Strategy Zoo / S1128

PriceMomentum_V1128

ARCHIVEDhybrid

structuralreduce exposure to 41% during MEDIUM_VOLATILITY; added entry filter: rel_volume > 1.1075

Fitness

0.5261

Generation

Complexity

Created

2026-10-03

Lineage

Parents (1)

PriceMomentum_V0971S0971 · gen 44ARCHIVEDstructural

changed ret_20d threshold -0.0017 -> -0.1499

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1128  [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (ret_20d > 0.05 and rel_volume > 1.1075):
    position = 1.0
if long and ret_20d < -0.1499:
    position = 0.0  # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.41

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	17.8%	60.3%	3.6%	21.7%
Total Return	270.6%	312.2%	14.2%	1695.7%
Sharpe	0.92	1.43	0.29	0.93
Sortino	0.68	0.95	0.17	0.57
Calmar	0.57	1.79	0.12	0.64
Volatility	19.9%	38.0%	17.2%	24.2%
Max DD	-31.1%	-33.8%	-30.0%	-33.8%
Win Rate	37.5%	100.0%	66.7%	60.0%
Avg Win	99.0%	44.9%	9.2%	57.2%
Avg Loss	-4.6%	0.0%	-4.0%	-4.5%
Payoff	10.00	5.00	2.29	10.00
Expectancy	34.3%	44.9%	4.8%	32.5%
Profit Factor	10.00	5.00	4.59	10.00
Trades	8	4	3	15
Avg Holding Days	36.3	50.8	37.7	41.1
Turnover	4.6	4.6	3.5	4.3
Exposure	12.0%	19.4%	9.0%	12.8%

Growth of $100

PriceMomentum_V1128 vs TSLA Buy & Hold

PriceMomentum_V1128 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	-14.7%	-0.73	-19.6%	5
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	308.8%	2.51	-33.8%	3
2021	-1.1%	-0.07	-8.8%	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	-26.5%	-0.74	49%
hidden test	EXTREME	48	166.9%	2.82	89%
hidden test	HIGH VOLATILITY	254	26.2%	0.98	18%
hidden test	LOW VOLATILITY	436	14.4%	1.66	4%
hidden test	MEDIUM VOLATILITY	251	-32.7%	-2.06	9%
hidden test	NORMAL	810	-1.4%	-0.70	0%
hidden test	SIDEWAYS	293	0.0%	0.00	0%
hidden test	UPTREND	371	12.7%	0.46	23%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	-0.1%	-0.01	48%
train	EXTREME	100	387.9%	5.44	89%
train	HIGH VOLATILITY	699	45.1%	1.54	18%
train	LOW VOLATILITY	745	9.9%	0.93	9%
train	MEDIUM VOLATILITY	568	-3.7%	-0.27	8%
train	NORMAL	1,601	-1.2%	-0.75	0%
train	SIDEWAYS	592	0.6%	0.63	0%
train	UPTREND	902	40.5%	1.36	27%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	33.0%	0.76	33%
validation	EXTREME	144	256.9%	3.43	69%
validation	HIGH VOLATILITY	258	105.8%	1.73	35%
validation	LOW VOLATILITY	183	11.6%	0.79	10%
validation	MEDIUM VOLATILITY	315	37.3%	2.18	12%
validation	NORMAL	474	-0.8%	-0.78	0%
validation	SIDEWAYS	206	4.9%	1.08	0%
validation	UPTREND	425	94.5%	1.87	34%

Trades (full period)

15 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-15	2025-11-13	$410.04	$401.99	3.27%	44
2025-05-28	2025-06-02	$356.90	$342.69	-4.02%	4
2024-11-07	2025-02-12	$296.91	$336.51	15.18%	65
2020-11-19	2021-02-19	$166.42	$260.43	17.35%	62
2020-06-02	2020-09-30	$58.77	$143.00	84.98%	85
2020-04-14	2020-04-30	$47.33	$52.13	22.74%	13
2019-12-17	2020-03-05	$25.27	$48.30	74.49%	54
2017-09-18	2017-09-26	$25.67	$23.02	-6.44%	7
2017-08-04	2017-08-24	$23.79	$23.53	-0.89%	15
2017-04-11	2017-07-10	$20.58	$21.07	-5.57%	62
2017-03-28	2017-04-06	$18.50	$19.91	4.29%	8
2017-02-10	2017-02-28	$17.95	$16.67	-6.58%	12
2014-02-11	2014-03-27	$13.11	$13.82	-3.62%	32
2013-04-12	2013-10-29	$2.92	$10.96	286.32%	140
2013-01-24	2013-02-12	$2.47	$2.53	6.51%	14