Strategy Zoo / S1191
PriceMomentum_V1191
ARCHIVEDhybridstructuralremoved entry condition: (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > 0.05 and cumret_252d > -0.1997)
Fitness
0.6740
Generation
54
Complexity
11
Created
2026-10-06
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.1225
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1191 [hybrid]
if flat and ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.1) and ret_20d > 0.1225 and cumret_252d > -0.1997) and ret_20d > 0.05):
position = 1.0
if long and ret_20d < -0.006:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 24.6% | 106.0% | 14.6% | 35.4% |
| Total Return | 480.6% | 774.6% | 66.3% | 8595.9% |
| Sharpe | 0.86 | 1.72 | 0.59 | 1.03 |
| Sortino | 0.83 | 1.75 | 0.48 | 0.96 |
| Calmar | 0.52 | 3.14 | 0.47 | 0.74 |
| Volatility | 31.0% | 49.0% | 31.4% | 35.5% |
| Max DD | -47.8% | -33.7% | -30.9% | -47.8% |
| Win Rate | 53.8% | 53.8% | 50.0% | 52.8% |
| Avg Win | 20.9% | 50.2% | 15.3% | 31.1% |
| Avg Loss | -7.9% | -6.5% | -5.9% | -7.0% |
| Payoff | 2.66 | 7.71 | 2.61 | 4.46 |
| Expectancy | 7.6% | 24.0% | 4.7% | 13.1% |
| Profit Factor | 3.11 | 9.00 | 2.61 | 4.99 |
| Trades | 26 | 13 | 14 | 53 |
| Avg Holding Days | 28.9 | 28.3 | 22.4 | 28.0 |
| Turnover | 6.6 | 8.7 | 7.5 | 7.2 |
| Exposure | 38.5% | 47.0% | 31.8% | 38.5% |
Growth of $100
PriceMomentum_V1191 vs TSLA Buy & Hold
PriceMomentum_V1191 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 | 5.5% | 0.37 | -24.3% | 3 |
| 2017 | 7.4% | 0.42 | -17.2% | 4 |
| 2018 | -23.0% | -0.90 | -28.5% | 4 |
| 2019 | 46.3% | 1.37 | -21.7% | 2 |
| 2020 | 500.0% | 2.87 | -33.7% | 4 |
| 2021 | 53.7% | 1.43 | -18.8% | 5 |
| 2022 | -9.1% | -0.20 | -23.9% | 4 |
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 | -7.3% | -0.39 | 17% |
| hidden test | EXPENSIVE | 83 | 61.3% | 1.54 | 57% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 14.8% | 0.36 | 32% |
| hidden test | LOW VOLATILITY | 438 | 43.6% | 1.93 | 30% |
| hidden test | MEDIUM VOLATILITY | 250 | -21.4% | -0.65 | 34% |
| hidden test | NORMAL | 811 | 4.4% | 0.16 | 27% |
| hidden test | SIDEWAYS | 293 | 4.1% | 0.16 | 25% |
| hidden test | UPTREND | 371 | 49.4% | 1.18 | 49% |
| train | DOWNTREND | 518 | 4.8% | 0.47 | 6% |
| train | EXPENSIVE | 311 | 43.5% | 1.15 | 65% |
| train | EXTREME | 100 | 380.3% | 5.23 | 96% |
| train | HIGH VOLATILITY | 699 | 46.4% | 1.15 | 36% |
| train | LOW VOLATILITY | 745 | 32.9% | 1.42 | 48% |
| train | MEDIUM VOLATILITY | 568 | -5.4% | -0.20 | 29% |
| train | NORMAL | 1,601 | 1.4% | 0.06 | 30% |
| train | SIDEWAYS | 592 | -12.5% | -0.51 | 26% |
| train | UPTREND | 902 | 65.2% | 1.59 | 65% |
| validation | DOWNTREND | 125 | 42.2% | 1.94 | 10% |
| validation | EXPENSIVE | 138 | 82.8% | 1.54 | 55% |
| validation | EXTREME | 144 | 319.7% | 3.89 | 91% |
| validation | HIGH VOLATILITY | 258 | 80.1% | 1.20 | 49% |
| validation | LOW VOLATILITY | 183 | 34.9% | 1.79 | 34% |
| validation | MEDIUM VOLATILITY | 315 | 116.5% | 2.69 | 53% |
| validation | NORMAL | 474 | 13.3% | 0.45 | 31% |
| validation | SIDEWAYS | 206 | -16.8% | -0.60 | 33% |
| validation | UPTREND | 425 | 145.7% | 2.39 | 65% |
Trades (full period)
