Strategy Zoo / S1020
PriceMomentum_V1020
ARCHIVEDhybridstructuralchanged ret_20d threshold 0.1146 -> 0.0529; restricted to trend regimes ['DOWNTREND', 'UPTREND']
Fitness
0.6500
Generation
46
Complexity
6
Created
2026-10-01
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.0091; reduce exposure to 62% during MEDIUM_VOLATILITY
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1020 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.0529 and ret_20d > 0.0091):
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.62Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 26.8% | 74.4% | 20.4% | 33.8% |
| Total Return | 565.1% | 430.2% | 99.4% | 7141.2% |
| Sharpe | 0.96 | 1.47 | 0.75 | 1.04 |
| Sortino | 1.06 | 1.46 | 0.66 | 1.03 |
| Calmar | 0.49 | 2.01 | 0.52 | 0.62 |
| Volatility | 28.9% | 44.7% | 31.5% | 33.4% |
| Max DD | -54.9% | -37.1% | -38.8% | -54.9% |
| Win Rate | 47.2% | 50.0% | 57.9% | 50.7% |
| Avg Win | 27.9% | 42.6% | 14.6% | 28.7% |
| Avg Loss | -5.7% | -8.1% | -8.5% | -6.8% |
| Payoff | 4.92 | 5.25 | 1.72 | 4.19 |
| Expectancy | 10.2% | 17.3% | 4.9% | 11.2% |
| Profit Factor | 4.40 | 5.25 | 2.36 | 4.32 |
| Trades | 36 | 14 | 19 | 69 |
| Avg Holding Days | 25.3 | 27.9 | 17.2 | 24.3 |
| Turnover | 12.2 | 11.4 | 12.9 | 12.1 |
| Exposure | 40.8% | 42.0% | 31.6% | 38.7% |
Growth of $100
PriceMomentum_V1020 vs TSLA Buy & Hold
PriceMomentum_V1020 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 | 10.4% | 0.81 | -18.7% | 6 |
| 2017 | 12.3% | 0.61 | -24.3% | 3 |
| 2018 | -28.3% | -1.15 | -36.0% | 7 |
| 2019 | 38.3% | 1.56 | -17.0% | 4 |
| 2020 | 443.0% | 2.84 | -33.8% | 4 |
| 2021 | 39.5% | 1.33 | -23.2% | 3 |
| 2022 | -32.1% | -1.64 | -34.5% | 7 |
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 | 7.7% | 0.24 | 36% |
| hidden test | EXPENSIVE | 83 | 64.4% | 1.60 | 54% |
| hidden test | EXTREME | 48 | 201.4% | 3.48 | 71% |
| hidden test | HIGH VOLATILITY | 254 | 31.6% | 0.72 | 42% |
| hidden test | LOW VOLATILITY | 434 | 37.3% | 1.62 | 28% |
| hidden test | MEDIUM VOLATILITY | 251 | -8.6% | -0.29 | 28% |
| hidden test | NORMAL | 808 | 8.7% | 0.31 | 27% |
| hidden test | SIDEWAYS | 293 | 3.3% | 0.29 | 4% |
| hidden test | UPTREND | 371 | 51.1% | 1.25 | 50% |
| train | DOWNTREND | 518 | 7.3% | 0.41 | 24% |
| train | EXPENSIVE | 311 | 42.3% | 1.28 | 62% |
| train | EXTREME | 100 | 397.9% | 5.54 | 93% |
| train | HIGH VOLATILITY | 699 | 53.0% | 1.40 | 36% |
| train | LOW VOLATILITY | 745 | 32.6% | 1.40 | 52% |
| train | MEDIUM VOLATILITY | 568 | -9.3% | -0.42 | 32% |
| train | NORMAL | 1,601 | 1.9% | 0.09 | 33% |
| train | SIDEWAYS | 592 | -7.0% | -0.59 | 4% |
| train | UPTREND | 902 | 62.5% | 1.57 | 75% |
| validation | DOWNTREND | 125 | 28.3% | 1.46 | 13% |
| validation | EXPENSIVE | 138 | 45.3% | 0.91 | 60% |
| validation | EXTREME | 144 | 306.6% | 3.98 | 79% |
| validation | HIGH VOLATILITY | 258 | 102.0% | 1.58 | 49% |
| validation | LOW VOLATILITY | 183 | 26.6% | 1.04 | 50% |
| validation | MEDIUM VOLATILITY | 315 | 58.4% | 1.86 | 32% |
| validation | NORMAL | 474 | -1.7% | -0.07 | 26% |
| validation | SIDEWAYS | 206 | -22.2% | -1.79 | 4% |
| validation | UPTREND | 425 | 119.1% | 2.06 | 69% |
Trades (full period)
70 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | -0.07% | 28 | OPEN |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-21 | 2026-05-08 | $386.42 | $428.35 | 6.45% | 14 | |
| 2025-12-15 | 2026-01-13 | $475.31 | $447.20 | -2.37% | 20 | |
