Strategy Zoo / S1042
PriceMomentum_V1042
ARCHIVEDhybridstructuraladded exit filter: cumret_252d > -0.4091
Fitness
0.3473
Generation
47
Complexity
5
Created
2026-10-02
Lineage
Parents (1)
removed entry condition: ret_20d > 0.05
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1042 [hybrid]
if flat and breakout_50 == 1:
position = 1.0
if long and (ret_20d < -0.0017 or ret_20d < -0.025 or cumret_252d > -0.4091):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.9% | 27.4% | 9.9% | 9.3% |
| Total Return | 25.4% | 106.9% | 42.2% | 268.9% |
| Sharpe | 0.30 | 1.11 | 0.76 | 0.64 |
| Sortino | 0.19 | 0.76 | 0.38 | 0.40 |
| Calmar | 0.22 | 1.28 | 0.66 | 0.43 |
| Volatility | 11.8% | 24.5% | 13.6% | 15.7% |
| Max DD | -13.0% | -21.4% | -15.0% | -21.4% |
| Win Rate | 48.6% | 57.4% | 63.0% | 53.4% |
| Avg Win | 2.2% | 4.3% | 3.1% | 2.9% |
| Avg Loss | -1.7% | -2.7% | -3.0% | -2.1% |
| Payoff | 1.30 | 1.62 | 1.03 | 1.40 |
| Expectancy | 0.2% | 1.3% | 0.8% | 0.6% |
| Profit Factor | 1.23 | 2.17 | 1.75 | 1.61 |
| Trades | 142 | 61 | 46 | 249 |
| Avg Holding Days | 2.0 | 2.0 | 2.0 | 2.0 |
| Turnover | 35.6 | 40.7 | 24.7 | 33.8 |
| Exposure | 7.1% | 8.1% | 4.9% | 6.7% |
Growth of $100
PriceMomentum_V1042 vs TSLA Buy & Hold
PriceMomentum_V1042 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 | -0.1% | 0.02 | -4.1% | 7 |
| 2017 | 21.3% | 2.34 | -2.8% | 22 |
| 2018 | -6.2% | -0.70 | -8.1% | 19 |
| 2019 | 16.0% | 1.33 | -4.5% | 15 |
| 2020 | 80.4% | 1.71 | -21.4% | 31 |
| 2021 | 21.1% | 1.44 | -7.2% | 21 |
| 2022 | -8.5% | -0.95 | -9.0% | 8 |
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 | -31.8% | -1.29 | 18% |
| hidden test | EXTREME | 48 | 69.0% | 1.97 | 15% |
| hidden test | HIGH VOLATILITY | 254 | 15.1% | 1.03 | 5% |
| hidden test | LOW VOLATILITY | 436 | 22.6% | 1.93 | 5% |
| hidden test | MEDIUM VOLATILITY | 250 | -15.8% | -1.04 | 6% |
| hidden test | NORMAL | 809 | 11.2% | 1.25 | 3% |
| hidden test | SIDEWAYS | 293 | 2.6% | 0.25 | 4% |
| hidden test | UPTREND | 371 | 22.7% | 1.16 | 9% |
| train | DOWNTREND | 518 | -1.3% | -1.31 | 1% |
| train | EXPENSIVE | 311 | 27.3% | 1.58 | 12% |
| train | EXTREME | 100 | 1.4% | 0.05 | 24% |
| train | HIGH VOLATILITY | 699 | 8.6% | 0.56 | 6% |
| train | LOW VOLATILITY | 745 | 4.5% | 0.53 | 9% |
| train | MEDIUM VOLATILITY | 568 | -4.0% | -0.39 | 5% |
| train | NORMAL | 1,601 | -1.0% | -0.11 | 5% |
| train | SIDEWAYS | 592 | 2.5% | 0.36 | 4% |
| train | UPTREND | 902 | 7.0% | 0.42 | 13% |
| validation | DOWNTREND | 125 | 4.1% | 1.35 | 2% |
| validation | EXPENSIVE | 138 | 57.6% | 3.74 | 8% |
| validation | EXTREME | 144 | 85.2% | 1.68 | 17% |
| validation | HIGH VOLATILITY | 258 | 32.4% | 0.91 | 6% |
| validation | LOW VOLATILITY | 183 | 4.1% | 0.42 | 9% |
| validation | MEDIUM VOLATILITY | 315 | 36.3% | 1.93 | 9% |
| validation | NORMAL | 474 | 0.7% | 0.07 | 5% |
| validation | SIDEWAYS | 206 | -6.8% | -0.86 | 3% |