53 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -2.96% | 27 | |
| 2026-05-06 | 2026-06-08 | $398.73 | $408.95 | 0.22% | 23 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-09-15 | 2025-10-23 | $410.04 | $448.98 | 10.65% | 29 | |
| 2025-05-06 | 2025-06-12 | $275.35 | $319.11 | 16.24% | 27 | |
| 2025-04-30 | 2025-05-02 | $282.16 | $287.21 | -4.14% | 3 | |
| 2025-04-16 | 2025-04-22 | $241.55 | $237.97 | -10.66% | 4 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 36.54% | 44 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -5.57% | 27 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 3.14% | 23 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.65% | 10 | |
| 2023-11-27 | 2024-01-08 | $236.08 | $240.45 | 0.67% | 29 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -12.27% | 13 | |
| 2023-05-24 | 2023-07-24 | $182.90 | $269.06 | 39.69% | 41 | |
| 2022-07-19 | 2022-08-29 | $245.53 | $284.82 | 19.53% | 30 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -1.22% | 4 | |
| 2022-03-23 | 2022-04-21 | $333.04 | $336.26 | -1.88% | 21 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -21.49% | 14 | |
| 2021-09-16 | 2021-12-01 | $252.33 | $365.00 | 51.15% | 54 | |
| 2021-07-01 | 2021-07-23 | $225.97 | $214.46 | -4.67% | 16 | |
| 2021-04-19 | 2021-05-04 | $238.21 | $224.53 | -7.61% | 12 | |
| 2021-04-06 | 2021-04-12 | $230.54 | $233.99 | -2.23% | 5 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.68% | 6 | |
| 2020-08-19 | 2020-09-24 | $125.24 | $129.26 | 0.58% | 26 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 122.74% | 83 | |
| 2019-10-23 | 2020-03-04 | $16.98 | $49.97 | 191.11% | 91 | |
| 2019-09-16 | 2019-10-10 | $16.19 | $16.32 | -0.47% | 19 | |
| 2019-07-16 | 2019-08-06 | $16.83 | $15.38 | -10.11% | 16 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 1.65% | 36 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-13 | 2018-07-06 | $22.99 | $20.59 | -9.99% | 17 | |
| 2018-05-01 | 2018-05-04 | $19.99 | $19.61 | -3.41% | 4 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-06-05 | 2017-07-06 | $23.15 | $20.59 | -3.94% | 23 | |
| 2017-04-04 | 2017-05-24 | $20.25 | $20.68 | 1.59% | 36 | |
| 2016-12-21 | 2017-02-28 | $13.85 | $16.67 | 17.70% | 46 | |
| 2016-07-25 | 2016-08-17 | $15.33 | $14.88 | 0.41% | 18 | |
| 2016-06-09 | 2016-06-23 | $15.29 | $13.09 | -16.67% | 11 | |
| 2016-03-04 | 2016-05-03 | $13.40 | $15.49 | 23.29% | 42 | |
| 2015-09-22 | 2015-09-30 | $17.40 | $16.56 | -6.83% | 7 | |
| 2015-04-24 | 2015-07-27 | $14.56 | $16.87 | 21.17% | 65 | |
| 2014-11-17 | 2014-12-02 | $16.93 | $15.43 | -10.63% | 11 | |
| 2014-08-08 | 2014-09-16 | $16.54 | $17.38 | 0.38% | 27 | |
| 2014-06-09 | 2014-07-16 | $13.69 | $14.48 | 5.27% | 27 | |
| 2014-01-21 | 2014-03-26 | $11.78 | $14.20 | 29.41% | 46 | |
| 2013-12-18 | 2014-01-14 | $9.87 | $10.75 | -8.79% | 18 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 47.00% | 79 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 132.63% | 61 | |
| 2013-01-29 | 2013-02-22 | $2.53 | $2.41 | -7.73% | 18 | |
| 2012-11-14 | 2012-12-31 | $2.09 | $2.26 | 4.88% | 32 | |
| 2012-06-19 | 2012-07-20 | $2.14 | $2.12 | 1.15% | 23 | |
| 2012-02-06 | 2012-04-10 | $2.12 | $2.16 | 6.21% | 45 |