Strategy Zoo / S0970

PriceMomentum_V0970

ARCHIVEDhybrid

structuraladded entry filter: sma_200 > roll_low_50

Fitness
0.5816
Generation
44
Complexity
27
Created
2026-10-01

Lineage

Parents (1)
PriceMomentum_V0794S0794 · gen 36ARCHIVEDstructural

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 cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR14.4%72.6%5.1%22.0%
Total Return192.3%413.9%20.5%1762.5%
Sharpe0.691.610.320.83
Sortino0.591.410.230.66
Calmar0.362.670.120.50
Volatility23.3%38.3%29.9%28.7%
Max DD-40.2%-27.2%-43.8%-43.8%
Win Rate44.1%45.5%43.5%44.1%
Avg Win11.4%52.6%12.8%21.2%
Avg Loss-3.7%-6.5%-7.2%-5.4%
Payoff3.058.051.783.96
Expectancy2.9%20.3%1.5%6.4%
Profit Factor2.416.711.373.13
Trades34112368
Avg Holding Days13.621.811.715.0
Turnover8.67.312.39.2
Exposure23.6%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
YearCAGRSharpeMax DDTrades
201628.5%1.87-11.0%6
20178.3%0.71-12.5%1
2018-30.3%-1.42-30.4%8
201951.5%2.26-8.5%3
2020281.0%2.66-27.2%3
202154.5%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

PeriodRegimeDaysAnn. ReturnSharpeExposure
hidden testDOWNTREND275-24.5%-0.9428%
hidden testEXPENSIVE8345.3%1.1551%
hidden testEXTREME48114.5%2.3754%
hidden testHIGH VOLATILITY254-36.9%-0.9632%
hidden testLOW VOLATILITY43440.8%1.9820%
hidden testMEDIUM VOLATILITY2512.4%0.0731%
hidden testNORMAL808-0.4%-0.0122%
hidden testSIDEWAYS293-2.4%-0.163%
hidden testUPTREND37144.2%1.1143%
trainDOWNTREND51810.6%0.8415%
trainEXPENSIVE31144.7%1.7728%
trainEXTREME100149.3%2.4134%
trainHIGH VOLATILITY69929.5%0.9619%
trainLOW VOLATILITY74523.7%1.2935%
trainMEDIUM VOLATILITY568-10.5%-0.6015%
trainNORMAL1,6012.2%0.1222%
trainSIDEWAYS592-3.9%-0.363%
trainUPTREND90232.3%1.0042%
validationDOWNTREND12543.5%1.9914%
validationEXPENSIVE13821.6%1.1111%
validationEXTREME144241.9%3.3867%
validationHIGH VOLATILITY25883.0%1.5831%
validationLOW VOLATILITY18339.3%1.8839%
validationMEDIUM VOLATILITY31557.5%1.7924%
validationNORMAL47418.8%0.7425%
validationSIDEWAYS206-10.0%-0.993%
validationUPTREND425102.0%2.0848%

Trades (full period)

68 trades
EntryExitEntry PxExit PxReturnDays
2026-08-242026-09-30$348.95—-2.96%27
2026-05-292026-06-01$435.79$415.88-1.63%2
2026-05-052026-05-08$389.37$428.354.70%4
2025-11-032025-11-13$468.37$401.99-5.87%9
2025-10-242025-10-27$433.72$452.42-3.60%2
2025-09-122025-10-23$395.94$448.9818.79%30
2025-09-042025-09-05$338.53$350.841.13%2
2025-05-222025-06-06$341.04$295.14-15.09%11
2025-05-062025-05-12$275.35$318.386.21%5
2025-04-302025-05-02$282.16$287.21-4.14%3
2025-04-102025-04-22$252.40$237.97-16.60%8
2025-04-082025-04-09$221.86$272.20-5.09%2
2024-11-292025-01-13$345.16$403.3118.35%29
2024-10-032024-10-14$240.66$219.16-12.71%8
2024-09-042024-09-27$219.41$260.4620.48%18
2024-07-022024-08-02$231.26$207.673.14%23
2024-05-152024-05-29$173.99$176.19-0.65%10
2024-04-302024-05-10$183.28$168.47-11.56%9
2024-02-272024-03-07$199.73$178.65-11.64%8
2023-07-262023-08-02$264.35$254.11-1.78%6
2023-06-022023-07-24$213.97$269.0625.05%35
2023-05-192023-05-31$180.14$203.9313.50%8
2023-01-302023-02-10$166.66$196.8916.30%10
2022-09-212022-09-23$300.80$275.33-6.71%3
2022-08-162022-08-22$306.56$289.91-4.28%5
2022-08-052022-08-08$288.17$290.42-6.82%2
2022-07-142022-08-02$238.31$300.5925.16%14
2022-06-222022-06-29$236.09$228.49-2.04%6
2022-04-052022-04-21$363.75$336.26-14.86%12
2021-08-242021-12-01$236.16$365.0061.75%70
2021-08-052021-08-23$238.21$235.43-4.50%13
2020-05-152020-08-10$53.28$94.5780.47%60
2020-04-142020-04-30$47.33$52.1322.74%13
2019-10-252020-03-04$21.88$49.97148.29%89
2019-10-212019-10-22$16.90$17.04-1.54%2
2019-09-272019-10-10$16.14$16.320.61%10
2019-07-052019-07-22$15.54$17.059.69%12
2018-11-292018-12-19$22.74$22.20-3.31%14
2018-11-192018-11-20$23.56$23.17-0.44%2
2018-08-222018-08-28$21.44$20.79-1.02%5
2018-08-032018-08-20$23.21$20.56-12.77%12
2018-06-152018-07-05$23.88$20.61-13.27%14
2018-06-072018-06-12$21.07$22.853.73%4
2018-04-272018-05-04$19.61$19.61-0.56%6
2018-02-012018-02-06$23.28$22.26-6.17%4
2017-01-052017-02-28$15.12$16.678.26%37
2016-12-142016-12-28$13.25$14.6510.57%10
2016-07-262016-08-17$15.30$14.88-2.98%17
2016-06-082016-06-09$15.70$15.291.17%2
2016-04-052016-05-03$17.03$15.49-2.29%21
2016-03-242016-03-28$15.18$15.352.12%2
2016-03-042016-03-21$13.40$15.8918.67%12
2015-12-032015-12-29$15.51$15.81-1.51%18
2015-11-302015-12-02$15.35$15.472.20%3
2015-05-112015-07-27$15.97$16.8711.95%54
2015-04-292015-05-01$15.50$15.07-2.12%3
2015-04-232015-04-28$14.57$15.375.31%4
2015-04-092015-04-14$14.01$13.830.82%4
2015-02-112015-02-25$14.19$13.58-5.82%10
2014-06-232014-07-16$15.81$14.48-4.55%17
2014-01-242014-03-26$11.64$14.2021.21%43
2013-05-072013-06-26$3.70$7.0571.74%36
2013-01-242013-02-22$2.47$2.41-2.53%21
2012-12-182012-12-31$2.31$2.26-3.62%9
2012-11-232012-12-14$2.14$2.253.30%16
2012-08-312012-09-06$1.90$1.90-1.85%4
2012-02-232012-04-10$2.30$2.16-3.32%33
2012-02-212012-02-22$2.30$2.28-1.54%2