Strategy Zoo / S0782

PriceMomentum_V0782

ARCHIVEDhybrid

crossoverentry from PriceMomentum_V0644, exit from LongTermTrend_V0663

Fitness

0.6210

Generation

Complexity

Created

2026-09-26

Lineage

Parents (2)

PriceMomentum_V0644S0644 · gen 29ARCHIVEDcrossover

changed ret_20d threshold -0.1766 -> -0.0991; changed ret_20d threshold 0.05 -> 0.1096

LongTermTrend_V0663S0663 · gen 30ARCHIVEDcrossover

swapped indicator macd_hist -> rsi_14

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0782  [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and ret_20d > 0.1096:
    position = 1.0
if long and macd_hist < 0.0:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	14.7%	76.0%	5.4%	22.7%
Total Return	198.2%	445.0%	21.5%	1933.6%
Sharpe	0.76	1.71	0.44	0.98
Sortino	0.50	1.35	0.18	0.61
Calmar	0.56	3.14	0.22	0.87
Volatility	20.5%	37.1%	14.4%	23.7%
Max DD	-26.1%	-24.2%	-24.3%	-26.1%
Win Rate	55.8%	71.9%	41.7%	59.8%
Avg Win	8.5%	10.5%	8.9%	9.7%
Avg Loss	-3.0%	-3.9%	-3.2%	-3.3%
Payoff	2.84	2.68	2.84	2.96
Expectancy	3.4%	6.5%	1.9%	4.5%
Profit Factor	3.59	6.85	2.03	4.40
Trades	43	32	12	87
Avg Holding Days	5.7	5.8	5.4	5.8
Turnover	10.9	21.3	6.5	11.8
Exposure	10.5%	20.4%	5.7%	11.3%

Growth of $100

PriceMomentum_V0782 vs TSLA Buy & Hold

PriceMomentum_V0782 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	8.2%	0.54	-13.7%	12
2018	0.0%	0.00	0.0%	0
2019	3.4%	0.65	-3.8%	0
2020	369.7%	2.83	-24.2%	25
2021	15.5%	0.94	-7.8%	6
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	272	0.0%	0.00	0%
hidden test	EXPENSIVE	83	-6.2%	-0.19	35%
hidden test	EXTREME	48	151.1%	3.22	48%
hidden test	HIGH VOLATILITY	254	12.7%	0.62	10%
hidden test	LOW VOLATILITY	432	17.6%	2.00	3%
hidden test	MEDIUM VOLATILITY	250	-19.8%	-1.35	5%
hidden test	NORMAL	805	-1.1%	-0.58	0%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	15.8%	0.69	14%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	8.3%	0.26	41%
train	EXTREME	100	307.4%	4.34	80%
train	HIGH VOLATILITY	699	33.8%	1.09	15%
train	LOW VOLATILITY	745	3.9%	0.40	9%
train	MEDIUM VOLATILITY	568	8.9%	0.66	7%
train	NORMAL	1,601	-1.1%	-0.73	0%
train	SIDEWAYS	592	0.0%	0.00	0%
train	UPTREND	902	35.0%	1.14	23%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	97.9%	2.46	42%
validation	EXTREME	144	238.6%	3.20	67%
validation	HIGH VOLATILITY	258	101.8%	1.91	28%
validation	LOW VOLATILITY	183	21.3%	1.63	7%
validation	MEDIUM VOLATILITY	315	56.2%	1.90	23%
validation	NORMAL	474	0.0%	0.00	0%
validation	SIDEWAYS	206	4.9%	1.08	0%
validation	UPTREND	425	110.3%	2.24	36%

Trades (full period)

87 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-10-09	2025-10-10	$435.54	$413.49	-0.92%	2
2025-10-07	2025-10-08	$433.09	$438.69	-4.64%	2
2025-09-15	2025-10-06	$410.04	$453.25	8.35%	16
2025-05-28	2025-06-02	$356.90	$342.69	-4.72%	4
2025-01-06	2025-01-07	$411.05	$394.36	-0.05%	2
2025-01-02	2025-01-03	$379.28	$410.44	-6.28%	2
2024-12-30	2024-12-31	$417.41	$403.84	-3.50%	2
2024-12-26	2024-12-27	$454.13	$431.66	-1.96%	2
2024-12-06	2024-12-24	$389.22	$462.28	16.31%	13
2024-12-04	2024-12-05	$357.93	$369.49	1.65%	2
2024-12-02	2024-12-03	$357.09	$351.42	3.25%	2
2024-11-07	2024-11-29	$296.91	$345.16	15.15%	16
2021-02-05	2021-02-08	$284.08	$287.81	0.06%	2
2021-02-03	2021-02-04	$284.90	$283.33	-2.27%	2
2021-02-01	2021-02-02	$279.94	$290.93	5.63%	2
2021-01-28	2021-01-29	$278.48	$264.51	-3.52%	2
2021-01-26	2021-01-27	$294.36	$288.05	0.06%	2
2021-01-05	2021-01-25	$245.04	$293.60	15.78%	14
2020-12-31	2021-01-04	$235.22	$243.26	1.37%	2
2020-12-29	2020-12-30	$222.00	$231.59	0.15%	2
2020-12-24	2020-12-28	$220.59	$221.23	2.24%	2
2020-12-18	2020-12-23	$231.67	$215.33	-2.56%	4
2020-11-19	2020-12-17	$166.42	$218.63	27.72%	20
2020-10-22	2020-10-23	$141.93	$140.21	0.54%	2
2020-10-09	2020-10-12	$144.67	$147.43	1.70%	2
2020-10-07	2020-10-08	$141.77	$141.97	2.53%	2
2020-09-17	2020-09-18	$141.14	$147.38	-4.35%	2
2020-09-15	2020-09-16	$149.92	$147.25	6.98%	2
2020-09-11	2020-09-14	$124.24	$139.87	0.17%	2
2020-09-09	2020-09-10	$122.09	$123.78	10.71%	2
2020-08-18	2020-09-08	$125.81	$110.07	13.72%	15
2020-08-03	2020-08-04	$99.00	$99.13	3.59%	2
2020-07-30	2020-07-31	$99.17	$95.38	-0.97%	2
2020-07-28	2020-07-29	$98.43	$99.94	-4.29%	2
2020-07-02	2020-07-27	$80.58	$102.64	26.32%	17
2020-06-30	2020-07-01	$71.99	$74.64	6.77%	2
2020-06-26	2020-06-29	$63.98	$67.29	-2.86%	2
2020-06-02	2020-06-25	$58.77	$65.73	6.77%	18
2020-05-22	2020-05-26	$54.46	$54.59	-1.49%	2
2020-05-20	2020-05-21	$54.37	$55.17	0.73%	2
2020-04-14	2020-04-30	$47.33	$52.13	22.74%	13
2020-03-03	2020-03-04	$49.70	$49.97	0.05%	2
2020-02-27	2020-02-28	$45.27	$44.53	-13.00%	2
2019-12-20	2020-02-26	$27.04	$51.92	97.58%	45
2017-09-20	2017-09-25	$24.93	$23.00	-6.59%	4
2017-08-04	2017-08-22	$23.79	$22.76	-2.85%	13
2017-06-05	2017-06-27	$23.15	$24.16	10.86%	17
2017-05-02	2017-05-04	$21.26	$19.70	-3.85%	3
2017-04-28	2017-05-01	$20.94	$21.52	1.56%	2
2017-04-26	2017-04-27	$20.68	$20.58	-1.35%	2
2017-04-24	2017-04-25	$20.54	$20.92	0.59%	2
2017-04-07	2017-04-21	$20.17	$20.37	1.07%	10
2017-03-29	2017-04-06	$18.49	$19.91	6.11%	7
2017-02-09	2017-02-22	$17.95	$18.23	5.63%	9
2017-02-07	2017-02-08	$17.17	$17.47	-0.31%	2
2017-01-25	2017-01-31	$16.96	$16.80	-1.76%	5
2014-03-20	2014-03-21	$15.66	$15.26	-0.59%	2
2014-03-18	2014-03-19	$16.00	$15.72	2.39%	2
2014-03-14	2014-03-17	$15.40	$15.60	-3.07%	2
2014-03-12	2014-03-13	$16.10	$15.85	2.82%	2
2014-02-11	2014-03-11	$13.11	$15.63	21.27%	20
2014-02-07	2014-02-10	$12.44	$13.10	4.36%	2
2014-01-24	2014-02-06	$11.64	$11.89	-4.10%	10
2013-10-08	2013-10-09	$11.65	$11.25	-4.75%	2
2013-09-23	2013-10-04	$12.07	$12.07	-5.69%	10
2013-09-19	2013-09-20	$11.86	$12.23	6.83%	2
2013-09-17	2013-09-18	$11.08	$11.08	-0.41%	2
2013-09-13	2013-09-16	$11.04	$11.11	0.17%	2
2013-09-11	2013-09-12	$10.90	$11.00	-1.91%	2
2013-08-22	2013-09-10	$10.47	$11.09	8.47%	13
2013-08-20	2013-08-21	$9.97	$9.86	3.03%	2
2013-08-16	2013-08-19	$9.47	$9.66	1.47%	2
2013-07-30	2013-08-15	$8.78	$9.31	3.31%	13
2013-07-26	2013-07-29	$8.63	$8.97	4.08%	2
2013-07-24	2013-07-25	$8.11	$8.27	-1.05%	2
2013-07-22	2013-07-23	$8.16	$8.18	2.10%	2
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
2013-06-20	2013-06-21	$6.71	$6.64	-4.05%	2
2013-06-18	2013-06-19	$6.89	$6.98	0.96%	2
2013-06-13	2013-06-14	$6.55	$6.69	0.26%	2
2013-06-11	2013-06-12	$6.30	$6.52	-5.77%	2
2013-06-07	2013-06-10	$6.80	$6.67	4.61%	2
2013-06-05	2013-06-06	$6.36	$6.49	0.36%	2
2013-04-12	2013-06-04	$2.92	$6.32	111.99%	37
2013-02-14	2013-02-15	$2.55	$2.47	-0.67%	2
2013-01-29	2013-02-12	$2.53	$2.53	0.82%	11