Strategy Zoo / S0970
PriceMomentum_V0970
ARCHIVEDhybridstructuraladded entry filter: sma_200 > roll_low_50
Fitness
0.5816
Generation
44
Complexity
27
Created
2026-10-01
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.3135
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0970 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ((((ret_20d > 0.05 and rel_volume > 1.2635) or (((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > -0.3135)) or ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.1) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_1d > 0.0336)) and sma_200 > roll_low_50):
position = 1.0
if long and ret_20d < -0.006:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 14.4% | 72.6% | 5.1% | 22.0% |
| Total Return | 192.3% | 413.9% | 20.5% | 1762.5% |
| Sharpe | 0.69 | 1.61 | 0.32 | 0.83 |
| Sortino | 0.59 | 1.41 | 0.23 | 0.66 |
| Calmar | 0.36 | 2.67 | 0.12 | 0.50 |
| Volatility | 23.3% | 38.3% | 29.9% | 28.7% |
| Max DD | -40.2% | -27.2% | -43.8% | -43.8% |
| Win Rate | 44.1% | 45.5% | 43.5% | 44.1% |
| Avg Win | 11.4% | 52.6% | 12.8% | 21.2% |
| Avg Loss | -3.7% | -6.5% | -7.2% | -5.4% |
| Payoff | 3.05 | 8.05 | 1.78 | 3.96 |
| Expectancy | 2.9% | 20.3% | 1.5% | 6.4% |
| Profit Factor | 2.41 | 6.71 | 1.37 | 3.13 |
| Trades | 34 | 11 | 23 | 68 |
| Avg Holding Days | 13.6 | 21.8 | 11.7 | 15.0 |
| Turnover | 8.6 | 7.3 | 12.3 | 9.2 |
| Exposure | 23.6% | 30.3% | 26.2% | 25.7% |
Growth of $100
PriceMomentum_V0970 vs TSLA Buy & Hold
PriceMomentum_V0970 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 | 28.5% | 1.87 | -11.0% | 6 |
| 2017 | 8.3% | 0.71 | -12.5% | 1 |
| 2018 | -30.3% | -1.42 | -30.4% | 8 |
| 2019 | 51.5% | 2.26 | -8.5% | 3 |
| 2020 | 281.0% | 2.66 | -27.2% | 3 |
| 2021 | 54.5% | 1.73 | -17.6% | 2 |
| 2022 | -13.2% | -0.56 | -16.9% | 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 | 275 | -24.5% | -0.94 | 28% |
| hidden test | EXPENSIVE | 83 | 45.3% | 1.15 | 51% |
| hidden test | EXTREME | 48 | 114.5% | 2.37 | 54% |
| hidden test | HIGH VOLATILITY | 254 | -36.9% | -0.96 | 32% |
| hidden test | LOW VOLATILITY | 434 | 40.8% | 1.98 | 20% |
| hidden test | MEDIUM VOLATILITY | 251 | 2.4% | 0.07 | 31% |
| hidden test | NORMAL | 808 | -0.4% | -0.01 | 22% |
| hidden test | SIDEWAYS | 293 | -2.4% | -0.16 | 3% |
| hidden test | UPTREND | 371 | 44.2% | 1.11 | 43% |
| train | DOWNTREND | 518 | 10.6% | 0.84 | 15% |
| train | EXPENSIVE | 311 | 44.7% | 1.77 | 28% |
| train | EXTREME | 100 | 149.3% | 2.41 | 34% |
| train | HIGH VOLATILITY | 699 | 29.5% | 0.96 | 19% |
| train | LOW VOLATILITY | 745 | 23.7% | 1.29 | 35% |
| train | MEDIUM VOLATILITY | 568 | -10.5% | -0.60 | 15% |
| train | NORMAL | 1,601 | 2.2% | 0.12 | 22% |
| train | SIDEWAYS | 592 | -3.9% | -0.36 | 3% |
| train | UPTREND | 902 | 32.3% | 1.00 | 42% |
| validation | DOWNTREND | 125 | 43.5% | 1.99 | 14% |
| validation | EXPENSIVE | 138 | 21.6% | 1.11 | 11% |
| validation | EXTREME | 144 | 241.9% | 3.38 | 67% |
| validation | HIGH VOLATILITY | 258 | 83.0% | 1.58 | 31% |
| validation | LOW VOLATILITY | 183 | 39.3% | 1.88 | 39% |
| validation | MEDIUM VOLATILITY | 315 | 57.5% | 1.79 | 24% |
| validation | NORMAL | 474 | 18.8% | 0.74 | 25% |
| validation | SIDEWAYS | 206 | -10.0% | -0.99 | 3% |
| validation | UPTREND | 425 | 102.0% | 2.08 | 48% |
Trades (full period)
