Strategy Zoo / S0686
PriceMomentum_V0686
ARCHIVEDhybridstructuralrestricted to bubble regimes ['EXTREME', 'NORMAL']
Fitness
0.3452
Generation
31
Complexity
15
Created
2026-09-24
Lineage
Parents (1)
logic of PriceMomentum_V0314 with risk overlay of PriceMomentum_V0386
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V0686 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXTREME', 'NORMAL']
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)):
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 12.5% | 19.1% | 3.3% | 11.4% |
| Total Return | 156.4% | 68.8% | 12.7% | 387.6% |
| Sharpe | 0.60 | 0.62 | 0.26 | 0.51 |
| Sortino | 0.47 | 0.48 | 0.16 | 0.37 |
| Calmar | 0.42 | 0.35 | 0.08 | 0.21 |
| Volatility | 24.5% | 43.0% | 27.1% | 29.8% |
| Max DD | -29.5% | -55.3% | -39.2% | -55.3% |
| Win Rate | 53.1% | 37.5% | 55.6% | 50.0% |
| Avg Win | 13.8% | 28.8% | 6.6% | 14.3% |
| Avg Loss | -6.0% | -9.0% | -6.4% | -7.0% |
| Payoff | 2.31 | 3.22 | 1.03 | 2.05 |
| Expectancy | 4.5% | 5.2% | 0.8% | 3.7% |
| Profit Factor | 2.62 | 1.93 | 1.28 | 2.05 |
| Trades | 32 | 16 | 18 | 66 |
| Avg Holding Days | 17.0 | 14.8 | 11.1 | 14.8 |
| Turnover | 8.0 | 10.7 | 10.0 | 9.1 |
| Exposure | 25.4% | 29.2% | 21.7% | 25.3% |
Growth of $100
PriceMomentum_V0686 vs TSLA Buy & Hold
PriceMomentum_V0686 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 | 6.8% | 0.52 | -22.3% | 5 |
| 2017 | 8.5% | 0.98 | -6.0% | 4 |
| 2018 | -15.1% | -0.51 | -27.3% | 4 |
| 2019 | 36.5% | 1.89 | -8.5% | 3 |
| 2020 | 90.5% | 1.33 | -43.7% | 8 |
| 2021 | 31.7% | 1.15 | -17.6% | 2 |
| 2022 | -33.0% | -1.33 | -39.7% | 6 |
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 | 270 | 3.5% | 0.18 | 17% |
| hidden test | EXPENSIVE | 83 | -11.1% | -0.63 | 6% |
| hidden test | EXTREME | 48 | 49.9% | 0.97 | 65% |
| hidden test | HIGH VOLATILITY | 254 | -44.5% | -1.22 | 27% |
| hidden test | LOW VOLATILITY | 430 | 27.6% | 1.44 | 19% |
| hidden test | MEDIUM VOLATILITY | 250 | 23.7% | 0.86 | 21% |
| hidden test | NORMAL | 803 | 6.2% | 0.24 | 21% |
| hidden test | SIDEWAYS | 293 | -5.2% | -0.35 | 3% |
| hidden test | UPTREND | 371 | 19.0% | 0.51 | 40% |
| train | DOWNTREND | 518 | 13.4% | 1.07 | 11% |
| train | EXPENSIVE | 311 | -10.5% | -0.64 | 4% |
| train | EXTREME | 100 | 276.5% | 4.08 | 89% |
| train | HIGH VOLATILITY | 699 | 21.9% | 0.67 | 21% |
| train | LOW VOLATILITY | 745 | 17.2% | 0.92 | 33% |
| train | MEDIUM VOLATILITY | 568 | 2.8% | 0.14 | 21% |
| train | NORMAL | 1,601 | 3.3% | 0.16 | 26% |
| train | SIDEWAYS | 592 | -2.0% | -0.19 | 2% |
| train | UPTREND | 902 | 26.5% | 0.77 | 49% |
| validation | DOWNTREND | 125 | 37.6% | 1.70 | 12% |
| validation | EXPENSIVE | 138 | -100.6% | -2.88 | 5% |
| validation | EXTREME | 144 | 231.1% | 3.03 | 78% |
| validation | HIGH VOLATILITY | 258 | 49.4% | 0.78 | 42% |
| validation | LOW VOLATILITY | 183 | 30.2% | 2.11 | 20% |
| validation | MEDIUM VOLATILITY | 315 | 6.1% | 0.19 | 24% |
| validation | NORMAL | 474 | 1.7% | 0.06 | 22% |
| validation | SIDEWAYS | 206 | -25.5% | -1.53 | 3% |
| validation | UPTREND | 425 | 48.8% | 0.89 | 47% |
Trades (full period)
67 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 4.31% | 22 | 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 | |
