Strategy Zoo / S1111
PriceMomentum_V1111
ARCHIVEDhybridcrossoverentry = PriceMomentum_V0677 OR PriceMomentum_V1085
Fitness
0.5785
Generation
51
Complexity
6
Created
2026-10-03
Lineage
Parents (2)
added entry filter: breakout_50 == 1
changed ret_20d threshold -0.1499 -> -0.0955
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1111 [hybrid]
if flat and ((ret_20d > 0.05 and breakout_50 == 1) or ret_20d > 0.05):
position = 1.0
if long and ret_20d < -0.0955:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.1% | 102.0% | 13.2% | 31.2% |
| Total Return | 304.5% | 724.0% | 59.0% | 5355.7% |
| Sharpe | 0.65 | 1.58 | 0.50 | 0.85 |
| Sortino | 0.81 | 1.86 | 0.58 | 1.01 |
| Calmar | 0.27 | 2.35 | 0.24 | 0.44 |
| Volatility | 38.0% | 53.6% | 42.8% | 42.9% |
| Max DD | -71.6% | -43.4% | -56.2% | -71.6% |
| Win Rate | 39.3% | 54.5% | 50.0% | 45.5% |
| Avg Win | 45.9% | 68.6% | 20.2% | 48.3% |
| Avg Loss | -11.6% | -11.7% | -11.2% | -11.5% |
| Payoff | 3.97 | 5.89 | 1.81 | 4.21 |
| Expectancy | 11.0% | 32.1% | 4.5% | 15.7% |
| Profit Factor | 2.57 | 7.07 | 1.81 | 3.51 |
| Trades | 28 | 11 | 16 | 55 |
| Avg Holding Days | 45.4 | 44.8 | 33.3 | 43.2 |
| Turnover | 7.1 | 7.3 | 8.8 | 7.5 |
| Exposure | 65.6% | 63.8% | 58.1% | 63.3% |
Growth of $100
PriceMomentum_V1111 vs TSLA Buy & Hold
PriceMomentum_V1111 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 | -25.4% | -1.04 | -44.4% | 5 |
| 2017 | 14.9% | 0.60 | -29.8% | 3 |
| 2018 | -20.9% | -0.39 | -43.8% | 4 |
| 2019 | 27.6% | 0.85 | -33.0% | 3 |
| 2020 | 647.0% | 3.07 | -33.7% | 3 |
| 2021 | 64.5% | 1.42 | -24.7% | 3 |
| 2022 | -35.9% | -1.10 | -35.7% | 5 |
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 | 5.8% | 0.14 | 43% |
| hidden test | EXPENSIVE | 83 | 87.2% | 1.84 | 75% |
| hidden test | EXTREME | 48 | 210.8% | 3.53 | 75% |
| hidden test | HIGH VOLATILITY | 254 | 49.0% | 0.85 | 56% |
| hidden test | LOW VOLATILITY | 436 | 52.0% | 1.63 | 60% |
| hidden test | MEDIUM VOLATILITY | 251 | -59.1% | -1.44 | 57% |
| hidden test | NORMAL | 810 | 3.6% | 0.09 | 55% |
| hidden test | SIDEWAYS | 293 | -21.0% | -0.56 | 63% |
| hidden test | UPTREND | 371 | 66.9% | 1.42 | 65% |
| train | DOWNTREND | 518 | -17.7% | -0.67 | 43% |
| train | EXPENSIVE | 311 | 84.9% | 1.97 | 82% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 59.8% | 1.24 | 56% |
| train | LOW VOLATILITY | 745 | 27.7% | 0.99 | 74% |
| train | MEDIUM VOLATILITY | 568 | -22.7% | -0.65 | 66% |
| train | NORMAL | 1,601 | -11.5% | -0.35 | 60% |
| train | SIDEWAYS | 592 | -18.7% | -0.56 | 56% |
| train | UPTREND | 902 | 77.4% | 1.70 | 85% |
| validation | DOWNTREND | 125 | 39.9% | 1.81 | 14% |
| validation | EXPENSIVE | 138 | 51.7% | 0.90 | 77% |
| validation | EXTREME | 144 | 378.9% | 4.47 | 95% |
| validation | HIGH VOLATILITY | 258 | 116.9% | 1.69 | 53% |
| validation | LOW VOLATILITY | 183 | 45.0% | 1.43 | 78% |
| validation | MEDIUM VOLATILITY | 315 | 81.4% | 1.65 | 64% |
| validation | NORMAL | 474 | 4.9% | 0.14 | 50% |
| validation | SIDEWAYS | 206 | -21.7% | -0.54 | 55% |
| validation | UPTREND | 425 | 149.5% | 2.32 | 82% |
Trades (full period)
56 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | — | $362.86 | — | 2.50% | 30 | OPEN |
| 2026-07-13 | 2026-07-24 | $394.76 | $313.03 | -21.76% | 10 | |
| 2026-04-20 | 2026-06-10 | $392.50 | $381.59 | -1.18% | 37 | |
