Strategy Zoo / S1077
PriceMomentum_V1077
ARCHIVEDhybridstructuralchanged ret_20d threshold -0.0017 -> 0.0352; added entry filter: breakout_50 == 1
Fitness
0.5928
Generation
49
Complexity
4
Created
2026-10-02
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.184
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1077 [hybrid]
if flat and (ret_20d > 0.184 and breakout_50 == 1):
position = 1.0
if long and ret_20d < 0.0352:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 18.4% | 73.8% | 2.3% | 23.6% |
| Total Return | 284.2% | 424.6% | 8.8% | 2158.5% |
| Sharpe | 0.81 | 1.48 | 0.22 | 0.85 |
| Sortino | 0.58 | 1.22 | 0.14 | 0.60 |
| Calmar | 0.51 | 2.19 | 0.06 | 0.62 |
| Volatility | 24.5% | 44.0% | 27.4% | 30.2% |
| Max DD | -35.7% | -33.7% | -37.8% | -37.8% |
| Win Rate | 62.5% | 75.0% | 44.4% | 60.6% |
| Avg Win | 24.9% | 37.8% | 16.9% | 27.4% |
| Avg Loss | -8.3% | -5.5% | -9.5% | -8.3% |
| Payoff | 2.99 | 6.90 | 1.77 | 3.28 |
| Expectancy | 12.4% | 26.9% | 2.2% | 13.3% |
| Profit Factor | 4.98 | 10.00 | 1.42 | 5.05 |
| Trades | 16 | 8 | 9 | 33 |
| Avg Holding Days | 27.3 | 31.1 | 22.3 | 27.0 |
| Turnover | 4.1 | 5.3 | 4.8 | 4.5 |
| Exposure | 21.1% | 31.9% | 20.4% | 23.2% |
Growth of $100
PriceMomentum_V1077 vs TSLA Buy & Hold
PriceMomentum_V1077 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 | 6.1% | 0.54 | -9.4% | 1 |
| 2017 | 9.6% | 0.65 | -11.4% | 3 |
| 2018 | -15.5% | -1.02 | -21.3% | 2 |
| 2019 | -5.0% | -0.16 | -14.1% | 2 |
| 2020 | 276.3% | 2.32 | -33.7% | 4 |
| 2021 | 46.5% | 1.42 | -17.6% | 2 |
| 2022 | -8.6% | -0.40 | -14.8% | 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 | 2.0% | 0.96 | 0% |
| hidden test | EXPENSIVE | 83 | 43.5% | 1.12 | 48% |
| hidden test | EXTREME | 48 | 183.4% | 3.26 | 63% |
| hidden test | HIGH VOLATILITY | 254 | 6.0% | 0.16 | 25% |
| hidden test | LOW VOLATILITY | 436 | 25.7% | 1.44 | 17% |
| hidden test | MEDIUM VOLATILITY | 250 | -28.2% | -0.97 | 21% |
| hidden test | NORMAL | 809 | -8.3% | -0.36 | 15% |
| hidden test | SIDEWAYS | 293 | -15.2% | -0.63 | 16% |
| hidden test | UPTREND | 371 | 25.9% | 0.68 | 39% |
| train | DOWNTREND | 518 | -2.4% | -0.70 | 0% |
| train | EXPENSIVE | 311 | 22.9% | 0.72 | 41% |
| train | EXTREME | 100 | 368.1% | 5.07 | 95% |
| train | HIGH VOLATILITY | 699 | 44.0% | 1.25 | 26% |
| train | LOW VOLATILITY | 745 | 12.3% | 0.80 | 24% |
| train | MEDIUM VOLATILITY | 568 | -0.1% | -0.01 | 12% |
| train | NORMAL | 1,601 | -2.6% | -0.18 | 13% |
| train | SIDEWAYS | 592 | -13.9% | -0.99 | 7% |
| train | UPTREND | 902 | 54.6% | 1.58 | 43% |
