 371 | 37.1% | 0.97 | 44% |
| train | DOWNTREND | 518 | 1.1% | 0.65 | 1% |
| train | EXPENSIVE | 311 | 40.8% | 1.24 | 56% |
| train | EXTREME | 100 | 400.8% | 5.56 | 94% |
| train | HIGH VOLATILITY | 699 | 40.0% | 1.17 | 28% |
| train | LOW VOLATILITY | 745 | 23.6% | 1.19 | 34% |
| train | MEDIUM VOLATILITY | 568 | -1.1% | -0.05 | 21% |
| train | NORMAL | 1,601 | -4.9% | -0.30 | 19% |
| train | SIDEWAYS | 592 | -9.1% | -1.05 | 1% |
| train | UPTREND | 902 | 55.2% | 1.46 | 62% |
| validation | DOWNTREND | 125 | 12.7% | 1.38 | 3% |
| validation | EXPENSIVE | 138 | 46.3% | 0.97 | 46% |
| validation | EXTREME | 144 | 273.4% | 3.69 | 69% |
| validation | HIGH VOLATILITY | 258 | 98.8% | 1.63 | 35% |
| validation | LOW VOLATILITY | 183 | 32.1% | 1.76 | 26% |
| validation | MEDIUM VOLATILITY | 315 | 54.2% | 1.70 | 30% |
| validation | NORMAL | 474 | 5.7% | 0.28 | 15% |
| validation | SIDEWAYS | 206 | -18.6% | -1.74 | 1% |
| validation | UPTREND | 425 | 119.2% | 2.17 | 53% |
Trades (full period)
32 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-16 | 2026-01-13 | $489.88 | $447.20 | -5.73% | 19 | |
| 2025-09-15 | 2025-11-21 | $410.04 | $391.09 | -0.15% | 50 | |
| 2025-05-28 | 2025-06-06 | $356.90 | $295.14 | -16.06% | 8 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 41.25% | 48 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -0.88% | 2 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 1.87% | 23 | |
| 2023-06-02 | 2023-08-03 | $213.97 | $259.32 | 23.90% | 43 | |
| 2023-02-08 | 2023-02-10 | $201.29 | $196.89 | 5.13% | 3 | |
| 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 | |
| 2022-07-22 | 2022-08-02 | $272.24 | $300.59 | 6.26% | 8 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -16.47% | 16 | |
| 2021-09-16 | 2021-12-03 | $252.33 | $338.32 | 46.78% | 56 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 23.65% | 64 | |
| 2020-05-22 | 2020-09-30 | $54.46 | $143.00 | 117.11% | 91 | |
| 2019-10-25 | 2020-03-05 | $21.88 | $48.30 | 134.52% | 90 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -19.68% | 9 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2017-01-05 | 2017-07-07 | $15.12 | $20.88 | 25.88% | 127 | |
| 2016-12-21 | 2016-12-28 | $13.85 | $14.65 | 5.11% | 5 | |
| 2016-04-05 | 2016-05-05 | $17.03 | $14.10 | -9.88% | 23 | |
| 2016-03-18 | 2016-03-21 | $15.52 | $15.89 | 1.77% | 2 | |
| 2015-05-12 | 2015-08-12 | $16.32 | $15.88 | 4.01% | 65 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -2.95% | 2 | |
| 2014-06-24 | 2014-10-01 | $15.50 | $16.02 | 4.49% | 70 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 14.08% | 43 | |
| 2013-04-02 | 2013-10-24 | $2.96 | $11.54 | 280.49% | 145 | |
| 2013-01-29 | 2013-03-20 | $2.53 | $2.40 | -7.93% | 36 | |
| 2012-11-29 | 2012-12-14 | $2.25 | $2.25 | 0.94% | 12 | |
| 2012-03-13 | 2012-04-25 | $2.41 | $2.19 | -6.52% | 31 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |