Strategy Zoo / S1041
PriceMomentum_V1041
ARCHIVEDhybridparameterchanged ret_20d threshold -0.0017 -> 0.0758; changed ret_20d threshold 0.05 -> 0.1096
Fitness
0.5726
Generation
47
Complexity
4
Created
2026-10-02
Lineage
Parents (1)
added entry filter: breakout_50 == 1
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1041 [hybrid]
if flat and (ret_20d > 0.1096 and breakout_50 == 1):
position = 1.0
if long and ret_20d < 0.0758:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.0% | 75.0% | 16.4% | 24.7% |
| Total Return | 165.6% | 436.4% | 76.1% | 2483.2% |
| Sharpe | 0.62 | 1.51 | 0.71 | 0.89 |
| Sortino | 0.45 | 1.27 | 0.44 | 0.64 |
| Calmar | 0.34 | 2.22 | 0.73 | 0.64 |
| Volatility | 24.5% | 43.4% | 26.4% | 29.8% |
| Max DD | -38.4% | -33.7% | -22.6% | -38.4% |
| Win Rate | 42.9% | 46.2% | 50.0% | 45.1% |
| Avg Win | 20.4% | 41.7% | 17.5% | 25.8% |
| Avg Loss | -6.0% | -4.3% | -3.9% | -5.2% |
| Payoff | 3.39 | 9.64 | 4.47 | 4.93 |
| Expectancy | 5.3% | 16.9% | 6.8% | 8.7% |
| Profit Factor | 2.54 | 8.27 | 4.47 | 4.05 |
| Trades | 28 | 13 | 10 | 51 |
| Avg Holding Days | 15.9 | 19.7 | 17.8 | 17.4 |
| Turnover | 7.1 | 8.7 | 5.4 | 6.9 |
| Exposure | 21.0% | 32.1% | 17.9% | 22.5% |
Growth of $100
PriceMomentum_V1041 vs TSLA Buy & Hold
PriceMomentum_V1041 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 | 11.5% | 0.93 | -7.5% | 1 |
| 2017 | 39.2% | 2.10 | -6.0% | 3 |
| 2018 | -24.8% | -1.58 | -30.4% | 4 |
| 2019 | 1.5% | 0.18 | -13.7% | 2 |
| 2020 | 308.8% | 2.48 | -33.7% | 5 |
| 2021 | 38.0% | 1.20 | -17.6% | 5 |
| 2022 | -8.7% | -0.39 | -19.0% | 3 |
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 | 2.0% | 0.96 | 0% |
| hidden test | EXPENSIVE | 83 | 42.5% | 1.12 | 47% |
| hidden test | EXTREME | 48 | 183.4% | 3.26 | 63% |
| hidden test | HIGH VOLATILITY | 254 | 8.5% | 0.22 | 25% |
| hidden test | LOW VOLATILITY | 436 | 34.1% | 2.02 | 13% |
| hidden test | MEDIUM VOLATILITY | 250 | 2.2% | 0.08 | 18% |
| hidden test | NORMAL | 809 | 6.5% | 0.30 | 12% |
| hidden test | SIDEWAYS | 293 | -3.7% | -0.16 | 12% |
| hidden test | UPTREND | 371 | 48.8% | 1.33 | 36% |
| train | DOWNTREND | 518 | -1.4% | -0.36 | 1% |
| train | EXPENSIVE | 311 | 21.6% | 0.72 | 38% |
| train | EXTREME | 100 | 320.3% | 4.49 | 87% |
| train | HIGH VOLATILITY | 699 | 28.1% | 0.81 | 25% |
| train | LOW VOLATILITY | 745 | 10.4% | 0.68 | 25% |
| train | MEDIUM VOLATILITY | 568 | 5.5% | 0.29 | 11% |
| train | NORMAL | 1,601 | -5.2% | -0.33 | 14% |
| train | SIDEWAYS | 592 | -7.9% | -0.54 | 8% |
| train | UPTREND | 902 | 39.8% | 1.16 | 41% |
| validation | DOWNTREND | 125 | 5.9% | 0.57 | 4% |
| validation | EXPENSIVE | 138 | 89.0% | 1.73 | 49% |
| validation | EXTREME | 144 | 236.2% | 3.16 | 70% |
| validation | HIGH VOLATILITY | 258 | 67.0% | 1.14 | 32% |
| validation | LOW VOLATILITY | 183 | 13.5% | 0.81 | 16% |
| validation | MEDIUM VOLATILITY | 315 | 94.3% | 2.42 | 42% |
| validation | NORMAL | 474 | 6.7% | 0.30 | 16% |
| validation | SIDEWAYS | 206 | -6.8% | -0.55 | 10% |
| validation | UPTREND | 425 | 118.0% | 2.08 | 51% |
Trades (full period)
