Strategy Zoo / S1195
PriceMomentum_V1195
ARCHIVEDhybridcrossoverentry from PriceMomentum_V1168, exit from LongTermTrend_V1037
Fitness
0.6074
Generation
55
Complexity
17
Created
2026-10-06
Lineage
Parents (2)
changed cumret_252d threshold -0.1997 -> 0.2692
changed ret_20d threshold 0.05 -> -0.0982
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1195 [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 > -0.0982 and cumret_252d > -0.1997) and ret_20d > 0.05))):
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 16.9% | 72.2% | 2.0% | 22.4% |
| Total Return | 247.6% | 410.7% | 7.7% | 1867.7% |
| Sharpe | 0.84 | 1.62 | 0.21 | 0.95 |
| Sortino | 0.58 | 1.34 | 0.09 | 0.62 |
| Calmar | 0.90 | 2.98 | 0.06 | 0.72 |
| Volatility | 21.2% | 38.0% | 14.9% | 24.4% |
| Max DD | -18.7% | -24.2% | -31.3% | -31.3% |
| Win Rate | 54.5% | 64.3% | 31.3% | 54.9% |
| Avg Win | 7.6% | 9.4% | 8.9% | 8.9% |
| Avg Loss | -2.6% | -3.6% | -3.1% | -3.0% |
| Payoff | 2.89 | 2.64 | 2.90 | 2.96 |
| Expectancy | 3.0% | 4.8% | 0.7% | 3.5% |
| Profit Factor | 3.47 | 4.75 | 1.32 | 3.59 |
| Trades | 55 | 42 | 16 | 113 |
| Avg Holding Days | 5.1 | 5.0 | 4.6 | 5.1 |
| Turnover | 13.9 | 28.0 | 8.6 | 15.4 |
| Exposure | 11.7% | 22.1% | 6.2% | 12.5% |
Growth of $100
PriceMomentum_V1195 vs TSLA Buy & Hold
PriceMomentum_V1195 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 | -3.5% | -0.08 | -14.7% | 19 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 9.5% | 1.31 | -3.8% | 0 |
| 2020 | 340.2% | 2.66 | -24.2% | 35 |
| 2021 | 15.5% | 0.94 | -7.8% | 6 |
| 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 | -42.0% | -1.22 | 41% |
| hidden test | EXTREME | 48 | 151.1% | 3.22 | 48% |
| hidden test | HIGH VOLATILITY | 254 | 12.7% | 0.62 | 10% |
| hidden test | LOW VOLATILITY | 438 | 18.8% | 2.10 | 4% |
| hidden test | MEDIUM VOLATILITY | 250 | -34.2% | -2.09 | 7% |
| hidden test | NORMAL | 811 | -1.1% | -0.57 | 0% |
| hidden test | SIDEWAYS | 293 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 7.8% | 0.33 | 16% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 8.5% | 0.25 | 48% |
| train | EXTREME | 100 | 348.1% | 4.87 | 83% |
| train | HIGH VOLATILITY | 699 | 36.8% | 1.18 | 16% |
| train | LOW VOLATILITY | 745 | 7.6% | 0.74 | 10% |
| train | MEDIUM VOLATILITY | 568 | 7.6% | 0.48 | 10% |
| train | NORMAL | 1,601 | -1.1% | -0.73 | 0% |
| train | SIDEWAYS | 592 | 0.0% | 0.00 | 0% |
| train | UPTREND | 902 | 39.6% | 1.25 | 26% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 70.1% | 1.63 | 47% |
| validation | EXTREME | 144 | 255.6% | 3.40 | 71% |
| validation | HIGH VOLATILITY | 258 | 94.5% | 1.73 | 29% |
| validation | LOW VOLATILITY | 183 | 23.7% | 1.85 | 6% |
| validation | MEDIUM VOLATILITY | 315 | 56.4% | 1.83 | 25% |
| validation | NORMAL | 474 | 0.0% | 0.00 | 0% |
| validation | SIDEWAYS | 206 | 4.9% | 1.08 | 0% |
