Strategy Zoo / S1134
PriceMomentum_V1134
ARCHIVEDhybridcrossoverlogic of PriceMomentum_V1066 with risk overlay of LongTermTrend_V0956
Fitness
0.5950
Generation
52
Complexity
25
Created
2026-10-03
Lineage
Parents (2)
entry from LongTermTrend_V0733, exit from PriceMomentum_V0690
entry = PriceMomentum_V0971 AND LongTermTrend_V1061
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1134 [hybrid]
if flat and (ret_20d > 0.05 and ((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and ret_20d > 0.05 and cumret_252d > 0.0541) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 1.2086 and close > sma_50) and sma_50 > sma_200))))):
position = 1.0
if long and ret_20d < -0.1499:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.4% | 122.6% | 1.5% | 30.9% |
| Total Return | 341.3% | 1003.2% | 5.6% | 5190.5% |
| Sharpe | 0.67 | 1.73 | 0.25 | 0.83 |
| Sortino | 0.87 | 2.12 | 0.32 | 1.05 |
| Calmar | 0.31 | 2.86 | 0.03 | 0.47 |
| Volatility | 39.4% | 54.9% | 43.8% | 44.1% |
| Max DD | -65.3% | -42.9% | -51.9% | -65.3% |
| Win Rate | 33.3% | 62.5% | 55.6% | 45.7% |
| Avg Win | 86.8% | 87.1% | 17.6% | 73.3% |
| Avg Loss | -12.3% | -11.9% | -16.0% | -13.0% |
| Payoff | 7.07 | 7.35 | 1.10 | 5.65 |
| Expectancy | 20.7% | 50.0% | 2.7% | 26.5% |
| Profit Factor | 3.53 | 10.00 | 1.38 | 4.75 |
| Trades | 18 | 8 | 9 | 35 |
| Avg Holding Days | 76.7 | 65.4 | 72.4 | 75.3 |
| Turnover | 4.6 | 5.3 | 5.1 | 4.8 |
| Exposure | 71.6% | 68.1% | 71.4% | 70.9% |
Growth of $100
PriceMomentum_V1134 vs TSLA Buy & Hold
PriceMomentum_V1134 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 | -9.8% | -0.19 | -34.6% | 2 |
| 2017 | 17.3% | 0.66 | -33.6% | 2 |
| 2018 | -33.2% | -0.89 | -46.7% | 3 |
| 2019 | 61.2% | 1.57 | -24.8% | 2 |
| 2020 | 842.7% | 3.35 | -33.7% | 2 |
| 2021 | 51.1% | 1.20 | -26.1% | 3 |
| 2022 | -25.9% | -0.61 | -30.8% | 3 |
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 | -10.4% | -0.29 | 44% |
| hidden test | EXPENSIVE | 83 | 33.9% | 0.68 | 81% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 22.2% | 0.40 | 64% |
| hidden test | LOW VOLATILITY | 436 | 38.6% | 1.13 | 75% |
| hidden test | MEDIUM VOLATILITY | 251 | -47.9% | -1.06 | 74% |
| hidden test | NORMAL | 810 | -1.6% | -0.04 | 69% |
| hidden test | SIDEWAYS | 293 | -25.9% | -0.63 | 78% |
| hidden test | UPTREND | 371 | 56.3% | 1.11 | 86% |
| train | DOWNTREND | 518 | -13.4% | -0.51 | 46% |
| train | EXPENSIVE | 311 | 84.9% | 1.94 | 84% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 44.7% | 0.91 | 58% |
| train | LOW VOLATILITY | 745 | 32.3% | 1.06 | 86% |
| train | MEDIUM VOLATILITY | 568 | -4.5% | -0.12 | 69% |
| train | NORMAL | 1,601 | -9.5% | -0.27 | 67% |
| train | SIDEWAYS | 592 | -24.5% | -0.66 | 67% |
| train | UPTREND | 902 | 82.3% | 1.78 | 89% |
| validation | DOWNTREND | 125 | 50.4% | 1.94 | 20% |
| validation | EXPENSIVE | 138 | 96.2% | 1.59 | 83% |
| validation | EXTREME | 144 | 378.9% | 4.47 | 95% |
| validation | HIGH VOLATILITY | 258 | 118.1% | 1.69 | 55% |
| validation | LOW VOLATILITY | 183 | 56.0% | 1.69 | 87% |
| validation | MEDIUM VOLATILITY | 315 | 99.2% | 1.93 | 67% |
| validation | NORMAL | 474 | 8.7% | 0.23 | 56% |
| validation | SIDEWAYS | 206 | -17.5% | -0.41 | 62% |
| validation | UPTREND | 425 | 162.9% | 2.49 | 85% |
Trades (full period)
36 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | -2.51% | 29 | OPEN |
| 2026-04-20 | 2026-07-27 | $392.50 | $309.22 | -22.02% | 68 | |
| 2025-04-10 | 2026-04-10 | $252.40 | $348.95 | 26.71% | 251 | |
| 2024-11-07 | 2025-02-12 | $296.91 | $336.51 | 13.63% | 65 | |
| 2024-09-06 | 2024-10-24 | $210.73 | $260.48 | -7.37% | 35 | |
| 2024-04-30 | 2024-08-05 | $183.28 | $198.88 | 6.80% | 67 | |
| 2023-11-17 | 2024-01-19 | $234.30 | $212.19 | -9.48% | 42 | |
| 2023-09-12 | 2023-10-27 | $267.48 | $207.30 | -24.94% | 34 | |
| 2023-05-22 | 2023-08-15 | $188.87 | $232.96 | 32.84% | 59 | |
| 2023-01-27 | 2023-03-13 | $177.90 | $174.48 | 8.01% | 31 | |
| 2022-06-24 | 2022-10-06 | $245.71 | $238.13 | 2.24% | 73 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -5.04% | 26 | |
| 2022-01-04 | 2022-01-26 | $383.20 | $312.47 | -23.61% | 16 | |
| 2021-06-14 | 2021-12-06 | $205.90 | $336.34 | 66.09% | 123 | |
| 2021-04-05 | 2021-05-12 | $230.35 | $196.63 | -6.91% | 28 | |
| 2020-10-07 | 2021-02-23 | $141.77 | $232.95 | 72.25% | 95 | |
| 2020-04-14 | 2020-09-30 | $47.33 | $143.00 | 221.27% | 119 | |
| 2019-09-12 | 2020-03-05 | $16.39 | $48.30 | 202.71% | 121 | |
| 2019-07-01 | 2019-08-22 | $15.14 | $14.81 | -1.37% | 38 | |
| 2018-10-29 | 2019-01-04 | $22.32 | $21.18 | -9.41% | 46 | |
| 2018-08-03 | 2018-09-05 | $23.21 | $18.72 | -17.50% | 23 | |
| 2018-06-07 | 2018-07-30 | $21.07 | $19.34 | -7.17% | 37 | |
| 2017-12-12 | 2018-03-28 | $22.74 | $17.19 | -15.29% | 73 | |
| 2017-08-04 | 2017-11-03 | $23.79 | $20.41 | -13.95% | 65 | |
| 2016-06-08 | 2017-07-10 | $15.70 | $21.07 | 34.54% | 274 | |
| 2016-03-04 | 2016-05-05 | $13.40 | $14.10 | 13.48% | 44 | |
| 2015-11-27 | 2016-01-27 | $15.44 | $12.54 | -15.88% | 41 | |
| 2015-09-21 | 2015-10-15 | $17.61 | $14.75 | -16.95% | 19 | |
| 2015-02-10 | 2015-08-26 | $14.42 | $14.99 | 0.97% | 138 | |
| 2014-11-11 | 2014-12-11 | $16.74 | $13.93 | -13.43% | 22 | |
| 2014-05-28 | 2014-10-13 | $14.02 | $14.97 | 11.76% | 97 | |
| 2013-12-13 | 2014-03-27 | $9.84 | $13.82 | 44.12% | 71 | |
| 2012-11-06 | 2013-10-29 | $2.08 | $10.96 | 415.98% | 247 | |
| 2012-08-24 | 2012-10-16 | $1.97 | $1.87 | -11.25% | 37 | |
| 2012-06-19 | 2012-08-03 | $2.14 | $1.82 | -18.19% | 33 | |
| 2012-02-02 | 2012-05-21 | $2.02 | $1.92 | -7.01% | 76 |