Strategy Zoo / S1170
PriceMomentum_V1170
ARCHIVEDhybridstructuralreplaced exit rule with: sma_200 > roll_high_20
Fitness
0.5977
Generation
53
Complexity
17
Created
2026-10-06
Lineage
Parents (1)
entry = PriceMomentum_V0865 OR PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1170 [hybrid]
if flat and ((ret_20d > 0.0191 and breakout_50 == 1) or ((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 sma_200 > roll_high_20:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 30.2% | 91.4% | 4.4% | 33.4% |
| Total Return | 721.0% | 600.7% | 17.6% | 6862.6% |
| Sharpe | 0.81 | 1.29 | 0.33 | 0.82 |
| Sortino | 1.08 | 1.80 | 0.44 | 1.08 |
| Calmar | 0.61 | 1.51 | 0.08 | 0.55 |
| Volatility | 44.3% | 68.4% | 49.5% | 51.4% |
| Max DD | -49.6% | -60.6% | -57.5% | -60.6% |
| Win Rate | 36.4% | 55.6% | 45.0% | 42.7% |
| Avg Win | 56.1% | 161.5% | 6.9% | 63.2% |
| Avg Loss | -4.3% | -7.3% | -4.2% | -4.5% |
| Payoff | 10.00 | 10.00 | 1.62 | 10.00 |
| Expectancy | 17.7% | 86.4% | 0.8% | 24.4% |
| Profit Factor | 7.52 | 10.00 | 1.33 | 10.00 |
| Trades | 33 | 9 | 40 | 82 |
| Avg Holding Days | 47.2 | 76.1 | 18.5 | 37.1 |
| Turnover | 8.4 | 6.0 | 21.4 | 11.1 |
| Exposure | 78.5% | 89.4% | 74.4% | 79.7% |
Growth of $100
PriceMomentum_V1170 vs TSLA Buy & Hold
PriceMomentum_V1170 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 | -13.3% | -0.38 | -27.2% | 8 |
| 2017 | 33.9% | 1.01 | -24.5% | 1 |
| 2018 | -12.0% | -0.05 | -31.1% | 5 |
| 2019 | 30.2% | 0.92 | -29.5% | 12 |
| 2020 | 712.5% | 2.80 | -60.6% | 0 |
| 2021 | 44.7% | 0.94 | -36.2% | 0 |
| 2022 | -49.9% | -1.06 | -54.1% | 9 |
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 | -29.4% | -0.73 | 37% |
| hidden test | EXPENSIVE | 83 | 135.9% | 1.95 | 100% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 39.1% | 0.59 | 72% |
| hidden test | LOW VOLATILITY | 438 | 18.6% | 0.51 | 75% |
| hidden test | MEDIUM VOLATILITY | 250 | -10.1% | -0.20 | 77% |
| hidden test | NORMAL | 811 | -5.7% | -0.12 | 70% |
| hidden test | SIDEWAYS | 293 | -43.2% | -0.96 | 77% |
| hidden test | UPTREND | 371 | 98.1% | 1.69 | 100% |
| train | DOWNTREND | 518 | -35.3% | -1.17 | 33% |
| train | EXPENSIVE | 311 | 98.1% | 1.89 | 100% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 71.9% | 1.24 | 79% |
| train | LOW VOLATILITY | 745 | 31.0% | 1.06 | 78% |
| train | MEDIUM VOLATILITY | 568 | -1.4% | -0.03 | 79% |
| train | NORMAL | 1,601 | 0.3% | 0.01 | 73% |
| train | SIDEWAYS | 592 | 21.3% | 0.48 | 86% |
| train | UPTREND | 902 | 86.8% | 1.72 | 100% |
| validation | DOWNTREND | 125 | -21.7% | -0.54 | 38% |
| validation | EXPENSIVE | 138 | 84.2% | 1.10 | 99% |
| validation | EXTREME | 144 | 384.0% | 4.30 | 100% |
