Strategy Zoo / S1051

PriceMomentum_V1051

ARCHIVEDhybrid

structuralrestricted to bubble regimes ['EXTREME']

Fitness

0.3421

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_V1051  [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXTREME']
if flat and ret_20d > 0.05:
    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	10.5%	29.9%	-2.2%	10.7%
Total Return	122.5%	119.2%	-8.1%	348.2%
Sharpe	0.67	0.88	-0.15	0.57
Sortino	0.27	0.52	-0.04	0.23
Calmar	0.61	0.62	-0.09	0.20
Volatility	16.9%	37.8%	11.2%	21.9%
Max DD	-17.2%	-48.2%	-24.2%	-54.0%
Win Rate	57.1%	66.7%	40.0%	57.1%
Avg Win	33.8%	19.8%	3.0%	21.7%
Avg Loss	-4.9%	-7.8%	-4.7%	-5.8%
Payoff	6.83	2.53	0.65	3.72
Expectancy	17.2%	10.6%	-1.6%	9.9%
Profit Factor	9.11	5.05	0.43	4.96
Trades	7	9	5	21
Avg Holding Days	14.9	14.7	7.2	13.0
Turnover	1.8	6.0	2.7	2.9
Exposure	4.8%	16.3%	3.3%	6.8%

Growth of $100

PriceMomentum_V1051 vs TSLA Buy & Hold

PriceMomentum_V1051 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	0.0%	0.00	0.0%	0
2017	-4.3%	-0.64	-6.0%	1
2018	0.0%	0.00	0.0%	0
2019	0.0%	0.00	0.0%	0
2020	137.5%	1.66	-43.7%	8
2021	-8.0%	-1.01	-8.0%	1
2022	0.0%	0.00	0.0%	0

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	0.0%	0.00	0%
hidden test	EXPENSIVE	83	-31.9%	-2.50	5%
hidden test	EXTREME	48	23.0%	0.49	56%
hidden test	HIGH VOLATILITY	254	-18.2%	-1.09	9%
hidden test	LOW VOLATILITY	436	8.2%	1.29	1%
hidden test	MEDIUM VOLATILITY	250	-2.0%	-0.18	2%
hidden test	NORMAL	809	0.0%	0.00	0%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	-4.2%	-0.23	8%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	-22.8%	-1.55	2%
train	EXTREME	100	299.6%	4.35	90%
train	HIGH VOLATILITY	699	22.9%	0.86	10%
train	LOW VOLATILITY	745	1.1%	0.34	2%
train	MEDIUM VOLATILITY	568	10.6%	0.94	3%
train	NORMAL	1,601	0.0%	0.00	0%
train	SIDEWAYS	592	0.0%	0.00	0%
train	UPTREND	902	25.4%	1.01	11%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	-96.3%	-2.76	4%
validation	EXTREME	144	267.2%	3.42	81%
validation	HIGH VOLATILITY	258	84.7%	1.39	34%
validation	LOW VOLATILITY	183	6.8%	0.71	3%
validation	MEDIUM VOLATILITY	315	6.6%	0.35	9%
validation	NORMAL	474	0.0%	0.00	0%
validation	SIDEWAYS	206	4.9%	1.08	0%
validation	UPTREND	425	56.9%	1.13	29%

Trades (full period)

21 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-01-06	2025-01-13	$411.05	$403.31	-4.02%	5
2024-12-03	2025-01-03	$351.42	$410.44	6.00%	22
2024-11-25	2024-11-26	$338.59	$338.23	-4.16%	2
2024-11-19	2024-11-22	$346.00	$352.56	0.07%	4
2024-11-12	2024-11-14	$328.49	$311.18	-5.84%	3
2021-01-11	2021-01-12	$270.40	$283.15	-8.01%	2
2020-12-08	2020-12-10	$216.63	$209.02	-6.00%	3
2020-09-15	2020-09-24	$149.92	$129.26	-9.53%	8
2020-08-14	2020-09-09	$110.05	$122.09	1.65%	18
2020-06-30	2020-08-10	$71.99	$94.57	43.65%	29
2020-06-01	2020-06-25	$59.87	$65.73	14.85%	19
2020-05-15	2020-05-29	$53.28	$55.67	0.11%	10
2020-04-14	2020-04-30	$47.33	$52.13	22.74%	13
2020-01-22	2020-03-04	$37.97	$49.97	35.97%	30
2017-06-14	2017-06-30	$25.38	$24.11	-4.23%	13
2013-08-23	2013-09-09	$10.79	$10.71	6.07%	11
2013-08-09	2013-08-15	$10.20	$9.31	-9.38%	5
2013-07-22	2013-08-08	$8.16	$10.23	11.94%	14
2013-07-18	2013-07-19	$7.94	$7.98	-1.21%	2
2013-07-01	2013-07-17	$7.81	$8.02	1.38%	12
2013-04-19	2013-06-25	$3.19	$6.83	115.65%	47