Strategy Zoo / S1078
PriceMomentum_V1078
ARCHIVEDhybridstructuralreduce exposure to 56% during MEDIUM_VOLATILITY
Fitness
0.6622
Generation
49
Complexity
3
Created
2026-10-02
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.184
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1078 [hybrid]
if flat and ret_20d > 0.184:
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.57Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 24.7% | 73.2% | 21.0% | 32.6% |
| Total Return | 482.9% | 419.4% | 103.5% | 6243.5% |
| Sharpe | 1.01 | 1.54 | 0.81 | 1.09 |
| Sortino | 0.88 | 1.28 | 0.64 | 0.89 |
| Calmar | 0.81 | 2.17 | 0.65 | 0.96 |
| Volatility | 25.0% | 41.2% | 28.7% | 29.9% |
| Max DD | -30.4% | -33.8% | -32.1% | -33.8% |
| Win Rate | 55.6% | 50.0% | 41.7% | 50.0% |
| Avg Win | 25.7% | 46.9% | 26.5% | 34.7% |
| Avg Loss | -5.8% | -3.2% | -6.0% | -5.2% |
| Payoff | 4.43 | 10.00 | 4.42 | 6.65 |
| Expectancy | 11.7% | 21.9% | 7.6% | 14.7% |
| Profit Factor | 5.54 | 10.00 | 3.15 | 6.65 |
| Trades | 18 | 10 | 12 | 40 |
| Avg Holding Days | 31.3 | 29.1 | 24.2 | 29.8 |
| Turnover | 6.1 | 7.5 | 8.5 | 7.0 |
| Exposure | 27.1% | 29.0% | 26.1% | 27.3% |
Growth of $100
PriceMomentum_V1078 vs TSLA Buy & Hold
PriceMomentum_V1078 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 | 8.7% | 0.76 | -8.0% | 2 |
| 2017 | 2.3% | 0.22 | -20.9% | 3 |
| 2018 | -9.3% | -0.48 | -18.1% | 2 |
| 2019 | 45.4% | 1.68 | -13.9% | 1 |
| 2020 | 279.3% | 2.35 | -33.8% | 4 |
| 2021 | 35.6% | 1.47 | -10.7% | 4 |
| 2022 | -1.5% | -0.07 | -9.2% | 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 | 30.6% | 1.75 | 6% |
| hidden test | EXPENSIVE | 83 | 45.9% | 1.31 | 45% |
| hidden test | EXTREME | 48 | 173.2% | 3.20 | 62% |
| hidden test | HIGH VOLATILITY | 254 | 62.1% | 1.51 | 35% |
| hidden test | LOW VOLATILITY | 436 | 29.9% | 1.49 | 24% |
| hidden test | MEDIUM VOLATILITY | 250 | -28.0% | -1.09 | 20% |
| hidden test | NORMAL | 809 | 11.9% | 0.47 | 22% |
| hidden test | SIDEWAYS | 293 | 3.2% | 0.13 | 26% |
| hidden test | UPTREND | 371 | 33.4% | 0.90 | 41% |
| train | DOWNTREND | 518 | 8.1% | 1.06 | 4% |
| train | EXPENSIVE | 311 | 30.6% | 1.00 | 50% |
| train | EXTREME | 100 | 368.2% | 5.15 | 89% |
| train | HIGH VOLATILITY | 699 | 47.8% | 1.38 | 30% |
| train | LOW VOLATILITY | 745 | 25.2% | 1.32 | 36% |
| train | MEDIUM VOLATILITY | 568 | -2.8% | -0.18 | 13% |
| train | NORMAL | 1,601 | 2.6% | 0.17 | 19% |
| train | SIDEWAYS | 592 | -11.4% | -0.71 | 12% |
| train | UPTREND | 902 | 58.9% | 1.71 | 50% |
| validation | DOWNTREND | 125 | 6.5% | 1.42 | 0% |
| validation | EXPENSIVE | 138 | 45.9% | 1.04 | 35% |
| validation | EXTREME | 144 | 251.1% | 3.25 | 82% |
| validation | HIGH VOLATILITY | 258 | 88.3% | 1.41 | 43% |
| validation | LOW VOLATILITY | 183 | 21.4% | 1.45 | 12% |
