Strategy Zoo / S0862

PriceMomentum_V0862

ARCHIVEDhybrid

structuraladded entry filter: vol_60 < 0.3753; reduce exposure to 67% during EXPENSIVE

Fitness

0.2563

Generation

Complexity

Created

2026-09-29

Lineage

Parents (1)

PriceMomentum_V0840S0840 · gen 38ARCHIVEDstructural

changed ret_20d threshold 0.05 -> -0.0982

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0862  [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.1146 and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > -0.0982) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > -0.1688) and vol_60 < 0.3753):
    position = 1.0
if long and ret_20d < -0.1003:
    position = 0.0  # exit to cash
if regime.bubble == "EXPENSIVE": position *= 0.67

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	3.0%	12.7%	1.5%	4.5%
Total Return	27.0%	43.2%	5.5%	91.9%
Sharpe	0.30	0.87	0.71	0.45
Sortino	0.14	0.30	0.00	0.17
Calmar	0.18	0.72	14.63	0.25
Volatility	12.3%	15.0%	2.1%	11.4%
Max DD	-16.5%	-17.6%	-0.1%	-18.2%
Win Rate	57.1%	100.0%	100.0%	66.7%
Avg Win	10.4%	43.2%	5.5%	15.0%
Avg Loss	-4.3%	0.0%	0.0%	-4.3%
Payoff	2.40	5.00	5.00	3.48
Expectancy	4.1%	43.2%	5.5%	8.6%
Profit Factor	3.20	5.00	5.00	6.96
Trades	7	1	1	9
Avg Holding Days	39.9	56.0	3.0	37.6
Turnover	2.2	0.7	0.5	1.4
Exposure	12.1%	7.3%	0.2%	8.1%

Growth of $100

PriceMomentum_V0862 vs TSLA Buy & Hold

PriceMomentum_V0862 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%	1.29	-0.6%	1
2017	30.8%	1.47	-15.2%	1
2018	0.0%	0.00	0.0%	0
2019	0.0%	0.00	0.0%	0
2020	0.0%	0.00	0.0%	0
2021	43.2%	1.51	-17.6%	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	273	2.1%	0.96	0%
hidden test	EXPENSIVE	83	0.0%	0.00	0%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	0.0%	0.00	0%
hidden test	LOW VOLATILITY	433	3.2%	1.04	0%
hidden test	MEDIUM VOLATILITY	250	0.0%	0.00	0%
hidden test	NORMAL	806	1.7%	0.77	0%
hidden test	SIDEWAYS	293	2.7%	0.90	0%
hidden test	UPTREND	371	0.0%	0.00	0%
train	DOWNTREND	518	0.9%	0.54	1%
train	EXPENSIVE	311	16.2%	1.15	20%
train	EXTREME	100	5.1%	0.49	12%
train	HIGH VOLATILITY	699	-1.9%	-0.21	4%
train	LOW VOLATILITY	745	14.6%	1.12	18%
train	MEDIUM VOLATILITY	568	-3.5%	-0.24	14%
train	NORMAL	1,601	1.3%	0.10	11%
train	SIDEWAYS	592	2.5%	0.54	1%
train	UPTREND	902	6.2%	0.34	26%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	0.0%	0.00	0%
validation	EXTREME	144	0.0%	0.00	0%
validation	HIGH VOLATILITY	258	-1.1%	-0.07	3%
validation	LOW VOLATILITY	183	25.9%	2.52	15%
validation	MEDIUM VOLATILITY	315	17.3%	0.98	6%
validation	NORMAL	474	20.9%	1.10	12%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	23.3%	1.16	13%

Trades (full period)

9 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-06	2026-05-08	$398.73	$428.35	5.55%	3
2021-09-16	2021-12-03	$252.33	$338.32	43.21%	56
2017-01-05	2017-07-07	$15.12	$20.88	30.70%	127
2016-12-21	2016-12-28	$13.85	$14.65	4.93%	5
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
2014-08-07	2014-10-01	$16.83	$16.02	-2.70%	39
2013-01-29	2013-03-20	$2.53	$2.40	-8.15%	36