Strategy Zoo / S0960
PriceMomentum_V0960
ARCHIVEDhybridcrossoverlogic of PriceMomentum_V0929 with risk overlay of PriceMomentum_V0758
Fitness
0.6170
Generation
44
Complexity
6
Created
2026-10-01
Lineage
Parents (2)
entry from PriceMomentum_V0570, exit from PriceMomentum_V0640
changed ret_20d threshold 0.05 -> -0.0506
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0960 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (ret_20d > -0.0506 and breakout_50 == 1):
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 18.0% | 83.4% | 5.9% | 25.9% |
| Total Return | 275.5% | 516.8% | 24.0% | 2856.7% |
| Sharpe | 0.86 | 1.67 | 0.41 | 1.00 |
| Sortino | 0.57 | 1.18 | 0.23 | 0.62 |
| Calmar | 0.58 | 2.47 | 0.27 | 0.77 |
| Volatility | 22.1% | 41.3% | 18.1% | 26.4% |
| Max DD | -30.9% | -33.7% | -21.7% | -33.7% |
| Win Rate | 40.0% | 100.0% | 40.0% | 52.6% |
| Avg Win | 49.7% | 60.0% | 23.6% | 50.8% |
| Avg Loss | -3.5% | 0.0% | -6.4% | -4.5% |
| Payoff | 10.00 | 5.00 | 3.71 | 10.00 |
| Expectancy | 17.8% | 60.0% | 5.6% | 24.6% |
| Profit Factor | 9.44 | 5.00 | 2.47 | 10.00 |
| Trades | 10 | 4 | 5 | 19 |
| Avg Holding Days | 27.2 | 45.0 | 19.0 | 29.4 |
| Turnover | 2.6 | 2.7 | 2.7 | 2.6 |
| Exposure | 13.5% | 23.3% | 9.6% | 14.5% |
Growth of $100
PriceMomentum_V0960 vs TSLA Buy & Hold
PriceMomentum_V0960 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 | 0.0% | 0.00 | 0.0% | 0 |
| 2017 | -19.5% | -0.90 | -24.7% | 6 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 9.5% | 1.31 | -3.8% | 0 |
| 2020 | 401.4% | 2.70 | -33.7% | 3 |
| 2021 | 18.1% | 0.99 | -10.1% | 1 |
| 2022 | 0.0% | 0.00 | 0.0% | 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 | 275 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | -5.5% | -0.13 | 67% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 14.9% | 0.59 | 16% |
| hidden test | LOW VOLATILITY | 434 | 19.0% | 2.11 | 4% |
| hidden test | MEDIUM VOLATILITY | 251 | -20.3% | -0.97 | 14% |
| hidden test | NORMAL | 808 | -1.8% | -0.81 | 0% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 18.7% | 0.65 | 24% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 8.6% | 0.24 | 55% |
| train | EXTREME | 100 | 380.3% | 5.23 | 96% |
| train | HIGH VOLATILITY | 699 | 40.8% | 1.27 | 18% |
| train | LOW VOLATILITY | 745 | 11.3% | 1.05 | 11% |
| train | MEDIUM VOLATILITY | 568 | 2.0% | 0.11 | 12% |
| train | NORMAL | 1,601 | -1.6% | -0.75 | 0% |
| train | SIDEWAYS | 592 | 0.0% | 0.00 | 0% |
| train | UPTREND | 902 | 42.2% | 1.28 | 30% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 69.1% | 1.29 | 51% |
| validation | EXTREME | 144 | 297.1% | 3.83 | 73% |
| validation | HIGH VOLATILITY | 258 | 83.1% | 1.38 | 29% |
| validation | LOW VOLATILITY | 183 | 21.5% | 1.65 | 7% |
| validation | MEDIUM VOLATILITY | 315 | 85.6% | 2.63 | 29% |
| validation | NORMAL | 474 | 0.0% | 0.00 | 0% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 123.1% | 2.24 | 41% |
Trades (full period)
19 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-10-29 | 2025-11-13 | $461.51 | $401.99 | -6.69% | 12 | |
| 2025-09-15 | 2025-10-23 | $410.04 | $448.98 | 10.65% | 29 | |
| 2025-05-28 | 2025-06-02 | $356.90 | $342.69 | -4.72% | 4 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 36.54% | 44 | |
| 2024-10-28 | 2024-11-04 | $262.51 | $242.84 | -7.70% | 6 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-08-17 | 2020-09-24 | $122.38 | $129.26 | 14.99% | 28 | |
| 2020-05-22 | 2020-08-10 | $54.46 | $94.57 | 75.18% | 55 | |
| 2019-12-17 | 2020-03-04 | $25.27 | $49.97 | 95.02% | 53 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -7.75% | 6 | |
| 2017-05-31 | 2017-07-06 | $22.73 | $20.59 | -2.58% | 26 | |
| 2017-04-11 | 2017-05-24 | $20.58 | $20.68 | -2.93% | 31 | |
| 2017-04-04 | 2017-04-06 | $20.25 | $19.91 | -1.38% | 3 | |
| 2017-02-07 | 2017-02-28 | $17.17 | $16.67 | -4.67% | 15 | |
| 2017-01-25 | 2017-01-31 | $16.96 | $16.80 | -1.76% | 5 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 21.21% | 43 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 47.00% | 79 | |
| 2013-04-17 | 2013-06-26 | $3.03 | $7.05 | 124.16% | 50 | |
| 2013-01-24 | 2013-02-12 | $2.47 | $2.53 | 6.51% | 14 |