Strategy Zoo / S1084
PriceMomentum_V1084
ARCHIVEDhybridstructuraladded entry filter: sma_20 > roll_low_20; replaced exit rule with: ret_60d < 0.2424
Fitness
0.4727
Generation
49
Complexity
30
Created
2026-10-02
Lineage
Parents (1)
entry = PriceMomentum_V0865 OR LongTermTrend_V0844
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1084 [hybrid]
if flat and (((ret_20d > 0.0191 and breakout_50 == 1) or ((((close > sma_200 and sma_200_slope > -0.0003) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > 0.2888 and dist_sma_50 > -0.0774) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 2.0784) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200))))) and sma_20 > roll_low_20):
position = 1.0
if long and ret_60d < 0.2424:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 16.5% | 64.1% | -6.8% | 18.3% |
| Total Return | 238.9% | 342.0% | -23.0% | 1087.3% |
| Sharpe | 0.66 | 1.19 | -0.04 | 0.64 |
| Sortino | 0.70 | 1.31 | -0.04 | 0.66 |
| Calmar | 0.36 | 1.24 | -0.14 | 0.36 |
| Volatility | 29.9% | 53.9% | 33.9% | 37.0% |
| Max DD | -45.3% | -51.5% | -46.7% | -51.5% |
| Win Rate | 46.7% | 54.7% | 49.6% | 48.8% |
| Avg Win | 4.4% | 6.1% | 3.4% | 4.6% |
| Avg Loss | -2.1% | -2.1% | -3.4% | -2.5% |
| Payoff | 2.04 | 2.91 | 1.00 | 1.88 |
| Expectancy | 0.9% | 2.4% | -0.0% | 1.0% |
| Profit Factor | 1.79 | 3.50 | 0.98 | 1.79 |
| Trades | 285 | 86 | 129 | 500 |
| Avg Holding Days | 3.2 | 5.5 | 3.6 | 3.8 |
| Turnover | 71.5 | 57.3 | 69.2 | 68.0 |
| Exposure | 33.0% | 51.1% | 35.4% | 37.3% |
Growth of $100
PriceMomentum_V1084 vs TSLA Buy & Hold
PriceMomentum_V1084 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 | 18.6% | 1.57 | -4.3% | 30 |
| 2017 | -7.9% | -0.28 | -22.0% | 44 |
| 2018 | -0.9% | 0.08 | -21.5% | 41 |
| 2019 | 25.4% | 1.03 | -22.5% | 23 |
| 2020 | 345.5% | 2.28 | -51.5% | 18 |
| 2021 | -12.2% | -0.14 | -35.2% | 44 |
| 2022 | -4.5% | -0.09 | -22.0% | 24 |
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 | 6.7% | 0.35 | 13% |
| hidden test | EXPENSIVE | 83 | 119.9% | 2.21 | 81% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 3.8% | 0.08 | 40% |
| hidden test | LOW VOLATILITY | 436 | 23.7% | 1.03 | 31% |
| hidden test | MEDIUM VOLATILITY | 250 | -50.0% | -1.43 | 39% |
| hidden test | NORMAL | 809 | -24.7% | -0.88 | 27% |
| hidden test | SIDEWAYS | 293 | -38.7% | -1.38 | 27% |
| hidden test | UPTREND | 371 | 22.4% | 0.50 | 59% |
| train | DOWNTREND | 518 | -11.3% | -0.74 | 9% |
| train | EXPENSIVE | 311 | 40.1% | 1.05 | 65% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 48.7% | 1.24 | 32% |
| train | LOW VOLATILITY | 745 | 15.7% | 0.74 | 37% |
| train | MEDIUM VOLATILITY | 568 | -10.9% | -0.42 | 28% |
| train | NORMAL | 1,601 | -9.1% | -0.42 | 23% |
| train | SIDEWAYS | 592 | 5.5% | 0.29 | 21% |
| train | UPTREND | 902 | 46.8% | 1.16 | 55% |
| validation | DOWNTREND | 125 | 29.7% | 1.43 | 5% |
| validation | EXPENSIVE | 138 | -11.3% | -0.17 | 82% |
| validation | EXTREME | 144 | 355.3% | 4.14 | 90% |
| validation | HIGH VOLATILITY | 258 | 86.3% | 1.15 | 52% |
