Strategy Zoo / S0845

PriceMomentum_V0845

ARCHIVEDhybrid

structuralreduce exposure to 41% during EXPENSIVE

Fitness

0.5550

Generation

Complexity

Created

2026-09-29

Lineage

Parents (1)

PriceMomentum_V0802S0802 · gen 37ARCHIVEDstructural

entry = PriceMomentum_V0267 AND PriceMomentum_V0567

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0845  [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.1146 and ret_20d > 0.05):
    position = 1.0
if long and ret_20d < -0.1003:
    position = 0.0  # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68
if regime.bubble == "EXPENSIVE": position *= 0.41

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	24.1%	45.6%	15.5%	26.0%
Total Return	459.3%	208.5%	71.1%	2887.8%
Sharpe	1.01	1.11	0.66	0.93
Sortino	0.97	0.96	0.51	0.79
Calmar	0.88	1.21	0.47	0.69
Volatility	24.1%	41.4%	27.7%	29.3%
Max DD	-27.4%	-37.7%	-33.0%	-37.7%
Win Rate	60.9%	50.0%	53.3%	56.0%
Avg Win	20.9%	33.6%	13.1%	23.1%
Avg Loss	-6.3%	-8.2%	-4.9%	-6.4%
Payoff	3.33	4.12	2.67	3.64
Expectancy	10.3%	12.7%	4.7%	10.2%
Profit Factor	5.18	4.12	3.05	4.63
Trades	23	12	15	50
Avg Holding Days	31.8	29.2	18.2	28.0
Turnover	8.4	10.7	11.4	9.6
Exposure	28.9%	31.5%	24.1%	28.3%

Growth of $100

PriceMomentum_V0845 vs TSLA Buy & Hold

PriceMomentum_V0845 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	4.9%	0.43	-20.2%	5
2017	20.3%	1.46	-11.4%	2
2018	-16.4%	-0.63	-27.3%	4
2019	59.9%	2.64	-8.5%	2
2020	223.7%	2.18	-33.8%	4
2021	30.5%	1.20	-18.6%	2
2022	-28.1%	-1.36	-34.8%	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	273	27.0%	1.02	21%
hidden test	EXPENSIVE	83	11.5%	0.50	26%
hidden test	EXTREME	48	107.9%	2.12	66%
hidden test	HIGH VOLATILITY	254	18.6%	0.48	33%
hidden test	LOW VOLATILITY	433	28.5%	1.50	20%
hidden test	MEDIUM VOLATILITY	250	0.2%	0.01	22%
hidden test	NORMAL	806	13.7%	0.52	21%
hidden test	SIDEWAYS	293	1.6%	0.13	3%
hidden test	UPTREND	371	25.1%	0.69	43%
train	DOWNTREND	518	18.7%	1.61	12%
train	EXPENSIVE	311	14.2%	0.77	27%
train	EXTREME	100	341.9%	5.05	90%
train	HIGH VOLATILITY	699	36.6%	1.15	27%
train	LOW VOLATILITY	745	26.3%	1.34	37%
train	MEDIUM VOLATILITY	568	6.9%	0.40	21%
train	NORMAL	1,601	6.6%	0.35	26%
train	SIDEWAYS	592	-2.7%	-0.27	2%
train	UPTREND	902	45.5%	1.34	56%
validation	DOWNTREND	125	29.6%	1.51	10%
validation	EXPENSIVE	138	-31.5%	-0.85	28%
validation	EXTREME	144	272.0%	3.62	76%
validation	HIGH VOLATILITY	258	76.5%	1.22	45%
validation	LOW VOLATILITY	183	30.8%	1.93	26%
validation	MEDIUM VOLATILITY	315	30.3%	1.08	24%
validation	NORMAL	474	0.2%	0.01	19%
validation	SIDEWAYS	206	-18.7%	-1.53	3%
validation	UPTREND	425	82.5%	1.54	52%

Trades (full period)

51 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	-3.73%	25	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
2025-09-15	2025-11-21	$410.04	$391.09	-3.17%	50
2025-05-22	2025-06-06	$341.04	$295.14	-7.14%	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	2025-01-17	$296.91	$426.50	12.25%	48
2024-10-03	2024-10-22	$240.66	$217.97	-12.84%	14
2024-09-06	2024-09-27	$210.73	$260.46	9.15%	16
2024-07-02	2024-08-02	$231.26	$207.67	1.87%	23
2024-05-15	2024-05-29	$173.99	$176.19	-0.65%	10
2023-06-02	2023-08-03	$213.97	$259.32	23.90%	43
2023-05-23	2023-05-31	$185.77	$203.93	6.29%	6
2023-01-25	2023-02-10	$144.43	$196.89	43.79%	13
2022-08-16	2022-08-22	$306.56	$289.91	-3.63%	5
2022-08-05	2022-08-08	$288.17	$290.42	-4.64%	2
2022-07-19	2022-08-02	$245.53	$300.59	18.87%	11
2022-06-24	2022-07-05	$245.71	$233.07	-3.51%	7
2022-04-05	2022-04-27	$363.75	$293.84	-16.47%	16
2022-01-04	2022-01-20	$383.20	$332.09	-18.24%	12
2021-09-16	2021-12-03	$252.33	$338.32	46.78%	56
2020-11-19	2021-02-23	$166.42	$232.95	-2.44%	64
2020-10-07	2020-11-13	$141.77	$136.17	0.30%	28
2020-05-20	2020-09-30	$54.37	$143.00	69.85%	93
2020-04-14	2020-04-30	$47.33	$52.13	22.74%	13
2019-10-25	2020-03-05	$21.88	$48.30	91.36%	90
2019-09-27	2019-10-15	$16.14	$17.19	3.91%	13
2019-06-21	2019-07-22	$14.79	$17.05	16.51%	21
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	11.09%	30
2017-08-04	2017-08-24	$23.79	$23.53	0.12%	15
2017-01-05	2017-07-07	$15.12	$20.88	20.09%	127
2016-12-21	2016-12-28	$13.85	$14.65	5.11%	5
2016-07-26	2016-08-30	$15.30	$14.09	-6.63%	26
2016-04-05	2016-05-05	$17.03	$14.10	-9.88%	23
2016-03-24	2016-03-28	$15.18	$15.35	1.44%	2
2016-03-04	2016-03-21	$13.40	$15.89	16.89%	12
2015-05-11	2015-08-12	$15.97	$15.88	5.27%	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	7.97%	71
2014-01-24	2014-03-26	$11.64	$14.20	6.03%	43
2013-04-02	2013-10-24	$2.96	$11.54	189.73%	145
2013-01-29	2013-03-20	$2.53	$2.40	-8.32%	36
2012-11-23	2012-12-14	$2.14	$2.25	3.30%	16
2012-02-23	2012-04-25	$2.30	$2.19	-1.63%	44
2012-02-21	2012-02-22	$2.30	$2.28	-1.54%	2