Strategy Zoo / S0985

PriceMomentum_V0985

ARCHIVEDhybrid

structuralreduce exposure to 45% during MEDIUM_VOLATILITY

Fitness

0.5912

Generation

Complexity

Created

2026-10-01

Lineage

Parents (1)

PriceMomentum_V0971S0971 · gen 44ARCHIVEDstructural

changed ret_20d threshold -0.0017 -> -0.1499

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V0985  [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and ret_20d > 0.05:
    position = 1.0
if long and ret_20d < -0.1499:
    position = 0.0  # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.45

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	21.1%	66.7%	3.7%	24.5%
Total Return	361.7%	363.3%	14.4%	2420.6%
Sharpe	1.03	1.51	0.29	1.00
Sortino	0.80	1.11	0.17	0.66
Calmar	1.00	1.98	0.12	0.73
Volatility	20.6%	39.0%	17.3%	24.9%
Max DD	-21.2%	-33.8%	-30.4%	-33.8%
Win Rate	40.0%	100.0%	66.7%	61.1%
Avg Win	79.5%	39.9%	9.4%	50.5%
Avg Loss	-1.8%	0.0%	-4.1%	-2.1%
Payoff	10.00	5.00	2.30	10.00
Expectancy	30.7%	39.9%	4.9%	30.1%
Profit Factor	10.00	5.00	4.61	10.00
Trades	10	5	3	18
Avg Holding Days	31.7	48.4	37.7	37.9
Turnover	5.0	6.3	3.4	4.8
Exposure	13.4%	23.9%	9.2%	14.5%

Growth of $100

PriceMomentum_V0985 vs TSLA Buy & Hold

PriceMomentum_V0985 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	-5.7%	-0.19	-20.0%	6
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	355.8%	2.63	-33.8%	4
2021	-0.5%	-0.00	-8.9%	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	275	0.0%	0.00	0%
hidden test	EXPENSIVE	83	-25.9%	-0.72	50%
hidden test	EXTREME	48	168.1%	2.83	90%
hidden test	HIGH VOLATILITY	254	26.0%	0.98	18%
hidden test	LOW VOLATILITY	434	14.7%	1.68	4%
hidden test	MEDIUM VOLATILITY	251	-32.7%	-2.00	10%
hidden test	NORMAL	808	-1.4%	-0.71	0%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	12.9%	0.47	23%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	19.5%	0.64	56%
train	EXTREME	100	389.8%	5.46	90%
train	HIGH VOLATILITY	699	51.4%	1.69	20%
train	LOW VOLATILITY	745	11.4%	1.04	10%
train	MEDIUM VOLATILITY	568	-3.1%	-0.21	9%
train	NORMAL	1,601	-1.5%	-0.89	0%
train	SIDEWAYS	592	0.6%	0.63	0%
train	UPTREND	902	46.9%	1.53	30%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	37.0%	0.79	51%
validation	EXTREME	144	275.5%	3.66	76%
validation	HIGH VOLATILITY	258	113.9%	1.86	38%
validation	LOW VOLATILITY	183	10.7%	0.54	17%
validation	MEDIUM VOLATILITY	315	41.5%	2.23	16%
validation	NORMAL	474	-0.8%	-0.78	0%
validation	SIDEWAYS	206	3.1%	0.65	1%
validation	UPTREND	425	103.0%	1.99	42%

Trades (full period)

18 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-15	2025-11-13	$410.04	$401.99	3.65%	44
2025-05-28	2025-06-02	$356.90	$342.69	-4.07%	4
2024-11-07	2025-02-12	$296.91	$336.51	15.09%	65
2020-11-19	2021-02-19	$166.42	$260.43	20.02%	62
2020-10-07	2020-11-13	$141.77	$136.17	0.96%	28
2020-05-15	2020-09-30	$53.28	$143.00	99.73%	96
2020-04-14	2020-04-30	$47.33	$52.13	22.74%	13
2019-12-17	2020-03-05	$25.27	$48.30	75.91%	54
2017-09-18	2017-09-26	$25.67	$23.02	-6.64%	7
2017-08-04	2017-08-24	$23.79	$23.53	-0.73%	15
2017-04-07	2017-07-10	$20.17	$21.07	-0.83%	64
2017-03-28	2017-04-06	$18.50	$19.91	4.61%	8
2017-02-03	2017-02-28	$16.76	$16.67	-0.18%	17
2017-01-25	2017-01-31	$16.96	$16.80	-1.76%	5
2014-01-24	2014-03-27	$11.64	$13.82	5.22%	44
2013-04-11	2013-10-29	$2.91	$10.96	301.58%	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