Strategy Zoo / S1188
PriceMomentum_V1188
ARCHIVEDhybridstructuralreplaced exit rule with: cumret_252d < 0.7855; replaced exit rule with: vol_pctile > 0.9179
Fitness
0.6293
Generation
54
Complexity
17
Created
2026-10-06
Lineage
Parents (1)
entry = PriceMomentum_V0758 OR PriceMomentum_V0641
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1188 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (ret_20d > 0.05 or (ret_20d > 0.1146 and ((((close > sma_200 and sma_200_slope > 0.0) or ret_60d > -0.2905) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05))):
position = 1.0
if long and vol_pctile > 0.9179:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 18.9% | 83.5% | 4.9% | 26.1% |
| Total Return | 298.1% | 518.3% | 19.8% | 2935.0% |
| Sharpe | 0.84 | 1.68 | 0.35 | 0.98 |
| Sortino | 0.57 | 1.41 | 0.22 | 0.68 |
| Calmar | 0.63 | 2.47 | 0.15 | 0.77 |
| Volatility | 23.9% | 41.1% | 19.1% | 27.3% |
| Max DD | -30.2% | -33.8% | -33.0% | -33.8% |
| Win Rate | 55.6% | 57.1% | 75.0% | 58.9% |
| Avg Win | 12.5% | 24.6% | 4.2% | 16.1% |
| Avg Loss | -3.1% | -4.5% | -3.1% | -3.6% |
| Payoff | 4.07 | 5.45 | 1.36 | 4.43 |
| Expectancy | 5.6% | 12.1% | 2.4% | 8.0% |
| Profit Factor | 5.09 | 7.27 | 4.08 | 6.35 |
| Trades | 27 | 21 | 8 | 56 |
| Avg Holding Days | 13.2 | 11.2 | 15.0 | 12.9 |
| Turnover | 6.9 | 14.0 | 4.3 | 7.6 |
| Exposure | 16.8% | 28.4% | 11.9% | 18.0% |
Growth of $100
PriceMomentum_V1188 vs TSLA Buy & Hold
PriceMomentum_V1188 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 | 0.0% | 0.00 | 0.0% | 0 |
| 2017 | 11.8% | 0.54 | -19.5% | 5 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 9.5% | 1.31 | -3.8% | 0 |
| 2020 | 450.9% | 2.87 | -33.8% | 20 |
| 2021 | 7.7% | 0.48 | -10.9% | 1 |
| 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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | -18.3% | -0.41 | 78% |
| hidden test | EXTREME | 48 | 191.2% | 3.20 | 94% |
| hidden test | HIGH VOLATILITY | 254 | 22.5% | 0.96 | 16% |
| hidden test | LOW VOLATILITY | 438 | 17.4% | 1.79 | 5% |
| hidden test | MEDIUM VOLATILITY | 250 | -28.3% | -1.11 | 19% |
| hidden test | NORMAL | 811 | -1.7% | -0.80 | 0% |
| hidden test | SIDEWAYS | 293 | -4.1% | -0.95 | 0% |
| hidden test | UPTREND | 371 | 20.1% | 0.67 | 30% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 31.2% | 0.69 | 80% |
| train | EXTREME | 100 | 354.5% | 5.23 | 83% |
| train | HIGH VOLATILITY | 699 | 39.0% | 1.17 | 22% |
| train | LOW VOLATILITY | 745 | 12.9% | 1.06 | 12% |
| train | MEDIUM VOLATILITY | 568 | 6.2% | 0.29 | 17% |
| train | NORMAL | 1,601 | -3.0% | -0.90 | 0% |
| train | SIDEWAYS | 592 | 3.4% | 0.89 | 0% |
| train | UPTREND | 902 | 42.6% | 1.20 | 37% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 43.5% | 0.81 | 75% |
| validation | EXTREME | 144 | 323.9% | 4.25 | 77% |
| validation | HIGH VOLATILITY | 258 | 101.4% | 1.77 | 31% |
| validation | LOW VOLATILITY | 183 | 8.8% | 0.44 | 18% |
| validation | MEDIUM VOLATILITY | 315 | 77.8% | 2.34 | 32% |
| validation | NORMAL | 474 | -0.8% | -0.78 | 0% |
| validation | SIDEWAYS | 206 | 3.2% | 0.67 | 1% |
| validation | UPTREND | 425 | 121.5% | 2.23 | 50% |
Trades (full period)
56 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-15 | 2025-11-13 | $410.04 | $401.99 | 8.54% | 44 | |