| validation | MEDIUM VOLATILITY | 315 | 67.5% | 2.49 | 28% |
| validation | NORMAL | 474 | 11.5% | 0.68 | 11% |
| validation | SIDEWAYS | 206 | -3.3% | -0.16 | 15% |
| validation | UPTREND | 425 | 112.5% | 2.13 | 44% |
Trades (full period)
40 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-08 | $428.35 | $408.95 | -5.23% | 21 | |
| 2025-12-17 | 2026-01-05 | $467.26 | $451.67 | -10.76% | 12 | |
| 2025-09-16 | 2025-10-23 | $421.62 | $448.98 | 4.55% | 28 | |
| 2025-05-08 | 2025-06-12 | $284.82 | $319.11 | 27.18% | 25 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 34.10% | 44 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -6.21% | 27 | |
| 2024-07-03 | 2024-08-02 | $246.39 | $207.67 | -7.91% | 22 | |
| 2024-05-20 | 2024-05-29 | $174.95 | $176.19 | -0.60% | 7 | |
| 2023-11-29 | 2024-01-05 | $244.14 | $237.49 | -3.76% | 26 | |
| 2023-09-15 | 2023-09-28 | $274.39 | $246.38 | -7.61% | 10 | |
| 2023-05-25 | 2023-07-24 | $184.47 | $269.06 | 44.71% | 40 | |
| 2023-01-27 | 2023-03-08 | $177.90 | $182.00 | 22.18% | 28 | |
| 2022-07-29 | 2022-08-29 | $297.15 | $284.82 | -0.73% | 22 | |
| 2022-03-23 | 2022-04-21 | $333.04 | $336.26 | -0.79% | 21 | |
| 2021-10-19 | 2021-12-01 | $288.09 | $365.00 | 32.44% | 31 | |
| 2021-04-27 | 2021-05-04 | $234.91 | $224.53 | -4.22% | 6 | |
| 2021-04-07 | 2021-04-08 | $223.66 | $227.93 | -3.18% | 2 | |
| 2020-11-24 | 2021-02-09 | $185.13 | $283.15 | 34.29% | 52 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.23% | 6 | |
| 2020-08-19 | 2020-09-24 | $125.24 | $129.26 | -6.89% | 26 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 101.49% | 83 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 128.22% | 89 | |
| 2019-07-01 | 2019-08-02 | $15.14 | $15.62 | 4.23% | 24 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 1.42% | 36 | |
| 2018-06-14 | 2018-07-06 | $23.85 | $20.59 | -10.51% | 16 | |
| 2017-06-14 | 2017-07-06 | $25.38 | $20.59 | -9.11% | 16 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | -2.29% | 36 | |
| 2017-01-04 | 2017-02-28 | $15.13 | $16.67 | 15.19% | 38 | |
| 2016-07-26 | 2016-08-16 | $15.30 | $14.91 | -2.12% | 16 | |
| 2016-03-08 | 2016-05-03 | $13.51 | $15.49 | 11.01% | 40 | |
| 2015-09-23 | 2015-09-30 | $17.40 | $16.56 | -5.03% | 6 | |
| 2015-04-28 | 2015-07-09 | $15.37 | $17.19 | 9.89% | 51 | |
| 2014-08-14 | 2014-09-16 | $17.43 | $17.38 | -2.67% | 23 | |
| 2014-01-22 | 2014-03-26 | $11.90 | $14.20 | 14.72% | 45 | |
| 2013-12-18 | 2014-01-14 | $9.87 | $10.75 | -8.73% | 18 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 51.13% | 79 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 140.17% | 61 | |
| 2012-11-21 | 2012-12-31 | $2.16 | $2.26 | 0.46% | 27 | |
| 2012-07-17 | 2012-07-20 | $2.22 | $2.12 | -6.01% | 4 | |
| 2012-02-14 | 2012-03-23 | $2.21 | $2.27 | 9.03% | 28 |