| 2025-12-15 | 2026-01-16 | $475.31 | $437.50 | -4.63% | 23 | |
| 2025-07-31 | 2025-11-21 | $308.27 | $391.09 | 23.63% | 81 | |
| 2025-04-29 | 2025-06-26 | $292.03 | $325.78 | 14.35% | 41 | |
| 2025-04-08 | 2025-04-23 | $221.86 | $250.74 | 1.80% | 11 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 43.14% | 48 | |
| 2024-09-04 | 2024-10-22 | $219.41 | $217.97 | 3.71% | 35 | |
| 2024-04-30 | 2024-08-02 | $183.28 | $207.67 | 11.52% | 66 | |
| 2024-04-15 | 2024-04-17 | $161.48 | $155.45 | -8.34% | 3 | |
| 2024-02-26 | 2024-03-15 | $199.40 | $163.57 | -15.52% | 15 | |
| 2023-11-17 | 2024-01-17 | $234.30 | $215.55 | -6.04% | 40 | |
| 2023-09-12 | 2023-10-20 | $267.48 | $211.99 | -19.71% | 29 | |
| 2023-05-19 | 2023-08-03 | $180.14 | $259.32 | 43.37% | 52 | |
| 2023-04-10 | 2023-04-21 | $184.51 | $165.08 | -12.10% | 10 | |
| 2023-01-25 | 2023-03-10 | $144.43 | $173.44 | 19.94% | 32 | |
| 2022-09-21 | 2022-10-04 | $300.80 | $249.44 | -21.64% | 10 | |
| 2022-07-14 | 2022-09-01 | $238.31 | $277.16 | 16.04% | 36 | |
| 2022-06-22 | 2022-06-30 | $236.09 | $224.47 | -3.80% | 7 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -5.04% | 26 | |
| 2022-01-04 | 2022-01-25 | $383.20 | $306.13 | -22.64% | 15 | |
| 2021-06-14 | 2021-12-03 | $205.90 | $338.32 | 77.48% | 122 | |
| 2021-04-05 | 2021-05-11 | $230.35 | $205.73 | -5.13% | 27 | |
| 2020-11-19 | 2021-02-23 | $166.42 | $232.95 | 46.53% | 64 | |
| 2020-10-07 | 2020-11-12 | $141.77 | $137.25 | 0.56% | 27 | |
| 2020-04-14 | 2020-09-25 | $47.33 | $135.78 | 197.29% | 116 | |
| 2019-09-12 | 2020-03-05 | $16.39 | $48.30 | 202.71% | 121 | |
| 2019-06-18 | 2019-08-13 | $14.98 | $15.67 | 1.57% | 40 | |
| 2019-04-04 | 2019-04-26 | $17.85 | $15.68 | -15.32% | 16 | |
| 2019-02-28 | 2019-03-06 | $21.33 | $18.42 | -12.31% | 5 | |
| 2018-10-29 | 2019-01-03 | $22.32 | $20.02 | -6.47% | 45 | |
| 2018-10-04 | 2018-10-09 | $18.79 | $17.52 | -15.18% | 4 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -13.45% | 21 | |
| 2018-04-27 | 2018-07-16 | $19.61 | $20.67 | 11.48% | 55 | |
| 2017-12-12 | 2018-03-23 | $22.74 | $20.10 | -6.21% | 70 | |
| 2017-08-04 | 2017-11-02 | $23.79 | $19.95 | -7.68% | 64 | |
| 2017-03-28 | 2017-07-07 | $18.50 | $20.88 | 14.06% | 71 | |
| 2016-12-14 | 2017-03-22 | $13.25 | $17.00 | 26.26% | 67 | |
| 2016-10-04 | 2016-11-02 | $14.09 | $12.53 | -10.90% | 22 | |
| 2016-07-19 | 2016-09-02 | $15.02 | $13.19 | -11.44% | 34 | |
| 2016-06-08 | 2016-06-23 | $15.70 | $13.09 | -15.52% | 12 | |
| 2016-03-04 | 2016-05-05 | $13.40 | $14.10 | 13.48% | 44 | |
| 2015-11-09 | 2016-01-19 | $15.02 | $13.65 | -11.96% | 48 | |
| 2015-09-21 | 2015-10-12 | $17.61 | $14.37 | -15.49% | 16 | |
| 2015-04-08 | 2015-08-12 | $13.84 | $15.88 | 16.56% | 89 | |
| 2015-02-10 | 2015-03-09 | $14.42 | $12.73 | -11.03% | 19 | |
| 2014-11-11 | 2014-12-09 | $16.74 | $14.46 | -11.57% | 20 | |
| 2014-05-28 | 2014-10-01 | $14.02 | $16.02 | 14.48% | 89 | |
| 2013-12-13 | 2014-03-26 | $9.84 | $14.20 | 49.18% | 70 | |
| 2013-03-26 | 2013-10-24 | $2.52 | $11.54 | 337.44% | 149 | |
| 2012-11-06 | 2013-03-20 | $2.08 | $2.40 | 11.14% | 92 | |
| 2012-09-18 | 2012-10-16 | $2.09 | $1.87 | -16.18% | 21 | |
| 2012-08-24 | 2012-09-12 | $1.97 | $1.89 | -9.72% | 13 | |
| 2012-06-19 | 2012-07-25 | $2.14 | $1.93 | -6.47% | 26 | |
| 2012-02-02 | 2012-04-11 | $2.02 | $2.21 | 9.52% | 48 |