Strategy Zoo / S1165

PriceMomentum_V1165

ARCHIVEDmomentum

structuralrestricted to bubble regimes ['EXTREME', 'NORMAL']

Fitness

0.3609

Generation

Complexity

Created

2026-10-06

Lineage

Parents (1)

PriceMomentum_V0227S0227 · gen 11ARCHIVEDstructural

logic of PriceMomentum_V0186 with risk overlay of PriceMomentum_V0160

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1165  [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXTREME', 'NORMAL']
if flat and (ret_20d > 0.05 and rel_volume > 1.2635):
    position = 1.0
if long and (ret_20d < -0.1357 or roll_high_50 < sma_20):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	6.7%	30.1%	4.1%	10.4%
Total Return	68.2%	120.3%	16.2%	330.3%
Sharpe	0.38	0.85	0.28	0.48
Sortino	0.30	0.60	0.20	0.35
Calmar	0.14	0.67	0.10	0.22
Volatility	24.9%	40.5%	27.8%	29.4%
Max DD	-48.0%	-45.0%	-40.2%	-48.0%
Win Rate	55.2%	60.0%	54.5%	56.0%
Avg Win	11.4%	22.5%	9.5%	13.4%
Avg Loss	-7.3%	-9.4%	-8.0%	-7.8%
Payoff	1.57	2.39	1.18	1.71
Expectancy	3.0%	9.8%	1.5%	4.0%
Profit Factor	1.93	3.59	1.41	2.17
Trades	29	10	11	50
Avg Holding Days	18.9	20.1	15.6	18.4
Turnover	7.3	6.7	6.2	6.9
Exposure	25.8%	25.3%	20.3%	24.3%

Growth of $100

PriceMomentum_V1165 vs TSLA Buy & Hold

PriceMomentum_V1165 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	0.6%	0.11	-16.2%	3
2017	8.4%	0.98	-6.0%	3
2018	-38.1%	-1.93	-40.3%	4
2019	47.3%	2.22	-8.5%	3
2020	72.9%	1.21	-37.8%	6
2021	22.7%	0.87	-17.6%	2
2022	3.7%	0.27	-21.7%	2

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	17.7%	0.54	25%
hidden test	EXPENSIVE	83	4.6%	0.28	4%
hidden test	EXTREME	48	-100.2%	-2.83	23%
hidden test	HIGH VOLATILITY	254	-19.6%	-0.47	28%
hidden test	LOW VOLATILITY	438	20.2%	1.08	18%
hidden test	MEDIUM VOLATILITY	250	13.9%	0.60	16%
hidden test	NORMAL	811	14.5%	0.52	22%
hidden test	SIDEWAYS	293	4.3%	0.85	2%
hidden test	UPTREND	371	3.1%	0.09	31%
train	DOWNTREND	518	6.3%	0.50	15%
train	EXPENSIVE	311	-4.9%	-0.31	4%
train	EXTREME	100	185.0%	2.83	67%
train	HIGH VOLATILITY	699	8.1%	0.25	15%
train	LOW VOLATILITY	745	21.2%	1.03	39%
train	MEDIUM VOLATILITY	568	-4.0%	-0.21	21%
train	NORMAL	1,601	1.4%	0.06	28%
train	SIDEWAYS	592	-3.6%	-0.30	2%
train	UPTREND	902	20.0%	0.58	47%
validation	DOWNTREND	125	48.7%	1.87	22%
validation	EXPENSIVE	138	-78.4%	-2.43	4%
validation	EXTREME	144	189.2%	2.58	65%
validation	HIGH VOLATILITY	258	53.2%	0.86	40%
validation	LOW VOLATILITY	183	26.3%	2.55	14%
validation	MEDIUM VOLATILITY	315	24.0%	0.89	19%
validation	NORMAL	474	20.4%	0.80	20%
validation	SIDEWAYS	206	0.5%	0.09	1%
validation	UPTREND	425	46.8%	0.90	38%

Trades (full period)