68 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | — | -2.96% | 27 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-05 | 2026-05-08 | $389.37 | $428.35 | 4.70% | 4 | |
| 2025-11-03 | 2025-11-13 | $468.37 | $401.99 | -5.87% | 9 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-09-12 | 2025-10-23 | $395.94 | $448.98 | 18.79% | 30 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2025-05-06 | 2025-05-12 | $275.35 | $318.38 | 6.21% | 5 | |
| 2025-04-30 | 2025-05-02 | $282.16 | $287.21 | -4.14% | 3 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2024-11-29 | 2025-01-13 | $345.16 | $403.31 | 18.35% | 29 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.71% | 8 | |
| 2024-09-04 | 2024-09-27 | $219.41 | $260.46 | 20.48% | 18 | |
| 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 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2024-02-27 | 2024-03-07 | $199.73 | $178.65 | -11.64% | 8 | |
| 2023-07-26 | 2023-08-02 | $264.35 | $254.11 | -1.78% | 6 | |
| 2023-06-02 | 2023-07-24 | $213.97 | $269.06 | 25.05% | 35 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-01-30 | 2023-02-10 | $166.66 | $196.89 | 16.30% | 10 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 3 | |
| 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 | |
| 2022-07-14 | 2022-08-02 | $238.31 | $300.59 | 25.16% | 14 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -2.04% | 6 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -14.86% | 12 | |
| 2021-08-24 | 2021-12-01 | $236.16 | $365.00 | 61.75% | 70 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-05-15 | 2020-08-10 | $53.28 | $94.57 | 80.47% | 60 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 148.29% | 89 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2019-09-27 | 2019-10-10 | $16.14 | $16.32 | 0.61% | 10 | |
| 2019-07-05 | 2019-07-22 | $15.54 | $17.05 | 9.69% | 12 | |
| 2018-11-29 | 2018-12-19 | $22.74 | $22.20 | -3.31% | 14 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-08-22 | 2018-08-28 | $21.44 | $20.79 | -1.02% | 5 | |
| 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 | |
| 2018-06-07 | 2018-06-12 | $21.07 | $22.85 | 3.73% | 4 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-01-05 | 2017-02-28 | $15.12 | $16.67 | 8.26% | 37 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 10.57% | 10 | |
| 2016-07-26 | 2016-08-17 | $15.30 | $14.88 | -2.98% | 17 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-05-03 | $17.03 | $15.49 | -2.29% | 21 | |
| 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 | |
| 2015-12-03 | 2015-12-29 | $15.51 | $15.81 | -1.51% | 18 | |
| 2015-11-30 | 2015-12-02 | $15.35 | $15.47 | 2.20% | 3 | |
| 2015-05-11 | 2015-07-27 | $15.97 | $16.87 | 11.95% | 54 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-23 | 2015-04-28 | $14.57 | $15.37 | 5.31% | 4 | |
| 2015-04-09 | 2015-04-14 | $14.01 | $13.83 | 0.82% | 4 | |
| 2015-02-11 | 2015-02-25 | $14.19 | $13.58 | -5.82% | 10 | |
| 2014-06-23 | 2014-07-16 | $15.81 | $14.48 | -4.55% | 17 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 21.21% | 43 | |
| 2013-05-07 | 2013-06-26 | $3.70 | $7.05 | 71.74% | 36 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2012-12-18 | 2012-12-31 | $2.31 | $2.26 | -3.62% | 9 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-08-31 | 2012-09-06 | $1.90 | $1.90 | -1.85% | 4 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | -3.32% | 33 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |