Strategy Zoo / S0560

PriceMomentum_V0560

ARCHIVEDhybrid

structuralreplaced exit rule with: dist_52w_high < -0.6487; changed ret_20d threshold 0.0923 -> 0.1382

Fitness

0.5126

Generation

Complexity

Created

2026-09-22

Lineage

Parents (1)

PriceMomentum_V0298S0298 · gen 14ARCHIVEDstructural

changed ret_20d threshold 0.05 -> 0.0923

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0560  [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.1382) and ret_20d > 0.05 and cumret_252d > -0.1997)):
    position = 1.0
if long and dist_52w_high < -0.6487:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	24.3%	53.9%	24.7%	30.2%
Total Return	467.8%	264.8%	126.4%	4728.5%
Sharpe	0.83	1.04	0.78	0.86
Sortino	0.85	1.09	0.79	0.85
Calmar	0.48	0.89	0.63	0.50
Volatility	32.6%	56.8%	36.9%	39.7%
Max DD	-50.3%	-60.7%	-39.1%	-60.7%
Win Rate	45.8%	50.0%	81.8%	57.8%
Avg Win	39.6%	53.4%	12.2%	32.0%
Avg Loss	-7.5%	-11.1%	-8.4%	-8.1%
Payoff	5.25	4.82	1.46	3.95
Expectancy	14.1%	21.2%	8.5%	15.1%
Profit Factor	4.44	4.82	6.59	5.41
Trades	24	10	11	45
Avg Holding Days	37.0	42.2	31.5	37.8
Turnover	6.1	6.7	6.2	6.2
Exposure	45.2%	54.5%	38.1%	45.3%

Growth of $100

PriceMomentum_V0560 vs TSLA Buy & Hold

PriceMomentum_V0560 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	-2.3%	-0.06	-22.9%	4
2017	37.7%	1.19	-19.5%	2
2018	-38.7%	-1.72	-44.0%	7
2019	41.8%	2.10	-8.5%	1
2020	279.0%	2.05	-60.7%	3
2021	32.1%	0.82	-36.2%	2
2022	-38.5%	-1.88	-39.8%	5

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	268	5.1%	0.30	13%
hidden test	EXPENSIVE	83	132.6%	1.92	93%
hidden test	EXTREME	48	185.0%	2.93	100%
hidden test	HIGH VOLATILITY	254	29.9%	0.59	44%
hidden test	LOW VOLATILITY	429	36.7%	1.51	31%
hidden test	MEDIUM VOLATILITY	249	14.2%	0.37	45%
hidden test	NORMAL	801	8.7%	0.30	29%
hidden test	SIDEWAYS	293	-12.9%	-0.79	4%
hidden test	UPTREND	371	78.9%	1.44	83%
train	DOWNTREND	518	10.1%	0.87	8%
train	EXPENSIVE	311	51.3%	1.12	84%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	45.6%	1.11	38%
train	LOW VOLATILITY	745	27.6%	1.17	52%
train	MEDIUM VOLATILITY	568	3.2%	0.10	45%
train	NORMAL	1,601	-2.0%	-0.09	34%
train	SIDEWAYS	592	-8.4%	-0.64	4%
train	UPTREND	902	59.9%	1.29	94%
validation	DOWNTREND	125	18.7%	1.38	5%
validation	EXPENSIVE	138	-11.2%	-0.17	86%
validation	EXTREME	144	357.0%	4.17	92%
validation	HIGH VOLATILITY	258	88.7%	1.12	55%
validation	LOW VOLATILITY	183	33.9%	1.35	50%
validation	MEDIUM VOLATILITY	315	50.0%	1.05	57%
validation	NORMAL	474	-10.6%	-0.27	34%
validation	SIDEWAYS	206	-51.0%	-2.07	5%
validation	UPTREND	425	124.8%	1.71	93%

Trades (full period)

46 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	0.28%	20	OPEN
2026-05-29	2026-06-01	$435.79	$415.88	-1.63%	2
2026-05-07	2026-05-08	$411.79	$428.35	3.07%	2
2025-09-12	2026-01-13	$395.94	$447.20	21.50%	85
2025-09-04	2025-09-05	$338.53	$350.84	1.13%	2
2025-05-22	2025-06-06	$341.04	$295.14	-15.09%	11
2025-04-30	2025-05-12	$282.16	$318.38	1.93%	9
2024-10-07	2025-02-24	$240.83	$330.53	34.80%	95
2024-07-02	2024-09-27	$231.26	$260.46	20.91%	62
2024-05-17	2024-05-29	$177.46	$176.19	0.89%	8
2023-06-02	2023-09-05	$213.97	$256.49	17.83%	65
2023-05-24	2023-05-31	$182.90	$203.93	8.07%	5
2022-08-16	2022-08-22	$306.56	$289.91	-4.28%	5
2022-08-05	2022-08-08	$288.17	$290.42	-6.82%	2
2022-07-22	2022-08-02	$272.24	$300.59	9.19%	8
2022-04-05	2022-04-27	$363.75	$293.84	-23.64%	16
2021-08-24	2022-01-20	$236.16	$332.09	40.69%	104
2021-08-05	2021-08-23	$238.21	$235.43	-4.50%	13
2020-11-19	2021-03-17	$166.42	$233.94	38.82%	80
2020-05-15	2020-11-13	$53.28	$136.17	155.77%	128
2020-04-14	2020-04-30	$47.33	$52.13	22.74%	13
2019-10-25	2020-03-19	$21.88	$28.51	20.30%	100
2019-07-16	2019-07-22	$16.83	$17.05	1.64%	5
2018-11-29	2018-12-26	$22.74	$21.74	-15.26%	18
2018-11-19	2018-11-20	$23.56	$23.17	-0.44%	2
2018-08-27	2018-08-28	$21.28	$20.79	-1.30%	2
2018-08-08	2018-08-20	$24.69	$20.56	-19.68%	9
2018-06-15	2018-07-05	$23.88	$20.61	-13.27%	14
2018-05-01	2018-06-12	$19.99	$22.85	12.77%	30
2018-02-01	2018-02-06	$23.28	$22.26	-6.17%	4
2017-09-18	2017-10-25	$25.67	$21.72	-11.36%	28
2017-01-05	2017-08-24	$15.12	$23.53	55.10%	161
2016-07-26	2016-08-30	$15.30	$14.09	-6.63%	26
2016-04-05	2016-06-02	$17.03	$14.60	-11.28%	42
2016-03-24	2016-03-28	$15.18	$15.35	2.12%	2
2016-03-07	2016-03-21	$13.69	$15.89	15.54%	11
2015-05-12	2015-08-18	$16.32	$17.38	6.26%	69
2015-04-29	2015-05-01	$15.50	$15.07	-2.12%	3
2015-04-27	2015-04-28	$15.44	$15.37	5.80%	2
2014-06-23	2014-10-22	$15.81	$15.41	2.30%	86
2014-01-24	2014-05-08	$11.64	$11.91	10.71%	73
2012-12-18	2013-11-12	$2.31	$9.19	319.80%	228
2012-11-23	2012-12-14	$2.14	$2.25	3.30%	16
2012-02-23	2012-05-04	$2.30	$2.12	-5.33%	51
2012-02-21	2012-02-22	$2.30	$2.28	-1.54%	2
2012-01-04	2012-01-06	$1.85	$1.79	-3.61%	3