Strategy Zoo / S1153
PriceMomentum_V1153
ARCHIVEDhybridcrossoverentry = PriceMomentum_V0267 OR LongTermTrend_V1083
Fitness
0.5613
Generation
53
Complexity
30
Created
2026-10-06
Lineage
Parents (2)
changed ret_20d threshold 0.05 -> 0.1146
swapped indicator ret_20d -> cumret_252d; removed entry condition: rsi_14 > 34.4934
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1153 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.1146 or (((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and cumret_252d > 1.1509 and cumret_252d > -0.1997 and dist_sma_50 > -0.0774) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))) and sma_20 < close)):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.7% | 64.9% | 16.6% | 27.1% |
| Total Return | 319.2% | 348.1% | 77.4% | 3330.7% |
| Sharpe | 0.80 | 1.45 | 0.69 | 0.94 |
| Sortino | 0.77 | 1.51 | 0.62 | 0.90 |
| Calmar | 0.41 | 2.00 | 0.45 | 0.57 |
| Volatility | 26.8% | 39.9% | 27.9% | 30.2% |
| Max DD | -48.0% | -32.5% | -36.8% | -48.0% |
| Win Rate | 48.2% | 52.3% | 42.6% | 48.2% |
| Avg Win | 7.4% | 8.7% | 9.0% | 8.4% |
| Avg Loss | -3.4% | -3.4% | -3.8% | -3.5% |
| Payoff | 2.15 | 2.53 | 2.35 | 2.38 |
| Expectancy | 1.8% | 2.9% | 1.6% | 2.2% |
| Profit Factor | 2.00 | 2.77 | 1.74 | 2.22 |
| Trades | 114 | 65 | 47 | 226 |
| Avg Holding Days | 6.1 | 5.4 | 6.4 | 6.0 |
| Turnover | 28.1 | 39.7 | 24.6 | 29.5 |
| Exposure | 27.4% | 32.4% | 25.1% | 27.9% |
Growth of $100
PriceMomentum_V1153 vs TSLA Buy & Hold
PriceMomentum_V1153 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 | 34.5% | 2.75 | -4.5% | 8 |
| 2017 | 6.9% | 0.45 | -21.6% | 14 |
| 2018 | -24.0% | -0.93 | -30.2% | 12 |
| 2019 | 28.5% | 1.19 | -13.2% | 8 |
| 2020 | 309.8% | 2.66 | -24.2% | 36 |
| 2021 | 36.2% | 1.40 | -11.6% | 16 |
| 2022 | -27.0% | -1.34 | -32.5% | 12 |
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 | 278 | 19.7% | 0.71 | 28% |
| hidden test | EXPENSIVE | 83 | 55.8% | 1.23 | 44% |
| hidden test | EXTREME | 48 | 143.2% | 3.19 | 45% |
| hidden test | HIGH VOLATILITY | 254 | 20.6% | 0.52 | 40% |
| hidden test | LOW VOLATILITY | 438 | 40.5% | 2.01 | 20% |
| hidden test | MEDIUM VOLATILITY | 250 | -19.7% | -0.81 | 19% |
| hidden test | NORMAL | 811 | 8.1% | 0.34 | 22% |
| hidden test | SIDEWAYS | 293 | -10.0% | -0.73 | 5% |
| hidden test | UPTREND | 371 | 41.9% | 1.18 | 39% |
| train | DOWNTREND | 518 | 5.7% | 0.37 | 18% |
| train | EXPENSIVE | 311 | 29.2% | 0.99 | 47% |
| train | EXTREME | 100 | 340.3% | 4.87 | 79% |
| train | HIGH VOLATILITY | 699 | 35.7% | 0.95 | 30% |
| train | LOW VOLATILITY | 745 | 21.1% | 1.09 | 33% |
| train | MEDIUM VOLATILITY | 568 | 4.4% | 0.24 | 17% |
| train | NORMAL | 1,601 | 0.0% | 0.00 | 20% |
| train | SIDEWAYS | 592 | 6.1% | 0.42 | 4% |
| train | UPTREND | 902 | 40.6% | 1.11 | 49% |
| validation | DOWNTREND | 125 | 40.6% | 1.85 | 16% |
| validation | EXPENSIVE | 138 | 50.1% | 1.40 | 38% |
| validation | EXTREME | 144 | 247.7% | 3.43 | 65% |
| validation | HIGH VOLATILITY | 258 | 79.7% | 1.38 | 38% |
| validation | LOW VOLATILITY | 183 | 12.7% | 0.65 | 33% |
| validation | MEDIUM VOLATILITY | 315 | 66.3% | 2.24 | 28% |
| validation | NORMAL | 474 | 2.4% | 0.11 | 21% |
| validation | SIDEWAYS | 206 | -11.2% | -1.20 | 2% |
| validation | UPTREND | 425 | 96.4% | 1.88 | 52% |
Trades (full period)
latest 100 of 226
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-18 | 2026-09-29 | $364.27 | $352.84 | -3.63% | 8 | |
| 2026-08-24 | 2026-09-17 | $348.95 | $366.20 | -1.85% | 18 | |
| 2026-07-07 | 2026-07-08 | $402.90 | $394.06 | -4.21% | 2 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -4.50% | 3 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-21 | 2026-05-08 | $386.42 | $428.35 | 6.17% | 14 | |
| 2026-04-16 | 2026-04-20 | $388.90 | $392.50 | 1.37% | 3 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.12% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.62% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -3.16% | 2 | |
| 2025-09-12 | 2025-10-06 | $395.94 | $453.25 | 15.10% | 17 | |
| 2025-08-21 | 2025-08-22 | $320.11 | $340.01 | -1.37% | 2 | |
| 2025-08-08 | 2025-08-11 | $329.65 | $339.03 | 2.09% | 2 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -3.77% | 4 | |
| 2025-07-21 | 2025-07-25 | $328.49 | $316.06 | -7.79% | 5 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -2.55% | 2 | |
| 2025-05-22 | 2025-06-03 | $341.04 | $344.27 | 2.46% | 8 | |
| 2025-04-28 | 2025-05-12 | $285.88 | $318.38 | 4.46% | 11 | |
| 2025-04-16 | 2025-04-22 | $241.55 | $237.97 | -10.66% | 4 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -6.28% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.50% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.96% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 14.78% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 27.55% | 25 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-10-03 | 2024-10-04 | $240.66 | $250.08 | -2.42% | 2 | |
| 2024-09-06 | 2024-09-27 | $210.73 | $260.46 | 9.15% | 16 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -7.57% | 9 | |
| 2024-07-30 | 2024-07-31 | $222.62 | $232.07 | -4.28% | 2 | |
| 2024-07-25 | 2024-07-26 | $220.25 | $219.80 | 1.77% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -2.24% | 2 | |
| 2024-07-02 | 2024-07-22 | $231.26 | $251.51 | 12.36% | 14 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2023-08-30 | 2023-09-05 | $256.90 | $256.49 | -4.92% | 4 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.33% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -0.93% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-06-02 | 2023-06-27 | $213.97 | $250.21 | 15.93% | 17 | |
| 2023-05-22 | 2023-05-31 | $188.87 | $203.93 | 11.45% | 7 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -4.23% | 2 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -1.56% | 4 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -4.64% | 2 | |
| 2022-06-24 | 2022-08-02 | $245.71 | $300.59 | 20.82% | 27 | |
| 2022-04-20 | 2022-04-21 | $325.73 | $336.26 | -3.50% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -2.62% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.63% | 2 | |
| 2022-04-05 | 2022-04-11 | $363.75 | $325.31 | -7.32% | 5 | |
| 2022-01-18 | 2022-01-19 | $343.50 | $331.88 | -2.02% | 2 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2021-12-28 | 2022-01-12 | $362.82 | $368.74 | -5.56% | 12 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.54% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.48% | 2 | |
| 2021-11-16 | 2021-11-17 | $351.58 | $363.00 | 3.88% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -3.03% | 2 | |
| 2021-10-13 | 2021-11-11 | $270.36 | $354.50 | 32.70% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.29% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-08-05 | 2021-08-17 | $238.21 | $221.90 | -3.67% | 9 | |
| 2021-02-09 | 2021-02-10 | $283.15 | $268.27 | -1.23% | 2 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.04% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -1.55% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 3.83% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -2.40% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.04% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 10.75% | 14 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 0.93% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.10% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 1.53% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -1.66% | 4 | |
| 2020-11-19 | 2020-12-17 | $166.42 | $218.63 | 18.49% | 20 | |
| 2020-11-06 | 2020-11-11 | $143.32 | $139.04 | -6.52% | 4 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -1.87% | 6 | |
| 2020-10-09 | 2020-10-12 | $144.67 | $147.43 | 1.70% | 2 | |
| 2020-10-07 | 2020-10-08 | $141.77 | $141.97 | 2.53% | 2 | |
| 2020-10-05 | 2020-10-06 | $141.89 | $137.99 | 2.35% | 2 | |
| 2020-10-01 | 2020-10-02 | $149.39 | $138.36 | 4.26% | 2 | |
| 2020-09-29 | 2020-09-30 | $139.69 | $143.00 | -0.71% | 2 | |
| 2020-09-23 | 2020-09-24 | $126.79 | $129.26 | -10.53% | 2 | |
| 2020-09-21 | 2020-09-22 | $149.80 | $141.41 | 1.44% | 2 | |
| 2020-09-17 | 2020-09-18 | $141.14 | $147.38 | -4.35% | 2 | |
| 2020-09-15 | 2020-09-16 | $149.92 | $147.25 | 6.98% | 2 | |
| 2020-09-11 | 2020-09-14 | $124.24 | $139.87 | 0.17% | 2 | |
| 2020-09-09 | 2020-09-10 | $122.09 | $123.78 | 10.71% | 2 | |
| 2020-08-17 | 2020-09-08 | $122.38 | $110.07 | 19.45% | 16 | |
| 2020-08-13 | 2020-08-14 | $108.07 | $110.05 | 4.06% | 2 | |
| 2020-08-03 | 2020-08-04 | $99.00 | $99.13 | 3.59% | 2 | |
| 2020-07-30 | 2020-07-31 | $99.17 | $95.38 | -0.97% | 2 | |
| 2020-07-28 | 2020-07-29 | $98.43 | $99.94 | -4.29% | 2 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 23.34% | 17 | |
| 2020-06-30 | 2020-07-01 | $71.99 | $74.64 | 4.61% | 2 |