Strategy Zoo / S1000

PriceMomentum_V1000

ARCHIVEDmomentum

parameterchanged ret_20d threshold -0.1357 -> -0.054

Fitness

0.6610

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_V1000  [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 < -0.054 or roll_high_50 < sma_20):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	20.1%	89.1%	23.5%	33.0%
Total Return	332.3%	576.0%	119.4%	6502.8%
Sharpe	0.78	1.63	0.81	1.01
Sortino	0.73	1.38	0.69	0.88
Calmar	0.42	2.64	0.95	0.69
Volatility	28.6%	45.4%	32.1%	33.6%
Max DD	-47.4%	-33.7%	-24.7%	-47.4%
Win Rate	50.0%	77.8%	70.0%	59.6%
Avg Win	21.7%	37.4%	15.9%	26.9%
Avg Loss	-7.2%	-9.6%	-5.8%	-7.2%
Payoff	3.02	3.89	2.73	3.72
Expectancy	7.3%	26.9%	9.4%	13.1%
Profit Factor	3.02	10.00	6.36	5.49
Trades	28	9	10	47
Avg Holding Days	23.3	29.6	23.9	25.6
Turnover	7.1	6.0	5.6	6.5
Exposure	33.3%	34.0%	27.3%	31.9%

Growth of $100

PriceMomentum_V1000 vs TSLA Buy & Hold

PriceMomentum_V1000 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	5.0%	0.49	-12.6%	3
2017	17.4%	0.74	-23.8%	4
2018	-30.2%	-1.56	-32.7%	4
2019	61.7%	2.56	-8.5%	2
2020	366.5%	2.58	-33.7%	4
2021	57.1%	1.55	-17.6%	2
2022	-11.5%	-0.63	-22.8%	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	7.1%	0.22	24%
hidden test	EXPENSIVE	83	60.4%	1.35	65%
hidden test	EXTREME	48	210.8%	3.53	75%
hidden test	HIGH VOLATILITY	254	26.8%	0.57	39%
hidden test	LOW VOLATILITY	434	37.2%	1.88	19%
hidden test	MEDIUM VOLATILITY	251	6.5%	0.21	30%
hidden test	NORMAL	808	11.7%	0.42	21%
hidden test	SIDEWAYS	293	4.3%	0.85	2%
hidden test	UPTREND	371	57.6%	1.35	50%
train	DOWNTREND	518	3.9%	0.41	10%
train	EXPENSIVE	311	45.9%	1.24	64%
train	EXTREME	100	380.3%	5.23	96%
train	HIGH VOLATILITY	699	47.3%	1.27	28%
train	LOW VOLATILITY	745	23.4%	1.08	42%
train	MEDIUM VOLATILITY	568	-9.8%	-0.42	29%
train	NORMAL	1,601	-4.6%	-0.23	23%
train	SIDEWAYS	592	-0.7%	-0.07	2%
train	UPTREND	902	48.1%	1.17	67%
validation	DOWNTREND	125	15.0%	0.90	9%
validation	EXPENSIVE	138	58.5%	1.08	55%
validation	EXTREME	144	281.9%	3.59	74%
validation	HIGH VOLATILITY	258	78.5%	1.20	43%
validation	LOW VOLATILITY	183	29.3%	1.91	20%
validation	MEDIUM VOLATILITY	315	96.3%	2.66	35%
validation	NORMAL	474	15.4%	0.68	16%
validation	SIDEWAYS	206	0.5%	0.09	1%
validation	UPTREND	425	127.0%	2.13	57%

Trades (full period)

48 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	-2.86%	27	OPEN
2025-12-16	2026-01-13	$489.88	$447.20	-5.73%	19
2025-09-12	2025-11-14	$395.94	$404.35	8.79%	46
2025-04-08	2025-04-22	$221.86	$237.97	-2.68%	10
2024-11-07	2025-01-17	$296.91	$426.50	43.14%	48
2024-09-06	2024-09-27	$210.73	$260.46	10.22%	16
2024-07-02	2024-08-02	$231.26	$207.67	3.14%	23
2024-04-30	2024-05-29	$183.28	$176.19	-9.10%	21
2023-06-05	2023-08-02	$217.61	$254.11	21.77%	41
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
2022-07-22	2022-08-02	$272.24	$300.59	9.19%	8
2022-06-22	2022-06-29	$236.09	$228.49	-2.04%	6
2022-01-04	2022-01-20	$383.20	$332.09	-17.18%	12
2021-09-20	2021-12-02	$243.39	$361.53	43.88%	53
2020-11-19	2021-02-18	$166.42	$262.46	63.69%	61
2020-08-14	2020-09-24	$110.05	$129.26	17.09%	29
2020-06-11	2020-08-10	$64.86	$94.57	41.43%	42
2020-04-15	2020-04-30	$48.66	$52.13	12.54%	12
2019-10-25	2020-03-05	$21.88	$48.30	149.62%	90
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	2018-12-20	$24.20	$21.03	-7.62%	11
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	2017-10-10	$25.01	$23.71	-11.11%	16
2017-08-04	2017-08-24	$23.79	$23.53	1.44%	15
2017-03-28	2017-07-06	$18.50	$20.59	20.81%	70
2017-01-05	2017-03-10	$15.12	$16.25	7.67%	45
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	2016-05-04	$17.03	$14.84	-6.12%	22
2015-12-17	2015-12-29	$15.56	$15.81	-2.57%	8
2015-08-06	2015-08-10	$16.41	$16.08	-10.41%	3
2015-05-13	2015-08-04	$16.21	$17.75	6.02%	58
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	2015-03-05	$14.19	$13.38	-6.59%	16
2014-08-07	2014-09-26	$16.83	$16.44	-0.99%	36
2014-06-24	2014-07-17	$15.50	$14.36	-8.64%	17
2014-02-11	2014-03-26	$13.11	$14.20	11.92%	31
2013-07-02	2013-10-23	$7.85	$10.97	46.10%	80
2013-03-26	2013-06-26	$2.52	$7.05	172.31%	65
2013-01-24	2013-02-26	$2.47	$2.30	-4.69%	23
2012-12-19	2013-01-14	$2.31	$2.22	-5.05%	17
2012-11-29	2012-12-14	$2.25	$2.25	0.94%	12
2012-02-23	2012-04-11	$2.30	$2.21	-5.33%	34