Strategy Zoo / S0995

PriceMomentum_V0995

ARCHIVEDmomentum

parameterchanged ret_20d threshold -0.1357 -> -0.2165

Fitness

0.6585

Generation

Complexity

Created

2026-10-01

Lineage

Parents (1)

PriceMomentum_V0227S0227 · gen 11ARCHIVEDparameter

logic of PriceMomentum_V0186 with risk overlay of PriceMomentum_V0160

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0995  [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and rel_volume > 1.2635):
    position = 1.0
if long and (ret_20d < -0.2165 or roll_high_50 < sma_20):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	22.5%	86.0%	23.9%	34.1%
Total Return	406.5%	543.4%	122.4%	7363.6%
Sharpe	0.79	1.46	0.79	0.96
Sortino	0.80	1.46	0.78	0.95
Calmar	0.44	2.10	0.61	0.67
Volatility	32.4%	51.7%	34.7%	37.7%
Max DD	-51.2%	-41.0%	-39.1%	-51.2%
Win Rate	50.0%	100.0%	77.8%	64.9%
Avg Win	36.0%	38.8%	15.1%	33.0%
Avg Loss	-8.1%	0.0%	-6.8%	-7.9%
Payoff	4.46	5.00	2.21	4.18
Expectancy	14.0%	38.8%	10.2%	18.6%
Profit Factor	4.46	5.00	7.73	7.72
Trades	22	6	9	37
Avg Holding Days	39.7	59.5	34.6	42.9
Turnover	5.6	4.0	5.1	5.1
Exposure	44.6%	46.4%	35.0%	42.6%

Growth of $100

PriceMomentum_V0995 vs TSLA Buy & Hold

PriceMomentum_V0995 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	-0.8%	0.02	-22.9%	3
2017	35.8%	1.15	-19.6%	2
2018	-38.1%	-1.93	-40.3%	4
2019	61.7%	2.56	-8.5%	2
2020	322.5%	2.30	-41.0%	3
2021	24.2%	0.74	-29.0%	1
2022	3.7%	0.27	-21.7%	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	28.7%	0.82	29%
hidden test	EXPENSIVE	83	16.9%	0.34	80%
hidden test	EXTREME	48	185.0%	2.93	100%
hidden test	HIGH VOLATILITY	254	38.9%	0.79	48%
hidden test	LOW VOLATILITY	434	31.1%	1.46	25%
hidden test	MEDIUM VOLATILITY	251	9.3%	0.26	39%
hidden test	NORMAL	808	19.1%	0.63	27%
hidden test	SIDEWAYS	293	4.2%	0.52	2%
hidden test	UPTREND	371	44.8%	0.98	65%
train	DOWNTREND	518	6.3%	0.50	15%
train	EXPENSIVE	311	39.2%	0.89	79%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	36.6%	0.92	32%
train	LOW VOLATILITY	745	30.9%	1.24	55%
train	MEDIUM VOLATILITY	568	4.7%	0.15	45%
train	NORMAL	1,601	-1.6%	-0.07	34%
train	SIDEWAYS	592	-6.3%	-0.49	4%
train	UPTREND	902	57.4%	1.24	88%
validation	DOWNTREND	125	48.7%	1.87	22%
validation	EXPENSIVE	138	36.5%	0.60	83%
validation	EXTREME	144	293.5%	3.52	79%
validation	HIGH VOLATILITY	258	87.2%	1.21	53%
validation	LOW VOLATILITY	183	27.4%	1.34	30%
validation	MEDIUM VOLATILITY	315	93.8%	2.14	51%
validation	NORMAL	474	20.5%	0.64	26%
validation	SIDEWAYS	206	-1.2%	-0.19	2%
validation	UPTREND	425	120.5%	1.79	75%

Trades (full period)

38 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	-2.86%	27	OPEN
2025-09-12	2026-01-13	$395.94	$447.20	21.50%	85
2025-04-08	2025-05-12	$221.86	$318.38	27.59%	24
2024-11-07	2025-02-24	$296.91	$330.53	16.85%	72
2024-09-06	2024-09-27	$210.73	$260.46	10.22%	16
2024-07-02	2024-08-07	$231.26	$191.76	-4.58%	26
2024-04-30	2024-05-29	$183.28	$176.19	-9.10%	21
2023-06-05	2023-08-17	$217.61	$219.22	5.23%	52
2023-05-24	2023-05-31	$182.90	$203.93	8.07%	5
2023-01-30	2023-02-10	$166.66	$196.89	16.30%	10
2022-06-22	2022-08-02	$236.09	$300.59	25.16%	29
2021-09-20	2022-01-20	$243.39	$332.09	30.83%	86
2020-11-19	2021-03-04	$166.42	$207.15	33.96%	71
2020-06-11	2020-11-13	$64.86	$136.17	100.44%	110
2020-04-15	2020-04-30	$48.66	$52.13	12.54%	12
2019-10-25	2020-03-13	$21.88	$36.44	86.69%	96
2019-09-27	2019-10-15	$16.14	$17.19	5.72%	13
2019-07-05	2019-07-22	$15.54	$17.05	9.69%	12
2018-12-06	2018-12-26	$24.20	$21.74	-18.04%	14
2018-08-03	2018-08-20	$23.21	$20.56	-12.77%	12
2018-06-19	2018-07-05	$23.50	$20.61	-16.34%	12
2018-06-07	2018-06-12	$21.07	$22.85	3.73%	4
2017-09-19	2017-10-25	$25.01	$21.72	-12.56%	27
2017-01-05	2017-08-24	$15.12	$23.53	55.10%	161
2016-12-14	2016-12-28	$13.25	$14.65	10.57%	10
2016-06-08	2016-06-09	$15.70	$15.29	1.17%	2
2016-04-05	2016-06-02	$17.03	$14.60	-11.28%	42
2015-12-17	2015-12-29	$15.56	$15.81	-2.57%	8
2015-05-13	2015-08-18	$16.21	$17.38	3.98%	68
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
2015-02-11	2015-04-14	$14.19	$13.83	-3.21%	43
2014-06-24	2014-10-22	$15.50	$15.41	-0.99%	85
2014-02-11	2014-05-08	$13.11	$11.91	2.23%	61
2012-12-19	2013-11-11	$2.31	$9.65	298.02%	226
2012-11-29	2012-12-14	$2.25	$2.25	0.94%	12
2012-02-23	2012-05-04	$2.30	$2.12	-5.33%	51
2012-01-04	2012-01-06	$1.85	$1.79	-3.61%	3