Strategy Zoo / S0596
PriceMomentum_V0596
ARCHIVEDhybridstructuraladded entry filter: macd_hist < 0.3938; restricted to bubble regimes ['EXTREME']
Fitness
0.3284
Generation
27
Complexity
14
Created
2026-09-23
Lineage
Parents (1)
removed entry condition: rel_volume < 1.5953; changed ret_20d threshold 0.05 -> -0.0674
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0596 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXTREME']
if flat and (ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > -0.0674 and cumret_252d > -0.1997) and macd_hist < 0.3938):
position = 1.0
if long and ret_20d < -0.03:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 10.5% | 27.3% | 1.1% | 11.2% |
| Total Return | 122.5% | 106.5% | 4.0% | 377.7% |
| Sharpe | 0.67 | 0.86 | 0.15 | 0.61 |
| Sortino | 0.27 | 0.46 | 0.04 | 0.24 |
| Calmar | 0.61 | 0.68 | 0.04 | 0.27 |
| Volatility | 16.9% | 35.7% | 10.5% | 21.0% |
| Max DD | -17.2% | -40.1% | -24.2% | -41.1% |
| Win Rate | 57.1% | 83.3% | 50.0% | 66.7% |
| Avg Win | 33.8% | 19.2% | 6.0% | 23.7% |
| Avg Loss | -4.9% | -9.5% | -1.9% | -5.3% |
| Payoff | 6.83 | 2.02 | 3.10 | 4.51 |
| Expectancy | 17.2% | 14.4% | 2.0% | 14.1% |
| Profit Factor | 9.11 | 10.00 | 3.10 | 9.02 |
| Trades | 7 | 6 | 2 | 15 |
| Avg Holding Days | 14.9 | 19.0 | 14.0 | 16.4 |
| Turnover | 1.8 | 4.0 | 1.1 | 2.0 |
| Exposure | 4.8% | 14.3% | 2.8% | 6.2% |
Growth of $100
PriceMomentum_V0596 vs TSLA Buy & Hold
PriceMomentum_V0596 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 | 0.0% | 0.00 | 0.0% | 0 |
| 2017 | -4.3% | -0.64 | -6.0% | 1 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 0.0% | 0.00 | 0.0% | 0 |
| 2020 | 105.9% | 1.48 | -40.1% | 6 |
| 2021 | 0.0% | 0.00 | 0.0% | 0 |
| 2022 | 0.0% | 0.00 | 0.0% | 0 |
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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | -18.5% | -1.74 | 1% |
| hidden test | EXTREME | 48 | 63.0% | 1.42 | 52% |
| hidden test | HIGH VOLATILITY | 254 | -6.2% | -0.42 | 7% |
| hidden test | LOW VOLATILITY | 429 | 8.3% | 1.30 | 1% |
| hidden test | MEDIUM VOLATILITY | 250 | -2.0% | -0.18 | 2% |
| hidden test | NORMAL | 802 | 0.0% | 0.00 | 0% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 4.0% | 0.24 | 7% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | -22.8% | -1.55 | 2% |
| train | EXTREME | 100 | 299.6% | 4.35 | 90% |
| train | HIGH VOLATILITY | 699 | 22.9% | 0.86 | 10% |
| train | LOW VOLATILITY | 745 | 1.1% | 0.34 | 2% |
| train | MEDIUM VOLATILITY | 568 | 10.6% | 0.94 | 3% |
| train | NORMAL | 1,601 | 0.0% | 0.00 | 0% |
| train | SIDEWAYS | 592 | 0.0% | 0.00 | 0% |
| train | UPTREND | 902 | 25.4% | 1.01 | 11% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | -68.7% | -2.14 | 3% |
| validation | EXTREME | 144 | 226.3% | 3.04 | 72% |
| validation | HIGH VOLATILITY | 258 | 63.0% | 1.09 | 29% |
| validation | LOW VOLATILITY | 183 | 6.8% | 0.71 | 3% |
| validation | MEDIUM VOLATILITY | 315 | 17.8% | 1.09 | 8% |
| validation | NORMAL | 474 | 0.0% | 0.00 | 0% |
| validation | SIDEWAYS | 206 | 0.0% | 0.00 | 0% |
| validation | UPTREND | 425 | 54.3% | 1.14 | 25% |
Trades (full period)
15 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-01-06 | 2025-01-14 | $411.05 | $396.36 | -1.93% | 6 | |
| 2024-12-03 | 2025-01-03 | $351.42 | $410.44 | 6.00% | 22 | |
| 2020-09-15 | 2020-09-24 | $149.92 | $129.26 | -9.53% | 8 | |
| 2020-08-14 | 2020-09-09 | $110.05 | $122.09 | 1.65% | 18 | |
| 2020-06-30 | 2020-08-10 | $71.99 | $94.57 | 43.65% | 29 | |
| 2020-06-01 | 2020-06-25 | $59.87 | $65.73 | 14.85% | 19 | |
| 2020-05-15 | 2020-05-29 | $53.28 | $55.67 | 0.11% | 10 | |
| 2020-01-22 | 2020-03-04 | $37.97 | $49.97 | 35.97% | 30 | |
| 2017-06-14 | 2017-06-30 | $25.38 | $24.11 | -4.23% | 13 | |
| 2013-08-23 | 2013-09-09 | $10.79 | $10.71 | 6.07% | 11 | |
| 2013-08-09 | 2013-08-15 | $10.20 | $9.31 | -9.38% | 5 | |
| 2013-07-22 | 2013-08-08 | $8.16 | $10.23 | 11.94% | 14 | |
| 2013-07-18 | 2013-07-19 | $7.94 | $7.98 | -1.21% | 2 | |
| 2013-07-01 | 2013-07-17 | $7.81 | $8.02 | 1.38% | 12 | |
| 2013-04-19 | 2013-06-25 | $3.19 | $6.83 | 115.65% | 47 |