Strategy Zoo / S1003

PriceMomentum_V1003

ARCHIVEDhybrid

crossoverentry from PriceMomentum_V0640, exit from PriceMomentum_V0449

Fitness

0.7368

Generation

Complexity

Created

2026-10-01

Lineage

Parents (2)

PriceMomentum_V0449S0449 · gen 20ARCHIVEDcrossover

changed ret_20d threshold -0.1437 -> -0.006

PriceMomentum_V0640S0640 · gen 29ARCHIVEDcrossover

changed ret_20d threshold 0.05 -> 0.184

Children (13)

LongTermTrend_V1110S1110 · gen 51ARCHIVEDcrossover

PriceMomentum_V1113S1113 · gen 51ARCHIVEDcrossover

PriceMomentum_V1117S1117 · gen 51ARCHIVEDllm

PriceMomentum_V1218S1218 · gen 56ARCHIVEDllm

PriceMomentum_V1230S1230 · gen 56ARCHIVEDstructural

PriceMomentum_V1384S1384 · gen 63ARCHIVEDstructural

PriceMomentum_V1385S1385 · gen 64ARCHIVEDcrossover

PriceMomentum_V1403S1403 · gen 64ARCHIVEDstructural

PriceMomentum_V1460S1460 · gen 67ARCHIVEDstructural

PriceMomentum_V1497S1497 · gen 69ARCHIVEDstructural

PriceMomentum_V1521S1521 · gen 70ARCHIVEDstructural

PriceMomentum_V1551S1551 · gen 71ARCHIVEDparameter

PriceMomentum_V1578S1578 · gen 73ARCHIVEDcrossover

Strategy Logic (pseudocode)

# PriceMomentum_V1003  [hybrid]
if flat and ret_20d > 0.184:
    position = 1.0
if long and ret_20d < -0.006:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	24.3%	101.8%	16.6%	35.3%
Total Return	468.4%	721.6%	77.1%	8414.2%
Sharpe	0.93	1.73	0.64	1.07
Sortino	0.80	1.56	0.51	0.90
Calmar	0.76	3.02	0.45	0.95
Volatility	27.5%	46.9%	31.6%	33.4%
Max DD	-32.0%	-33.7%	-37.1%	-37.1%
Win Rate	61.1%	70.0%	41.7%	57.5%
Avg Win	23.6%	43.2%	24.0%	33.0%
Avg Loss	-7.7%	-3.9%	-6.5%	-6.6%
Payoff	3.05	10.00	3.69	5.03
Expectancy	11.4%	29.1%	6.2%	16.2%
Profit Factor	4.80	10.00	2.64	6.81
Trades	18	10	12	40
Avg Holding Days	32.8	29.3	24.3	30.5
Turnover	4.6	6.7	6.4	5.4
Exposure	30.7%	37.4%	29.7%	31.9%

Growth of $100

PriceMomentum_V1003 vs TSLA Buy & Hold

PriceMomentum_V1003 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	14.0%	0.96	-11.7%	2
2017	-0.1%	0.10	-22.8%	3
2018	-9.1%	-0.40	-18.1%	2
2019	42.2%	1.57	-13.9%	1
2020	459.7%	2.78	-33.7%	4
2021	40.2%	1.22	-17.6%	4
2022	0.4%	0.12	-14.8%	2

