Strategy Zoo / S0992
PriceMomentum_V0992
ARCHIVEDhybridstructuralreplaced exit rule with: roll_high_50 > close
Fitness
0.5979
Generation
45
Complexity
4
Created
2026-10-01
Lineage
Parents (1)
changed ret_20d threshold -0.0017 -> -0.1499
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0992 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and ret_20d > 0.05:
position = 1.0
if long and roll_high_50 > close:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 21.2% | 49.0% | 1.5% | 20.9% |
| Total Return | 363.5% | 230.9% | 5.8% | 1521.7% |
| Sharpe | 1.11 | 1.29 | 0.17 | 0.95 |
| Sortino | 1.04 | 0.99 | 0.08 | 0.63 |
| Calmar | 1.77 | 1.49 | 0.06 | 0.64 |
| Volatility | 18.7% | 35.8% | 15.7% | 22.7% |
| Max DD | -11.9% | -32.8% | -25.1% | -32.8% |
| Win Rate | 52.7% | 58.8% | 35.7% | 52.9% |
| Avg Win | 4.4% | 5.2% | 6.4% | 4.9% |
| Avg Loss | -1.7% | -3.2% | -3.0% | -2.4% |
| Payoff | 2.59 | 1.61 | 2.12 | 2.02 |
| Expectancy | 1.5% | 1.7% | 0.4% | 1.4% |
| Profit Factor | 2.88 | 2.30 | 1.18 | 2.27 |
| Trades | 112 | 80 | 28 | 221 |
| Avg Holding Days | 2.5 | 2.5 | 2.7 | 2.6 |
| Turnover | 28.2 | 53.3 | 15.0 | 30.0 |
| Exposure | 8.6% | 16.3% | 5.1% | 9.3% |
Growth of $100
PriceMomentum_V0992 vs TSLA Buy & Hold
PriceMomentum_V0992 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 | 17.9% | 1.13 | -8.8% | 37 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 9.2% | 1.83 | -0.9% | 2 |
| 2020 | 205.3% | 2.17 | -32.8% | 71 |
| 2021 | 4.3% | 0.35 | -15.9% | 9 |
| 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 | -43.8% | -1.36 | 30% |
| hidden test | EXTREME | 48 | 147.8% | 2.72 | 46% |
| hidden test | HIGH VOLATILITY | 254 | 18.5% | 0.80 | 8% |
| hidden test | LOW VOLATILITY | 434 | 12.2% | 1.61 | 3% |
| hidden test | MEDIUM VOLATILITY | 251 | -29.5% | -1.75 | 6% |
| hidden test | NORMAL | 808 | -1.1% | -0.57 | 0% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 6.9% | 0.28 | 13% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 35.6% | 1.46 | 34% |
| train | EXTREME | 100 | 318.4% | 4.56 | 64% |
| train | HIGH VOLATILITY | 699 | 49.6% | 1.74 | 12% |
| train | LOW VOLATILITY | 745 | 8.2% | 1.01 | 7% |
| train | MEDIUM VOLATILITY | 568 | 2.1% | 0.17 | 7% |
| train | NORMAL | 1,601 | -0.6% | -0.51 | 0% |
| train | SIDEWAYS | 592 | 0.0% | 0.00 | 0% |
| train | UPTREND | 902 | 46.5% | 1.67 | 19% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 16.1% | 0.36 | 36% |
| validation | EXTREME | 144 | 227.6% | 3.33 | 51% |
| validation | HIGH VOLATILITY | 258 | 74.2% | 1.40 | 22% |
| validation | LOW VOLATILITY | 183 | 18.1% | 1.43 | 5% |
| validation | MEDIUM VOLATILITY | 315 | 39.9% | 1.51 | 18% |
| validation | NORMAL | 474 | 0.0% | 0.00 | 0% |
| validation | SIDEWAYS | 206 | -0.1% | -1.11 | 0% |
| validation | UPTREND | 425 | 82.4% | 1.73 | 29% |
Trades (full period)
latest 100 of 221
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.89% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-10-10 | 2025-10-13 | $413.49 | $435.90 | -5.26% | 2 | |
