Strategy Zoo / S0955
PriceMomentum_V0955
ARCHIVEDhybridparameterchanged ret_20d threshold -0.0017 -> 0.0945
Fitness
0.6038
Generation
43
Complexity
4
Created
2026-09-30
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.0191
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0955 [hybrid]
if flat and (ret_20d > 0.0191 and breakout_50 == 1):
position = 1.0
if long and ret_20d < 0.0945:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 11.8% | 87.1% | 11.1% | 24.2% |
| Total Return | 143.9% | 554.9% | 48.1% | 2336.0% |
| Sharpe | 0.58 | 1.64 | 0.53 | 0.87 |
| Sortino | 0.44 | 1.42 | 0.34 | 0.65 |
| Calmar | 0.28 | 2.58 | 0.37 | 0.58 |
| Volatility | 24.2% | 44.1% | 26.6% | 29.9% |
| Max DD | -42.0% | -33.7% | -29.7% | -42.0% |
| Win Rate | 36.8% | 45.0% | 40.0% | 39.1% |
| Avg Win | 12.0% | 31.1% | 14.5% | 17.6% |
| Avg Loss | -3.3% | -2.9% | -4.2% | -3.4% |
| Payoff | 3.61 | 10.00 | 3.49 | 5.21 |
| Expectancy | 2.3% | 12.4% | 3.3% | 4.8% |
| Profit Factor | 2.10 | 8.80 | 2.32 | 3.35 |
| Trades | 57 | 20 | 15 | 92 |
| Avg Holding Days | 8.5 | 13.3 | 12.5 | 10.3 |
| Turnover | 14.4 | 13.3 | 8.1 | 12.5 |
| Exposure | 21.6% | 32.5% | 18.4% | 23.1% |
Growth of $100
PriceMomentum_V0955 vs TSLA Buy & Hold
PriceMomentum_V0955 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 | 11.2% | 0.94 | -6.6% | 2 |
| 2017 | 34.2% | 1.87 | -10.0% | 7 |
| 2018 | -27.2% | -1.68 | -28.9% | 12 |
| 2019 | 3.7% | 0.28 | -13.7% | 6 |
| 2020 | 383.1% | 2.70 | -33.7% | 5 |
| 2021 | 37.2% | 1.17 | -17.6% | 12 |
| 2022 | -5.1% | -0.20 | -16.0% | 3 |
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 | 40.4% | 0.98 | 52% |
| hidden test | EXTREME | 48 | 160.8% | 3.07 | 56% |
| hidden test | HIGH VOLATILITY | 254 | 1.5% | 0.04 | 24% |
| hidden test | LOW VOLATILITY | 434 | 31.5% | 1.73 | 15% |
| hidden test | MEDIUM VOLATILITY | 250 | -3.2% | -0.12 | 19% |
| hidden test | NORMAL | 807 | 2.7% | 0.12 | 13% |
| hidden test | SIDEWAYS | 293 | -12.3% | -0.53 | 13% |
| hidden test | UPTREND | 371 | 43.9% | 1.19 | 36% |
| train | DOWNTREND | 518 | -3.7% | -1.02 | 1% |
| train | EXPENSIVE | 311 | 26.0% | 0.89 | 40% |
| train | EXTREME | 100 | 300.0% | 4.23 | 78% |
| train | HIGH VOLATILITY | 699 | 25.8% | 0.76 | 24% |
| train | LOW VOLATILITY | 745 | 12.6% | 0.81 | 27% |
| train | MEDIUM VOLATILITY | 568 | 1.5% | 0.08 | 13% |
| train | NORMAL | 1,601 | -6.1% | -0.40 | 14% |
| train | SIDEWAYS | 592 | -7.2% | -0.44 | 10% |
| train | UPTREND | 902 | 38.1% | 1.13 | 41% |
| validation | DOWNTREND | 125 | 13.1% | 1.46 | 3% |
| validation | EXPENSIVE | 138 | 89.0% | 1.73 | 49% |
| validation | EXTREME | 144 | 267.0% | 3.49 | 69% |
| validation | HIGH VOLATILITY | 258 | 76.8% | 1.28 | 31% |
| validation | LOW VOLATILITY | 183 | 14.0% | 0.81 | 19% |