| 2025-12-15 | 2026-01-13 | $475.31 | $447.20 | -2.37% | 20 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -17.99% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 8.23% | 4 | |
| 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 | |
| 2025-01-06 | 2025-01-17 | $411.05 | $426.50 | 0.62% | 9 | |
| 2024-12-03 | 2025-01-03 | $351.42 | $410.44 | 6.00% | 22 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -4.16% | 2 | |
| 2024-11-19 | 2024-11-22 | $346.00 | $352.56 | 0.07% | 4 | |
| 2024-11-12 | 2024-11-14 | $328.49 | $311.18 | -5.84% | 3 | |
| 2024-10-03 | 2024-10-22 | $240.66 | $217.97 | -12.29% | 14 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 10.22% | 16 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 3.14% | 23 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.65% | 10 | |
| 2023-06-02 | 2023-08-03 | $213.97 | $259.32 | 22.21% | 43 | |
| 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 | |
| 2022-07-19 | 2022-08-02 | $245.53 | $300.59 | 23.34% | 11 | |
| 2022-06-24 | 2022-07-05 | $245.71 | $233.07 | -3.51% | 7 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -17.18% | 12 | |
| 2021-09-16 | 2021-12-03 | $252.33 | $338.32 | 43.21% | 56 | |
| 2021-01-11 | 2021-01-12 | $270.40 | $283.15 | -8.01% | 2 | |
| 2020-12-08 | 2020-12-10 | $216.63 | $209.02 | -6.00% | 3 | |
| 2020-09-15 | 2020-09-24 | $149.92 | $129.26 | -9.53% | 8 | |
| 2020-08-18 | 2020-09-09 | $125.81 | $122.09 | -10.23% | 16 | |
| 2020-06-30 | 2020-08-11 | $71.99 | $91.63 | 40.27% | 30 | |
| 2020-06-02 | 2020-06-25 | $58.77 | $65.73 | 6.77% | 18 | |
| 2020-05-20 | 2020-05-29 | $54.37 | $55.67 | -0.47% | 7 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-01-22 | 2020-03-05 | $37.97 | $48.30 | 36.70% | 31 | |
| 2019-10-25 | 2019-12-17 | $21.88 | $25.27 | 27.06% | 37 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 5.72% | 13 | |
| 2019-07-16 | 2019-07-22 | $16.83 | $17.05 | 1.64% | 5 | |
| 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 | |
| 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 | |
| 2017-06-14 | 2017-06-30 | $25.38 | $24.11 | -4.23% | 13 | |
| 2017-04-06 | 2017-04-07 | $19.91 | $20.17 | 1.05% | 2 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.17% | 4 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 11.94% | 14 | |
| 2016-12-21 | 2016-12-28 | $13.85 | $14.65 | 4.93% | 5 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -6.63% | 26 | |
| 2016-04-05 | 2016-05-05 | $17.03 | $14.10 | -10.07% | 23 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 2.12% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 18.67% | 12 | |
| 2015-05-11 | 2015-08-12 | $15.97 | $15.88 | 0.12% | 66 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-24 | 2015-04-28 | $14.56 | $15.37 | 5.71% | 3 | |
| 2014-06-23 | 2014-10-01 | $15.81 | $16.02 | 5.49% | 71 | |
| 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 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -7.12% | 11 | |
| 2013-04-19 | 2013-06-25 | $3.19 | $6.83 | 115.65% | 47 | |
| 2013-04-02 | 2013-04-11 | $2.96 | $2.91 | -4.90% | 8 | |
| 2013-02-15 | 2013-03-20 | $2.47 | $2.40 | -8.52% | 23 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.12% | 3 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-02-23 | 2012-04-25 | $2.30 | $2.19 | -7.20% | 44 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |