Strategy Zoo / S1196
PriceMomentum_V1196
ARCHIVEDhybridcrossoverentry from PriceMomentum_V0690, exit from PriceMomentum_V0227
Fitness
0.6076
Generation
55
Complexity
16
Created
2026-10-06
Lineage
Parents (2)
logic of PriceMomentum_V0186 with risk overlay of PriceMomentum_V0160
entry = PriceMomentum_V0671 OR PriceMomentum_V0640
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1196 [hybrid]
if flat and ((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 < -0.1357 or roll_high_50 < sma_20):
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 12.1% | 100.3% | 6.0% | 24.6% |
| Total Return | 148.4% | 703.3% | 24.2% | 2452.3% |
| Sharpe | 0.52 | 1.84 | 0.34 | 0.80 |
| Sortino | 0.58 | 2.41 | 0.40 | 0.95 |
| Calmar | 0.21 | 2.82 | 0.14 | 0.43 |
| Volatility | 31.6% | 42.7% | 34.9% | 35.0% |
| Max DD | -57.4% | -35.6% | -43.2% | -57.4% |
| Win Rate | 45.0% | 62.5% | 40.0% | 47.4% |
| Avg Win | 29.2% | 65.0% | 20.1% | 42.4% |
| Avg Loss | -12.1% | -7.5% | -8.6% | -10.3% |
| Payoff | 2.42 | 8.64 | 2.35 | 4.10 |
| Expectancy | 6.5% | 37.8% | 2.9% | 14.6% |
| Profit Factor | 1.98 | 10.00 | 1.56 | 3.69 |
| Trades | 20 | 8 | 10 | 38 |
| Avg Holding Days | 61.7 | 65.4 | 60.6 | 64.2 |
| Turnover | 9.4 | 7.7 | 6.6 | 8.3 |
| Exposure | 52.6% | 56.7% | 57.2% | 54.6% |
Growth of $100
PriceMomentum_V1196 vs TSLA Buy & Hold
PriceMomentum_V1196 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 | -26.0% | -1.22 | -37.1% | 4 |
| 2017 | 12.2% | 0.53 | -31.6% | 2 |
| 2018 | -11.1% | -0.31 | -23.5% | 3 |
| 2019 | 52.7% | 1.54 | -22.9% | 2 |
| 2020 | 533.1% | 3.93 | -15.9% | 2 |
| 2021 | 39.4% | 1.02 | -26.7% | 3 |
| 2022 | -12.7% | -0.22 | -25.0% | 3 |
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 | -3.5% | -0.16 | 30% |
| hidden test | EXPENSIVE | 83 | 78.3% | 1.90 | 65% |
| hidden test | EXTREME | 48 | 95.3% | 2.50 | 46% |
| hidden test | HIGH VOLATILITY | 254 | -3.6% | -0.13 | 25% |
| hidden test | LOW VOLATILITY | 438 | 48.3% | 1.44 | 71% |
| hidden test | MEDIUM VOLATILITY | 250 | -36.1% | -0.85 | 65% |
| hidden test | NORMAL | 811 | 0.2% | 0.01 | 57% |
| hidden test | SIDEWAYS | 293 | -30.9% | -0.85 | 69% |
| hidden test | UPTREND | 371 | 57.3% | 1.40 | 68% |
| train | DOWNTREND | 518 | -8.9% | -0.42 | 24% |
| train | EXPENSIVE | 311 | 64.8% | 1.66 | 65% |
| train | EXTREME | 100 | 211.4% | 5.29 | 59% |
| train | HIGH VOLATILITY | 699 | 16.8% | 0.50 | 26% |
| train | LOW VOLATILITY | 745 | 36.0% | 1.33 | 69% |
| train | MEDIUM VOLATILITY | 568 | -10.0% | -0.29 | 63% |
| train | NORMAL | 1,601 | -5.3% | -0.18 | 50% |
| train | SIDEWAYS | 592 | -16.0% | -0.52 | 47% |
| train | UPTREND | 902 | 52.1% | 1.42 | 73% |
| validation | DOWNTREND | 125 | 49.4% | 2.08 | 16% |
| validation | EXPENSIVE | 138 | 98.5% | 1.95 | 77% |
| validation | EXTREME | 144 | 277.5% | 5.41 | 54% |
