Strategy Zoo / S1173
PriceMomentum_V1173
ARCHIVEDhybridstructuralreduce exposure to 41% during EXPENSIVE
Fitness
0.6019
Generation
53
Complexity
18
Created
2026-10-06
Lineage
Parents (1)
entry = PriceMomentum_V0865 OR PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1173 [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 ret_20d < -0.0017:
position = 0.0 # exit to cash
if regime.bubble == "EXPENSIVE": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.4% | 81.3% | 8.8% | 27.1% |
| Total Return | 311.2% | 495.6% | 36.9% | 3294.9% |
| Sharpe | 0.75 | 1.51 | 0.42 | 0.87 |
| Sortino | 0.76 | 1.50 | 0.38 | 0.84 |
| Calmar | 0.41 | 2.41 | 0.22 | 0.57 |
| Volatility | 29.2% | 46.7% | 32.9% | 34.4% |
| Max DD | -47.3% | -33.7% | -39.9% | -47.3% |
| Win Rate | 38.6% | 62.5% | 31.8% | 41.5% |
| Avg Win | 18.3% | 27.9% | 17.2% | 23.4% |
| Avg Loss | -5.0% | -6.0% | -4.9% | -5.1% |
| Payoff | 3.66 | 4.69 | 3.55 | 4.61 |
| Expectancy | 4.0% | 15.2% | 2.2% | 6.7% |
| Profit Factor | 2.31 | 7.82 | 1.66 | 3.27 |
| Trades | 44 | 16 | 22 | 82 |
| Avg Holding Days | 20.4 | 26.6 | 18.8 | 21.8 |
| Turnover | 12.0 | 11.1 | 12.7 | 11.9 |
| Exposure | 38.3% | 47.9% | 37.5% | 40.1% |
Growth of $100
PriceMomentum_V1173 vs TSLA Buy & Hold
PriceMomentum_V1173 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 | 25.1% | 1.36 | -15.9% | 3 |
| 2017 | 7.6% | 0.56 | -17.9% | 7 |
| 2018 | -32.4% | -1.27 | -35.3% | 9 |
| 2019 | 59.7% | 1.64 | -20.0% | 2 |
| 2020 | 270.2% | 2.29 | -33.7% | 6 |
| 2021 | 58.7% | 1.54 | -17.6% | 5 |
| 2022 | -0.6% | 0.12 | -21.6% | 5 |
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 | -9.8% | -0.38 | 26% |
| hidden test | EXPENSIVE | 83 | 28.6% | 1.00 | 37% |
| hidden test | EXTREME | 48 | 89.0% | 1.83 | 61% |
| hidden test | HIGH VOLATILITY | 254 | -7.8% | -0.18 | 43% |
| hidden test | LOW VOLATILITY | 438 | 49.5% | 2.02 | 36% |
| hidden test | MEDIUM VOLATILITY | 250 | -26.6% | -0.82 | 36% |
| hidden test | NORMAL | 811 | 7.9% | 0.25 | 36% |
| hidden test | SIDEWAYS | 293 | 1.7% | 0.06 | 39% |
| hidden test | UPTREND | 371 | 41.3% | 1.05 | 45% |
| train | DOWNTREND | 518 | 10.4% | 0.80 | 13% |
| train | EXPENSIVE | 311 | 19.4% | 0.88 | 33% |
| train | EXTREME | 100 | 342.1% | 4.94 | 93% |
| train | HIGH VOLATILITY | 699 | 40.6% | 1.07 | 32% |
| train | LOW VOLATILITY | 745 | 29.8% | 1.37 | 48% |
| train | MEDIUM VOLATILITY | 568 | -11.4% | -0.45 | 32% |
| train | NORMAL | 1,601 | 2.4% | 0.09 | 36% |
| train | SIDEWAYS | 592 | -10.7% | -0.42 | 36% |
| train | UPTREND | 902 | 49.9% | 1.34 | 54% |
| validation | DOWNTREND | 125 | 45.2% | 2.08 | 12% |
| validation | EXPENSIVE | 138 | -25.2% | -0.64 | 26% |
| validation | EXTREME | 144 | 301.8% | 3.74 | 91% |
| validation | HIGH VOLATILITY | 258 | 82.9% | 1.26 | 48% |
| validation | LOW VOLATILITY | 183 | 50.2% | 2.15 | 56% |
| validation | MEDIUM VOLATILITY | 315 | 72.0% | 1.95 | 42% |
| validation | NORMAL | 474 | 28.0% | 0.89 | 41% |
| validation | SIDEWAYS | 206 | 8.4% | 0.27 | 41% |
| validation | UPTREND | 425 | 107.9% | 1.89 | 62% |
Trades (full period)
82 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -2.96% | 27 | |
| 2026-05-05 | 2026-06-08 | $389.37 | $408.95 | -0.58% | 24 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-10-29 | 2025-11-13 | $461.51 | $401.99 | -2.64% | 12 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -1.47% | 2 | |
| 2025-08-25 | 2025-10-23 | $346.60 | $448.98 | 21.61% | 43 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.30% | 8 | |
| 2025-05-06 | 2025-06-12 | $275.35 | $319.11 | 21.95% | 27 | |
| 2025-04-30 | 2025-05-02 | $282.16 | $287.21 | -4.14% | 3 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 8.51% | 44 | |
| 2024-10-28 | 2024-11-04 | $262.51 | $242.84 | -3.21% | 6 | |
| 2024-09-05 | 2024-10-14 | $230.17 | $219.16 | -0.93% | 28 | |