| validation | MEDIUM VOLATILITY | 315 | 102.7% | 2.61 | 42% |
| validation | NORMAL | 474 | 8.4% | 0.37 | 16% |
| validation | SIDEWAYS | 206 | -6.8% | -0.57 | 9% |
| validation | UPTREND | 425 | 128.2% | 2.22 | 53% |
Trades (full period)
92 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 | 2025-12-30 | $489.88 | $454.43 | -3.49% | 10 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-09-12 | 2025-10-13 | $395.94 | $435.90 | 11.90% | 22 | |
| 2025-08-27 | 2025-09-03 | $349.60 | $334.09 | -6.53% | 5 | |
| 2025-05-12 | 2025-06-06 | $318.38 | $295.14 | -4.73% | 19 | |
| 2024-11-07 | 2025-01-03 | $296.91 | $410.44 | 31.19% | 39 | |
| 2024-10-28 | 2024-10-29 | $262.51 | $259.52 | -2.68% | 2 | |
| 2024-09-26 | 2024-10-04 | $254.22 | $250.08 | -6.55% | 7 | |
| 2024-06-27 | 2024-07-31 | $197.42 | $232.07 | 13.14% | 24 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -3.36% | 2 | |
| 2023-07-18 | 2023-07-20 | $293.34 | $262.90 | 0.10% | 3 | |
| 2023-06-02 | 2023-07-13 | $213.97 | $277.90 | 30.81% | 28 | |
| 2023-02-08 | 2023-03-03 | $201.29 | $197.79 | -3.19% | 17 | |
| 2022-07-28 | 2022-08-22 | $280.90 | $289.91 | 7.74% | 18 | |
| 2022-07-22 | 2022-07-26 | $272.24 | $258.86 | -1.40% | 3 | |
| 2022-03-29 | 2022-04-21 | $366.52 | $336.26 | -10.68% | 17 | |
| 2021-10-15 | 2021-11-24 | $281.01 | $372.00 | 35.26% | 29 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.46% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-27 | 2021-09-29 | $263.79 | $260.44 | 0.21% | 3 | |
| 2021-09-16 | 2021-09-21 | $252.33 | $246.46 | -3.59% | 4 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -2.66% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.46% | 2 | |
| 2021-08-13 | 2021-08-17 | $239.06 | $221.90 | -5.19% | 3 | |
| 2021-08-05 | 2021-08-09 | $238.21 | $237.92 | -1.86% | 3 | |
| 2021-08-03 | 2021-08-04 | $236.58 | $236.97 | -0.19% | 2 | |
| 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 | 2020-08-04 | $59.87 | $99.13 | 77.50% | 46 | |
| 2020-05-22 | 2020-05-27 | $54.46 | $54.68 | -1.25% | 3 | |
| 2020-05-11 | 2020-05-14 | $54.09 | $53.56 | -3.67% | 4 | |
| 2019-12-19 | 2020-03-02 | $26.94 | $49.57 | 69.57% | 49 | |
| 2019-12-17 | 2019-12-18 | $25.27 | $26.21 | -0.86% | 2 | |
| 2019-12-13 | 2019-12-16 | $23.89 | $25.43 | -0.56% | 2 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-10-17 | 2019-10-18 | $17.46 | $17.13 | 0.65% | 2 | |
| 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 | 2018-12-17 | $24.38 | $23.23 | -3.14% | 2 | |
| 2018-12-11 | 2018-12-12 | $24.45 | $24.44 | 0.24% | 2 | |
| 2018-12-07 | 2018-12-10 | $23.86 | $24.34 | -1.60% | 2 | |
| 2018-12-04 | 2018-12-06 | $23.98 | $24.20 | 0.14% | 2 | |
| 2018-10-30 | 2018-11-26 | $21.99 | $23.07 | -2.89% | 19 | |
