Strategy Zoo / S1130
PriceMomentum_V1130
ARCHIVEDhybridstructuralremoved entry condition: (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > 0.05 and cumret_252d > -0.1997); changed ret_20d threshold -0.006 -> -0.0767
Fitness
0.6779
Generation
51
Complexity
11
Created
2026-10-03
Lineage
Parents (1)
logic of PriceMomentum_V0624 with risk overlay of LongTermTrend_V0521
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1130 [hybrid]
if flat and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.1) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05):
position = 1.0
if long and ret_20d < -0.0767:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 32.8% | 107.0% | 16.3% | 40.9% |
| Total Return | 865.6% | 786.8% | 76.0% | 15415.3% |
| Sharpe | 0.98 | 1.66 | 0.61 | 1.07 |
| Sortino | 1.14 | 1.88 | 0.61 | 1.18 |
| Calmar | 0.66 | 2.97 | 0.46 | 0.82 |
| Volatility | 35.3% | 52.1% | 34.9% | 39.3% |
| Max DD | -49.7% | -36.1% | -35.7% | -49.7% |
| Win Rate | 50.0% | 54.5% | 41.7% | 48.9% |
| Avg Win | 45.1% | 57.1% | 24.3% | 49.5% |
| Avg Loss | -9.9% | -7.0% | -6.4% | -8.2% |
| Payoff | 4.54 | 8.15 | 3.80 | 6.04 |
| Expectancy | 17.6% | 27.9% | 6.4% | 20.0% |
| Profit Factor | 4.54 | 9.78 | 2.72 | 5.77 |
| Trades | 22 | 11 | 12 | 45 |
| Avg Holding Days | 47.9 | 42.5 | 33.8 | 44.5 |
| Turnover | 5.6 | 7.3 | 6.7 | 6.2 |
| Exposure | 55.1% | 60.3% | 44.8% | 53.6% |
Growth of $100
PriceMomentum_V1130 vs TSLA Buy & Hold
PriceMomentum_V1130 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 | -13.7% | -0.56 | -33.3% | 4 |
| 2017 | 22.0% | 0.82 | -23.3% | 3 |
| 2018 | -21.4% | -0.53 | -29.8% | 5 |
| 2019 | 53.2% | 1.49 | -21.7% | 1 |
| 2020 | 523.0% | 2.88 | -33.7% | 4 |
| 2021 | 64.5% | 1.42 | -24.7% | 3 |
| 2022 | -17.1% | -0.42 | -27.4% | 4 |
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 | -18.5% | -0.85 | 27% |
| hidden test | EXPENSIVE | 83 | 87.2% | 1.84 | 75% |
| hidden test | EXTREME | 48 | 210.8% | 3.53 | 75% |
| hidden test | HIGH VOLATILITY | 254 | 9.4% | 0.22 | 39% |
| hidden test | LOW VOLATILITY | 436 | 54.9% | 2.00 | 47% |
| hidden test | MEDIUM VOLATILITY | 251 | -25.2% | -0.68 | 47% |
| hidden test | NORMAL | 810 | 3.3% | 0.11 | 40% |
| hidden test | SIDEWAYS | 293 | 8.8% | 0.31 | 41% |
| hidden test | UPTREND | 371 | 60.8% | 1.33 | 61% |
| train | DOWNTREND | 518 | 8.5% | 0.51 | 19% |
| train | EXPENSIVE | 311 | 84.9% | 1.97 | 82% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 69.0% | 1.52 | 47% |
| train | LOW VOLATILITY | 745 | 35.0% | 1.35 | 64% |
| train | MEDIUM VOLATILITY | 568 | -8.5% | -0.27 | 53% |
| train | NORMAL | 1,601 | 0.9% | 0.03 | 47% |
| train | SIDEWAYS | 592 | -7.5% | -0.24 | 49% |
| train | UPTREND | 902 | 77.0% | 1.74 | 80% |
| validation | DOWNTREND | 125 | 42.2% | 1.94 | 10% |
| validation | EXPENSIVE | 138 | 47.9% | 0.86 | 70% |
| validation | EXTREME | 144 | 348.2% | 4.18 | 94% |
| validation | HIGH VOLATILITY | 258 | 102.2% | 1.51 | 52% |
| validation | LOW VOLATILITY | 183 | 48.0% | 1.73 | 70% |
| validation | MEDIUM VOLATILITY | 315 | 95.6% | 1.99 | 62% |
| validation | NORMAL | 474 | 18.0% | 0.51 | 47% |
| validation | SIDEWAYS | 206 | 3.9% | 0.10 | 51% |
| validation | UPTREND | 425 | 139.3% | 2.21 | 80% |
Trades (full period)
46 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | -2.51% | 29 | OPEN |
| 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 | |
| 2025-08-11 | 2025-11-17 | $339.03 | $408.92 | 22.42% | 70 | |
| 2025-04-30 | 2025-06-13 | $282.16 | $325.31 | 9.05% | 32 | |
| 2025-04-16 | 2025-04-22 | $241.55 | $237.97 | -10.66% | 4 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 43.14% | 48 | |
| 2024-09-06 | 2024-10-18 | $210.73 | $220.70 | -4.23% | 31 | |
| 2024-06-27 | 2024-08-02 | $197.42 | $207.67 | 10.21% | 26 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2023-11-17 | 2024-01-16 | $234.30 | $219.91 | -6.48% | 39 | |
| 2023-09-12 | 2023-10-16 | $267.48 | $253.92 | -8.40% | 25 | |
| 2023-05-24 | 2023-08-03 | $182.90 | $259.32 | 36.51% | 49 | |
| 2022-07-19 | 2022-09-01 | $245.53 | $277.16 | 14.35% | 33 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -1.22% | 4 | |
| 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 | 2020-10-30 | $141.77 | $129.35 | -0.96% | 18 | |
| 2020-08-14 | 2020-09-25 | $110.05 | $135.78 | 19.38% | 30 | |
| 2020-04-14 | 2020-08-12 | $47.33 | $103.65 | 110.73% | 85 | |
| 2019-09-13 | 2020-03-05 | $16.35 | $48.30 | 204.23% | 120 | |
| 2019-07-16 | 2019-08-13 | $16.83 | $15.67 | -9.84% | 21 | |
| 2018-10-29 | 2018-12-21 | $22.32 | $21.32 | -4.88% | 38 | |
| 2018-08-03 | 2018-08-31 | $23.21 | $20.11 | -13.45% | 21 | |
| 2018-04-27 | 2018-07-13 | $19.61 | $21.26 | 10.72% | 54 | |
| 2018-03-13 | 2018-03-23 | $22.79 | $20.10 | -10.72% | 9 | |
| 2017-12-12 | 2018-02-12 | $22.74 | $21.05 | -5.81% | 42 | |
| 2017-08-04 | 2017-10-17 | $23.79 | $23.72 | 0.81% | 52 | |
| 2017-03-28 | 2017-07-07 | $18.50 | $20.88 | 14.06% | 71 | |
| 2016-12-21 | 2017-03-13 | $13.85 | $16.41 | 16.48% | 55 | |
| 2016-07-22 | 2016-09-02 | $14.82 | $13.19 | -9.13% | 31 | |
| 2016-06-08 | 2016-06-23 | $15.70 | $13.09 | -15.52% | 12 | |
| 2016-03-04 | 2016-05-04 | $13.40 | $14.84 | 18.45% | 43 | |
| 2015-12-01 | 2016-01-12 | $15.81 | $14.00 | -9.91% | 29 | |
| 2015-09-22 | 2015-10-09 | $17.40 | $14.71 | -14.36% | 14 | |
| 2015-04-13 | 2015-08-11 | $13.99 | $15.82 | 14.11% | 85 | |
| 2014-11-11 | 2014-12-09 | $16.74 | $14.46 | -11.57% | 20 | |
| 2014-05-28 | 2014-09-30 | $14.02 | $16.18 | 15.70% | 88 | |
| 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 | 2013-02-27 | $2.08 | $2.34 | 9.08% | 77 | |
| 2012-06-19 | 2012-07-24 | $2.14 | $1.99 | -3.90% | 25 | |
| 2012-02-02 | 2012-04-11 | $2.02 | $2.21 | 9.52% | 48 |