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	30.8%	1.76	6%
hidden test	EXPENSIVE	83	50.5%	1.28	55%
hidden test	EXTREME	48	183.9%	3.27	67%
hidden test	HIGH VOLATILITY	254	53.5%	1.19	36%
hidden test	LOW VOLATILITY	434	31.8%	1.56	25%
hidden test	MEDIUM VOLATILITY	251	-33.1%	-1.07	31%
hidden test	NORMAL	808	7.5%	0.27	25%
hidden test	SIDEWAYS	293	-8.7%	-0.30	29%
hidden test	UPTREND	371	35.6%	0.87	48%
train	DOWNTREND	518	8.6%	1.11	4%
train	EXPENSIVE	311	34.2%	0.93	56%
train	EXTREME	100	368.1%	5.07	95%
train	HIGH VOLATILITY	699	45.0%	1.23	31%
train	LOW VOLATILITY	745	29.5%	1.46	38%
train	MEDIUM VOLATILITY	568	-4.0%	-0.18	21%
train	NORMAL	1,601	2.4%	0.13	22%
train	SIDEWAYS	592	-12.4%	-0.73	13%
train	UPTREND	902	60.0%	1.58	57%
validation	DOWNTREND	125	11.5%	1.42	1%
validation	EXPENSIVE	138	69.5%	1.32	53%
validation	EXTREME	144	319.7%	3.89	91%
validation	HIGH VOLATILITY	258	99.2%	1.52	43%
validation	LOW VOLATILITY	183	20.2%	1.36	13%
validation	MEDIUM VOLATILITY	315	102.0%	2.50	47%
validation	NORMAL	474	12.2%	0.51	17%
validation	SIDEWAYS	206	-0.7%	-0.03	20%
validation	UPTREND	425	141.5%	2.37	56%

Trades (full period)

40 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-08	2026-06-08	$428.35	$408.95	-5.23%	21
2025-12-17	2026-01-05	$467.26	$451.67	-10.76%	12
2025-09-16	2025-10-23	$421.62	$448.98	6.84%	28
2025-05-08	2025-06-12	$284.82	$319.11	17.94%	25
2024-11-07	2025-01-13	$296.91	$403.31	36.54%	44
2024-09-06	2024-10-14	$210.73	$219.16	-5.57%	27
2024-07-03	2024-08-02	$246.39	$207.67	-6.41%	22
2024-05-20	2024-05-29	$174.95	$176.19	-0.60%	7
2023-11-29	2024-01-08	$244.14	$240.45	-3.93%	27
2023-09-15	2023-09-28	$274.39	$246.38	-13.05%	10
2023-05-25	2023-07-24	$184.47	$269.06	41.88%	40
2023-01-27	2023-03-08	$177.90	$182.00	16.90%	28
2022-07-29	2022-08-29	$297.15	$284.82	2.36%	22
2022-03-23	2022-04-21	$333.04	$336.26	-1.88%	21
2021-10-19	2021-12-01	$288.09	$365.00	31.30%	31
2021-04-27	2021-05-04	$234.91	$224.53	-7.41%	6
2021-04-07	2021-04-12	$223.66	$233.99	-2.31%	4
2020-11-24	2021-02-09	$185.13	$283.15	65.13%	52
2020-10-07	2020-10-14	$141.77	$153.77	7.68%	6
2020-08-19	2020-09-24	$125.24	$129.26	0.58%	26
2020-04-14	2020-08-10	$47.33	$94.57	122.74%	83
2019-10-25	2020-03-04	$21.88	$49.97	148.29%	89
2019-07-01	2019-08-06	$15.14	$15.38	1.97%	26
2018-10-29	2018-12-19	$22.32	$22.20	1.65%	36
2018-06-14	2018-07-06	$23.85	$20.59	-10.51%	16
2017-06-14	2017-07-06	$25.38	$20.59	-13.17%	16
2017-04-04	2017-05-24	$20.25	$20.68	1.59%	36
2017-01-04	2017-02-28	$15.13	$16.67	13.25%	38
2016-07-26	2016-08-17	$15.30	$14.88	-2.98%	17
2016-03-08	2016-05-03	$13.51	$15.49	17.55%	40
2015-09-23	2015-09-30	$17.40	$16.56	-5.67%	6
2015-04-28	2015-07-27	$15.37	$16.87	14.39%	63
2014-08-14	2014-09-16	$17.43	$17.38	-2.67%	23
2014-01-22	2014-03-26	$11.90	$14.20	24.52%	45
2013-12-18	2014-01-14	$9.87	$10.75	-8.79%	18
2013-07-02	2013-10-22	$7.85	$11.44	47.00%	79
2013-04-02	2013-06-26	$2.96	$7.05	132.63%	61
2012-11-21	2012-12-31	$2.16	$2.26	0.46%	27
2012-07-17	2012-07-20	$2.22	$2.12	-10.45%	4
2012-02-14	2012-04-10	$2.21	$2.16	5.07%	39