| 2024-06-27 | 2024-08-02 | $197.42 | $207.67 | 10.21% | 26 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.65% | 10 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2023-11-17 | 2024-01-05 | $234.30 | $237.49 | 1.65% | 33 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -12.27% | 13 | |
| 2023-07-26 | 2023-07-28 | $264.35 | $266.44 | -3.80% | 3 | |
| 2023-05-24 | 2023-07-24 | $182.90 | $269.06 | 39.69% | 41 | |
| 2023-01-27 | 2023-03-08 | $177.90 | $182.00 | 16.90% | 28 | |
| 2022-07-14 | 2022-08-29 | $238.31 | $284.82 | 21.29% | 33 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -1.22% | 4 | |
| 2022-03-22 | 2022-04-21 | $331.33 | $336.26 | 5.88% | 22 | |
| 2022-01-12 | 2022-01-24 | $368.74 | $310.00 | -11.49% | 8 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-08-03 | 2021-12-01 | $236.58 | $365.00 | 60.99% | 85 | |
| 2021-06-14 | 2021-07-23 | $205.90 | $214.46 | 6.24% | 29 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -10.34% | 15 | |
| 2021-04-05 | 2021-04-08 | $230.35 | $227.93 | 1.19% | 4 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 16.94% | 55 | |
| 2020-10-22 | 2020-10-27 | $141.93 | $141.56 | -0.31% | 4 | |
| 2020-10-16 | 2020-10-19 | $146.56 | $143.61 | -0.92% | 2 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 3.10% | 6 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 1.85% | 29 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 111.52% | 83 | |
| 2019-10-15 | 2020-03-04 | $17.19 | $49.97 | 134.54% | 97 | |
| 2019-09-13 | 2019-10-10 | $16.35 | $16.32 | -0.74% | 20 | |
| 2019-07-01 | 2019-08-02 | $15.14 | $15.62 | 4.44% | 24 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 1.65% | 36 | |
| 2018-08-27 | 2018-08-31 | $21.28 | $20.11 | -6.28% | 5 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-07 | 2018-07-06 | $21.07 | $20.59 | -3.43% | 21 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -7.18% | 5 | |
| 2018-02-27 | 2018-03-01 | $23.40 | $22.06 | -4.21% | 3 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -4.78% | 13 | |
| 2018-01-09 | 2018-01-12 | $22.25 | $22.41 | 0.26% | 4 | |
| 2017-12-12 | 2017-12-28 | $22.74 | $21.02 | -5.44% | 12 | |
| 2017-09-15 | 2017-09-25 | $25.32 | $23.00 | -2.99% | 7 | |
| 2017-08-25 | 2017-09-05 | $23.20 | $23.31 | 0.21% | 7 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -1.13% | 13 | |
| 2017-05-31 | 2017-07-06 | $22.73 | $20.59 | -3.42% | 26 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 5.79% | 41 | |
| 2016-12-20 | 2017-02-28 | $13.92 | $16.67 | 23.94% | 47 | |
| 2016-07-22 | 2016-08-16 | $14.82 | $14.91 | 2.10% | 18 | |
| 2016-06-08 | 2016-06-21 | $15.70 | $14.64 | -5.63% | 10 | |
| 2016-03-04 | 2016-05-03 | $13.40 | $15.49 | 23.29% | 42 | |
| 2016-01-04 | 2016-01-05 | $14.89 | $14.90 | -7.11% | 2 | |
| 2015-12-17 | 2015-12-29 | $15.56 | $15.81 | -2.57% | 8 | |
| 2015-11-30 | 2015-12-07 | $15.35 | $15.41 | -0.73% | 6 | |
| 2015-09-22 | 2015-09-30 | $17.40 | $16.56 | -6.83% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-07-21 | 2015-07-27 | $17.78 | $16.87 | -6.16% | 5 | |
| 2015-04-13 | 2015-07-09 | $13.99 | $17.19 | 20.65% | 62 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -4.44% | 15 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-09 | 2014-07-16 | $13.69 | $14.48 | 5.27% | 27 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -3.44% | 5 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 14.35% | 49 | |
| 2013-12-13 | 2014-01-14 | $9.84 | $10.75 | -3.94% | 21 | |
| 2013-07-01 | 2013-10-22 | $7.81 | $11.44 | 27.80% | 80 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 152.96% | 65 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -6.01% | 21 | |
| 2013-01-03 | 2013-01-09 | $2.32 | $2.24 | -4.94% | 5 | |
| 2012-11-06 | 2012-12-31 | $2.08 | $2.26 | 5.25% | 38 | |
| 2012-08-24 | 2012-09-05 | $1.97 | $1.86 | -8.62% | 8 | |
| 2012-06-28 | 2012-07-20 | $2.09 | $2.12 | 0.77% | 16 | |
| 2012-06-19 | 2012-06-27 | $2.14 | $2.13 | -0.92% | 7 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -11.54% | 10 | |
| 2012-02-02 | 2012-03-23 | $2.02 | $2.27 | 16.06% | 36 |