51 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	4.27%	30	OPEN
2025-12-16	2026-01-13	$489.88	$447.20	-5.73%	19
2025-09-12	2025-09-15	$395.94	$410.04	7.15%	2
2025-04-08	2025-04-23	$221.86	$250.74	1.80%	11
2024-12-17	2025-01-03	$479.86	$410.44	-18.25%	12
2024-11-12	2024-11-14	$328.49	$311.18	-5.84%	3
2024-09-06	2024-09-27	$210.73	$260.46	10.22%	16
2024-07-02	2024-08-05	$231.26	$198.88	-1.23%	24
2024-04-30	2024-05-29	$183.28	$176.19	-9.10%	21
2023-06-05	2023-08-14	$217.61	$239.76	13.18%	49
2023-05-24	2023-05-31	$182.90	$203.93	8.07%	5
2023-01-30	2023-02-10	$166.66	$196.89	16.30%	10
2022-06-22	2022-08-02	$236.09	$300.59	25.16%	29
2022-01-04	2022-01-20	$383.20	$332.09	-17.18%	12
2021-09-20	2021-12-06	$243.39	$336.34	33.37%	55
2021-01-11	2021-01-12	$270.40	$283.15	-8.01%	2
2020-12-08	2020-12-10	$216.63	$209.02	-6.00%	3
2020-08-14	2020-09-09	$110.05	$122.09	1.65%	18
2020-07-01	2020-08-11	$74.64	$91.63	31.11%	29
2020-06-11	2020-06-25	$64.86	$65.73	-6.46%	11
2020-04-15	2020-04-30	$48.66	$52.13	12.54%	12
2020-01-23	2020-03-05	$38.15	$48.30	31.33%	30
2019-10-25	2019-12-17	$21.88	$25.27	27.06%	37
2019-09-27	2019-10-15	$16.14	$17.19	5.72%	13
2019-07-05	2019-07-22	$15.54	$17.05	9.69%	12
2018-12-06	2018-12-26	$24.20	$21.74	-18.04%	14
2018-08-03	2018-08-20	$23.21	$20.56	-12.77%	12
2018-06-19	2018-07-05	$23.50	$20.61	-16.34%	12
2018-06-07	2018-06-12	$21.07	$22.85	3.73%	4
2017-06-14	2017-06-30	$25.38	$24.11	-4.23%	13
2017-04-06	2017-04-07	$19.91	$20.17	1.05%	2
2017-01-05	2017-01-25	$15.12	$16.96	11.94%	14
2016-12-14	2016-12-28	$13.25	$14.65	10.57%	10
2016-06-08	2016-06-09	$15.70	$15.29	1.17%	2
2016-04-05	2016-05-05	$17.03	$14.10	-10.07%	23
2015-12-17	2015-12-29	$15.56	$15.81	-2.57%	8
2015-05-13	2015-08-18	$16.21	$17.38	3.98%	68
2015-04-29	2015-05-01	$15.50	$15.07	-2.12%	3
2015-04-23	2015-04-28	$14.57	$15.37	5.31%	4
2015-02-11	2015-04-14	$14.19	$13.83	-3.21%	43
2014-06-24	2014-10-01	$15.50	$16.02	2.10%	70
2013-08-27	2013-09-09	$11.13	$10.71	1.47%	9
2013-08-09	2013-08-15	$10.20	$9.31	-9.38%	5
2013-07-18	2013-07-19	$7.94	$7.98	-1.21%	2
2013-07-02	2013-07-17	$7.85	$8.02	-7.12%	11
2013-05-01	2013-06-25	$3.55	$6.83	87.60%	39
2013-02-20	2013-04-11	$2.57	$2.91	6.35%	36
2013-02-12	2013-02-14	$2.53	$2.55	-0.12%	3
2012-12-19	2013-01-24	$2.31	$2.47	3.87%	24
2012-11-29	2012-12-14	$2.25	$2.25	0.94%	12
2012-02-23	2012-04-25	$2.30	$2.19	-7.20%	44