Strategy Zoo / S0975
PriceMomentum_V0975
ARCHIVEDmomentumparameterchanged ret_20d threshold 0.05 -> 0.1766; changed ret_20d threshold 0.1766 -> 0.3
Fitness
0.5007
Generation
44
Complexity
3
Created
2026-10-01
Lineage
Parents (1)
changed ret_20d threshold -0.1437 -> -0.006
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0975 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_20d > 0.3:
position = 1.0
if long and ret_20d < -0.006:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.1% | 48.5% | 12.9% | 22.0% |
| Total Return | 251.6% | 227.5% | 56.9% | 1760.5% |
| Sharpe | 0.84 | 1.16 | 0.61 | 0.86 |
| Sortino | 0.51 | 0.82 | 0.32 | 0.49 |
| Calmar | 0.60 | 1.44 | 0.40 | 0.65 |
| Volatility | 21.2% | 41.8% | 24.9% | 27.5% |
| Max DD | -28.4% | -33.7% | -32.3% | -33.7% |
| Win Rate | 50.0% | 62.5% | 66.7% | 59.1% |
| Avg Win | 44.2% | 34.6% | 19.0% | 36.9% |
| Avg Loss | -6.9% | -6.7% | -10.7% | -7.7% |
| Payoff | 6.45 | 5.13 | 1.76 | 4.80 |
| Expectancy | 18.7% | 19.1% | 9.1% | 18.6% |
| Profit Factor | 6.45 | 8.55 | 3.53 | 6.93 |
| Trades | 8 | 8 | 6 | 22 |
| Avg Holding Days | 24.3 | 24.3 | 24.0 | 26.3 |
| Turnover | 2.1 | 5.3 | 3.2 | 3.0 |
| Exposure | 11.5% | 24.6% | 14.7% | 15.0% |
Growth of $100
PriceMomentum_V0975 vs TSLA Buy & Hold
PriceMomentum_V0975 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 | 4.2% | 0.47 | -9.5% | 2 |
| 2017 | 0.0% | 0.00 | 0.0% | 0 |
| 2018 | -16.8% | -1.51 | -16.7% | 2 |
| 2019 | 27.4% | 1.74 | -8.5% | 0 |
| 2020 | 179.9% | 1.90 | -33.7% | 4 |
| 2021 | 32.5% | 1.16 | -17.6% | 2 |
| 2022 | -15.1% | -1.34 | -15.0% | 2 |
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 | 21.8% | 1.52 | 3% |
| hidden test | EXPENSIVE | 83 | -4.0% | -0.11 | 42% |
| hidden test | EXTREME | 48 | 183.4% | 3.26 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 6.8% | 0.18 | 24% |
| hidden test | LOW VOLATILITY | 434 | 29.7% | 2.19 | 9% |
| hidden test | MEDIUM VOLATILITY | 251 | -1.2% | -0.05 | 16% |
| hidden test | NORMAL | 808 | 7.2% | 0.36 | 9% |
| hidden test | SIDEWAYS | 293 | -9.9% | -0.73 | 1% |
| hidden test | UPTREND | 371 | 30.2% | 0.85 | 34% |
| train | DOWNTREND | 518 | 5.4% | 1.32 | 1% |
| train | EXPENSIVE | 311 | 12.0% | 0.41 | 27% |
| train | EXTREME | 100 | 335.9% | 4.69 | 75% |
| train | HIGH VOLATILITY | 699 | 39.7% | 1.25 | 18% |
| train | LOW VOLATILITY | 745 | 8.7% | 0.84 | 7% |
| train | MEDIUM VOLATILITY | 568 | 3.3% | 0.22 | 8% |
| train | NORMAL | 1,601 | -0.8% | -0.11 | 5% |
| train | SIDEWAYS | 592 | -2.8% | -0.54 | 1% |
| train | UPTREND | 902 | 38.6% | 1.24 | 24% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 54.9% | 1.07 | 46% |
| validation | EXTREME | 144 | 204.2% | 2.73 | 60% |
| validation | HIGH VOLATILITY | 258 | 68.7% | 1.11 | 34% |
| validation | LOW VOLATILITY | 183 | 14.6% | 1.67 | 3% |
| validation | MEDIUM VOLATILITY | 315 | 51.1% | 1.62 | 29% |
| validation | NORMAL | 474 | -1.0% | -0.06 | 8% |
| validation | SIDEWAYS | 206 | 4.7% | 1.04 | 1% |
| validation | UPTREND | 425 | 83.6% | 1.51 | 43% |
Trades (full period)
22 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-22 | 2025-10-23 | $434.21 | $448.98 | 2.82% | 24 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2024-11-11 | 2025-01-13 | $350.00 | $403.31 | 22.65% | 42 | |
| 2024-07-03 | 2024-08-02 | $246.39 | $207.67 | -6.41% | 22 | |
| 2023-06-05 | 2023-07-24 | $217.61 | $269.06 | 21.28% | 34 | |
| 2023-01-27 | 2023-02-10 | $177.90 | $196.89 | 29.11% | 11 | |
| 2022-08-01 | 2022-08-02 | $297.28 | $300.59 | -0.16% | 2 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -14.86% | 12 | |
| 2021-10-27 | 2021-12-01 | $345.95 | $365.00 | 12.18% | 25 | |
| 2020-11-25 | 2021-02-09 | $191.33 | $283.15 | 55.16% | 51 | |
| 2020-08-21 | 2020-09-24 | $136.67 | $129.26 | -5.18% | 24 | |
| 2020-07-06 | 2020-08-10 | $91.44 | $94.57 | 19.97% | 26 | |
| 2020-04-15 | 2020-04-30 | $48.66 | $52.13 | 12.54% | 12 | |
| 2019-10-28 | 2020-03-04 | $21.85 | $49.97 | 126.75% | 88 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-06-19 | 2018-07-05 | $23.50 | $20.61 | -16.34% | 12 | |
| 2016-04-07 | 2016-05-03 | $17.15 | $15.49 | -9.08% | 19 | |
| 2016-03-09 | 2016-03-21 | $13.91 | $15.89 | 14.65% | 9 | |
| 2014-02-11 | 2014-03-26 | $13.11 | $14.20 | 11.92% | 31 | |
| 2013-07-15 | 2013-10-22 | $8.48 | $11.44 | 32.60% | 71 | |
| 2013-04-19 | 2013-06-26 | $3.19 | $7.05 | 117.58% | 48 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |