# PriceMomentum_V0792  [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (ret_20d > 0.05 or (breakout_20 == 1 and dist_sma_20 > -0.121 and vol_chg < 1.2007)):
    position = 1.0
if long and ret_20d < -0.1496:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	23.2%	107.3%	4.4%	31.7%
Total Return	430.2%	790.4%	17.5%	5611.9%
Sharpe	1.01	1.86	0.32	1.11
Sortino	0.73	1.57	0.21	0.78
Calmar	0.91	3.18	0.13	0.91
Volatility	23.2%	44.5%	19.9%	28.3%
Max DD	-25.5%	-33.7%	-34.8%	-34.8%
Win Rate	60.0%	80.0%	66.7%	66.7%
Avg Win	54.5%	79.6%	11.1%	57.5%
Avg Loss	-3.5%	-0.7%	-4.7%	-3.3%
Payoff	10.00	10.00	2.35	10.00
Expectancy	31.3%	63.5%	5.8%	37.2%
Profit Factor	10.00	10.00	4.70	10.00
Trades	10	5	3	18
Avg Holding Days	31.7	48.4	37.7	37.9
Turnover	2.6	3.3	1.6	2.4
Exposure	15.8%	31.3%	11.8%	18.0%

Growth of $100

PriceMomentum_V0792 vs TSLA Buy & Hold

PriceMomentum_V0792 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	0.6%	0.15	-25.0%	6
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	692.3%	3.19	-33.7%	4
2021	7.7%	0.48	-10.9%	1
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	-18.9%	-0.41	72%
hidden test	EXTREME	48	185.0%	2.93	100%
hidden test	HIGH VOLATILITY	254	24.2%	0.90	18%
hidden test	LOW VOLATILITY	432	17.8%	1.86	4%
hidden test	MEDIUM VOLATILITY	250	-31.8%	-1.32	18%
hidden test	NORMAL	805	-1.8%	-0.80	0%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	15.9%	0.50	30%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	28.7%	0.74	68%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	51.1%	1.54	21%
train	LOW VOLATILITY	745	10.8%	0.97	11%
train	MEDIUM VOLATILITY	568	6.2%	0.31	15%
train	NORMAL	1,601	-2.0%	-0.87	0%
train	SIDEWAYS	592	1.4%	0.63	0%
train	UPTREND	902	51.5%	1.49	35%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	63.9%	1.10	80%
validation	EXTREME	144	376.0%	4.56	88%
validation	HIGH VOLATILITY	258	141.4%	2.19	40%
validation	LOW VOLATILITY	183	8.8%	0.44	18%
validation	MEDIUM VOLATILITY	315	77.8%	2.34	32%
validation	NORMAL	474	-0.8%	-0.78	0%
validation	SIDEWAYS	206	3.2%	0.67	1%
validation	UPTREND	425	145.7%	2.47	55%

Trades (full period)

18 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-15	2025-11-13	$410.04	$401.99	8.54%	44
2025-05-28	2025-06-02	$356.90	$342.69	-4.72%	4
2024-11-07	2025-02-12	$296.91	$336.51	13.63%	65
2020-11-19	2021-02-19	$166.42	$260.43	61.48%	62
2020-10-07	2020-11-13	$141.77	$136.17	-0.73%	28
2020-05-15	2020-09-30	$53.28	$143.00	160.31%	96
2020-04-14	2020-04-30	$47.33	$52.13	22.74%	13
2019-12-17	2020-03-05	$25.27	$48.30	96.07%	54
2017-09-18	2017-09-26	$25.67	$23.02	-9.35%	7
2017-08-04	2017-08-24	$23.79	$23.53	1.44%	15
2017-04-07	2017-07-10	$20.17	$21.07	4.65%	64
2017-03-28	2017-04-06	$18.50	$19.91	8.95%	8
2017-02-03	2017-02-28	$16.76	$16.67	-2.31%	17
2017-01-25	2017-01-31	$16.96	$16.80	-1.76%	5
2014-01-24	2014-03-27	$11.64	$13.82	17.09%	44
2013-04-11	2013-10-29	$2.91	$10.96	288.30%	141
2013-02-14	2013-02-15	$2.55	$2.47	-0.67%	2
2013-01-24	2013-02-12	$2.47	$2.53	6.51%	14