Strategy Zoo / S1115
PriceMomentum_V1115
ARCHIVEDmomentumstructuralswapped indicator ret_20d -> ret_1d
Fitness
0.5634
Generation
51
Complexity
4
Created
2026-10-03
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1146
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1115 [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ret_1d > 0.0198:
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 22.4% | 63.8% | 17.0% | 28.7% |
| Total Return | 402.7% | 339.4% | 79.6% | 3983.4% |
| Sharpe | 0.77 | 1.25 | 0.58 | 0.84 |
| Sortino | 0.87 | 1.38 | 0.70 | 0.95 |
| Calmar | 0.29 | 1.58 | 0.39 | 0.37 |
| Volatility | 33.4% | 49.2% | 41.0% | 39.0% |
| Max DD | -77.5% | -40.4% | -43.2% | -77.5% |
| Win Rate | 44.3% | 35.7% | 49.2% | 43.9% |
| Avg Win | 15.4% | 22.7% | 9.2% | 15.4% |
| Avg Loss | -4.8% | -4.2% | -5.6% | -4.9% |
| Payoff | 3.21 | 5.36 | 1.64 | 3.15 |
| Expectancy | 4.1% | 5.4% | 1.7% | 4.0% |
| Profit Factor | 2.56 | 2.98 | 1.58 | 2.47 |
| Trades | 88 | 42 | 59 | 189 |
| Avg Holding Days | 13.0 | 11.2 | 8.7 | 11.5 |
| Turnover | 23.9 | 28.2 | 33.6 | 27.1 |
| Exposure | 49.9% | 49.2% | 46.8% | 49.0% |
Growth of $100
PriceMomentum_V1115 vs TSLA Buy & Hold
PriceMomentum_V1115 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 | 25.6% | 1.12 | -22.9% | 12 |
| 2017 | 17.5% | 0.80 | -22.4% | 6 |
| 2018 | -56.7% | -2.02 | -60.8% | 21 |
| 2019 | 27.3% | 0.98 | -34.3% | 13 |
| 2020 | 418.3% | 2.71 | -33.8% | 9 |
| 2021 | 17.2% | 0.66 | -35.6% | 10 |
| 2022 | -35.9% | -1.13 | -40.5% | 23 |
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 | 277 | 50.1% | 1.00 | 56% |
| hidden test | EXPENSIVE | 83 | 55.4% | 1.12 | 69% |
| hidden test | EXTREME | 48 | 157.7% | 2.63 | 86% |
| hidden test | HIGH VOLATILITY | 254 | 75.2% | 1.21 | 68% |
| hidden test | LOW VOLATILITY | 436 | 19.2% | 0.73 | 39% |
| hidden test | MEDIUM VOLATILITY | 251 | -19.8% | -0.58 | 39% |
| hidden test | NORMAL | 810 | 12.8% | 0.33 | 42% |
| hidden test | SIDEWAYS | 293 | -10.6% | -0.61 | 5% |
| hidden test | UPTREND | 371 | 31.7% | 0.68 | 73% |
| train | DOWNTREND | 518 | 0.3% | 0.01 | 55% |
| train | EXPENSIVE | 311 | 40.4% | 1.16 | 63% |
| train | EXTREME | 100 | 400.8% | 5.56 | 94% |
| train | HIGH VOLATILITY | 699 | 37.3% | 0.84 | 50% |
| train | LOW VOLATILITY | 745 | 43.0% | 1.66 | 59% |
| train | MEDIUM VOLATILITY | 568 | -11.1% | -0.45 | 38% |
| train | NORMAL | 1,601 | -0.5% | -0.02 | 45% |
| train | SIDEWAYS | 592 | 4.9% | 0.28 | 5% |
| train | UPTREND | 902 | 54.0% | 1.29 | 76% |
| validation | DOWNTREND | 125 | 15.5% | 0.39 | 33% |
| validation | EXPENSIVE | 138 | 34.0% | 0.63 | 67% |
| validation | EXTREME | 144 | 314.2% | 4.04 | 76% |
| validation | HIGH VOLATILITY | 258 | 90.7% | 1.28 | 59% |
| validation | LOW VOLATILITY | 183 | 23.3% | 0.89 | 53% |
| validation | MEDIUM VOLATILITY | 315 | 59.6% | 1.67 | 39% |
| validation | NORMAL | 474 | -7.3% | -0.22 | 36% |
| validation | SIDEWAYS | 206 | -37.4% | -1.99 | 7% |
| validation | UPTREND | 425 | 122.9% | 2.04 | 74% |
Trades (full period)
latest 100 of 190