| 2025-09-12 | 2025-11-21 | $395.94 | $391.09 | 7.21% | 51 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-07 | 2025-08-11 | $322.27 | $339.03 | 2.84% | 3 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -2.22% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -8.36% | 11 | |
| 2025-04-29 | 2025-05-12 | $292.03 | $318.38 | 4.12% | 10 | |
| 2025-04-10 | 2025-04-23 | $252.40 | $250.74 | -12.76% | 9 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 40.89% | 48 | |
| 2024-10-03 | 2024-10-22 | $240.66 | $217.97 | -12.94% | 14 | |
| 2024-09-04 | 2024-09-27 | $219.41 | $260.46 | 15.15% | 18 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 1.62% | 23 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2024-02-27 | 2024-03-15 | $199.73 | $163.57 | -18.67% | 14 | |
| 2023-06-02 | 2023-08-03 | $213.97 | $259.32 | 24.21% | 43 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 3 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.51% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.23% | 2 | |
| 2022-07-14 | 2022-08-02 | $238.31 | $300.59 | 19.12% | 14 | |
| 2022-06-22 | 2022-07-05 | $236.09 | $233.07 | -4.32% | 9 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -15.08% | 16 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -18.44% | 12 | |
| 2021-08-24 | 2021-12-03 | $236.16 | $338.32 | 57.73% | 72 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 19.67% | 64 | |
| 2020-10-07 | 2020-11-13 | $141.77 | $136.17 | 0.44% | 28 | |
| 2020-05-15 | 2020-09-30 | $53.28 | $143.00 | 117.23% | 96 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-05 | $21.88 | $48.30 | 131.74% | 90 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -0.96% | 2 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 3.57% | 13 | |
| 2019-06-18 | 2019-07-22 | $14.98 | $17.05 | 13.47% | 24 | |
| 2019-04-04 | 2019-04-29 | $17.85 | $16.10 | -14.79% | 17 | |
| 2018-11-29 | 2018-12-26 | $22.74 | $21.74 | -11.08% | 18 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-08-22 | 2018-08-28 | $21.44 | $20.79 | -1.02% | 5 | |
| 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 | |
| 2018-04-27 | 2018-06-12 | $19.61 | $22.85 | 14.03% | 32 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -5.03% | 4 | |
| 2017-09-18 | 2017-10-25 | $25.67 | $21.72 | -9.44% | 28 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | -0.06% | 15 | |
| 2017-01-05 | 2017-07-07 | $15.12 | $20.88 | 24.06% | 127 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 9.76% | 10 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -6.63% | 26 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-05-05 | $17.03 | $14.10 | -9.85% | 23 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 1.32% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 16.56% | 12 | |
| 2015-12-03 | 2015-12-29 | $15.51 | $15.81 | -0.00% | 18 | |
| 2015-11-27 | 2015-12-02 | $15.44 | $15.47 | 3.08% | 4 | |
| 2015-05-11 | 2015-08-12 | $15.97 | $15.88 | 6.25% | 66 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-23 | 2015-04-28 | $14.57 | $15.37 | 5.31% | 4 | |
| 2015-04-08 | 2015-04-14 | $13.84 | $13.83 | 3.01% | 5 | |
| 2015-02-11 | 2015-03-09 | $14.19 | $12.73 | -10.54% | 18 | |
| 2014-06-23 | 2014-10-01 | $15.81 | $16.02 | 8.44% | 71 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 12.76% | 43 | |
| 2013-03-26 | 2013-10-24 | $2.52 | $11.54 | 346.61% | 149 | |
| 2012-12-18 | 2013-03-20 | $2.31 | $2.40 | 1.77% | 63 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-10-03 | 2012-10-15 | $1.95 | $1.82 | -5.41% | 9 | |
| 2012-08-30 | 2012-09-12 | $1.89 | $1.89 | -2.30% | 9 | |
| 2012-02-23 | 2012-04-25 | $2.30 | $2.19 | -0.56% | 44 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |