Strategy Zoo / S1113
PriceMomentum_V1113
ARCHIVEDhybridcrossoverentry = PriceMomentum_V0267 OR PriceMomentum_V1003
Fitness
0.6965
Generation
51
Complexity
6
Created
2026-10-03
Lineage
Parents (2)
changed ret_20d threshold 0.05 -> 0.1146
entry from PriceMomentum_V0640, exit from PriceMomentum_V0449
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1113 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.1146 or ret_20d > 0.184):
position = 1.0
if long and ret_20d < -0.006:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 26.0% | 84.2% | 22.4% | 35.4% |
| Total Return | 532.1% | 524.7% | 113.0% | 8556.9% |
| Sharpe | 1.02 | 1.65 | 0.85 | 1.14 |
| Sortino | 0.94 | 1.42 | 0.63 | 0.95 |
| Calmar | 0.64 | 2.49 | 0.72 | 0.87 |
| Volatility | 25.9% | 42.6% | 28.6% | 30.7% |
| Max DD | -40.6% | -33.8% | -31.4% | -40.6% |
| Win Rate | 51.9% | 53.8% | 52.9% | 52.6% |
| Avg Win | 19.9% | 39.9% | 15.9% | 25.7% |
| Avg Loss | -4.5% | -6.7% | -6.1% | -5.5% |
| Payoff | 4.40 | 5.93 | 2.62 | 4.70 |
| Expectancy | 8.1% | 18.4% | 5.6% | 10.9% |
| Profit Factor | 4.73 | 6.92 | 2.94 | 5.22 |
| Trades | 27 | 13 | 17 | 57 |
| Avg Holding Days | 21.7 | 23.1 | 14.9 | 20.8 |
| Turnover | 7.7 | 9.5 | 10.5 | 8.7 |
| Exposure | 28.3% | 32.4% | 22.9% | 27.8% |
Growth of $100
PriceMomentum_V1113 vs TSLA Buy & Hold
PriceMomentum_V1113 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 | 18.5% | 1.56 | -9.8% | 5 |
| 2017 | 1.1% | 0.15 | -18.3% | 4 |
| 2018 | -27.3% | -1.43 | -28.9% | 4 |
| 2019 | 63.2% | 2.63 | -8.5% | 2 |
| 2020 | 347.6% | 2.62 | -33.8% | 5 |
| 2021 | 71.1% | 2.28 | -12.5% | 2 |
| 2022 | -20.9% | -1.04 | -27.5% | 6 |
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 | 21.4% | 0.83 | 20% |
| hidden test | EXPENSIVE | 83 | 47.2% | 1.33 | 44% |
| hidden test | EXTREME | 48 | 176.0% | 3.23 | 63% |
| hidden test | HIGH VOLATILITY | 254 | 32.9% | 0.80 | 33% |
| hidden test | LOW VOLATILITY | 436 | 37.1% | 1.96 | 19% |
| hidden test | MEDIUM VOLATILITY | 251 | -6.5% | -0.24 | 20% |
| hidden test | NORMAL | 810 | 13.0% | 0.51 | 18% |
| hidden test | SIDEWAYS | 293 | 0.9% | 0.08 | 3% |
| hidden test | UPTREND | 371 | 45.1% | 1.17 | 42% |
| train | DOWNTREND | 518 | 13.2% | 1.48 | 8% |
| train | EXPENSIVE | 311 | 28.8% | 0.90 | 55% |
| train | EXTREME | 100 | 376.5% | 5.24 | 91% |
| train | HIGH VOLATILITY | 699 | 44.3% | 1.27 | 28% |
| train | LOW VOLATILITY | 745 | 31.6% | 1.53 | 38% |
| train | MEDIUM VOLATILITY | 568 | -2.6% | -0.15 | 15% |
| train | NORMAL | 1,601 | 4.0% | 0.24 | 19% |
| train | SIDEWAYS | 592 | -5.1% | -0.53 | 2% |
| train | UPTREND | 902 | 54.5% | 1.47 | 58% |
| validation | DOWNTREND | 125 | 34.3% | 1.78 | 8% |
| validation | EXPENSIVE | 138 | 60.9% | 1.31 | 41% |
| validation | EXTREME | 144 | 269.6% | 3.56 | 75% |
| validation | HIGH VOLATILITY | 258 | 71.1% | 1.13 | 43% |
| validation | LOW VOLATILITY | 183 | 45.6% | 2.75 | 22% |
| validation | MEDIUM VOLATILITY | 315 | 83.7% | 2.72 | 30% |
| validation | NORMAL | 474 | 12.3% | 0.56 | 17% |
| validation | SIDEWAYS | 206 | -7.8% | -0.96 | 2% |
| validation | UPTREND | 425 | 118.5% | 2.14 | 54% |
Trades (full period)
57 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -4.67% | 27 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-06 | 2026-05-08 | $398.73 | $428.35 | 5.55% | 3 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-09-15 | 2025-10-23 | $410.04 | $448.98 | 8.90% | 29 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -9.43% | 11 | |
| 2025-05-06 | 2025-05-12 | $275.35 | $318.38 | 6.21% | 5 | |
| 2025-04-30 | 2025-05-02 | $282.16 | $287.21 | -4.14% | 3 | |
| 2025-04-16 | 2025-04-22 | $241.55 | $237.97 | -10.66% | 4 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 34.74% | 44 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.81% | 8 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 9.15% | 16 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 1.87% | 23 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.65% | 10 | |
| 2023-06-02 | 2023-07-24 | $213.97 | $269.06 | 26.90% | 35 | |
| 2023-05-23 | 2023-05-31 | $185.77 | $203.93 | 6.29% | 6 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -3.63% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.64% | 2 | |
| 2022-07-19 | 2022-08-02 | $245.53 | $300.59 | 18.87% | 11 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -1.22% | 4 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -10.23% | 12 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -18.24% | 12 | |
| 2021-09-16 | 2021-12-01 | $252.33 | $365.00 | 52.23% | 54 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 48.74% | 55 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.34% | 6 | |
| 2020-08-18 | 2020-09-24 | $125.81 | $129.26 | -2.34% | 27 | |
| 2020-05-20 | 2020-08-10 | $54.37 | $94.57 | 66.62% | 57 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 133.27% | 89 | |
| 2019-09-27 | 2019-10-10 | $16.14 | $16.32 | 0.45% | 10 | |
| 2019-06-21 | 2019-07-22 | $14.79 | $17.05 | 16.51% | 21 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-05-01 | 2018-05-04 | $19.99 | $19.61 | -3.41% | 4 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.73% | 13 | |
| 2017-06-05 | 2017-07-06 | $23.15 | $20.59 | -3.99% | 23 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | -1.30% | 36 | |
| 2017-01-05 | 2017-02-28 | $15.12 | $16.67 | 9.64% | 37 | |
| 2016-12-21 | 2016-12-28 | $13.85 | $14.65 | 5.11% | 5 | |
| 2016-07-26 | 2016-08-17 | $15.30 | $14.88 | -2.98% | 17 | |
| 2016-04-05 | 2016-05-03 | $17.03 | $15.49 | -2.02% | 21 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 1.44% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 16.89% | 12 | |
| 2015-05-11 | 2015-07-27 | $15.97 | $16.87 | 14.22% | 54 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-24 | 2015-04-28 | $14.56 | $15.37 | 5.71% | 3 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.78% | 28 | |
| 2014-06-23 | 2014-07-16 | $15.81 | $14.48 | -4.55% | 17 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 14.08% | 43 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 50.16% | 79 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 138.25% | 61 | |
| 2013-01-29 | 2013-02-22 | $2.53 | $2.41 | -7.73% | 18 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | 1.10% | 33 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |