Strategy Zoo / S0980

PriceMomentum_V0980

ARCHIVEDhybrid

crossoverentry = PriceMomentum_V0817 OR PriceMomentum_V0227

Fitness

0.4944

Generation

Complexity

Created

2026-10-01

Lineage

Parents (2)

PriceMomentum_V0227S0227 · gen 11ARCHIVEDcrossover

logic of PriceMomentum_V0186 with risk overlay of PriceMomentum_V0160

PriceMomentum_V0817S0817 · gen 37ARCHIVEDcrossover

added exit filter: ret_20d < -0.025

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0980  [hybrid]
if flat and ((ret_20d > 0.05 and breakout_50 == 1) or (ret_20d > 0.05 and rel_volume > 1.2635)):
    position = 1.0
if long and (ret_20d < -0.1357 or roll_high_50 < sma_20):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	13.6%	85.4%	5.7%	23.5%
Total Return	177.6%	537.6%	22.9%	2140.3%
Sharpe	0.53	1.43	0.34	0.71
Sortino	0.64	1.64	0.42	0.85
Calmar	0.18	1.80	0.11	0.31
Volatility	37.1%	53.0%	42.1%	42.1%
Max DD	-76.6%	-47.6%	-52.7%	-76.6%
Win Rate	30.0%	62.5%	50.0%	42.1%
Avg Win	85.8%	74.1%	18.2%	69.1%
Avg Loss	-13.1%	-18.3%	-10.5%	-13.2%
Payoff	6.53	4.06	1.74	5.22
Expectancy	16.5%	39.5%	3.9%	21.4%
Profit Factor	2.80	6.76	1.74	3.80
Trades	20	8	10	38
Avg Holding Days	59.5	59.6	57.1	60.9
Turnover	5.1	5.3	5.6	5.2
Exposure	62.0%	62.0%	62.6%	62.2%

Growth of $100

PriceMomentum_V0980 vs TSLA Buy & Hold

PriceMomentum_V0980 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	-27.8%	-1.18	-41.0%	3
2017	15.7%	0.61	-34.5%	2
2018	-27.9%	-0.71	-42.4%	3
2019	33.6%	1.01	-28.7%	3
2020	636.1%	3.10	-33.7%	2
2021	21.8%	0.70	-36.1%	3
2022	-31.9%	-0.87	-36.4%	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	275	-1.0%	-0.03	36%
hidden test	EXPENSIVE	83	87.2%	1.84	75%
hidden test	EXTREME	48	189.8%	3.11	88%
hidden test	HIGH VOLATILITY	254	30.3%	0.56	55%
hidden test	LOW VOLATILITY	434	37.3%	1.15	65%
hidden test	MEDIUM VOLATILITY	251	-41.4%	-0.97	66%
hidden test	NORMAL	808	-3.5%	-0.09	60%
hidden test	SIDEWAYS	293	-34.3%	-0.91	63%
hidden test	UPTREND	371	64.2%	1.30	82%
train	DOWNTREND	518	-30.4%	-1.33	35%
train	EXPENSIVE	311	63.2%	1.55	78%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	35.2%	0.76	49%
train	LOW VOLATILITY	745	32.3%	1.15	73%
train	MEDIUM VOLATILITY	568	-16.4%	-0.48	63%
train	NORMAL	1,601	-13.7%	-0.43	56%
train	SIDEWAYS	592	-30.0%	-0.96	51%
train	UPTREND	902	80.8%	1.77	85%
validation	DOWNTREND	125	48.7%	1.87	22%
validation	EXPENSIVE	138	63.6%	1.16	60%
validation	EXTREME	144	363.1%	4.31	94%
validation	HIGH VOLATILITY	258	99.6%	1.44	54%
validation	LOW VOLATILITY	183	46.9%	1.60	74%
validation	MEDIUM VOLATILITY	315	73.2%	1.51	62%
validation	NORMAL	474	-7.9%	-0.21	53%
validation	SIDEWAYS	206	-61.8%	-1.65	52%
validation	UPTREND	425	150.5%	2.36	79%

Trades (full period)

39 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	-2.86%	27	OPEN
2026-04-20	2026-06-26	$392.50	$379.71	-6.55%	48
2025-05-12	2026-04-09	$318.38	$345.62	14.86%	229
2025-04-08	2025-04-23	$221.86	$250.74	1.80%	11
2024-11-07	2025-01-28	$296.91	$398.09	37.37%	54
2024-09-06	2024-10-23	$210.73	$213.65	-5.50%	34
2024-04-30	2024-08-05	$183.28	$198.88	6.80%	67
2023-12-28	2024-01-18	$253.18	$211.88	-17.72%	14
2023-09-12	2023-10-20	$267.48	$211.99	-19.71%	29
2023-05-24	2023-08-14	$182.90	$239.76	30.36%	56
2023-01-30	2023-03-10	$166.66	$173.44	-3.00%	29
2022-06-22	2022-10-06	$236.09	$238.13	1.39%	75
2022-03-23	2022-04-27	$333.04	$293.84	-12.00%	25
2022-01-04	2022-01-26	$383.20	$312.47	-23.61%	16
2021-06-24	2021-12-06	$226.61	$336.34	54.28%	115
2021-04-14	2021-05-12	$244.08	$196.63	-19.20%	21
2020-11-19	2021-02-23	$166.42	$232.95	46.53%	64
2020-04-15	2020-09-30	$48.66	$143.00	194.58%	118
2019-09-12	2020-03-05	$16.39	$48.30	202.71%	121
2019-07-05	2019-08-15	$15.54	$14.38	-6.69%	30
2019-02-28	2019-03-07	$21.33	$18.44	-12.41%	6
2018-10-29	2019-01-04	$22.32	$21.18	-9.41%	46
2018-08-03	2018-09-05	$23.21	$18.72	-17.50%	23
2018-06-07	2018-07-30	$21.07	$19.34	-7.17%	37
2017-12-12	2018-03-26	$22.74	$20.28	-8.50%	71
2017-08-04	2017-11-03	$23.79	$20.41	-13.95%	65
2016-10-04	2017-07-07	$14.09	$20.88	44.23%	191
2016-06-08	2016-06-27	$15.70	$13.24	-17.03%	14
2016-03-18	2016-05-05	$15.52	$14.10	-1.88%	34
2015-12-17	2016-01-21	$15.56	$13.33	-15.44%	23
2015-09-22	2015-10-13	$17.40	$14.62	-18.57%	16
2015-02-11	2015-08-26	$14.19	$14.99	1.52%	137
2014-11-12	2014-12-11	$16.61	$13.93	-16.59%	21
2014-06-13	2014-10-01	$13.76	$16.02	19.00%	77
2014-01-15	2014-03-27	$10.94	$13.82	31.79%	50
2012-11-06	2013-10-29	$2.08	$10.96	415.98%	247
2012-09-18	2012-10-16	$2.09	$1.87	-16.18%	21
2012-06-21	2012-08-02	$2.15	$1.74	-22.45%	30
2012-02-13	2012-04-25	$2.10	$2.19	2.11%	51