| validation | HIGH VOLATILITY | 258 | 144.7% | 1.55 | 84% |
| validation | LOW VOLATILITY | 183 | 54.5% | 1.50 | 99% |
| validation | MEDIUM VOLATILITY | 315 | 61.8% | 1.06 | 88% |
| validation | NORMAL | 474 | -0.3% | -0.01 | 83% |
| validation | SIDEWAYS | 206 | -41.3% | -0.67 | 100% |
| validation | UPTREND | 425 | 183.5% | 2.38 | 100% |
Trades (full period)
82 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-25 | 2026-09-28 | $372.11 | $357.45 | -1.74% | 2 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.32% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-03 | 2026-09-04 | $376.37 | $354.08 | 5.22% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.91% | 2 | |
| 2026-08-26 | 2026-08-27 | $345.82 | $354.81 | -1.46% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 2026-05-07 | 2026-08-04 | $411.79 | $327.35 | -19.38% | 61 | |
| 2026-05-05 | 2026-05-06 | $389.37 | $398.73 | -1.00% | 2 | |
| 2026-04-20 | 2026-04-27 | $392.50 | $378.67 | -6.26% | 6 | |
| 2025-05-12 | 2026-04-16 | $318.38 | $388.90 | 31.16% | 234 | |
| 2025-05-08 | 2025-05-09 | $284.82 | $298.26 | 2.91% | 2 | |
| 2025-05-06 | 2025-05-07 | $275.35 | $276.22 | -1.95% | 2 | |
| 2025-04-30 | 2025-05-05 | $282.16 | $280.26 | -1.85% | 4 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -5.14% | 2 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -7.47% | 2 | |
| 2024-07-01 | 2025-04-04 | $209.86 | $239.43 | 34.81% | 192 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 | |
| 2024-05-23 | 2024-05-24 | $173.74 | $179.24 | -3.73% | 2 | |
| 2024-05-21 | 2024-05-22 | $186.60 | $180.11 | 6.45% | 2 | |
| 2024-05-17 | 2024-05-20 | $177.46 | $174.95 | 1.30% | 2 | |
| 2024-05-15 | 2024-05-16 | $173.99 | $174.84 | -2.20% | 2 | |
| 2024-05-06 | 2024-05-07 | $184.76 | $177.81 | 1.77% | 2 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2023-05-31 | 2024-02-09 | $203.93 | $193.57 | -5.95% | 176 | |
| 2023-05-26 | 2023-05-30 | $193.17 | $201.16 | 4.51% | 2 | |
| 2023-05-24 | 2023-05-25 | $182.90 | $184.47 | -1.74% | 2 | |
| 2023-03-01 | 2023-03-02 | $202.77 | $190.90 | -1.63% | 2 | |
| 2023-02-27 | 2023-02-28 | $207.63 | $205.71 | 5.25% | 2 | |
| 2023-02-23 | 2023-02-24 | $202.07 | $196.88 | 0.40% | 2 | |
| 2023-02-21 | 2023-02-22 | $197.37 | $200.86 | -5.45% | 2 | |
| 2023-02-16 | 2023-02-17 | $202.04 | $208.31 | -5.89% | 2 | |
| 2023-02-14 | 2023-02-15 | $209.25 | $214.24 | 7.30% | 2 | |
| 2023-02-10 | 2023-02-13 | $196.89 | $194.64 | -5.23% | 2 | |
| 2023-02-08 | 2023-02-09 | $201.29 | $207.32 | 2.07% | 2 | |
| 2023-02-06 | 2023-02-07 | $194.76 | $196.81 | 2.31% | 2 | |
| 2023-02-02 | 2023-02-03 | $188.27 | $189.98 | 3.58% | 2 | |
