Strategy Zoo / S0351
PriceMomentum_V0351
ARCHIVEDhybridstructuralrestricted to bubble regimes ['EXTREME']
Fitness
0.3348
Generation
16
Complexity
7
Created
2026-09-18
Lineage
Parents (1)
swapped indicator vol_chg -> rel_volume; removed entry condition: ret_20d > 0.05
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0351 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXTREME']
if flat and (rel_volume > 2.5844 or ret_20d > 0.05):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 11.1% | 25.4% | -2.1% | 10.3% |
| Total Return | 131.0% | 97.4% | -7.4% | 322.4% |
| Sharpe | 0.73 | 0.81 | -0.14 | 0.57 |
| Sortino | 0.34 | 0.46 | -0.04 | 0.23 |
| Calmar | 0.69 | 0.56 | -0.09 | 0.20 |
| Volatility | 16.1% | 36.1% | 10.8% | 20.9% |
| Max DD | -16.1% | -45.7% | -23.2% | -51.8% |
| Win Rate | 57.1% | 55.6% | 40.0% | 52.4% |
| Avg Win | 35.4% | 20.8% | 2.3% | 22.7% |
| Avg Loss | -4.9% | -5.8% | -4.0% | -5.0% |
| Payoff | 7.25 | 3.61 | 0.59 | 4.58 |
| Expectancy | 18.1% | 9.0% | -1.5% | 9.5% |
| Profit Factor | 9.67 | 4.52 | 0.39 | 5.04 |
| Trades | 7 | 9 | 5 | 21 |
| Avg Holding Days | 14.9 | 14.7 | 7.4 | 13.0 |
| Turnover | 1.9 | 6.0 | 3.1 | 3.0 |
| Exposure | 4.6% | 15.0% | 3.3% | 6.4% |
Growth of $100
PriceMomentum_V0351 vs TSLA Buy & Hold
PriceMomentum_V0351 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 | -4.0% | -0.70 | -5.9% | 1 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 0.0% | 0.00 | 0.0% | 0 |
| 2020 | 108.2% | 1.49 | -42.6% | 8 |
| 2021 | -5.5% | -1.01 | -5.5% | 1 |
| 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 | 267 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | -31.9% | -2.50 | 5% |
| hidden test | EXTREME | 48 | 26.4% | 0.59 | 55% |
| hidden test | HIGH VOLATILITY | 254 | -14.9% | -0.90 | 9% |
| hidden test | LOW VOLATILITY | 429 | 7.5% | 1.27 | 1% |
| hidden test | MEDIUM VOLATILITY | 248 | -3.2% | -0.32 | 2% |
| hidden test | NORMAL | 800 | 0.0% | 0.00 | 0% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | -3.7% | -0.22 | 8% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | -18.3% | -1.64 | 2% |
| train | EXTREME | 100 | 292.4% | 4.35 | 85% |
| train | HIGH VOLATILITY | 699 | 25.3% | 0.99 | 10% |
| train | LOW VOLATILITY | 745 | 1.3% | 0.39 | 2% |
| train | MEDIUM VOLATILITY | 568 | 8.6% | 0.88 | 2% |
| train | NORMAL | 1,601 | 0.0% | 0.00 | 0% |
| train | SIDEWAYS | 592 | 0.0% | 0.00 | 0% |
| train | UPTREND | 902 | 26.1% | 1.09 | 10% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | -84.0% | -2.54 | 3% |
| validation | EXTREME | 144 | 233.8% | 3.13 | 76% |
| validation | HIGH VOLATILITY | 258 | 72.8% | 1.23 | 34% |
| validation | LOW VOLATILITY | 183 | 7.6% | 0.80 | 3% |
| validation | MEDIUM VOLATILITY | 315 | 6.0% | 0.42 | 7% |
| validation | NORMAL | 474 | 0.0% | 0.00 | 0% |
| validation | SIDEWAYS | 206 | 4.9% | 1.08 | 0% |
| validation | UPTREND | 425 | 49.6% | 1.03 | 27% |
Trades (full period)
21 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-01-06 | 2025-01-14 | $411.05 | $396.36 | -1.93% | 6 | |
| 2024-12-03 | 2025-01-03 | $351.42 | $410.44 | 4.60% | 22 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -4.16% | 2 | |
| 2024-11-19 | 2024-11-22 | $346.00 | $352.56 | 0.07% | 4 | |
| 2024-11-12 | 2024-11-14 | $328.49 | $311.18 | -5.84% | 3 | |
| 2021-01-11 | 2021-01-12 | $270.40 | $283.15 | -5.45% | 2 | |
| 2020-12-08 | 2020-12-10 | $216.63 | $209.02 | -4.06% | 3 | |
| 2020-09-15 | 2020-09-24 | $149.92 | $129.26 | -9.53% | 8 | |
| 2020-08-14 | 2020-09-09 | $110.05 | $122.09 | -3.99% | 18 | |
| 2020-06-30 | 2020-08-10 | $71.99 | $94.57 | 35.77% | 29 | |
| 2020-06-01 | 2020-06-25 | $59.87 | $65.73 | 15.42% | 19 | |
| 2020-05-15 | 2020-05-29 | $53.28 | $55.67 | 0.63% | 10 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-01-22 | 2020-03-04 | $37.97 | $49.97 | 29.44% | 30 | |
| 2017-06-14 | 2017-06-30 | $25.38 | $24.11 | -4.03% | 13 | |
| 2013-08-23 | 2013-09-09 | $10.79 | $10.71 | 6.07% | 11 | |
| 2013-08-09 | 2013-08-15 | $10.20 | $9.31 | -9.38% | 5 | |
| 2013-07-22 | 2013-08-08 | $8.16 | $10.23 | 11.94% | 14 | |
| 2013-07-18 | 2013-07-19 | $7.94 | $7.98 | -1.21% | 2 | |
| 2013-07-01 | 2013-07-17 | $7.81 | $8.02 | 2.55% | 12 | |
| 2013-04-19 | 2013-06-25 | $3.19 | $6.83 | 120.85% | 47 |