| validation | LOW VOLATILITY | 183 | 16.2% | 0.62 | 48% |
| validation | MEDIUM VOLATILITY | 315 | 73.8% | 1.66 | 52% |
| validation | NORMAL | 474 | -2.4% | -0.07 | 30% |
| validation | SIDEWAYS | 206 | 3.8% | 0.22 | 19% |
| validation | UPTREND | 425 | 103.5% | 1.48 | 80% |
Trades (full period)
latest 100 of 500
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-28 | 2026-09-29 | $357.45 | $352.84 | -4.14% | 2 | |
| 2026-09-24 | 2026-09-25 | $377.94 | $372.11 | -0.77% | 2 | |
| 2026-09-22 | 2026-09-23 | $378.90 | $380.12 | 0.76% | 2 | |
| 2026-09-18 | 2026-09-21 | $364.27 | $375.30 | -0.73% | 2 | |
| 2026-09-15 | 2026-09-16 | $356.58 | $358.08 | -0.86% | 2 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.32% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-04 | 2026-09-08 | $354.08 | $368.16 | -6.12% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-02 | $425.30 | $393.45 | 0.92% | 2 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -4.76% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.19% | 2 | |
| 2026-05-20 | 2026-05-21 | $417.26 | $417.85 | 3.05% | 2 | |
| 2026-05-18 | 2026-05-19 | $409.99 | $404.11 | -3.10% | 2 | |
| 2026-05-14 | 2026-05-15 | $443.30 | $422.24 | -0.64% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.79% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.82% | 2 | |
| 2026-05-06 | 2026-05-07 | $398.73 | $411.79 | 2.20% | 2 | |
| 2026-05-04 | 2026-05-05 | $392.51 | $389.37 | 0.23% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.98% | 2 | |
| 2025-12-26 | 2025-12-29 | $475.19 | $459.64 | -2.30% | 2 | |
| 2025-12-23 | 2025-12-24 | $485.56 | $485.40 | -0.85% | 2 | |
| 2025-12-19 | 2025-12-22 | $481.20 | $488.73 | -0.65% | 2 | |
| 2025-12-17 | 2025-12-18 | $467.26 | $483.37 | -4.81% | 2 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 3.36% | 2 | |
| 2025-12-11 | 2025-12-12 | $446.89 | $458.96 | -1.21% | 2 | |
| 2025-12-09 | 2025-12-10 | $445.17 | $451.45 | 1.07% | 2 | |
| 2025-12-04 | 2025-12-08 | $454.53 | $439.58 | 1.65% | 3 | |
| 2025-09-19 | 2025-11-14 | $426.07 | $404.35 | -3.76% | 41 | |
| 2025-09-12 | 2025-09-18 | $395.94 | $416.85 | 15.25% | 5 | |
| 2025-09-10 | 2025-09-11 | $347.79 | $368.81 | 0.04% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.70% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.79% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.74% | 2 | |
| 2025-08-20 | 2025-08-21 | $323.90 | $320.11 | -1.84% | 2 | |
| 2025-08-18 | 2025-08-19 | $335.16 | $329.31 | 1.19% | 2 | |
| 2025-08-14 | 2025-08-15 | $335.58 | $330.56 | -1.32% | 2 | |
| 2025-08-12 | 2025-08-13 | $340.84 | $339.38 | 0.33% | 2 | |
| 2025-08-08 | 2025-08-11 | $329.65 | $339.03 | 2.09% | 2 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-21 | 2025-07-24 | $328.49 | $305.30 | 0.68% | 4 | |
| 2025-06-25 | 2025-06-30 | $327.55 | $317.66 | -5.14% | 4 | |
| 2025-06-03 | 2025-06-06 | $344.27 | $295.14 | -17.09% | 4 | |
| 2025-05-29 | 2025-06-02 | $358.43 | $342.69 | -3.12% | 3 | |
| 2025-05-27 | 2025-05-28 | $362.89 | $356.90 | 6.73% | 2 | |
