Strategy Zoo / S0471

PriceMomentum_V0471

ARCHIVEDhybrid

crossoverlogic of PriceMomentum_V0429 with risk overlay of Breakout20_V0374

Fitness

0.5698

Generation

Complexity

Created

2026-09-19

Lineage

Parents (2)

Breakout20_V0374S0374 · gen 17ARCHIVEDcrossover

changed dist_sma_20 threshold -0.0187 -> -0.121; reduce exposure to 41% during HIGH_VOLATILITY

PriceMomentum_V0429S0429 · gen 20ARCHIVEDcrossover

entry = PriceMomentum_V0186 OR PriceMomentum_V0267

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0471  [hybrid]
if flat and ((ret_20d > 0.05 and rel_volume > 1.2635) or ret_20d > 0.1146):
    position = 1.0
if long and ret_20d < -0.1003:
    position = 0.0  # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	8.8%	102.1%	9.1%	23.8%
Total Return	95.4%	725.1%	38.2%	2193.4%
Sharpe	0.42	1.93	0.43	0.80
Sortino	0.47	2.50	0.44	0.91
Calmar	0.14	2.86	0.23	0.37
Volatility	31.2%	40.7%	32.0%	33.6%
Max DD	-64.8%	-35.7%	-39.8%	-64.8%
Win Rate	39.1%	55.6%	41.7%	43.2%
Avg Win	26.2%	67.2%	19.2%	40.0%
Avg Loss	-10.7%	-7.5%	-7.3%	-9.2%
Payoff	2.44	8.95	2.65	4.33
Expectancy	3.7%	34.0%	3.8%	12.0%
Profit Factor	1.57	10.00	1.89	3.29
Trades	23	9	12	44
Avg Holding Days	53.1	53.2	39.0	51.1
Turnover	9.6	7.6	7.4	8.6
Exposure	52.8%	50.9%	42.0%	49.8%

Growth of $100

PriceMomentum_V0471 vs TSLA Buy & Hold

PriceMomentum_V0471 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	-26.0%	-1.00	-45.5%	4
2017	12.2%	0.53	-31.6%	2
2018	-5.4%	-0.08	-20.2%	3
2019	37.5%	1.15	-23.3%	2
2020	533.1%	3.93	-15.9%	2
2021	38.5%	1.02	-26.8%	3
2022	-9.8%	-0.23	-25.2%	4

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	15.0%	0.74	21%
hidden test	EXPENSIVE	83	78.3%	1.90	65%
hidden test	EXTREME	48	103.9%	2.75	41%
hidden test	HIGH VOLATILITY	254	9.5%	0.31	24%
hidden test	LOW VOLATILITY	429	51.7%	1.78	48%
hidden test	MEDIUM VOLATILITY	248	-47.1%	-1.25	50%
hidden test	NORMAL	800	1.8%	0.06	40%
hidden test	SIDEWAYS	293	-21.1%	-0.67	46%
hidden test	UPTREND	371	40.8%	1.06	54%
train	DOWNTREND	518	-17.4%	-0.79	32%
train	EXPENSIVE	311	67.1%	1.75	63%
train	EXTREME	100	211.4%	5.29	59%
train	HIGH VOLATILITY	699	23.2%	0.71	24%
train	LOW VOLATILITY	745	22.9%	0.82	73%
train	MEDIUM VOLATILITY	568	-11.7%	-0.35	62%
train	NORMAL	1,601	-9.6%	-0.33	50%
train	SIDEWAYS	592	-16.9%	-0.58	43%
train	UPTREND	902	50.6%	1.39	71%
validation	DOWNTREND	125	40.8%	2.04	10%
validation	EXPENSIVE	138	98.5%	1.95	77%
validation	EXTREME	144	277.5%	5.41	54%
validation	HIGH VOLATILITY	258	73.0%	1.98	24%
validation	LOW VOLATILITY	183	41.1%	1.41	72%
validation	MEDIUM VOLATILITY	315	105.0%	2.16	61%
validation	NORMAL	474	12.4%	0.38	42%
validation	SIDEWAYS	206	-7.8%	-0.24	44%
validation	UPTREND	425	131.6%	2.74	66%

Trades (full period)

45 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	0.82%	19	OPEN
2026-04-20	2026-06-10	$392.50	$381.59	-1.18%	37
2025-12-15	2026-01-16	$475.31	$437.50	-4.63%	23
2025-08-29	2025-11-21	$333.87	$391.09	14.00%	60
2025-04-30	2025-07-02	$282.16	$315.65	-6.82%	44
2025-04-08	2025-04-23	$221.86	$250.74	1.45%	11
2024-11-07	2025-01-17	$296.91	$426.50	20.07%	48
2024-09-06	2024-10-22	$210.73	$217.97	-8.88%	33
2024-04-30	2024-08-02	$183.28	$207.67	26.23%	66
2023-11-27	2024-01-17	$236.08	$215.55	-6.79%	35
2023-09-12	2023-10-20	$267.48	$211.99	-19.71%	29
2023-05-23	2023-08-03	$185.77	$259.32	34.27%	50
2023-01-25	2023-03-10	$144.43	$173.44	-2.78%	32
2022-07-19	2022-09-01	$245.53	$277.16	14.35%	33
2022-06-22	2022-07-05	$236.09	$233.07	-1.73%	9
2022-03-23	2022-04-27	$333.04	$293.84	-12.00%	25
2022-01-04	2022-01-25	$383.20	$306.13	-8.75%	15
2021-06-24	2021-12-03	$226.61	$338.32	53.33%	114
2021-04-06	2021-05-11	$230.54	$205.73	-7.55%	26
2020-10-07	2021-02-23	$141.77	$232.95	65.68%	95
2020-04-14	2020-09-30	$47.33	$143.00	141.57%	119
2019-09-12	2020-03-05	$16.39	$48.30	154.11%	121
2019-06-21	2019-08-15	$14.79	$14.38	2.38%	39
2019-02-28	2019-03-06	$21.33	$18.42	-12.31%	5
2018-10-29	2019-01-03	$22.32	$20.02	-4.27%	45
2018-08-03	2018-08-31	$23.21	$20.11	-5.43%	21
2018-05-01	2018-07-16	$19.99	$20.67	5.90%	53
2017-12-12	2018-03-23	$22.74	$20.10	-6.54%	70
2017-08-04	2017-11-03	$23.79	$20.41	-13.15%	65
2016-10-04	2017-07-07	$14.09	$20.88	38.66%	191
2016-07-22	2016-09-02	$14.82	$13.19	-9.13%	31
2016-06-08	2016-06-24	$15.70	$12.88	-15.57%	13
2016-03-04	2016-05-05	$13.40	$14.10	5.43%	44
2015-12-17	2016-01-19	$15.56	$13.65	-12.76%	21
2015-09-22	2015-10-12	$17.40	$14.37	-16.64%	15
2015-04-23	2015-08-12	$14.57	$15.88	9.14%	78
2015-02-11	2015-03-09	$14.19	$12.73	-10.54%	18
2014-11-12	2014-12-09	$16.61	$14.46	-14.80%	19
2014-06-09	2014-10-01	$13.69	$16.02	16.34%	81
2013-12-18	2014-03-26	$9.87	$14.20	34.21%	67
2013-03-26	2013-10-24	$2.52	$11.54	112.25%	149
2012-11-06	2013-03-20	$2.08	$2.40	11.27%	92
2012-09-18	2012-10-16	$2.09	$1.87	-18.97%	21
2012-06-19	2012-07-27	$2.14	$1.97	-8.37%	28
2012-02-06	2012-04-25	$2.12	$2.19	-1.69%	56