Strategy Zoo / S1067
PriceMomentum_V1067
ARCHIVEDhybridcrossoverentry = PriceMomentum_V0998 AND PriceMomentum_V0641
Fitness
0.6737
Generation
49
Complexity
17
Created
2026-10-02
Lineage
Parents (2)
swapped indicator ret_20d -> ret_60d
removed entry condition: ret_20d > 0.05
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1067 [hybrid]
if flat and (breakout_50 == 1 and (ret_20d > 0.1146 and ((((close > sma_200 and sma_200_slope > 0.0) or ret_60d > -0.2905) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05))):
position = 1.0
if long and (ret_20d < -0.0017 or ret_20d < -0.025):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.6% | 100.0% | 11.7% | 29.6% |
| Total Return | 264.1% | 700.4% | 50.8% | 4425.8% |
| Sharpe | 0.72 | 1.77 | 0.54 | 0.97 |
| Sortino | 0.60 | 1.54 | 0.34 | 0.76 |
| Calmar | 0.37 | 2.97 | 0.38 | 0.63 |
| Volatility | 27.5% | 44.9% | 27.5% | 31.9% |
| Max DD | -47.2% | -33.7% | -30.4% | -47.2% |
| Win Rate | 47.4% | 85.7% | 62.5% | 58.8% |
| Avg Win | 26.9% | 47.9% | 16.9% | 34.5% |
| Avg Loss | -8.0% | -10.7% | -10.8% | -8.8% |
| Payoff | 3.37 | 4.48 | 1.57 | 3.92 |
| Expectancy | 8.5% | 39.5% | 6.5% | 16.7% |
| Profit Factor | 3.03 | 10.00 | 2.62 | 5.61 |
| Trades | 19 | 7 | 8 | 34 |
| Avg Holding Days | 30.1 | 40.9 | 25.0 | 32.5 |
| Turnover | 4.9 | 4.7 | 4.3 | 4.6 |
| Exposure | 29.7% | 36.9% | 20.4% | 28.9% |
Growth of $100
PriceMomentum_V1067 vs TSLA Buy & Hold
PriceMomentum_V1067 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 | 9.0% | 0.71 | -9.6% | 1 |
| 2017 | 8.2% | 0.46 | -16.4% | 3 |
| 2018 | -28.0% | -1.39 | -35.4% | 3 |
| 2019 | 25.1% | 1.10 | -13.9% | 1 |
| 2020 | 355.6% | 2.58 | -33.7% | 3 |
| 2021 | 78.5% | 2.00 | -17.6% | 2 |
| 2022 | -5.5% | -0.18 | -18.9% | 2 |
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 | 61.3% | 1.54 | 57% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 19.3% | 0.52 | 24% |
| hidden test | LOW VOLATILITY | 436 | 29.6% | 1.63 | 18% |
| hidden test | MEDIUM VOLATILITY | 250 | -15.4% | -0.52 | 22% |
| hidden test | NORMAL | 809 | 0.0% | 0.00 | 14% |
| hidden test | SIDEWAYS | 293 | -4.0% | -0.20 | 11% |
| hidden test | UPTREND | 371 | 40.7% | 1.02 | 43% |
| train | DOWNTREND | 518 | -1.4% | -0.36 | 1% |
| train | EXPENSIVE | 311 | 35.7% | 0.98 | 57% |
| train | EXTREME | 100 | 380.3% | 5.23 | 96% |
| train | HIGH VOLATILITY | 699 | 35.9% | 0.98 | 29% |
| train | LOW VOLATILITY | 745 | 23.1% | 1.18 | 38% |
| train | MEDIUM VOLATILITY | 568 | -4.0% | -0.18 | 20% |
| train | NORMAL | 1,601 | -5.7% | -0.31 | 20% |
| train | SIDEWAYS | 592 | -12.3% | -0.76 | 10% |
| train | UPTREND | 902 | 53.3% | 1.38 | 60% |
| validation | DOWNTREND | 125 | 18.7% | 1.38 | 5% |
| validation | EXPENSIVE | 138 | 69.1% | 1.29 | 51% |
| validation | EXTREME | 144 | 279.4% | 3.65 | 78% |
| validation | HIGH VOLATILITY | 258 | 72.1% | 1.18 | 35% |
| validation | LOW VOLATILITY | 183 | 40.0% | 2.29 | 25% |
| validation | MEDIUM VOLATILITY | 315 | 108.4% | 2.68 | 45% |
| validation | NORMAL | 474 | 21.8% | 0.92 | 20% |
| validation | SIDEWAYS | 206 | -10.1% | -0.79 | 11% |
| validation | UPTREND | 425 | 140.8% | 2.40 | 59% |
Trades (full period)
34 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-11 | 2026-06-08 | $445.00 | $408.95 | -8.90% | 20 | |
| 2025-12-16 | 2026-01-05 | $489.88 | $451.67 | -8.02% | 13 | |
| 2025-09-15 | 2025-10-23 | $410.04 | $448.98 | 10.65% | 29 | |
| 2025-05-12 | 2025-06-12 | $318.38 | $319.11 | 9.23% | 23 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 36.54% | 44 | |
| 2024-09-26 | 2024-10-14 | $254.22 | $219.16 | -15.43% | 13 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 3.14% | 23 | |
| 2023-06-02 | 2023-07-24 | $213.97 | $269.06 | 25.05% | 35 | |
| 2022-07-22 | 2022-08-29 | $272.24 | $284.82 | 5.82% | 27 | |
| 2022-03-29 | 2022-04-21 | $366.52 | $336.26 | -10.68% | 17 | |
| 2021-09-16 | 2021-12-01 | $252.33 | $365.00 | 51.15% | 54 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-08-18 | 2020-09-24 | $125.81 | $129.26 | 3.40% | 27 | |
| 2020-05-11 | 2020-08-10 | $54.09 | $94.57 | 76.93% | 64 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 148.29% | 89 | |
| 2019-07-24 | 2019-08-02 | $17.66 | $15.62 | -10.29% | 8 | |
| 2018-11-01 | 2018-12-19 | $22.95 | $22.20 | -0.28% | 33 | |
| 2018-08-08 | 2018-08-20 | $24.69 | $20.56 | -19.68% | 9 | |
| 2018-06-13 | 2018-07-06 | $22.99 | $20.59 | -9.99% | 17 | |
| 2017-06-06 | 2017-07-06 | $23.52 | $20.59 | -6.01% | 22 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | 1.59% | 36 | |
| 2016-12-21 | 2017-02-28 | $13.85 | $16.67 | 17.70% | 46 | |
| 2016-03-18 | 2016-05-03 | $15.52 | $15.49 | 6.60% | 32 | |
| 2015-04-28 | 2015-07-09 | $15.37 | $17.19 | 9.89% | 51 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.78% | 28 | |
| 2014-06-18 | 2014-07-16 | $15.14 | $14.48 | -5.41% | 20 | |
| 2014-01-22 | 2014-03-26 | $11.90 | $14.20 | 24.52% | 45 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 47.00% | 79 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 132.63% | 61 | |
| 2013-01-29 | 2013-02-22 | $2.53 | $2.41 | -7.73% | 18 | |
| 2012-11-20 | 2012-12-31 | $2.20 | $2.26 | 0.71% | 28 | |
| 2012-07-16 | 2012-07-20 | $2.40 | $2.12 | -5.96% | 5 | |
| 2012-03-28 | 2012-04-10 | $2.52 | $2.16 | -12.80% | 9 | |
| 2012-02-21 | 2012-03-23 | $2.30 | $2.27 | -1.83% | 24 |