| 2025-05-22 | 2025-05-23 | $341.04 | $339.34 | 1.72% | 2 | |
| 2025-05-20 | 2025-05-21 | $343.82 | $334.62 | 0.31% | 2 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.89% | 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 | |
| 2025-05-08 | 2025-05-09 | $284.82 | $298.26 | 2.91% | 2 | |
| 2025-05-06 | 2025-05-07 | $275.35 | $276.22 | -1.95% | 2 | |
| 2025-05-02 | 2025-05-05 | $287.21 | $280.26 | 2.18% | 2 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -3.58% | 2 | |
| 2025-04-28 | 2025-04-29 | $285.88 | $292.03 | 0.13% | 2 | |
| 2024-11-06 | 2025-02-10 | $288.53 | $350.73 | 43.55% | 64 | |
| 2024-10-29 | 2024-11-05 | $259.52 | $251.44 | -7.68% | 6 | |
| 2024-10-25 | 2024-10-28 | $269.19 | $262.51 | 3.14% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -3.55% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.58% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 2.25% | 2 | |
| 2024-09-24 | 2024-09-26 | $254.27 | $254.22 | 2.60% | 3 | |
| 2024-09-16 | 2024-09-23 | $226.78 | $250.00 | 3.25% | 6 | |
| 2024-09-11 | 2024-09-13 | $228.13 | $230.29 | 1.41% | 3 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -3.42% | 2 | |
| 2024-08-20 | 2024-08-23 | $221.10 | $220.32 | -5.60% | 4 | |
| 2024-07-02 | 2024-07-26 | $231.26 | $219.80 | 4.75% | 18 | |
| 2024-06-28 | 2024-07-01 | $197.88 | $209.86 | 0.03% | 2 | |
| 2024-06-26 | 2024-06-27 | $196.37 | $197.42 | 4.61% | 2 | |
| 2024-06-24 | 2024-06-25 | $182.58 | $187.35 | -0.43% | 2 | |
| 2024-06-20 | 2024-06-21 | $181.57 | $183.01 | -1.98% | 2 | |
| 2024-06-17 | 2024-06-18 | $187.44 | $184.86 | 5.09% | 2 | |
| 2024-05-29 | 2024-05-30 | $176.19 | $178.79 | -0.52% | 2 | |
| 2024-05-24 | 2024-05-28 | $179.24 | $176.75 | 2.96% | 2 | |
| 2024-05-22 | 2024-05-23 | $180.11 | $173.74 | -3.67% | 2 | |
| 2024-05-20 | 2024-05-21 | $174.95 | $186.60 | -1.61% | 2 | |
| 2024-05-16 | 2024-05-17 | $174.84 | $177.46 | 0.29% | 2 | |
| 2024-05-14 | 2024-05-15 | $177.55 | $173.99 | 3.09% | 2 | |
| 2024-05-08 | 2024-05-09 | $174.72 | $171.97 | -1.94% | 2 | |
| 2024-05-06 | 2024-05-07 | $184.76 | $177.81 | 1.77% | 2 | |
| 2024-05-02 | 2024-05-03 | $180.01 | $181.19 | -0.19% | 2 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2023-12-28 | 2023-12-29 | $253.18 | $248.48 | -3.36% | 2 | |
| 2023-12-26 | 2023-12-27 | $256.61 | $261.44 | 1.41% | 2 | |
| 2023-12-21 | 2023-12-22 | $254.50 | $252.54 | 2.78% | 2 | |
| 2023-12-19 | 2023-12-20 | $257.22 | $247.14 | 1.84% | 2 | |
| 2023-12-15 | 2023-12-18 | $253.50 | $252.08 | 0.78% | 2 | |
| 2023-12-13 | 2023-12-14 | $239.29 | $251.05 | 0.76% | 2 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.88% | 2 | |
| 2023-12-07 | 2023-12-08 | $242.64 | $243.84 | 1.16% | 2 | |
| 2023-12-05 | 2023-12-06 | $238.72 | $239.37 | 1.13% | 2 | |
| 2023-12-01 | 2023-12-04 | $238.83 | $235.58 | -0.72% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.24% | 2 | |
| 2023-11-27 | 2023-11-28 | $236.08 | $246.72 | 0.07% | 2 | |
| 2023-11-22 | 2023-11-24 | $234.21 | $235.45 | -3.10% | 2 |