Strategy Zoo / S1172

PriceMomentum_V1172

ARCHIVEDmomentum

parameterchanged ret_20d threshold 0.05 -> 0.1766; changed ret_20d threshold 0.1766 -> 0.3

Fitness

0.4961

Generation

Complexity

Created

2026-10-06

Lineage

Parents (1)

PriceMomentum_V0227S0227 · gen 11ARCHIVEDparameter

logic of PriceMomentum_V0186 with risk overlay of PriceMomentum_V0160

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1172  [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.3 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	12.9%	62.9%	10.6%	21.3%
Total Return	163.3%	332.4%	45.6%	1606.4%
Sharpe	0.67	1.34	0.56	0.83
Sortino	0.41	1.00	0.30	0.50
Calmar	0.29	1.86	0.37	0.48
Volatility	21.3%	43.5%	22.4%	27.6%
Max DD	-44.3%	-33.7%	-28.3%	-44.3%
Win Rate	50.0%	80.0%	75.0%	69.2%
Avg Win	90.6%	47.0%	17.6%	52.9%
Avg Loss	-16.3%	-0.5%	-10.4%	-10.9%
Payoff	5.55	10.00	1.70	4.86
Expectancy	37.2%	37.5%	10.6%	33.3%
Profit Factor	5.55	10.00	5.10	10.00
Trades	4	5	4	13
Avg Holding Days	47.0	41.0	33.5	44.1
Turnover	1.1	3.3	2.1	1.8
Exposure	11.4%	26.5%	13.8%	15.1%

Growth of $100

PriceMomentum_V1172 vs TSLA Buy & Hold

PriceMomentum_V1172 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	-16.3%	-1.88	-16.3%	1
2017	0.0%	0.00	0.0%	0
2018	-16.4%	-1.47	-16.3%	1
2019	27.4%	1.74	-8.5%	0
2020	327.3%	2.47	-33.7%	3
2021	-2.8%	0.06	-19.7%	2
2022	0.0%	0.00	0.0%	0

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	11.6%	1.18	3%
hidden test	EXPENSIVE	83	-33.1%	-1.80	11%
hidden test	EXTREME	48	189.3%	3.11	88%
hidden test	HIGH VOLATILITY	254	7.0%	0.20	27%
hidden test	LOW VOLATILITY	438	16.3%	1.18	9%
hidden test	MEDIUM VOLATILITY	250	11.7%	0.62	8%
hidden test	NORMAL	811	6.8%	0.38	10%
hidden test	SIDEWAYS	293	2.5%	0.90	0%
hidden test	UPTREND	371	21.3%	0.61	33%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	4.9%	0.16	29%
train	EXTREME	100	336.4%	4.73	75%
train	HIGH VOLATILITY	699	33.9%	1.08	17%
train	LOW VOLATILITY	745	6.8%	0.60	8%
train	MEDIUM VOLATILITY	568	0.1%	0.00	9%
train	NORMAL	1,601	-4.0%	-0.54	4%
train	SIDEWAYS	592	-3.1%	-0.66	0%
train	UPTREND	902	34.0%	1.08	25%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	49.3%	0.93	54%
validation	EXTREME	144	274.2%	3.51	66%
validation	HIGH VOLATILITY	258	117.4%	1.81	39%
validation	LOW VOLATILITY	183	1.3%	0.11	8%
validation	MEDIUM VOLATILITY	315	42.9%	1.36	27%
validation	NORMAL	474	-4.7%	-0.27	6%
validation	SIDEWAYS	206	4.9%	1.08	0%
validation	UPTREND	425	101.3%	1.75	47%

Trades (full period)

13 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2024-11-11	2025-01-28	$350.00	$398.09	23.40%	52
2024-07-03	2024-08-05	$246.39	$198.88	-10.37%	23
2023-06-05	2023-08-14	$217.61	$239.76	13.18%	49
2023-01-30	2023-02-10	$166.66	$196.89	16.30%	10
2021-10-27	2021-12-06	$345.95	$336.34	-0.54%	28
2020-11-25	2021-02-23	$191.33	$232.95	28.40%	60
2020-07-06	2020-09-30	$91.44	$143.00	73.04%	62
2020-04-15	2020-04-30	$48.66	$52.13	12.54%	12
2019-10-28	2020-03-05	$21.85	$48.30	127.96%	89
2018-06-19	2018-07-05	$23.50	$20.61	-16.34%	12
2016-04-07	2016-05-05	$17.15	$14.10	-16.32%	21
2014-02-11	2014-03-27	$13.11	$13.82	8.13%	32
2013-05-07	2013-10-29	$3.70	$10.96	173.15%	123