Strategy Zoo / S0382

PriceMomentum_V0382

ARCHIVEDhybrid

crossoverlogic of PriceMomentum_V0361 with risk overlay of MACDMomentum_V0005

Fitness

0.6052

Generation

Complexity

Created

2026-09-18

Lineage

Parents (2)

MACDMomentum_V0005S0005 · gen 0ARCHIVEDcrossover

seed strategy

PriceMomentum_V0361S0361 · gen 17ARCHIVEDcrossover

entry from PriceMomentum_V0225, exit from PriceMomentum_V0227

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0382  [hybrid]
if flat and (ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.05) and ret_20d > 0.05 and cumret_252d > -0.1997)):
    position = 1.0
if long and (ret_20d < -0.1357 or roll_high_50 < sma_20):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	16.7%	122.0%	0.4%	28.4%
Total Return	244.1%	994.0%	1.5%	3834.4%
Sharpe	0.58	1.73	0.22	0.79
Sortino	0.77	2.11	0.28	0.99
Calmar	0.22	2.81	0.01	0.37
Volatility	40.0%	54.9%	43.0%	44.2%
Max DD	-76.7%	-43.4%	-60.8%	-76.7%
Win Rate	40.9%	62.5%	50.0%	47.6%
Avg Win	60.7%	87.0%	16.6%	60.5%
Avg Loss	-14.6%	-11.9%	-14.0%	-14.1%
Payoff	4.16	7.34	1.18	4.30
Expectancy	16.2%	49.9%	1.3%	21.4%
Profit Factor	2.88	10.00	1.18	3.91
Trades	22	8	12	42
Avg Holding Days	62.6	65.6	50.8	61.7
Turnover	5.6	5.3	6.8	5.8
Exposure	71.2%	68.4%	66.4%	69.5%

Growth of $100

PriceMomentum_V0382 vs TSLA Buy & Hold

PriceMomentum_V0382 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	-27.2%	-1.00	-48.6%	4
2017	15.7%	0.61	-34.5%	2
2018	-9.3%	0.01	-43.9%	3
2019	-0.4%	0.17	-46.9%	4
2020	842.7%	3.35	-33.7%	2
2021	51.1%	1.20	-26.1%	3
2022	-26.5%	-0.64	-31.4%	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	267	-48.3%	-1.22	42%
hidden test	EXPENSIVE	83	87.2%	1.84	75%
hidden test	EXTREME	48	189.8%	3.11	88%
hidden test	HIGH VOLATILITY	254	3.9%	0.07	52%
hidden test	LOW VOLATILITY	429	35.1%	1.00	75%
hidden test	MEDIUM VOLATILITY	248	-28.5%	-0.67	66%
hidden test	NORMAL	800	-9.2%	-0.22	64%
hidden test	SIDEWAYS	293	-14.4%	-0.40	68%
hidden test	UPTREND	371	70.4%	1.42	82%
train	DOWNTREND	518	-25.8%	-0.81	54%
train	EXPENSIVE	311	83.7%	1.92	83%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	54.2%	1.06	62%
train	LOW VOLATILITY	745	28.0%	0.96	80%
train	MEDIUM VOLATILITY	568	-20.7%	-0.56	72%
train	NORMAL	1,601	-12.9%	-0.36	67%
train	SIDEWAYS	592	-20.8%	-0.58	61%
train	UPTREND	902	80.6%	1.76	88%
validation	DOWNTREND	125	48.7%	1.87	22%
validation	EXPENSIVE	138	96.2%	1.59	83%
validation	EXTREME	144	378.9%	4.47	95%
validation	HIGH VOLATILITY	258	117.3%	1.68	56%
validation	LOW VOLATILITY	183	56.0%	1.69	87%
validation	MEDIUM VOLATILITY	315	99.2%	1.93	67%
validation	NORMAL	474	8.2%	0.21	56%
validation	SIDEWAYS	206	-17.5%	-0.41	62%
validation	UPTREND	425	162.9%	2.49	85%

Trades (full period)

43 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-21	—	$362.86	—	5.45%	20	OPEN
2026-07-13	2026-07-24	$394.76	$313.03	-21.76%	10
2026-04-20	2026-06-26	$392.50	$379.71	-6.55%	48
2025-04-29	2026-04-09	$292.03	$345.62	19.83%	238
2025-04-08	2025-04-23	$221.86	$250.74	1.80%	11
2024-11-07	2025-01-28	$296.91	$398.09	37.37%	54
2024-09-04	2024-10-23	$219.41	$213.65	3.30%	36
2024-04-30	2024-08-05	$183.28	$198.88	6.80%	67
2024-04-15	2024-04-19	$161.48	$147.05	-12.53%	5
2024-02-26	2024-03-15	$199.40	$163.57	-15.52%	15
2023-11-17	2024-01-18	$234.30	$211.88	-7.91%	41
2023-09-12	2023-10-20	$267.48	$211.99	-19.71%	29
2023-05-24	2023-08-14	$182.90	$239.76	30.36%	56
2022-06-22	2022-10-06	$236.09	$238.13	1.39%	75
2022-03-22	2022-04-27	$331.33	$293.84	-5.04%	26
2022-01-04	2022-01-26	$383.20	$312.47	-23.61%	16
2021-06-14	2021-12-06	$205.90	$336.34	66.09%	123
2021-04-05	2021-05-12	$230.35	$196.63	-6.91%	28
2020-10-07	2021-02-23	$141.77	$232.95	72.25%	95
2020-04-14	2020-09-30	$47.33	$143.00	221.27%	119
2019-09-12	2020-03-05	$16.39	$48.30	202.71%	121
2019-07-16	2019-08-15	$16.83	$14.38	-13.54%	23
2019-04-04	2019-04-29	$17.85	$16.10	-19.59%	17
2019-02-28	2019-03-07	$21.33	$18.44	-12.41%	6
2018-10-04	2019-01-04	$18.79	$21.18	1.68%	63
2018-08-03	2018-09-05	$23.21	$18.72	-17.50%	23
2018-04-27	2018-07-30	$19.61	$19.34	3.89%	65
2017-12-12	2018-03-26	$22.74	$20.28	-8.50%	71
2017-08-04	2017-11-03	$23.79	$20.41	-13.95%	65
2016-10-04	2017-07-07	$14.09	$20.88	44.23%	191
2016-07-19	2016-09-06	$15.02	$13.52	-12.76%	35
2016-06-08	2016-06-27	$15.70	$13.24	-17.03%	14
2016-03-04	2016-05-05	$13.40	$14.10	13.48%	44
2015-11-09	2016-01-21	$15.02	$13.33	-14.66%	50
2015-09-21	2015-10-13	$17.61	$14.62	-17.45%	17
2015-02-10	2015-08-26	$14.42	$14.99	0.97%	138
2014-11-11	2014-12-11	$16.74	$13.93	-13.43%	22
2014-05-28	2014-10-01	$14.02	$16.02	14.48%	89
2013-12-13	2014-03-27	$9.84	$13.82	44.12%	71
2012-11-06	2013-10-29	$2.08	$10.96	415.98%	247
2012-08-24	2012-10-16	$1.97	$1.87	-11.25%	37
2012-06-19	2012-08-02	$2.14	$1.74	-17.72%	32
2012-02-02	2012-04-25	$2.02	$2.19	7.36%	58