Strategy Zoo / S1133
PriceMomentum_V1133
ELITEhybridcrossoverentry from PriceMomentum_V0690, exit from PriceMomentum_V0624
Fitness
0.7494
Generation
52
Complexity
14
Created
2026-10-03
Lineage
Parents (2)
entry = PriceMomentum_V0602 OR LongTermTrend_V0519
entry = PriceMomentum_V0671 OR PriceMomentum_V0640
Children (15)
Strategy Logic (pseudocode)
# PriceMomentum_V1133 [hybrid]
if flat and ((ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > -0.0674 and cumret_252d > -0.1997)) or ret_20d > 0.184):
position = 1.0
if long and ret_20d < -0.006:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 17.8% | 114.6% | 8.9% | 30.7% |
| Total Return | 269.0% | 888.9% | 37.6% | 5067.4% |
| Sharpe | 0.75 | 2.26 | 0.44 | 1.05 |
| Sortino | 0.71 | 2.83 | 0.40 | 1.06 |
| Calmar | 0.39 | 5.78 | 0.32 | 0.67 |
| Volatility | 26.6% | 36.9% | 29.0% | 29.6% |
| Max DD | -45.7% | -19.8% | -27.6% | -45.7% |
| Win Rate | 43.2% | 66.7% | 28.6% | 43.8% |
| Avg Win | 14.1% | 32.3% | 17.7% | 23.1% |
| Avg Loss | -4.8% | -5.3% | -4.0% | -4.6% |
| Payoff | 2.92 | 6.12 | 4.45 | 5.05 |
| Expectancy | 3.4% | 19.8% | 2.2% | 7.6% |
| Profit Factor | 2.23 | 10.00 | 1.78 | 3.94 |
| Trades | 37 | 15 | 21 | 73 |
| Avg Holding Days | 24.4 | 28.7 | 19.5 | 24.5 |
| Turnover | 10.1 | 10.4 | 10.9 | 10.3 |
| Exposure | 37.2% | 44.6% | 34.0% | 37.9% |
Growth of $100
PriceMomentum_V1133 vs TSLA Buy & Hold
PriceMomentum_V1133 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 | 3.1% | 0.26 | -23.1% | 3 |
| 2017 | 0.7% | 0.15 | -29.0% | 7 |
| 2018 | -17.5% | -1.09 | -21.3% | 8 |
| 2019 | 50.1% | 1.51 | -21.8% | 2 |
| 2020 | 369.5% | 3.63 | -14.9% | 6 |
| 2021 | 70.6% | 1.67 | -18.2% | 5 |
| 2022 | 18.6% | 0.78 | -15.2% | 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 | -6.1% | -0.35 | 18% |
| hidden test | EXPENSIVE | 83 | 53.8% | 1.37 | 58% |
| hidden test | EXTREME | 48 | 92.9% | 2.52 | 37% |
| hidden test | HIGH VOLATILITY | 254 | -4.7% | -0.17 | 20% |
| hidden test | LOW VOLATILITY | 436 | 55.1% | 2.18 | 38% |
| hidden test | MEDIUM VOLATILITY | 251 | -43.1% | -1.21 | 42% |
| hidden test | NORMAL | 810 | 3.8% | 0.14 | 31% |
| hidden test | SIDEWAYS | 293 | -9.6% | -0.36 | 36% |
| hidden test | UPTREND | 371 | 44.5% | 1.21 | 45% |
| train | DOWNTREND | 518 | 8.6% | 0.68 | 13% |
| train | EXPENSIVE | 311 | 38.1% | 1.11 | 56% |
| train | EXTREME | 100 | 198.9% | 5.05 | 56% |
| train | HIGH VOLATILITY | 699 | 20.3% | 0.72 | 18% |
| train | LOW VOLATILITY | 745 | 40.7% | 1.68 | 55% |
| train | MEDIUM VOLATILITY | 568 | -7.9% | -0.28 | 37% |
| train | NORMAL | 1,601 | 5.2% | 0.22 | 32% |
| train | SIDEWAYS | 592 | -10.8% | -0.48 | 31% |
| train | UPTREND | 902 | 46.5% | 1.37 | 55% |
| validation | DOWNTREND | 125 | 46.4% | 2.33 | 11% |
| validation | EXPENSIVE | 138 | 80.7% | 1.86 | 56% |
| validation | EXTREME | 144 | 251.2% | 5.14 | 53% |
| validation | HIGH VOLATILITY | 258 | 57.3% | 1.66 | 22% |
| validation | LOW VOLATILITY | 183 | 53.1% | 2.10 | 60% |
| validation | MEDIUM VOLATILITY | 315 | 121.9% | 2.79 | 54% |
| validation | NORMAL | 474 | 32.9% | 1.12 | 39% |
| validation | SIDEWAYS | 206 | 11.9% | 0.46 | 37% |
| validation | UPTREND | 425 | 128.6% | 2.91 | 58% |
Trades (full period)
73 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -2.96% | 27 | |
| 2026-05-05 | 2026-06-08 | $389.37 | $408.95 | -0.58% | 24 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-11-03 | 2025-11-13 | $468.37 | $401.99 | -5.87% | 9 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-08-25 | 2025-10-23 | $346.60 | $448.98 | 28.85% | 43 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.30% | 8 | |
| 2025-05-06 | 2025-06-12 | $275.35 | $319.11 | -2.19% | 27 | |
| 2025-04-30 | 2025-05-02 | $282.16 | $287.21 | -1.70% | 3 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -7.04% | 8 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 17.66% | 44 | |
| 2024-09-05 | 2024-10-14 | $230.17 | $219.16 | -4.85% | 28 | |
| 2024-06-27 | 2024-08-02 | $197.42 | $207.67 | 17.81% | 26 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.16% | 10 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -4.84% | 9 | |
| 2023-11-17 | 2024-01-08 | $234.30 | $240.45 | 1.47% | 34 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -12.27% | 13 | |
| 2023-07-26 | 2023-08-02 | $264.35 | $254.11 | -1.78% | 6 | |
| 2023-05-24 | 2023-07-24 | $182.90 | $269.06 | 39.69% | 41 | |
| 2023-01-27 | 2023-03-08 | $177.90 | $182.00 | 0.84% | 28 | |
| 2022-07-14 | 2022-08-29 | $238.31 | $284.82 | 21.29% | 33 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -0.45% | 4 | |
| 2022-03-22 | 2022-04-21 | $331.33 | $336.26 | 5.88% | 22 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -7.28% | 14 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 49.70% | 84 | |
| 2021-06-14 | 2021-07-23 | $205.90 | $214.46 | 6.24% | 29 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -10.34% | 15 | |
| 2021-04-05 | 2021-04-12 | $230.35 | $233.99 | 1.31% | 6 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -4.12% | 6 | |
| 2020-10-16 | 2020-10-20 | $146.56 | $140.65 | -4.21% | 3 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 3.57% | 6 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 20.42% | 29 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 77.03% | 83 | |
| 2019-10-23 | 2020-03-04 | $16.98 | $49.97 | 145.14% | 91 | |
| 2019-09-13 | 2019-10-10 | $16.35 | $16.32 | -0.74% | 20 | |
| 2019-07-01 | 2019-08-06 | $15.14 | $15.38 | 2.15% | 26 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 2.69% | 36 | |
| 2018-08-27 | 2018-08-31 | $21.28 | $20.11 | -2.61% | 5 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -5.17% | 12 | |
| 2018-06-12 | 2018-07-06 | $22.85 | $20.59 | -2.76% | 18 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.17% | 6 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -6.28% | 5 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -4.78% | 13 | |
| 2018-01-09 | 2018-01-12 | $22.25 | $22.41 | 0.54% | 4 | |
| 2017-12-12 | 2017-12-28 | $22.74 | $21.02 | -5.44% | 12 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -9.35% | 7 | |
| 2017-08-25 | 2017-09-06 | $23.20 | $22.97 | -1.15% | 8 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -1.69% | 13 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.08% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 11.30% | 41 | |
| 2016-12-20 | 2017-02-28 | $13.92 | $16.67 | 21.22% | 47 | |
| 2016-07-22 | 2016-08-17 | $14.82 | $14.88 | 1.21% | 19 | |
| 2016-06-08 | 2016-06-23 | $15.70 | $13.09 | -15.52% | 12 | |
| 2016-03-04 | 2016-05-03 | $13.40 | $15.49 | 14.54% | 42 | |
| 2015-11-30 | 2015-12-29 | $15.35 | $15.81 | -1.61% | 21 | |
| 2015-09-22 | 2015-09-30 | $17.40 | $16.56 | -6.83% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-04-13 | 2015-07-27 | $13.99 | $16.87 | 25.59% | 74 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -4.44% | 15 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-09 | 2014-07-16 | $13.69 | $14.48 | 5.27% | 27 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -3.44% | 5 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 25.74% | 49 | |
| 2013-12-13 | 2014-01-14 | $9.84 | $10.75 | -6.58% | 21 | |
| 2013-07-01 | 2013-10-22 | $7.81 | $11.44 | 25.41% | 80 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 69.25% | 65 | |
| 2013-01-28 | 2013-02-22 | $2.54 | $2.41 | -5.11% | 19 | |
| 2012-11-06 | 2012-12-31 | $2.08 | $2.26 | 5.25% | 38 | |
| 2012-08-24 | 2012-09-06 | $1.97 | $1.90 | -4.74% | 9 | |
| 2012-06-19 | 2012-07-20 | $2.14 | $2.12 | 5.12% | 23 | |
| 2012-02-02 | 2012-04-10 | $2.02 | $2.16 | 4.63% | 47 |