51 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-11 | 2026-05-18 | $445.00 | $409.99 | -1.62% | 6 | |
| 2025-12-16 | 2025-12-30 | $489.88 | $454.43 | -3.49% | 10 | |
| 2025-09-15 | 2025-10-13 | $410.04 | $435.90 | 4.23% | 21 | |
| 2025-05-12 | 2025-06-06 | $318.38 | $295.14 | -4.73% | 19 | |
| 2024-11-07 | 2025-01-08 | $296.91 | $394.94 | 36.41% | 42 | |
| 2024-09-26 | 2024-10-04 | $254.22 | $250.08 | -6.55% | 7 | |
| 2024-06-27 | 2024-07-31 | $197.42 | $232.07 | 13.14% | 24 | |
| 2023-07-18 | 2023-07-20 | $293.34 | $262.90 | 0.10% | 3 | |
| 2023-06-02 | 2023-07-14 | $213.97 | $281.38 | 33.65% | 29 | |
| 2023-02-08 | 2023-03-03 | $201.29 | $197.79 | -3.19% | 17 | |
| 2022-07-28 | 2022-08-26 | $280.90 | $288.09 | 7.52% | 22 | |
| 2022-07-22 | 2022-07-27 | $272.24 | $274.82 | -4.92% | 4 | |
| 2022-03-29 | 2022-04-21 | $366.52 | $336.26 | -10.68% | 17 | |
| 2021-10-18 | 2021-11-26 | $290.04 | $360.64 | 32.12% | 29 | |
| 2021-09-28 | 2021-09-29 | $259.19 | $260.44 | -1.94% | 2 | |
| 2021-09-16 | 2021-09-21 | $252.33 | $246.46 | -3.59% | 4 | |
| 2021-08-13 | 2021-08-17 | $239.06 | $221.90 | -5.19% | 3 | |
| 2020-11-19 | 2021-02-08 | $166.42 | $287.81 | 74.78% | 54 | |
| 2020-08-18 | 2020-09-23 | $125.81 | $126.79 | 15.33% | 26 | |
| 2020-06-02 | 2020-08-05 | $58.77 | $99.00 | 65.24% | 46 | |
| 2020-05-22 | 2020-05-27 | $54.46 | $54.68 | -1.25% | 3 | |
| 2020-05-11 | 2020-05-18 | $54.09 | $54.24 | -2.67% | 6 | |
| 2019-12-20 | 2020-03-02 | $27.04 | $49.57 | 65.00% | 48 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-07-22 | 2019-07-26 | $17.05 | $15.20 | -11.55% | 5 | |
| 2018-12-14 | 2018-12-17 | $24.38 | $23.23 | -3.14% | 2 | |
| 2018-11-01 | 2018-11-26 | $22.95 | $23.07 | -3.60% | 17 | |
| 2018-08-08 | 2018-08-16 | $24.69 | $22.36 | -10.95% | 7 | |
| 2018-06-13 | 2018-07-05 | $22.99 | $20.61 | -9.49% | 16 | |
| 2017-06-06 | 2017-06-30 | $23.52 | $24.11 | 3.66% | 19 | |
| 2017-04-04 | 2017-05-03 | $20.25 | $20.73 | 6.61% | 21 | |
| 2016-12-21 | 2017-02-23 | $13.85 | $17.07 | 30.74% | 43 | |
| 2016-03-18 | 2016-04-20 | $15.52 | $16.66 | 9.06% | 23 | |
| 2015-07-06 | 2015-07-08 | $18.65 | $17.00 | -4.53% | 3 | |
| 2015-04-28 | 2015-05-27 | $15.37 | $16.50 | 6.66% | 21 | |
| 2014-08-07 | 2014-09-10 | $16.83 | $18.74 | 11.65% | 24 | |
| 2014-06-18 | 2014-07-08 | $15.14 | $14.60 | -4.08% | 14 | |
| 2014-01-22 | 2014-03-25 | $11.90 | $14.70 | 24.37% | 44 | |
| 2013-09-20 | 2013-10-03 | $12.23 | $11.55 | 1.50% | 10 | |
| 2013-07-30 | 2013-09-10 | $8.78 | $11.09 | 19.13% | 30 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -7.12% | 11 | |
| 2013-04-17 | 2013-06-24 | $3.03 | $6.77 | 117.92% | 48 | |
| 2013-04-02 | 2013-04-10 | $2.96 | $2.79 | -7.99% | 7 | |
| 2013-02-07 | 2013-02-22 | $2.63 | $2.41 | -10.42% | 11 | |
| 2013-01-29 | 2013-02-01 | $2.53 | $2.55 | -1.56% | 4 | |
| 2012-12-12 | 2012-12-14 | $2.35 | $2.25 | -4.92% | 3 | |
| 2012-11-20 | 2012-12-07 | $2.20 | $2.28 | 2.77% | 13 | |
| 2012-07-16 | 2012-07-18 | $2.40 | $2.14 | -2.82% | 3 | |
| 2012-03-27 | 2012-04-05 | $2.53 | $2.30 | -6.60% | 8 | |
| 2012-03-13 | 2012-03-15 | $2.41 | $2.33 | -2.20% | 3 | |
| 2012-02-21 | 2012-03-07 | $2.30 | $2.21 | -5.51% | 12 |