| validation | UPTREND | 425 | 107.0% | 2.12 | 39% |
Trades (full period)
latest 100 of 113
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.89% | 3 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-09-15 | 2025-10-06 | $410.04 | $453.25 | 8.35% | 16 | |
| 2025-05-28 | 2025-06-02 | $356.90 | $342.69 | -4.72% | 4 | |
| 2025-01-06 | 2025-01-07 | $411.05 | $394.36 | -0.05% | 2 | |
| 2025-01-02 | 2025-01-03 | $379.28 | $410.44 | -6.28% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.50% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.96% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 16.31% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-11-07 | 2024-11-29 | $296.91 | $345.16 | 15.15% | 16 | |
| 2021-02-05 | 2021-02-08 | $284.08 | $287.81 | 0.06% | 2 | |
| 2021-02-03 | 2021-02-04 | $284.90 | $283.33 | -2.27% | 2 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 5.63% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -3.52% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 15.78% | 14 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 1.37% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.15% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 2.24% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -2.56% | 4 | |
| 2020-11-19 | 2020-12-17 | $166.42 | $218.63 | 27.72% | 20 | |
| 2020-10-22 | 2020-10-23 | $141.93 | $140.21 | 0.54% | 2 | |
| 2020-10-13 | 2020-10-20 | $148.88 | $140.65 | -2.79% | 6 | |
| 2020-10-09 | 2020-10-12 | $144.67 | $147.43 | 1.70% | 2 | |
| 2020-10-07 | 2020-10-08 | $141.77 | $141.97 | 2.53% | 2 | |
| 2020-09-23 | 2020-09-24 | $126.79 | $129.26 | -10.53% | 2 | |
| 2020-09-21 | 2020-09-22 | $149.80 | $141.41 | 1.44% | 2 | |
| 2020-09-17 | 2020-09-18 | $141.14 | $147.38 | -4.35% | 2 | |
| 2020-09-15 | 2020-09-16 | $149.92 | $147.25 | 6.98% | 2 | |
| 2020-09-11 | 2020-09-14 | $124.24 | $139.87 | 0.17% | 2 | |
| 2020-09-09 | 2020-09-10 | $122.09 | $123.78 | 10.71% | 2 | |
| 2020-08-18 | 2020-09-08 | $125.81 | $110.07 | 13.72% | 15 | |
| 2020-08-14 | 2020-08-17 | $110.05 | $122.38 | 1.63% | 2 | |
| 2020-08-07 | 2020-08-10 | $96.85 | $94.57 | -2.67% | 2 | |
| 2020-08-05 | 2020-08-06 | $99.00 | $99.31 | -0.33% | 2 | |
| 2020-08-03 | 2020-08-04 | $99.00 | $99.13 | 3.59% | 2 | |
| 2020-07-30 | 2020-07-31 | $99.17 | $95.38 | -0.97% | 2 | |
| 2020-07-28 | 2020-07-29 | $98.43 | $99.94 | -4.29% | 2 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 26.32% | 17 | |
| 2020-06-30 | 2020-07-01 | $71.99 | $74.64 | 6.77% | 2 | |
| 2020-06-26 | 2020-06-29 | $63.98 | $67.29 | -2.86% | 2 | |
| 2020-06-03 | 2020-06-25 | $58.86 | $65.73 | 8.78% | 17 | |
| 2020-06-01 | 2020-06-02 | $59.87 | $58.77 | 7.35% | 2 | |
| 2020-05-28 | 2020-05-29 | $53.72 | $55.67 | -1.96% | 2 | |
| 2020-05-26 | 2020-05-27 | $54.59 | $54.68 | 0.04% | 2 | |
| 2020-05-21 | 2020-05-22 | $55.17 | $54.46 | 1.27% | 2 | |
| 2020-05-19 | 2020-05-20 | $53.87 | $54.37 | -0.89% | 2 | |
| 2020-05-15 | 2020-05-18 | $53.28 | $54.24 | -0.72% | 2 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-03-03 | 2020-03-04 | $49.70 | $49.97 | 0.05% | 2 | |
| 2020-02-27 | 2020-02-28 | $45.27 | $44.53 | -13.00% | 2 | |
| 2019-12-17 | 2020-02-26 | $25.27 | $51.92 | 109.25% | 48 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -7.75% | 6 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-06-30 | 2017-07-03 | $24.11 | $23.51 | 0.04% | 2 | |
| 2017-06-28 | 2017-06-29 | $24.75 | $24.05 | 2.25% | 2 | |
| 2017-06-01 | 2017-06-27 | $22.69 | $24.16 | 10.48% | 19 | |
| 2017-05-17 | 2017-05-18 | $20.41 | $20.87 | -3.63% | 2 | |
| 2017-05-15 | 2017-05-16 | $21.06 | $21.13 | -2.95% | 2 | |
| 2017-05-11 | 2017-05-12 | $21.54 | $21.65 | -0.85% | 2 | |
| 2017-05-02 | 2017-05-04 | $21.26 | $19.70 | -3.85% | 3 | |
| 2017-04-28 | 2017-05-01 | $20.94 | $21.52 | 1.56% | 2 | |
| 2017-04-26 | 2017-04-27 | $20.68 | $20.58 | -1.35% | 2 | |
| 2017-04-24 | 2017-04-25 | $20.54 | $20.92 | 0.59% | 2 | |
| 2017-04-07 | 2017-04-21 | $20.17 | $20.37 | 1.07% | 10 | |
| 2017-03-28 | 2017-04-06 | $18.50 | $19.91 | 8.95% | 8 | |
| 2017-02-23 | 2017-02-24 | $17.07 | $17.13 | -6.60% | 2 | |
| 2017-02-09 | 2017-02-22 | $17.95 | $18.23 | 5.63% | 9 | |
| 2017-02-07 | 2017-02-08 | $17.17 | $17.47 | -0.31% | 2 | |
| 2017-02-03 | 2017-02-06 | $16.76 | $17.18 | -0.29% | 2 | |
| 2017-01-25 | 2017-01-31 | $16.96 | $16.80 | -1.76% | 5 | |
| 2014-03-24 | 2014-03-25 | $14.68 | $14.70 | -4.01% | 2 | |
| 2014-03-20 | 2014-03-21 | $15.66 | $15.26 | -0.59% | 2 | |
| 2014-03-18 | 2014-03-19 | $16.00 | $15.72 | 2.39% | 2 | |
| 2014-03-14 | 2014-03-17 | $15.40 | $15.60 | -3.07% | 2 | |
| 2014-03-12 | 2014-03-13 | $16.10 | $15.85 | 2.82% | 2 | |
| 2014-02-11 | 2014-03-11 | $13.11 | $15.63 | 21.27% | 20 | |
| 2014-02-07 | 2014-02-10 | $12.44 | $13.10 | 4.36% | 2 | |
| 2014-01-24 | 2014-02-06 | $11.64 | $11.89 | -4.10% | 10 | |
| 2013-10-16 | 2013-10-17 | $12.24 | $12.19 | -0.41% | 2 | |
| 2013-10-14 | 2013-10-15 | $11.98 | $12.26 | 0.37% | 2 | |
| 2013-10-09 | 2013-10-10 | $11.25 | $11.53 | -3.60% | 2 | |
| 2013-10-07 | 2013-10-08 | $12.20 | $11.65 | 0.95% | 2 | |
| 2013-09-23 | 2013-10-04 | $12.07 | $12.07 | -5.69% | 10 | |
| 2013-09-19 | 2013-09-20 | $11.86 | $12.23 | 6.83% | 2 | |
| 2013-09-17 | 2013-09-18 | $11.08 | $11.08 | -0.41% | 2 | |
| 2013-09-13 | 2013-09-16 | $11.04 | $11.11 | 0.17% | 2 | |
| 2013-09-11 | 2013-09-12 | $10.90 | $11.00 | -1.91% | 2 | |
| 2013-08-22 | 2013-09-10 | $10.47 | $11.09 | 8.47% | 13 | |
| 2013-08-20 | 2013-08-21 | $9.97 | $9.86 | 3.03% | 2 | |
| 2013-08-16 | 2013-08-19 | $9.47 | $9.66 | 1.47% | 2 | |
| 2013-07-30 | 2013-08-15 | $8.78 | $9.31 | 3.31% | 13 | |
| 2013-07-26 | 2013-07-29 | $8.63 | $8.97 | 4.08% | 2 | |
| 2013-07-24 | 2013-07-25 | $8.11 | $8.27 | -1.05% | 2 |