Strategy Zoo / S1127

PriceMomentum_V1127

ARCHIVEDhybrid

structuralremoved entry condition: ret_20d > 0.05

Fitness

0.6998

Generation

Complexity

Created

2026-10-03

Lineage

Parents (1)

PriceMomentum_V1045S1045 · gen 48ARCHIVEDstructural

entry = PriceMomentum_V0758 OR PriceMomentum_V0641

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1127  [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (ret_20d > 0.1146 and ((((close > sma_200 and sma_200_slope > 0.0) or ret_60d > -0.2905) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05)):
    position = 1.0
if long and ret_20d < -0.1003:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	21.0%	106.9%	11.1%	32.3%
Total Return	357.2%	785.3%	48.0%	6068.0%
Sharpe	0.95	1.86	0.65	1.14
Sortino	0.65	1.56	0.39	0.77
Calmar	0.96	3.17	0.53	0.96
Volatility	22.7%	44.5%	18.8%	27.8%
Max DD	-21.8%	-33.7%	-21.0%	-33.7%
Win Rate	55.6%	80.0%	66.7%	64.7%
Avg Win	60.7%	79.2%	25.8%	62.1%
Avg Loss	-2.1%	-0.7%	-4.7%	-2.3%
Payoff	10.00	10.00	5.47	10.00
Expectancy	32.8%	63.2%	15.7%	39.4%
Profit Factor	10.00	10.00	10.00	10.00
Trades	9	5	3	17
Avg Holding Days	32.7	47.8	32.0	37.5
Turnover	2.4	3.3	1.6	2.3
Exposure	14.5%	31.0%	9.9%	16.7%

Growth of $100

PriceMomentum_V1127 vs TSLA Buy & Hold

PriceMomentum_V1127 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	-3.3%	-0.03	-21.8%	5
2018	0.0%	0.00	0.0%	0
2019	3.4%	0.65	-3.8%	0
2020	687.7%	3.19	-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	34.0%	0.79	66%
hidden test	EXTREME	48	210.8%	3.53	75%
hidden test	HIGH VOLATILITY	254	27.8%	1.06	15%
hidden test	LOW VOLATILITY	436	18.9%	2.11	4%
hidden test	MEDIUM VOLATILITY	251	-15.1%	-0.69	15%
hidden test	NORMAL	810	-1.7%	-0.80	0%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	31.1%	1.04	25%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	14.3%	0.39	60%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	46.5%	1.41	21%
train	LOW VOLATILITY	745	7.9%	0.78	10%
train	MEDIUM VOLATILITY	568	8.6%	0.46	13%
train	NORMAL	1,601	-1.7%	-0.78	0%
train	SIDEWAYS	592	1.4%	0.63	0%
train	UPTREND	902	47.1%	1.40	32%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	63.9%	1.10	80%
validation	EXTREME	144	374.9%	4.55	85%
validation	HIGH VOLATILITY	258	140.8%	2.19	38%
validation	LOW VOLATILITY	183	8.8%	0.44	18%
validation	MEDIUM VOLATILITY	315	77.8%	2.34	32%
validation	NORMAL	474	-0.8%	-0.78	0%
validation	SIDEWAYS	206	3.2%	0.67	1%
validation	UPTREND	425	145.4%	2.47	55%

Trades (full period)

17 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	2025-01-17	$296.91	$426.50	43.14%	48
2020-11-19	2021-02-19	$166.42	$260.43	61.48%	62
2020-10-07	2020-11-13	$141.77	$136.17	-0.73%	28
2020-05-20	2020-09-30	$54.37	$143.00	158.81%	93
2020-04-14	2020-04-30	$47.33	$52.13	22.74%	13
2019-12-20	2020-03-05	$27.04	$48.30	85.13%	51
2017-08-04	2017-08-24	$23.79	$23.53	1.44%	15
2017-04-07	2017-07-07	$20.17	$20.88	3.19%	63
2017-04-04	2017-04-06	$20.25	$19.91	-1.38%	3
2017-02-07	2017-02-28	$17.17	$16.67	-4.67%	15
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
2013-04-12	2013-10-24	$2.92	$11.54	276.63%	137
2013-02-14	2013-02-15	$2.55	$2.47	-0.67%	2
2013-01-29	2013-02-12	$2.53	$2.53	0.82%	11