Strategy Zoo / S1105
PriceMomentum_V1105
ARCHIVEDhybridparameterchanged ret_20d threshold 0.05 -> 0.1766; changed ret_20d threshold 0.05 -> 0.1896
Fitness
0.6297
Generation
50
Complexity
27
Created
2026-10-03
Lineage
Parents (1)
entry = PriceMomentum_V0971 AND LongTermTrend_V1061
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1105 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (ret_20d > 0.1766 and ((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.1896 and cumret_252d > 0.0541) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 1.2086 and close > sma_50) and sma_50 > sma_200))))):
position = 1.0
if long and ret_20d < -0.1499:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 18.4% | 95.1% | 4.4% | 27.2% |
| Total Return | 285.1% | 642.7% | 17.5% | 3360.2% |
| Sharpe | 0.86 | 1.74 | 0.32 | 1.00 |
| Sortino | 0.57 | 1.42 | 0.21 | 0.67 |
| Calmar | 0.61 | 2.82 | 0.13 | 0.78 |
| Volatility | 22.5% | 44.0% | 19.8% | 27.8% |
| Max DD | -30.0% | -33.7% | -34.8% | -34.8% |
| Win Rate | 50.0% | 80.0% | 66.7% | 64.3% |
| Avg Win | 97.8% | 70.0% | 11.1% | 66.7% |
| Avg Loss | -5.2% | -0.7% | -4.7% | -4.2% |
| Payoff | 10.00 | 10.00 | 2.35 | 10.00 |
| Expectancy | 46.3% | 55.9% | 5.8% | 41.4% |
| Profit Factor | 10.00 | 10.00 | 4.70 | 10.00 |
| Trades | 6 | 5 | 3 | 14 |
| Avg Holding Days | 44.2 | 45.6 | 37.7 | 43.7 |
| Turnover | 1.6 | 3.3 | 1.6 | 1.9 |
| Exposure | 13.1% | 29.5% | 11.7% | 16.1% |
Growth of $100
PriceMomentum_V1105 vs TSLA Buy & Hold
PriceMomentum_V1105 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 | -11.2% | -0.44 | -19.5% | 4 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | -0.3% | -0.05 | -3.8% | 0 |
| 2020 | 561.3% | 2.97 | -33.7% | 4 |
| 2021 | 7.7% | 0.48 | -10.9% | 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 | 277 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | -18.9% | -0.41 | 72% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 24.2% | 0.90 | 18% |
| hidden test | LOW VOLATILITY | 436 | 17.7% | 1.85 | 4% |
| hidden test | MEDIUM VOLATILITY | 251 | -31.7% | -1.31 | 18% |
| hidden test | NORMAL | 810 | -1.7% | -0.80 | 0% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 15.9% | 0.50 | 30% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | -2.1% | -0.06 | 52% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 46.1% | 1.41 | 19% |
| train | LOW VOLATILITY | 745 | 2.5% | 0.27 | 8% |
| train | MEDIUM VOLATILITY | 568 | 8.5% | 0.44 | 13% |
| train | NORMAL | 1,601 | -1.3% | -0.63 | 0% |
| train | SIDEWAYS | 592 | 0.0% | 0.00 | 0% |
| train | UPTREND | 902 | 43.1% | 1.28 | 29% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 53.8% | 0.94 | 77% |
| validation | EXTREME | 144 | 352.7% | 4.30 | 81% |
| validation | HIGH VOLATILITY | 258 | 139.8% | 2.17 | 37% |
| validation | LOW VOLATILITY | 183 | 8.6% | 0.43 | 18% |
| validation | MEDIUM VOLATILITY | 315 | 64.1% | 2.01 | 30% |
| validation | NORMAL | 474 | -0.8% | -0.78 | 0% |
| validation | SIDEWAYS | 206 | 3.2% | 0.67 | 1% |
| validation | UPTREND | 425 | 134.6% | 2.30 | 52% |
Trades (full period)
14 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-15 | 2025-11-13 | $410.04 | $401.99 | 8.54% | 44 | |
| 2025-05-28 | 2025-06-02 | $356.90 | $342.69 | -4.72% | 4 | |
| 2024-11-07 | 2025-02-12 | $296.91 | $336.51 | 13.63% | 65 | |
| 2020-11-24 | 2021-02-19 | $185.13 | $260.43 | 50.59% | 59 | |
| 2020-10-07 | 2020-11-13 | $141.77 | $136.17 | -0.73% | 28 | |
| 2020-06-02 | 2020-09-30 | $58.77 | $143.00 | 132.84% | 85 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-12-24 | 2020-03-05 | $28.35 | $48.30 | 78.43% | 49 | |
| 2017-04-07 | 2017-07-10 | $20.17 | $21.07 | 4.65% | 64 | |
| 2017-04-04 | 2017-04-06 | $20.25 | $19.91 | -1.38% | 3 | |
| 2017-02-14 | 2017-02-28 | $18.73 | $16.67 | -12.42% | 10 | |
| 2017-01-25 | 2017-01-31 | $16.96 | $16.80 | -1.76% | 5 | |
| 2014-01-24 | 2014-03-27 | $11.64 | $13.82 | 17.09% | 44 | |
| 2013-04-15 | 2013-10-29 | $2.89 | $10.96 | 271.50% | 139 |