| 2018-08-08 | 2018-08-15 | $24.69 | $22.58 | -8.60% | 6 | |
| 2018-06-12 | 2018-07-05 | $22.85 | $20.61 | -6.58% | 17 | |
| 2018-06-07 | 2018-06-08 | $21.07 | $21.18 | -1.27% | 2 | |
| 2018-02-27 | 2018-02-28 | $23.40 | $22.87 | -2.00% | 2 | |
| 2018-02-01 | 2018-02-05 | $23.28 | $22.21 | -3.18% | 3 | |
| 2018-01-24 | 2018-01-25 | $23.06 | $22.51 | -2.15% | 2 | |
| 2018-01-22 | 2018-01-23 | $23.44 | $23.52 | 0.24% | 2 | |
| 2017-09-19 | 2017-09-22 | $25.01 | $23.41 | -5.00% | 4 | |
| 2017-09-15 | 2017-09-18 | $25.32 | $25.67 | 0.37% | 2 | |
| 2017-06-06 | 2017-06-28 | $23.52 | $24.75 | 4.13% | 17 | |
| 2017-05-31 | 2017-06-01 | $22.73 | $22.69 | 1.56% | 2 | |
| 2017-05-11 | 2017-05-12 | $21.54 | $21.65 | -0.85% | 2 | |
| 2017-04-04 | 2017-05-03 | $20.25 | $20.73 | 6.61% | 21 | |
| 2016-12-27 | 2017-02-23 | $14.64 | $17.07 | 27.95% | 40 | |
| 2016-12-21 | 2016-12-22 | $13.85 | $13.90 | -0.72% | 2 | |
| 2016-03-18 | 2016-04-19 | $15.52 | $16.49 | 11.93% | 22 | |
| 2016-01-04 | 2016-01-05 | $14.89 | $14.90 | -7.11% | 2 | |
| 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 | |
| 2015-06-26 | 2015-06-29 | $17.81 | $17.47 | -0.83% | 2 | |
| 2015-06-24 | 2015-06-25 | $17.68 | $17.92 | -1.13% | 2 | |
| 2015-06-22 | 2015-06-23 | $17.32 | $17.84 | -1.24% | 2 | |
| 2015-06-18 | 2015-06-19 | $17.46 | $17.50 | 0.37% | 2 | |
| 2015-06-09 | 2015-06-10 | $17.07 | $16.71 | -0.31% | 2 | |
| 2015-05-29 | 2015-06-03 | $16.72 | $16.60 | -1.43% | 4 | |
| 2015-04-23 | 2015-05-27 | $14.57 | $16.50 | 12.54% | 24 | |
| 2014-08-07 | 2014-09-10 | $16.83 | $18.74 | 11.65% | 24 | |
| 2014-06-18 | 2014-07-08 | $15.14 | $14.60 | -4.08% | 14 | |
| 2014-01-31 | 2014-03-24 | $12.09 | $14.68 | 24.93% | 36 | |
| 2014-01-22 | 2014-01-28 | $11.90 | $11.89 | -4.19% | 5 | |
| 2013-09-20 | 2013-10-03 | $12.23 | $11.55 | 1.50% | 10 | |
| 2013-07-30 | 2013-09-09 | $8.78 | $10.71 | 23.78% | 29 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -7.12% | 11 | |
| 2013-04-17 | 2013-06-12 | $3.03 | $6.52 | 106.80% | 40 | |
| 2013-04-02 | 2013-04-08 | $2.96 | $2.79 | -6.01% | 5 | |
| 2013-02-04 | 2013-02-19 | $2.52 | $2.62 | -3.48% | 11 | |
| 2013-01-29 | 2013-02-01 | $2.53 | $2.55 | -1.56% | 4 | |
| 2013-01-24 | 2013-01-25 | $2.47 | $2.47 | 2.55% | 2 | |
| 2013-01-03 | 2013-01-04 | $2.32 | $2.29 | -1.87% | 2 | |
| 2012-12-12 | 2012-12-14 | $2.35 | $2.25 | -4.92% | 3 | |
| 2012-11-20 | 2012-12-05 | $2.20 | $2.25 | 2.77% | 11 | |
| 2012-07-16 | 2012-07-18 | $2.40 | $2.14 | -2.82% | 3 | |
| 2012-04-04 | 2012-04-05 | $2.33 | $2.30 | -8.11% | 2 | |
| 2012-03-27 | 2012-03-30 | $2.53 | $2.48 | -0.39% | 4 | |
| 2012-03-13 | 2012-03-15 | $2.41 | $2.33 | -2.20% | 3 | |
| 2012-02-21 | 2012-03-06 | $2.30 | $2.21 | -3.63% | 11 |