Strategy Zoo / S0584

PriceMomentum_V0584

ARCHIVEDhybrid

crossoverentry = PriceMomentum_V0564 AND LongTermTrend_V0469

Fitness

0.6652

Generation

Complexity

Created

2026-09-23

Lineage

Parents (2)

LongTermTrend_V0469S0469 · gen 21ARCHIVEDcrossover

changed cumret_252d threshold -0.1997 -> 0.0541

PriceMomentum_V0564S0564 · gen 26ARCHIVEDcrossover

entry from PriceMomentum_V0557, exit from PriceMomentum_V0361

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0584  [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ((ret_20d > 0.1146 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) and ret_20d > 0.05)) and (((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > 0.0541)):
    position = 1.0
if long and (ret_20d < -0.1357 or roll_high_50 < sma_20):
    position = 0.0  # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.55

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	28.4%	73.7%	6.4%	30.5%
Total Return	636.0%	424.2%	25.9%	4899.6%
Sharpe	1.09	1.49	0.38	1.04
Sortino	1.06	1.40	0.29	0.91
Calmar	0.93	1.97	0.25	0.81
Volatility	25.9%	43.6%	24.0%	30.0%
Max DD	-30.4%	-37.5%	-25.9%	-37.5%
Win Rate	53.3%	63.6%	44.4%	54.3%
Avg Win	49.5%	38.3%	12.2%	40.1%
Avg Loss	-4.0%	-9.8%	-4.1%	-5.5%
Payoff	10.00	3.90	2.97	7.33
Expectancy	24.5%	20.8%	3.1%	19.3%
Profit Factor	10.00	6.83	2.38	8.70
Trades	15	11	9	35
Avg Holding Days	41.6	32.7	24.4	35.7
Turnover	6.7	10.3	7.4	7.6
Exposure	28.6%	36.8%	21.1%	28.4%

Growth of $100

PriceMomentum_V0584 vs TSLA Buy & Hold

PriceMomentum_V0584 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	1.1%	0.16	-13.3%	3
2017	20.6%	0.97	-17.9%	2
2018	-13.2%	-0.82	-19.9%	2
2019	27.4%	1.74	-8.5%	0
2020	402.6%	2.75	-33.8%	4
2021	30.9%	1.18	-20.6%	2
2022	-22.4%	-1.07	-32.8%	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	269	-3.6%	-0.20	13%
hidden test	EXPENSIVE	83	39.6%	1.06	51%
hidden test	EXTREME	48	178.6%	3.03	83%
hidden test	HIGH VOLATILITY	254	10.0%	0.32	25%
hidden test	LOW VOLATILITY	429	18.8%	1.02	19%
hidden test	MEDIUM VOLATILITY	250	-8.4%	-0.35	20%
hidden test	NORMAL	802	-4.2%	-0.24	14%
hidden test	SIDEWAYS	293	-2.1%	-0.23	2%
hidden test	UPTREND	371	27.1%	0.80	42%
train	DOWNTREND	518	4.3%	1.05	1%
train	EXPENSIVE	311	35.1%	1.10	58%
train	EXTREME	100	394.6%	5.51	91%
train	HIGH VOLATILITY	699	54.8%	1.58	28%
train	LOW VOLATILITY	745	26.2%	1.28	36%
train	MEDIUM VOLATILITY	568	-1.8%	-0.10	19%
train	NORMAL	1,601	4.1%	0.24	19%
train	SIDEWAYS	592	-4.9%	-0.66	1%
train	UPTREND	902	63.7%	1.68	62%
validation	DOWNTREND	125	36.6%	1.78	15%
validation	EXPENSIVE	138	41.8%	0.86	56%
validation	EXTREME	144	292.8%	3.84	76%
validation	HIGH VOLATILITY	258	95.2%	1.48	47%
validation	LOW VOLATILITY	183	32.6%	1.45	33%
validation	MEDIUM VOLATILITY	315	58.5%	1.96	30%
validation	NORMAL	474	2.2%	0.09	19%
validation	SIDEWAYS	206	-16.7%	-1.57	3%
validation	UPTREND	425	112.5%	1.99	60%

Trades (full period)

36 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	0.65%	21	OPEN
2026-05-29	2026-06-01	$435.79	$415.88	-1.63%	2
2026-05-06	2026-05-08	$398.73	$428.35	5.55%	3
2025-09-15	2026-01-13	$410.04	$447.20	6.50%	84
2025-05-22	2025-06-06	$341.04	$295.14	-7.10%	11
2025-04-30	2025-05-12	$282.16	$318.38	1.93%	9
2025-04-16	2025-04-23	$241.55	$250.74	-6.54%	5
2024-11-07	2025-01-28	$296.91	$398.09	34.80%	54
2024-05-15	2024-05-29	$173.99	$176.19	-0.65%	10
2023-06-14	2023-08-14	$256.79	$239.76	-4.58%	42
2022-08-16	2022-08-22	$306.56	$289.91	-3.37%	5
2022-08-05	2022-08-08	$288.17	$290.42	-3.75%	2
2022-06-24	2022-08-02	$245.71	$300.59	18.63%	27
2022-04-05	2022-04-27	$363.75	$293.84	-13.45%	16
2022-01-04	2022-01-20	$383.20	$332.09	-18.67%	12
2021-09-16	2021-12-06	$252.33	$336.34	42.85%	57
2020-11-19	2021-02-23	$166.42	$232.95	15.15%	64
2020-10-07	2020-11-13	$141.77	$136.17	0.66%	28
2020-05-20	2020-09-30	$54.37	$143.00	108.68%	93
2020-04-14	2020-04-30	$47.33	$52.13	22.74%	13
2019-10-28	2020-03-05	$21.85	$48.30	108.69%	89
2018-11-19	2018-11-20	$23.56	$23.17	-0.44%	2
2018-08-03	2018-08-20	$23.21	$20.56	-12.77%	12
2017-08-04	2017-08-24	$23.79	$23.53	-0.33%	15
2017-01-09	2017-07-07	$15.42	$20.88	20.88%	125
2016-04-05	2016-05-05	$17.03	$14.10	-9.82%	23
2016-03-24	2016-03-28	$15.18	$15.35	1.17%	2
2016-03-08	2016-03-21	$13.51	$15.89	10.76%	10
2015-05-11	2015-08-18	$15.97	$17.38	11.77%	70
2015-04-29	2015-05-01	$15.50	$15.07	-2.12%	3
2014-06-23	2014-10-01	$15.81	$16.02	8.99%	71
2014-01-24	2014-03-27	$11.64	$13.82	7.35%	44
2013-01-29	2013-10-29	$2.53	$10.96	334.27%	191
2012-12-03	2012-12-14	$2.31	$2.25	-0.82%	10
2012-02-23	2012-04-25	$2.30	$2.19	0.69%	44
2012-02-21	2012-02-22	$2.30	$2.28	-1.54%	2