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-20 | — | $345.13 | — | -1.09% | 31 | OPEN |
| 2026-08-14 | 2026-08-17 | $342.27 | $339.30 | 0.48% | 2 | |
| 2026-08-10 | 2026-08-11 | $330.88 | $332.81 | 0.50% | 2 | |
| 2026-08-04 | 2026-08-05 | $327.35 | $321.55 | 1.43% | 2 | |
| 2026-07-31 | 2026-08-03 | $311.21 | $322.08 | 0.56% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -4.50% | 3 | |
| 2026-05-01 | 2026-05-08 | $390.82 | $428.35 | 7.69% | 6 | |
| 2026-04-15 | 2026-04-20 | $391.95 | $392.50 | 9.03% | 4 | |
| 2026-04-01 | 2026-04-06 | $381.26 | $352.82 | -3.19% | 3 | |
| 2026-03-24 | 2026-03-30 | $383.03 | $355.28 | -5.18% | 5 | |
| 2026-02-02 | 2026-02-18 | $421.81 | $411.32 | -4.79% | 12 | |
| 2025-11-25 | 2026-01-13 | $419.40 | $447.20 | 4.42% | 33 | |
| 2025-09-12 | 2025-11-21 | $395.94 | $391.09 | 7.20% | 51 | |
| 2025-08-07 | 2025-08-11 | $322.27 | $339.03 | 2.84% | 3 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -3.77% | 4 | |
| 2025-07-11 | 2025-07-25 | $313.51 | $316.06 | -3.80% | 11 | |
| 2025-07-03 | 2025-07-09 | $315.35 | $295.88 | -6.23% | 4 | |
| 2025-06-10 | 2025-07-02 | $326.09 | $315.65 | -2.74% | 16 | |
| 2025-05-28 | 2025-06-06 | $356.90 | $295.14 | -16.06% | 8 | |
| 2025-04-24 | 2025-05-12 | $259.51 | $318.38 | 18.72% | 13 | |
| 2025-04-02 | 2025-04-23 | $282.76 | $250.74 | -11.53% | 15 | |
| 2025-03-24 | 2025-03-25 | $278.39 | $288.14 | 11.72% | 2 | |
| 2025-03-20 | 2025-03-21 | $236.26 | $248.71 | -0.03% | 2 | |
| 2025-03-17 | 2025-03-18 | $238.01 | $225.31 | -4.98% | 2 | |
| 2025-03-12 | 2025-03-13 | $248.09 | $240.68 | 7.39% | 2 | |
| 2025-03-06 | 2025-03-07 | $263.45 | $262.67 | -3.95% | 2 | |
| 2025-02-13 | 2025-02-14 | $355.94 | $355.84 | 3.79% | 2 | |
| 2025-01-31 | 2025-02-11 | $404.60 | $328.50 | -11.72% | 8 | |
| 2025-01-21 | 2025-01-28 | $424.07 | $398.09 | -7.07% | 6 | |
| 2024-10-25 | 2025-01-17 | $269.19 | $426.50 | 56.46% | 57 | |
| 2024-10-07 | 2024-10-22 | $240.83 | $217.97 | -13.11% | 12 | |
| 2024-09-03 | 2024-09-27 | $210.60 | $260.46 | 14.71% | 19 | |
| 2024-08-26 | 2024-08-29 | $213.21 | $206.28 | -6.80% | 4 | |
| 2024-08-16 | 2024-08-20 | $216.12 | $221.10 | 3.80% | 3 | |
| 2024-08-14 | 2024-08-15 | $201.38 | $214.14 | -3.30% | 2 | |
| 2024-08-09 | 2024-08-12 | $200.00 | $197.49 | 0.38% | 2 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 1.87% | 23 | |
| 2024-04-25 | 2024-05-29 | $170.18 | $176.19 | 8.80% | 24 | |
| 2024-04-09 | 2024-04-19 | $176.88 | $147.05 | -13.29% | 9 | |
| 2024-03-27 | 2024-03-28 | $179.83 | $175.79 | 1.01% | 2 | |
| 2024-03-21 | 2024-03-22 | $172.82 | $170.83 | -1.81% | 2 | |
| 2024-03-19 | 2024-03-20 | $171.32 | $175.66 | -1.63% | 2 | |
| 2024-02-15 | 2024-03-15 | $200.45 | $163.57 | -14.48% | 21 | |
| 2024-02-12 | 2024-02-13 | $188.13 | $184.02 | -2.05% | 2 | |
| 2024-02-07 | 2024-02-08 | $187.58 | $189.56 | 1.14% | 2 | |
| 2023-11-02 | 2023-11-03 | $218.51 | $219.96 | 6.04% | 2 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -4.92% | 4 | |
| 2023-08-28 | 2023-08-29 | $238.82 | $257.18 | -0.10% | 2 | |
| 2023-08-22 | 2023-08-23 | $233.19 | $236.86 | 0.63% | 2 | |
