Strategy Zoo / S0473

PriceMomentum_V0473

ARCHIVEDhybrid

crossoverlogic of PriceMomentum_V0429 with risk overlay of Breakout20_V0320

Fitness

0.6121

Generation

Complexity

Created

2026-09-19

Lineage

Parents (2)

Breakout20_V0320S0320 · gen 15ARCHIVEDcrossover

removed entry condition: vol_chg < 1.2007; changed dist_sma_20 threshold -0.0187 -> -0.1165

PriceMomentum_V0429S0429 · gen 20ARCHIVEDcrossover

entry = PriceMomentum_V0186 OR PriceMomentum_V0267

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0473  [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

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	21.8%	120.6%	21.7%	37.8%
Total Return	383.5%	973.2%	106.9%	10950.4%
Sharpe	0.71	1.75	0.69	0.97
Sortino	0.88	2.06	0.78	1.15
Calmar	0.34	2.79	0.50	0.59
Volatility	37.5%	53.3%	40.6%	42.0%
Max DD	-64.4%	-43.3%	-43.8%	-64.4%
Win Rate	39.1%	55.6%	58.3%	47.7%
Avg Win	53.9%	89.3%	18.2%	56.6%
Avg Loss	-11.4%	-12.0%	-7.5%	-10.7%
Payoff	4.71	7.43	2.43	5.30
Expectancy	14.1%	44.3%	7.5%	21.4%
Profit Factor	3.03	9.28	3.41	4.84
Trades	23	9	12	44
Avg Holding Days	53.1	53.2	39.0	51.1
Turnover	5.9	6.0	6.8	6.1
Exposure	63.4%	62.2%	51.0%	60.1%

Growth of $100

PriceMomentum_V0473 vs TSLA Buy & Hold

PriceMomentum_V0473 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	-20.4%	-0.70	-45.5%	4
2017	15.7%	0.61	-34.5%	2
2018	-9.4%	-0.06	-33.7%	3
2019	48.0%	1.29	-25.3%	2
2020	842.7%	3.35	-33.7%	2
2021	46.3%	1.15	-28.1%	3
2022	-25.6%	-0.79	-35.6%	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	31.8%	0.86	31%
hidden test	EXPENSIVE	83	87.2%	1.84	75%
hidden test	EXTREME	48	210.8%	3.53	75%
hidden test	HIGH VOLATILITY	254	53.4%	0.95	56%
hidden test	LOW VOLATILITY	429	51.3%	1.76	48%
hidden test	MEDIUM VOLATILITY	248	-38.9%	-1.01	51%
hidden test	NORMAL	800	10.7%	0.28	47%
hidden test	SIDEWAYS	293	-10.3%	-0.30	50%
hidden test	UPTREND	371	55.1%	1.17	66%
train	DOWNTREND	518	-10.8%	-0.46	36%
train	EXPENSIVE	311	84.4%	1.96	81%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	61.1%	1.29	52%
train	LOW VOLATILITY	745	23.8%	0.85	73%
train	MEDIUM VOLATILITY	568	-11.9%	-0.35	65%
train	NORMAL	1,601	-8.9%	-0.28	58%
train	SIDEWAYS	592	-20.4%	-0.61	52%
train	UPTREND	902	79.0%	1.73	86%
validation	DOWNTREND	125	35.9%	1.62	14%
validation	EXPENSIVE	138	96.2%	1.59	83%
validation	EXTREME	144	378.9%	4.47	95%
validation	HIGH VOLATILITY	258	119.9%	1.73	55%
validation	LOW VOLATILITY	183	41.1%	1.41	72%
validation	MEDIUM VOLATILITY	315	102.0%	2.08	62%
validation	NORMAL	474	5.8%	0.17	46%
validation	SIDEWAYS	206	-13.1%	-0.36	49%
validation	UPTREND	425	161.9%	2.49	83%

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	2.76%	44
2025-04-08	2025-04-23	$221.86	$250.74	1.80%	11
2024-11-07	2025-01-17	$296.91	$426.50	43.14%	48
2024-09-06	2024-10-22	$210.73	$217.97	-5.12%	33
2024-04-30	2024-08-02	$183.28	$207.67	11.52%	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	19.94%	32
2022-07-19	2022-09-01	$245.53	$277.16	14.35%	33
2022-06-22	2022-07-05	$236.09	$233.07	-4.32%	9
2022-03-23	2022-04-27	$333.04	$293.84	-12.00%	25
2022-01-04	2022-01-25	$383.20	$306.13	-22.64%	15
2021-06-24	2021-12-03	$226.61	$338.32	64.87%	114
2021-04-06	2021-05-11	$230.54	$205.73	-9.16%	26
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
2019-06-21	2019-08-15	$14.79	$14.38	-0.20%	39
2019-02-28	2019-03-06	$21.33	$18.42	-12.31%	5
2018-10-29	2019-01-03	$22.32	$20.02	-6.47%	45
2018-08-03	2018-08-31	$23.21	$20.11	-13.45%	21
2018-05-01	2018-07-16	$19.99	$20.67	8.28%	53
2017-12-12	2018-03-23	$22.74	$20.10	-6.21%	70
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
2016-07-22	2016-09-02	$14.82	$13.19	-9.13%	31
2016-06-08	2016-06-24	$15.70	$12.88	-15.64%	13
2016-03-04	2016-05-05	$13.40	$14.10	13.48%	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	7.95%	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	44.30%	67
2013-03-26	2013-10-24	$2.52	$11.54	337.44%	149
2012-11-06	2013-03-20	$2.08	$2.40	11.14%	92
2012-09-18	2012-10-16	$2.09	$1.87	-16.18%	21
2012-06-19	2012-07-27	$2.14	$1.97	-11.83%	28
2012-02-06	2012-04-25	$2.12	$2.19	1.95%	56