| 2023-01-31 | 2023-02-01 | $173.22 | $181.41 | 3.73% | 2 | |
| 2023-01-27 | 2023-01-30 | $177.90 | $166.66 | 10.79% | 2 | |
| 2022-08-03 | 2022-10-27 | $307.40 | $225.09 | -25.41% | 61 | |
| 2022-08-01 | 2022-08-02 | $297.28 | $300.59 | -0.16% | 2 | |
| 2022-07-28 | 2022-07-29 | $280.90 | $297.15 | 2.01% | 2 | |
| 2022-07-26 | 2022-07-27 | $258.86 | $274.82 | -3.76% | 2 | |
| 2022-07-22 | 2022-07-25 | $272.24 | $268.43 | -0.00% | 2 | |
| 2022-07-19 | 2022-07-20 | $245.53 | $247.50 | 1.87% | 2 | |
| 2022-07-14 | 2022-07-15 | $238.31 | $240.07 | 0.34% | 2 | |
| 2022-06-24 | 2022-06-27 | $245.71 | $244.92 | 4.32% | 2 | |
| 2019-10-15 | 2022-06-03 | $17.19 | $234.52 | 1405.01% | 665 | |
| 2019-09-27 | 2019-09-30 | $16.14 | $16.06 | -0.38% | 2 | |
| 2019-09-24 | 2019-09-25 | $14.88 | $15.25 | -7.66% | 2 | |
| 2019-09-20 | 2019-09-23 | $16.04 | $16.08 | -2.62% | 2 | |
| 2019-09-17 | 2019-09-18 | $16.32 | $16.23 | 0.61% | 2 | |
| 2019-09-13 | 2019-09-16 | $16.35 | $16.19 | -0.47% | 2 | |
| 2019-07-24 | 2019-07-25 | $17.66 | $15.25 | 1.61% | 2 | |
| 2019-07-22 | 2019-07-23 | $17.05 | $17.34 | -1.17% | 2 | |
| 2019-07-18 | 2019-07-19 | $16.90 | $17.21 | -0.72% | 2 | |
| 2019-07-16 | 2019-07-17 | $16.83 | $16.99 | -0.64% | 2 | |
| 2019-07-05 | 2019-07-08 | $15.54 | $15.36 | -0.97% | 2 | |
| 2019-07-01 | 2019-07-02 | $15.14 | $14.97 | 1.46% | 2 | |
| 2018-10-29 | 2019-03-29 | $22.32 | $18.66 | -15.97% | 104 | |
| 2018-06-12 | 2018-09-26 | $22.85 | $20.64 | -9.55% | 75 | |
| 2018-06-07 | 2018-06-08 | $21.07 | $21.18 | -1.27% | 2 | |
| 2018-05-01 | 2018-05-02 | $19.99 | $20.08 | 1.85% | 2 | |
| 2018-04-27 | 2018-04-30 | $19.61 | $19.59 | 2.81% | 2 | |
| 2017-12-12 | 2018-04-12 | $22.74 | $19.61 | -8.69% | 83 | |
| 2016-12-27 | 2017-11-30 | $14.64 | $20.59 | 43.87% | 235 | |
| 2016-12-20 | 2016-12-21 | $13.92 | $13.85 | 2.79% | 2 | |
| 2016-03-18 | 2016-09-27 | $15.52 | $13.72 | -7.86% | 134 | |
| 2016-03-16 | 2016-03-17 | $14.80 | $15.09 | 1.44% | 2 | |
| 2016-03-14 | 2016-03-15 | $14.34 | $14.56 | 3.48% | 2 | |
| 2016-03-10 | 2016-03-11 | $13.68 | $13.83 | -1.89% | 2 | |
| 2016-03-08 | 2016-03-09 | $13.51 | $13.91 | -1.51% | 2 | |
| 2016-03-04 | 2016-03-07 | $13.40 | $13.69 | 2.51% | 2 | |
| 2015-12-02 | 2016-02-02 | $15.47 | $12.19 | -17.14% | 42 | |
| 2015-11-30 | 2015-12-01 | $15.35 | $15.81 | -0.78% | 2 | |
| 2015-04-27 | 2015-11-04 | $15.44 | $15.44 | -4.80% | 135 | |
| 2015-04-23 | 2015-04-24 | $14.57 | $14.56 | -0.58% | 2 | |
| 2015-04-13 | 2015-04-14 | $13.99 | $13.83 | -0.73% | 2 | |
| 2012-11-06 | 2015-01-02 | $2.08 | $14.62 | 604.64% | 543 | |
| 2012-08-24 | 2012-08-27 | $1.97 | $1.89 | -4.20% | 2 | |
| 2012-01-04 | 2012-08-20 | $1.85 | $1.97 | 6.66% | 159 |