| validation | UPTREND | 425 | 50.5% | 1.57 | 12% |
Trades (full period)
latest 100 of 249
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.64% | 2 | |
| 2026-05-11 | 2026-05-12 | $445.00 | $433.45 | 3.68% | 2 | |
| 2025-12-16 | 2025-12-17 | $489.88 | $467.26 | 2.86% | 2 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-10-29 | 2025-10-30 | $461.51 | $440.10 | 0.01% | 2 | |
| 2025-10-02 | 2025-10-03 | $436.00 | $429.83 | -5.30% | 2 | |
| 2025-09-30 | 2025-10-01 | $444.72 | $459.46 | 0.14% | 2 | |
| 2025-09-25 | 2025-09-26 | $423.39 | $440.40 | -4.58% | 2 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.71% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -2.31% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.79% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.85% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -2.45% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 3.87% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2024-12-18 | 2024-12-19 | $440.13 | $436.17 | -8.47% | 2 | |
| 2024-12-16 | 2024-12-17 | $463.02 | $479.86 | 5.94% | 2 | |
| 2024-12-11 | 2024-12-12 | $424.77 | $418.10 | 5.72% | 2 | |
| 2024-12-09 | 2024-12-10 | $389.79 | $400.99 | -0.05% | 2 | |
| 2024-12-05 | 2024-12-06 | $369.49 | $389.22 | 3.03% | 2 | |
| 2024-12-03 | 2024-12-04 | $351.42 | $357.93 | -1.79% | 2 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -4.16% | 2 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 8.75% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2024-10-28 | 2024-10-29 | $262.51 | $259.52 | -2.68% | 2 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.25% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -1.29% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.15% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.36% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 6.34% | 2 | |
| 2024-07-01 | 2024-07-02 | $209.86 | $231.26 | 5.85% | 2 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -3.36% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.75% | 2 | |
| 2023-06-20 | 2023-06-21 | $274.45 | $259.46 | 5.13% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.94% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 2.02% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 4.38% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.50% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.91% | 2 | |
| 2023-02-15 | 2023-02-16 | $214.24 | $202.04 | 2.18% | 2 | |
| 2023-02-10 | 2023-02-13 | $196.89 | $194.64 | -5.23% | 2 | |
| 2023-02-08 | 2023-02-09 | $201.29 | $207.32 | 2.07% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -1.09% | 2 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-08-03 | 2022-08-04 | $307.40 | $308.63 | 2.06% | 2 | |
| 2022-08-01 | 2022-08-02 | $297.28 | $300.59 | -0.16% | 2 | |
| 2022-07-28 | 2022-07-29 | $280.90 | $297.15 | 2.01% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-04-05 | 2022-04-06 | $363.75 | $348.59 | -4.93% | 2 | |