| 2023-08-04 | 2023-08-10 | $253.86 | $245.34 | -6.79% | 5 | |
| 2023-06-05 | 2023-08-03 | $217.61 | $259.32 | 20.16% | 42 | |
| 2023-05-18 | 2023-05-31 | $176.89 | $203.93 | 14.84% | 9 | |
| 2023-05-08 | 2023-05-16 | $171.79 | $166.52 | -1.84% | 7 | |
| 2023-04-28 | 2023-05-01 | $164.31 | $161.83 | 1.61% | 2 | |
| 2023-01-23 | 2023-02-10 | $143.75 | $196.89 | 55.09% | 15 | |
| 2023-01-18 | 2023-01-19 | $128.78 | $127.17 | -2.26% | 2 | |
| 2023-01-12 | 2023-01-13 | $123.56 | $122.40 | 0.08% | 2 | |
| 2023-01-09 | 2023-01-10 | $119.77 | $118.85 | 5.73% | 2 | |
| 2023-01-05 | 2023-01-06 | $110.34 | $113.06 | -3.10% | 2 | |
| 2022-12-29 | 2022-12-30 | $121.82 | $123.18 | 7.87% | 2 | |
| 2022-12-12 | 2022-12-13 | $167.82 | $160.95 | -4.40% | 2 | |
| 2022-12-01 | 2022-12-06 | $194.70 | $179.82 | -6.48% | 4 | |
| 2022-11-25 | 2022-11-28 | $182.86 | $182.92 | -0.39% | 2 | |
| 2022-11-11 | 2022-11-15 | $195.97 | $194.42 | -0.08% | 3 | |
| 2022-10-26 | 2022-10-27 | $224.64 | $225.09 | 0.80% | 2 | |
| 2022-10-24 | 2022-10-25 | $211.25 | $222.42 | -1.69% | 2 | |
| 2022-10-18 | 2022-10-19 | $220.19 | $222.04 | 0.12% | 2 | |
| 2022-10-14 | 2022-10-17 | $204.99 | $219.35 | -5.26% | 2 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.71% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.63% | 5 | |
| 2022-07-06 | 2022-08-02 | $231.73 | $300.59 | 21.93% | 20 | |
| 2022-06-15 | 2022-07-05 | $233.00 | $233.07 | 2.69% | 13 | |
| 2022-06-03 | 2022-06-06 | $234.52 | $238.28 | -9.41% | 2 | |
| 2022-05-31 | 2022-06-01 | $252.75 | $246.79 | -0.38% | 2 | |
| 2022-05-26 | 2022-05-27 | $235.91 | $253.21 | 7.22% | 2 | |
| 2022-05-16 | 2022-05-17 | $241.46 | $253.87 | -6.07% | 2 | |
| 2022-05-05 | 2022-05-06 | $291.09 | $288.55 | -5.80% | 2 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -16.47% | 16 | |
| 2022-03-09 | 2022-03-10 | $286.32 | $279.43 | 2.71% | 2 | |
| 2022-02-25 | 2022-03-01 | $269.96 | $288.12 | 6.07% | 3 | |
| 2021-12-22 | 2022-01-20 | $336.29 | $332.09 | -3.11% | 20 | |
| 2021-12-08 | 2021-12-17 | $356.32 | $310.86 | -8.26% | 8 | |
| 2021-08-24 | 2021-12-03 | $236.16 | $338.32 | 57.07% | 72 | |
| 2021-08-10 | 2021-08-23 | $236.66 | $235.43 | -4.88% | 10 | |
| 2021-05-21 | 2021-05-24 | $193.63 | $202.15 | -1.20% | 2 | |
| 2021-03-16 | 2021-03-17 | $225.63 | $233.94 | -4.58% | 2 | |
| 2021-03-12 | 2021-03-15 | $231.24 | $235.98 | -1.04% | 2 | |
| 2021-03-10 | 2021-03-11 | $222.69 | $233.20 | -1.02% | 2 | |
| 2021-03-02 | 2021-03-03 | $228.81 | $217.73 | -3.16% | 2 | |
| 2021-02-25 | 2021-02-26 | $227.41 | $225.17 | -5.61% | 2 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 23.65% | 64 | |
| 2020-10-01 | 2020-11-13 | $149.39 | $136.17 | -3.25% | 32 | |
| 2020-06-01 | 2020-09-30 | $59.87 | $143.00 | 116.64% | 86 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-04-08 | 2020-04-09 | $36.59 | $38.20 | 0.42% | 2 | |
| 2020-04-01 | 2020-04-02 | $32.10 | $30.30 | -8.29% | 2 | |
| 2020-03-25 | 2020-03-26 | $35.95 | $35.21 | 6.58% | 2 | |
| 2020-03-20 | 2020-03-23 | $28.50 | $28.95 | -0.23% | 2 |