| validation | HIGH VOLATILITY | 258 | 68.4% | 1.82 | 25% |
| validation | LOW VOLATILITY | 183 | 56.0% | 1.69 | 87% |
| validation | MEDIUM VOLATILITY | 315 | 100.0% | 1.96 | 65% |
| validation | NORMAL | 474 | 12.3% | 0.34 | 52% |
| validation | SIDEWAYS | 206 | -15.3% | -0.40 | 57% |
| validation | UPTREND | 425 | 132.7% | 2.74 | 69% |
Trades (full period)
39 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | — | $348.95 | — | 4.27% | 30 | OPEN |
| 2026-04-20 | 2026-06-26 | $392.50 | $379.71 | -6.55% | 48 | |
| 2025-04-30 | 2026-04-09 | $282.16 | $345.62 | 7.77% | 237 | |
| 2025-04-10 | 2025-04-23 | $252.40 | $250.74 | -5.28% | 9 | |
| 2024-11-07 | 2025-01-28 | $296.91 | $398.09 | 18.10% | 54 | |
| 2024-09-05 | 2024-10-23 | $230.17 | $213.65 | -4.78% | 35 | |
| 2024-04-30 | 2024-08-05 | $183.28 | $198.88 | 24.03% | 67 | |
| 2023-11-17 | 2024-01-18 | $234.30 | $211.88 | -7.91% | 41 | |
| 2023-09-12 | 2023-10-20 | $267.48 | $211.99 | -19.71% | 29 | |
| 2023-05-24 | 2023-08-14 | $182.90 | $239.76 | 30.36% | 56 | |
| 2023-01-27 | 2023-03-10 | $177.90 | $173.44 | -7.10% | 30 | |
| 2022-06-24 | 2022-10-06 | $245.71 | $238.13 | 2.02% | 73 | |
| 2022-03-22 | 2022-04-27 | $331.33 | $293.84 | -5.04% | 26 | |
| 2022-01-04 | 2022-01-26 | $383.20 | $312.47 | -9.89% | 16 | |
| 2021-06-14 | 2021-12-06 | $205.90 | $336.34 | 54.46% | 123 | |
| 2021-04-05 | 2021-05-12 | $230.35 | $196.63 | -7.64% | 28 | |
| 2020-10-07 | 2021-02-23 | $141.77 | $232.95 | 65.68% | 95 | |
| 2020-04-14 | 2020-09-30 | $47.33 | $143.00 | 141.57% | 119 | |
| 2019-09-13 | 2020-03-05 | $16.35 | $48.30 | 155.38% | 120 | |
| 2019-07-01 | 2019-08-15 | $15.14 | $14.38 | 0.62% | 33 | |
| 2018-10-29 | 2019-01-04 | $22.32 | $21.18 | -5.51% | 46 | |
| 2018-08-03 | 2018-09-05 | $23.21 | $18.72 | -7.25% | 23 | |
| 2018-04-27 | 2018-07-30 | $19.61 | $19.34 | 4.22% | 65 | |
| 2017-12-12 | 2018-03-26 | $22.74 | $20.28 | -8.93% | 71 | |
| 2017-08-04 | 2017-11-03 | $23.79 | $20.41 | -13.15% | 65 | |
| 2016-12-20 | 2017-07-07 | $13.92 | $20.88 | 46.17% | 137 | |
| 2016-07-22 | 2016-09-06 | $14.82 | $13.52 | -10.48% | 32 | |
| 2016-06-08 | 2016-06-27 | $15.70 | $13.24 | -16.14% | 14 | |
| 2016-03-04 | 2016-05-05 | $13.40 | $14.10 | 5.43% | 44 | |
| 2015-11-30 | 2016-01-21 | $15.35 | $13.33 | -14.61% | 36 | |
| 2015-09-22 | 2015-10-13 | $17.40 | $14.62 | -18.57% | 16 | |
| 2015-04-13 | 2015-08-26 | $13.99 | $14.99 | 9.59% | 96 | |
| 2014-11-11 | 2014-12-11 | $16.74 | $13.93 | -13.43% | 22 | |
| 2014-05-28 | 2014-10-01 | $14.02 | $16.02 | 14.48% | 89 | |
| 2013-12-13 | 2014-03-27 | $9.84 | $13.82 | 31.45% | 71 | |
| 2012-11-06 | 2013-10-29 | $2.08 | $10.96 | 150.65% | 247 | |
| 2012-08-24 | 2012-10-16 | $1.97 | $1.87 | -9.92% | 37 | |
| 2012-06-19 | 2012-08-02 | $2.14 | $1.74 | -14.72% | 32 | |
| 2012-02-02 | 2012-04-25 | $2.02 | $2.19 | 0.43% | 58 |