| 2022-03-29 | 2022-03-30 | $366.52 | $364.66 | 0.51% | 2 | |
| 2021-11-04 | 2021-11-05 | $409.97 | $407.36 | 1.12% | 2 | |
| 2021-11-01 | 2021-11-02 | $402.86 | $390.67 | 8.28% | 2 | |
| 2021-10-28 | 2021-10-29 | $359.01 | $371.33 | 3.57% | 2 | |
| 2021-10-26 | 2021-10-27 | $339.48 | $345.95 | -0.83% | 2 | |
| 2021-10-22 | 2021-10-25 | $303.23 | $341.62 | 1.55% | 2 | |
| 2021-10-19 | 2021-10-20 | $288.09 | $288.60 | -0.87% | 2 | |
| 2021-10-15 | 2021-10-18 | $281.01 | $290.04 | 2.82% | 2 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.46% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-27 | 2021-09-28 | $263.79 | $259.19 | 1.99% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -4.06% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.05% | 2 | |
| 2021-09-10 | 2021-09-13 | $245.42 | $247.67 | -2.66% | 2 | |
| 2021-09-08 | 2021-09-09 | $251.29 | $251.62 | -0.07% | 2 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.46% | 2 | |
| 2021-08-13 | 2021-08-16 | $239.06 | $228.72 | -0.90% | 2 | |
| 2021-08-05 | 2021-08-06 | $238.21 | $233.03 | 0.32% | 2 | |
| 2021-08-03 | 2021-08-04 | $236.58 | $236.97 | -0.19% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-08 | 2021-01-11 | $293.34 | $270.40 | 7.63% | 2 | |
| 2021-01-06 | 2021-01-07 | $251.99 | $272.01 | 2.64% | 2 | |
| 2021-01-04 | 2021-01-05 | $243.26 | $245.04 | 3.21% | 2 | |
| 2020-12-18 | 2020-12-21 | $231.67 | $216.62 | 5.76% | 2 | |
| 2020-12-08 | 2020-12-09 | $216.63 | $201.49 | 1.06% | 2 | |
| 2020-12-04 | 2020-12-07 | $199.68 | $213.92 | 0.75% | 2 | |
| 2020-11-27 | 2020-11-30 | $195.25 | $189.20 | 1.85% | 2 | |
| 2020-11-24 | 2020-11-25 | $185.13 | $191.33 | 6.22% | 2 | |
| 2020-11-19 | 2020-11-20 | $166.42 | $163.20 | 2.39% | 2 | |
| 2020-09-01 | 2020-09-02 | $158.35 | $149.12 | -4.86% | 2 | |
| 2020-08-27 | 2020-08-28 | $149.25 | $147.56 | 3.77% | 2 | |
| 2020-08-21 | 2020-08-24 | $136.67 | $134.28 | 2.20% | 2 | |
| 2020-08-19 | 2020-08-20 | $125.24 | $133.46 | -0.65% | 2 | |
| 2020-08-17 | 2020-08-18 | $122.38 | $125.81 | 10.99% | 2 | |
| 2020-07-21 | 2020-07-22 | $104.56 | $106.16 | -4.74% | 2 | |
| 2020-07-16 | 2020-07-17 | $100.04 | $100.06 | -3.13% | 2 | |
| 2020-07-10 | 2020-07-13 | $102.98 | $99.80 | 10.57% | 2 | |
| 2020-07-08 | 2020-07-09 | $91.06 | $92.95 | -1.92% | 2 | |
| 2020-07-06 | 2020-07-07 | $91.44 | $92.66 | 13.27% | 2 | |
| 2020-07-01 | 2020-07-02 | $74.64 | $80.58 | 3.48% | 2 | |
| 2020-06-11 | 2020-06-12 | $64.86 | $62.35 | -5.29% | 2 | |
| 2020-06-09 | 2020-06-10 | $62.71 | $68.34 | -1.17% | 2 | |
| 2020-06-01 | 2020-06-02 | $59.87 | $58.77 | 7.35% | 2 | |
| 2020-05-22 | 2020-05-26 | $54.46 | $54.59 | -1.49% | 2 | |
| 2020-05-11 | 2020-05-12 | $54.09 | $53.96 | -1.19% | 2 | |
| 2020-02-20 | 2020-02-21 | $59.96 | $60.07 | -2.16% | 2 | |
| 2020-02-05 | 2020-02-06 | $48.98 | $49.93 | -17.36% | 2 |