| 2025-05-28 | 2025-06-02 | $356.90 | $342.69 | -4.72% | 4 | |
| 2024-11-21 | 2025-02-24 | $339.64 | $330.53 | -1.43% | 62 | |
| 2024-11-19 | 2024-11-20 | $346.00 | $342.03 | 1.94% | 2 | |
| 2024-11-15 | 2024-11-18 | $320.72 | $338.74 | 2.86% | 2 | |
| 2024-11-13 | 2024-11-14 | $330.24 | $311.18 | 0.33% | 2 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 8.75% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2020-11-19 | 2021-02-19 | $166.42 | $260.43 | 61.48% | 62 | |
| 2020-10-07 | 2020-11-13 | $141.77 | $136.17 | -0.73% | 28 | |
| 2020-09-22 | 2020-09-23 | $141.41 | $126.79 | -5.79% | 2 | |
| 2020-09-18 | 2020-09-21 | $147.38 | $149.80 | 4.22% | 2 | |
| 2020-09-16 | 2020-09-17 | $147.25 | $141.14 | -1.98% | 2 | |
| 2020-09-14 | 2020-09-15 | $139.87 | $149.92 | 12.37% | 2 | |
| 2020-09-10 | 2020-09-11 | $123.78 | $124.24 | 1.18% | 2 | |
| 2020-05-15 | 2020-09-09 | $53.28 | $122.09 | 105.11% | 81 | |
| 2020-04-16 | 2020-04-30 | $49.68 | $52.13 | 9.47% | 11 | |
| 2020-04-14 | 2020-04-15 | $47.33 | $48.66 | 8.85% | 2 | |
| 2020-03-03 | 2020-03-04 | $49.70 | $49.97 | 0.05% | 2 | |
| 2020-02-28 | 2020-03-02 | $44.53 | $49.57 | -1.82% | 2 | |
| 2020-02-26 | 2020-02-27 | $51.92 | $45.27 | -2.84% | 2 | |
| 2020-02-24 | 2020-02-25 | $55.59 | $53.33 | -7.65% | 2 | |
| 2020-02-20 | 2020-02-21 | $59.96 | $60.07 | -2.16% | 2 | |
| 2020-02-18 | 2020-02-19 | $57.23 | $61.16 | 7.09% | 2 | |
| 2020-02-13 | 2020-02-14 | $53.60 | $53.34 | 4.58% | 2 | |
| 2020-02-11 | 2020-02-12 | $51.63 | $51.15 | 0.20% | 2 | |
| 2020-02-07 | 2020-02-10 | $49.87 | $51.42 | -0.32% | 2 | |
| 2020-02-05 | 2020-02-06 | $48.98 | $49.93 | -17.36% | 2 | |
| 2019-12-17 | 2020-02-04 | $25.27 | $59.14 | 104.05% | 33 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -9.35% | 7 | |
| 2017-04-07 | 2017-08-24 | $20.17 | $23.53 | 17.87% | 97 | |
| 2017-03-28 | 2017-04-06 | $18.50 | $19.91 | 8.95% | 8 | |
| 2017-02-03 | 2017-02-28 | $16.76 | $16.67 | -2.31% | 17 | |
| 2017-01-25 | 2017-01-31 | $16.96 | $16.80 | -1.76% | 5 | |
| 2014-01-24 | 2014-04-11 | $11.64 | $13.59 | 12.27% | 55 | |
| 2013-08-14 | 2013-11-12 | $9.29 | $9.19 | -0.71% | 64 | |
| 2013-08-12 | 2013-08-13 | $9.83 | $9.70 | -3.87% | 2 | |
| 2013-06-13 | 2013-08-09 | $6.55 | $10.20 | 56.73% | 41 | |
| 2013-06-11 | 2013-06-12 | $6.30 | $6.52 | -5.77% | 2 | |
| 2013-06-07 | 2013-06-10 | $6.80 | $6.67 | 4.61% | 2 | |
| 2013-06-05 | 2013-06-06 | $6.36 | $6.49 | 0.36% | 2 | |
| 2013-06-03 | 2013-06-04 | $6.17 | $6.32 | -5.48% | 2 | |
| 2013-05-30 | 2013-05-31 | $7.00 | $6.52 | 0.11% | 2 | |
| 2013-05-28 | 2013-05-29 | $7.36 | $6.98 | 13.44% | 2 | |
| 2013-05-23 | 2013-05-24 | $6.18 | $6.47 | 6.09% | 2 | |
| 2013-05-21 | 2013-05-22 | $5.84 | $5.82 | -2.81% | 2 | |
| 2013-05-17 | 2013-05-20 | $6.10 | $6.00 | -1.01% | 2 | |
| 2013-05-15 | 2013-05-16 | $5.66 | $6.15 | 1.72% | 2 | |
| 2013-05-13 | 2013-05-14 | $5.85 | $5.55 | 14.17% | 2 | |
| 2013-04-30 | 2013-05-10 | $3.60 | $5.12 | 26.06% | 9 | |
| 2013-04-26 | 2013-04-29 | $3.41 | $3.66 | -1.74% | 2 | |
| 2013-04-24 | 2013-04-25 | $3.36 | $3.47 | -1.34% | 2 | |
| 2013-04-15 | 2013-04-23 | $2.89 | $3.40 | 14.49% | 7 | |
| 2013-04-11 | 2013-04-12 | $2.91 | $2.92 | 3.93% | 2 | |
| 2013-02-14 | 2013-02-15 | $2.55 | $2.47 | -0.67% | 2 | |
| 2013-01-24 | 2013-02-12 | $2.47 | $2.53 | 6.51% | 14 |