Strategy Zoo / S1040

PriceMomentum_V1040

ARCHIVEDhybrid

structuralrestricted to trend regimes ['DOWNTREND']; swapped indicator ret_20d -> ret_5d

Fitness

0.1768

Generation

Complexity

Created

2026-10-02

Lineage

Parents (1)

PriceMomentum_V0828S0828 · gen 38ARCHIVEDstructural

logic of PriceMomentum_V0567 with risk overlay of PriceMomentum_V0730

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1040  [hybrid]
require regime.trend in ['DOWNTREND']
if flat and ret_5d > 0.1239:
    position = 1.0
if long and ret_20d < -0.0017:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	0.2%	2.3%	5.0%	1.9%
Total Return	1.8%	7.2%	20.1%	31.0%
Sharpe	0.10	0.37	0.46	0.29
Sortino	0.02	0.09	0.17	0.07
Calmar	0.03	0.23	0.23	0.09
Volatility	2.5%	6.8%	12.1%	7.1%
Max DD	-6.4%	-10.1%	-21.6%	-21.6%
Win Rate	42.9%	40.0%	44.4%	42.9%
Avg Win	2.8%	6.8%	13.4%	8.4%
Avg Loss	-1.6%	-2.0%	-5.3%	-3.2%
Payoff	1.74	3.37	2.56	2.61
Expectancy	0.3%	1.5%	3.1%	1.8%
Profit Factor	1.30	2.25	2.05	1.95
Trades	7	5	9	21
Avg Holding Days	2.1	3.4	5.1	3.7
Turnover	1.8	3.3	4.8	2.9
Exposure	0.4%	1.6%	3.9%	1.5%

Growth of $100

PriceMomentum_V1040 vs TSLA Buy & Hold

PriceMomentum_V1040 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	-4.1%	-1.26	-4.1%	3
2017	0.0%	0.00	0.0%	0
2018	2.6%	0.49	-2.3%	2
2019	1.8%	0.95	-0.1%	1
2020	0.0%	0.00	0.0%	0
2021	0.0%	0.00	0.0%	0
2022	7.2%	0.65	-10.1%	5

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	276	9.8%	0.45	12%
hidden test	EXPENSIVE	83	0.0%	0.00	0%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	15.5%	0.70	12%
hidden test	LOW VOLATILITY	436	3.7%	0.71	1%
hidden test	MEDIUM VOLATILITY	250	-1.0%	-1.11	0%
hidden test	NORMAL	809	6.5%	0.50	5%
hidden test	SIDEWAYS	293	8.8%	1.55	1%
hidden test	UPTREND	371	0.0%	0.00	0%
train	DOWNTREND	518	1.0%	0.20	2%
train	EXPENSIVE	311	0.0%	0.00	0%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	0.7%	0.17	1%
train	LOW VOLATILITY	745	0.0%	0.00	0%
train	MEDIUM VOLATILITY	568	0.0%	0.00	0%
train	NORMAL	1,601	0.3%	0.11	0%
train	SIDEWAYS	592	0.0%	0.00	0%
train	UPTREND	902	0.0%	0.00	0%
validation	DOWNTREND	125	15.5%	0.93	9%
validation	EXPENSIVE	138	0.0%	0.00	0%
validation	EXTREME	144	0.0%	0.00	0%
validation	HIGH VOLATILITY	258	-1.6%	-0.24	2%
validation	LOW VOLATILITY	183	0.0%	0.00	0%
validation	MEDIUM VOLATILITY	315	7.4%	0.87	2%
validation	NORMAL	474	4.0%	0.47	3%
validation	SIDEWAYS	206	-0.1%	-0.58	0%
validation	UPTREND	425	0.0%	0.00	0%

Trades (full period)

21 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-04-16	2026-04-17	$388.90	$400.62	-0.98%	2
2025-04-28	2025-05-02	$285.88	$287.21	-1.75%	5
2025-04-16	2025-04-22	$241.55	$237.97	-10.66%	4
2025-03-27	2025-03-28	$273.13	$263.55	0.19%	2
2025-03-25	2025-03-26	$288.14	$272.06	3.30%	2
2024-04-30	2024-05-10	$183.28	$168.47	-11.56%	9
2024-04-26	2024-04-29	$168.29	$194.05	-1.31%	2
2023-05-23	2023-05-31	$185.77	$203.93	6.29%	6
2023-01-24	2023-02-10	$143.89	$196.89	43.93%	14
2022-12-01	2022-12-02	$194.70	$194.86	-0.20%	2
2022-07-22	2022-08-02	$272.24	$300.59	9.19%	8
2022-06-27	2022-06-29	$244.92	$228.49	-5.50%	3
2022-06-02	2022-06-03	$258.33	$234.52	4.47%	2
2022-05-31	2022-06-01	$252.75	$246.79	-0.38%	2
2019-06-11	2019-06-12	$14.47	$13.95	1.78%	2
2018-04-10	2018-04-11	$20.31	$20.06	4.99%	2
2018-04-06	2018-04-09	$19.95	$19.31	-2.30%	2
2016-02-29	2016-03-02	$12.80	$12.56	-2.29%	3
2016-02-23	2016-02-24	$11.81	$11.93	-0.50%	2
2016-02-18	2016-02-19	$11.12	$11.11	-1.33%	2
2012-08-10	2012-08-13	$2.00	$2.08	1.60%	2