| 2025-10-08 | 2025-10-09 | $438.69 | $435.54 | 1.09% | 2 | |
| 2025-10-06 | 2025-10-07 | $453.25 | $433.09 | 5.24% | 2 | |
| 2025-09-29 | 2025-10-03 | $443.21 | $429.83 | -1.20% | 5 | |
| 2025-09-25 | 2025-09-26 | $423.39 | $440.40 | -4.58% | 2 | |
| 2025-09-22 | 2025-09-24 | $434.21 | $442.79 | -0.25% | 3 | |
| 2025-09-15 | 2025-09-19 | $410.04 | $426.07 | 5.07% | 5 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -3.54% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.85% | 2 | |
| 2025-01-07 | 2025-01-08 | $394.36 | $394.94 | -4.26% | 2 | |
| 2025-01-03 | 2025-01-06 | $410.44 | $411.05 | 8.01% | 2 | |
| 2024-12-31 | 2025-01-02 | $403.84 | $379.28 | -3.45% | 2 | |
| 2024-12-27 | 2024-12-30 | $431.66 | $417.41 | -5.14% | 2 | |
| 2024-12-24 | 2024-12-26 | $462.28 | $454.13 | 7.15% | 2 | |
| 2024-12-20 | 2024-12-23 | $421.06 | $430.60 | -3.66% | 2 | |
| 2024-12-16 | 2024-12-19 | $463.02 | $436.17 | 0.70% | 4 | |
| 2024-12-05 | 2024-12-13 | $369.49 | $436.23 | 16.58% | 7 | |
| 2024-12-02 | 2024-12-04 | $357.09 | $357.93 | 1.61% | 3 | |
| 2024-11-27 | 2024-11-29 | $332.89 | $345.16 | -1.78% | 2 | |
| 2024-11-22 | 2024-11-26 | $352.56 | $338.23 | -0.50% | 3 | |
| 2024-11-20 | 2024-11-21 | $342.03 | $339.64 | -1.35% | 2 | |
| 2024-11-18 | 2024-11-19 | $338.74 | $346.00 | 5.41% | 2 | |
| 2024-11-14 | 2024-11-15 | $311.18 | $320.72 | -5.97% | 2 | |
| 2024-11-07 | 2024-11-13 | $296.91 | $330.24 | 13.63% | 5 | |
| 2021-02-04 | 2021-02-05 | $283.33 | $284.08 | -0.75% | 2 | |
| 2021-02-02 | 2021-02-03 | $290.93 | $284.90 | 3.72% | 2 | |
| 2021-01-29 | 2021-02-01 | $264.51 | $279.94 | -5.21% | 2 | |
| 2021-01-26 | 2021-01-28 | $294.36 | $278.48 | -2.09% | 3 | |
| 2021-01-22 | 2021-01-25 | $282.21 | $293.60 | -0.00% | 2 | |
| 2021-01-20 | 2021-01-21 | $283.48 | $281.66 | 0.50% | 2 | |
| 2021-01-15 | 2021-01-19 | $275.39 | $281.52 | -2.43% | 2 | |
| 2021-01-13 | 2021-01-14 | $284.80 | $281.67 | 0.38% | 2 | |
| 2021-01-04 | 2021-01-12 | $243.26 | $283.15 | 14.73% | 7 | |
| 2020-12-30 | 2020-12-31 | $231.59 | $235.22 | 4.12% | 2 | |
| 2020-12-28 | 2020-12-29 | $221.23 | $222.00 | 0.09% | 2 | |
| 2020-12-23 | 2020-12-24 | $215.33 | $220.59 | 0.68% | 2 | |
| 2020-12-17 | 2020-12-22 | $218.63 | $213.45 | 4.15% | 4 | |
| 2020-12-15 | 2020-12-16 | $211.08 | $207.59 | -1.23% | 2 | |
| 2020-12-11 | 2020-12-14 | $203.33 | $213.28 | -2.92% | 2 | |
| 2020-12-04 | 2020-12-10 | $199.68 | $209.02 | 1.67% | 5 | |
| 2020-12-02 | 2020-12-03 | $189.61 | $197.79 | -2.92% | 2 | |
| 2020-11-24 | 2020-12-01 | $185.13 | $194.92 | 8.56% | 5 | |
| 2020-11-19 | 2020-11-23 | $166.42 | $173.95 | 0.41% | 3 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.54% | 2 | |
| 2020-10-16 | 2020-10-19 | $146.56 | $143.61 | -2.25% | 2 | |
| 2020-10-13 | 2020-10-14 | $148.88 | $153.77 | 0.78% | 2 | |
| 2020-10-09 | 2020-10-12 | $144.67 | $147.43 | 1.70% | 2 | |
| 2020-10-07 | 2020-10-08 | $141.77 | $141.97 | 2.53% | 2 | |
| 2020-09-22 | 2020-09-23 | $141.41 | $126.79 | -5.79% | 2 | |
| 2020-09-18 | 2020-09-21 | $147.38 | $149.80 | 4.22% | 2 | |
| 2020-09-16 | 2020-09-17 | $147.25 | $141.14 | -1.98% | 2 | |
| 2020-09-14 | 2020-09-15 | $139.87 | $149.92 | 12.37% | 2 | |
| 2020-09-10 | 2020-09-11 | $123.78 | $124.24 | 1.18% | 2 | |
| 2020-09-08 | 2020-09-09 | $110.07 | $122.09 | -21.24% | 2 | |
| 2020-09-03 | 2020-09-04 | $135.67 | $139.44 | -9.21% | 2 | |
| 2020-09-01 | 2020-09-02 | $158.35 | $149.12 | -4.86% | 2 | |
| 2020-08-26 | 2020-08-31 | $143.54 | $166.11 | 9.18% | 4 | |
| 2020-08-21 | 2020-08-25 | $136.67 | $134.89 | 0.42% | 3 | |
| 2020-08-14 | 2020-08-20 | $110.05 | $133.46 | 15.66% | 5 | |
| 2020-08-06 | 2020-08-07 | $99.31 | $96.85 | 0.11% | 2 | |
| 2020-08-04 | 2020-08-05 | $99.13 | $99.00 | -0.07% | 2 | |
| 2020-07-31 | 2020-08-03 | $95.38 | $99.00 | -4.01% | 2 | |
| 2020-07-29 | 2020-07-30 | $99.94 | $99.17 | 1.33% | 2 | |
| 2020-07-27 | 2020-07-28 | $102.64 | $98.43 | 8.44% | 2 | |
| 2020-07-23 | 2020-07-24 | $100.87 | $94.47 | -5.17% | 2 | |
| 2020-07-20 | 2020-07-22 | $109.53 | $106.16 | 4.30% | 3 | |
| 2020-07-15 | 2020-07-17 | $103.07 | $100.06 | -1.26% | 3 | |
| 2020-07-10 | 2020-07-14 | $102.98 | $101.12 | 7.17% | 3 | |
| 2020-07-01 | 2020-07-09 | $74.64 | $92.95 | 26.24% | 6 | |
| 2020-06-29 | 2020-06-30 | $67.29 | $71.99 | 4.96% | 2 | |
| 2020-06-25 | 2020-06-26 | $65.73 | $63.98 | 2.41% | 2 | |
| 2020-06-23 | 2020-06-24 | $66.79 | $64.06 | 0.55% | 2 | |
| 2020-06-19 | 2020-06-22 | $66.73 | $66.29 | -0.50% | 2 | |
| 2020-06-17 | 2020-06-18 | $66.12 | $66.93 | 0.78% | 2 | |
| 2020-06-15 | 2020-06-16 | $66.06 | $65.48 | 5.74% | 2 | |
| 2020-06-11 | 2020-06-12 | $64.86 | $62.35 | -5.29% | 2 | |
| 2020-06-08 | 2020-06-10 | $63.33 | $68.34 | 6.01% | 3 | |
| 2020-06-04 | 2020-06-05 | $57.63 | $59.04 | -2.30% | 2 | |
| 2020-06-01 | 2020-06-03 | $59.87 | $58.86 | 5.37% | 3 | |
| 2020-05-28 | 2020-05-29 | $53.72 | $55.67 | -1.96% | 2 | |
| 2020-05-21 | 2020-05-26 | $55.17 | $54.59 | -0.04% | 3 | |
| 2020-05-19 | 2020-05-20 | $53.87 | $54.37 | -0.89% | 2 | |
| 2020-05-15 | 2020-05-18 | $53.28 | $54.24 | -0.72% | 2 | |
| 2020-04-28 | 2020-04-29 | $51.27 | $53.37 | -3.91% | 2 | |
| 2020-04-24 | 2020-04-27 | $48.34 | $53.25 | 2.56% | 2 | |
| 2020-04-22 | 2020-04-23 | $48.81 | $47.04 | 6.40% | 2 | |
| 2020-04-20 | 2020-04-21 | $49.76 | $45.78 | -1.20% | 2 | |
| 2020-04-16 | 2020-04-17 | $49.68 | $50.26 | 1.91% | 2 | |
| 2020-04-14 | 2020-04-15 | $47.33 | $48.66 | 8.85% | 2 | |
| 2020-03-03 | 2020-03-04 | $49.70 | $49.97 | 0.05% | 2 | |
| 2020-02-28 | 2020-03-02 | $44.53 | $49.57 | -1.82% | 2 | |
| 2020-02-26 | 2020-02-27 | $51.92 | $45.27 | -2.84% | 2 | |
| 2020-02-24 | 2020-02-25 | $55.59 | $53.33 | -7.65% | 2 | |
| 2020-02-20 | 2020-02-21 | $59.96 | $60.07 | -2.16% | 2 | |
| 2020-02-18 | 2020-02-19 | $57.23 | $61.16 | 7.09% | 2 | |
| 2020-02-13 | 2020-02-14 | $53.60 | $53.34 | 4.58% | 2 |