| validation | DOWNTREND | 125 | 11.5% | 1.42 | 1% |
| validation | EXPENSIVE | 138 | 59.1% | 1.13 | 49% |
| validation | EXTREME | 144 | 254.2% | 3.34 | 76% |
| validation | HIGH VOLATILITY | 258 | 69.4% | 1.14 | 35% |
| validation | LOW VOLATILITY | 183 | 20.0% | 1.35 | 13% |
| validation | MEDIUM VOLATILITY | 315 | 87.4% | 2.27 | 41% |
| validation | NORMAL | 474 | 9.1% | 0.41 | 14% |
| validation | SIDEWAYS | 206 | -10.1% | -0.79 | 11% |
| validation | UPTREND | 425 | 117.0% | 2.03 | 51% |
Trades (full period)
33 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-11 | 2026-06-08 | $445.00 | $408.95 | -8.90% | 20 | |
| 2025-12-17 | 2026-01-05 | $467.26 | $451.67 | -10.76% | 12 | |
| 2025-09-16 | 2025-10-15 | $421.62 | $435.15 | 4.48% | 22 | |
| 2025-05-13 | 2025-06-06 | $334.07 | $295.14 | -10.75% | 18 | |
| 2024-11-07 | 2025-01-08 | $296.91 | $394.94 | 36.41% | 42 | |
| 2024-09-26 | 2024-10-14 | $254.22 | $219.16 | -15.43% | 13 | |
| 2024-07-03 | 2024-08-01 | $246.39 | $216.86 | 0.16% | 21 | |
| 2023-06-02 | 2023-07-21 | $213.97 | $260.02 | 26.44% | 34 | |
| 2023-02-08 | 2023-03-07 | $201.29 | $187.71 | -1.72% | 19 | |
| 2022-07-29 | 2022-08-29 | $297.15 | $284.82 | 2.36% | 22 | |
| 2022-03-29 | 2022-04-21 | $366.52 | $336.26 | -10.68% | 17 | |
| 2021-10-19 | 2021-11-29 | $288.09 | $379.00 | 24.09% | 29 | |
| 2020-11-24 | 2021-02-09 | $185.13 | $283.15 | 65.13% | 52 | |
| 2020-08-19 | 2020-09-24 | $125.24 | $129.26 | 0.58% | 26 | |
| 2020-06-02 | 2020-08-10 | $58.77 | $94.57 | 61.43% | 49 | |
| 2020-05-11 | 2020-05-27 | $54.09 | $54.68 | -0.27% | 12 | |
| 2019-12-24 | 2020-03-04 | $28.35 | $49.97 | 77.48% | 48 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-07-25 | 2019-07-29 | $15.25 | $15.72 | -14.09% | 3 | |
| 2018-11-02 | 2018-11-26 | $23.09 | $23.07 | -5.55% | 16 | |
| 2018-06-14 | 2018-07-06 | $23.85 | $20.59 | -10.51% | 16 | |
| 2017-06-14 | 2017-07-05 | $25.38 | $21.81 | -6.39% | 15 | |
| 2017-04-04 | 2017-05-04 | $20.25 | $19.70 | 3.98% | 22 | |
| 2017-01-05 | 2017-02-24 | $15.12 | $17.13 | 12.55% | 35 | |
| 2016-03-18 | 2016-05-02 | $15.52 | $16.12 | 6.14% | 31 | |
| 2015-04-28 | 2015-06-11 | $15.37 | $16.76 | 8.05% | 32 | |
| 2014-08-14 | 2014-09-16 | $17.43 | $17.38 | -2.67% | 23 | |
| 2014-01-22 | 2014-03-25 | $11.90 | $14.70 | 24.37% | 44 | |
| 2013-07-02 | 2013-10-04 | $7.85 | $12.07 | 47.61% | 67 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 132.63% | 61 | |
| 2012-11-21 | 2012-12-28 | $2.16 | $2.21 | 1.89% | 26 | |
| 2012-07-17 | 2012-07-19 | $2.22 | $2.15 | -10.78% | 3 | |
| 2012-02-21 | 2012-03-19 | $2.30 | $2.33 | 0.80% | 20 |