Strategy Zoo / S1107
PriceMomentum_V1107
ARCHIVEDhybridparameterchanged ret_20d threshold -0.1496 -> -0.0119
Fitness
0.6945
Generation
50
Complexity
9
Created
2026-10-03
Lineage
Parents (1)
changed ret_20d threshold -0.006 -> -0.1496
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1107 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (ret_20d > 0.05 or (breakout_20 == 1 and dist_sma_20 > -0.121 and vol_chg < 1.2007)):
position = 1.0
if long and ret_20d < -0.0119:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 22.6% | 99.2% | 7.9% | 31.3% |
| Total Return | 409.0% | 690.9% | 32.7% | 5400.0% |
| Sharpe | 1.00 | 1.82 | 0.51 | 1.13 |
| Sortino | 0.71 | 1.40 | 0.29 | 0.74 |
| Calmar | 0.89 | 2.94 | 0.36 | 0.93 |
| Volatility | 22.8% | 43.0% | 18.1% | 27.3% |
| Max DD | -25.5% | -33.7% | -21.7% | -33.7% |
| Win Rate | 50.0% | 85.7% | 50.0% | 60.9% |
| Avg Win | 40.9% | 45.7% | 22.9% | 42.0% |
| Avg Loss | -3.3% | -4.1% | -5.7% | -3.9% |
| Payoff | 10.00 | 10.00 | 4.02 | 10.00 |
| Expectancy | 18.8% | 38.6% | 8.6% | 24.0% |
| Profit Factor | 10.00 | 10.00 | 4.02 | 10.00 |
| Trades | 12 | 7 | 4 | 23 |
| Avg Holding Days | 25.3 | 30.7 | 22.8 | 27.0 |
| Turnover | 3.1 | 4.7 | 2.1 | 3.1 |
| Exposure | 15.0% | 27.5% | 9.2% | 16.1% |
Growth of $100
PriceMomentum_V1107 vs TSLA Buy & Hold
PriceMomentum_V1107 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 | -9.0% | -0.27 | -25.0% | 7 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 9.5% | 1.31 | -3.8% | 0 |
| 2020 | 542.3% | 2.97 | -33.7% | 6 |
| 2021 | 18.1% | 0.99 | -10.1% | 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 | 14.9% | 0.35 | 64% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 22.8% | 0.92 | 14% |
| hidden test | LOW VOLATILITY | 436 | 18.9% | 2.11 | 4% |
| hidden test | MEDIUM VOLATILITY | 251 | -21.5% | -1.00 | 14% |
| hidden test | NORMAL | 810 | -1.7% | -0.80 | 0% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 23.3% | 0.81 | 23% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 27.5% | 0.74 | 63% |
| train | EXTREME | 100 | 407.4% | 5.51 | 99% |
| train | HIGH VOLATILITY | 699 | 47.8% | 1.45 | 20% |
| train | LOW VOLATILITY | 745 | 11.9% | 1.09 | 11% |
| train | MEDIUM VOLATILITY | 568 | 6.6% | 0.35 | 14% |
| train | NORMAL | 1,601 | -2.0% | -0.87 | 0% |
| train | SIDEWAYS | 592 | 0.0% | 0.00 | 0% |
| train | UPTREND | 902 | 51.1% | 1.50 | 33% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 68.9% | 1.27 | 62% |
| validation | EXTREME | 144 | 344.5% | 4.26 | 85% |
| validation | HIGH VOLATILITY | 258 | 114.1% | 1.82 | 37% |
| validation | LOW VOLATILITY | 183 | 14.9% | 1.05 | 9% |
| validation | MEDIUM VOLATILITY | 315 | 85.5% | 2.60 | 31% |
| validation | NORMAL | 474 | 0.0% | 0.00 | 0% |
| validation | SIDEWAYS | 206 | 4.9% | 1.08 | 0% |
| validation | UPTREND | 425 | 136.7% | 2.40 | 49% |
Trades (full period)
23 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-10-29 | 2025-11-13 | $461.51 | $401.99 | -6.69% | 12 | |
| 2025-09-15 | 2025-10-27 | $410.04 | $452.42 | 9.33% | 31 | |
| 2025-05-28 | 2025-06-02 | $356.90 | $342.69 | -4.72% | 4 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 36.54% | 44 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -4.12% | 6 | |
| 2020-10-07 | 2020-10-20 | $141.77 | $140.65 | 3.87% | 10 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 17.09% | 29 | |
| 2020-05-15 | 2020-08-10 | $53.28 | $94.57 | 80.47% | 60 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-12-17 | 2020-03-04 | $25.27 | $49.97 | 95.02% | 53 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -9.35% | 7 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-05-31 | 2017-07-06 | $22.73 | $20.59 | -2.58% | 26 | |
| 2017-04-07 | 2017-05-24 | $20.17 | $20.68 | 1.53% | 33 | |
| 2017-03-28 | 2017-04-06 | $18.50 | $19.91 | 8.95% | 8 | |
| 2017-02-03 | 2017-02-28 | $16.76 | $16.67 | -2.31% | 17 | |
| 2017-01-25 | 2017-01-31 | $16.96 | $16.80 | -1.76% | 5 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 21.21% | 43 | |
| 2013-06-27 | 2013-10-22 | $7.28 | $11.44 | 62.94% | 82 | |
| 2013-04-11 | 2013-06-26 | $2.91 | $7.05 | 144.15% | 54 | |
| 2013-02-14 | 2013-02-15 | $2.55 | $2.47 | -0.67% | 2 | |
| 2013-01-24 | 2013-02-12 | $2.47 | $2.53 | 6.51% | 14 |