Strategy Zoo / S1211
PriceMomentum_V1211
ARCHIVEDhybridparameterchanged ret_20d threshold 0.184 -> 0.1097
Fitness
0.6917
Generation
55
Complexity
2
Created
2026-10-06
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.184
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1211 [hybrid]
if flat and ret_20d > 0.1097:
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 27.1% | 107.1% | 29.0% | 41.2% |
| Total Return | 579.5% | 788.9% | 158.7% | 15985.6% |
| Sharpe | 0.93 | 1.73 | 0.91 | 1.13 |
| Sortino | 0.92 | 1.79 | 0.83 | 1.10 |
| Calmar | 0.56 | 3.18 | 0.94 | 0.85 |
| Volatility | 31.0% | 49.2% | 34.6% | 36.3% |
| Max DD | -48.6% | -33.7% | -30.9% | -48.6% |
| Win Rate | 46.9% | 46.7% | 46.7% | 46.8% |
| Avg Win | 21.0% | 51.6% | 22.6% | 32.9% |
| Avg Loss | -5.9% | -5.7% | -5.2% | -5.7% |
| Payoff | 3.54 | 9.08 | 4.34 | 5.77 |
| Expectancy | 6.7% | 21.1% | 7.8% | 12.3% |
| Profit Factor | 3.12 | 7.94 | 3.80 | 5.07 |
| Trades | 32 | 15 | 15 | 62 |
| Avg Holding Days | 24.6 | 26.1 | 24.1 | 25.6 |
| Turnover | 8.1 | 10.0 | 8.0 | 8.4 |
| Exposure | 39.9% | 49.7% | 36.7% | 41.1% |
Growth of $100
PriceMomentum_V1211 vs TSLA Buy & Hold
PriceMomentum_V1211 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 | 21.5% | 1.21 | -15.9% | 3 |
| 2017 | 7.9% | 0.43 | -22.7% | 5 |
| 2018 | -31.1% | -1.29 | -34.8% | 6 |
| 2019 | 72.5% | 1.85 | -20.0% | 2 |
| 2020 | 512.2% | 2.90 | -33.7% | 5 |
| 2021 | 59.4% | 1.49 | -23.2% | 5 |
| 2022 | -12.7% | -0.36 | -26.9% | 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 | 22.3% | 0.86 | 21% |
| hidden test | EXPENSIVE | 83 | 83.9% | 2.01 | 58% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 48.3% | 1.03 | 41% |
| hidden test | LOW VOLATILITY | 438 | 54.3% | 2.19 | 34% |
| hidden test | MEDIUM VOLATILITY | 250 | -25.8% | -0.75 | 37% |
| hidden test | NORMAL | 811 | 17.0% | 0.53 | 33% |
| hidden test | SIDEWAYS | 293 | -1.0% | -0.03 | 35% |
| hidden test | UPTREND | 371 | 63.9% | 1.49 | 50% |
| train | DOWNTREND | 518 | 13.3% | 1.07 | 11% |
| train | EXPENSIVE | 311 | 43.8% | 1.13 | 68% |
| train | EXTREME | 100 | 380.3% | 5.23 | 96% |
| train | HIGH VOLATILITY | 699 | 52.0% | 1.29 | 36% |
| train | LOW VOLATILITY | 745 | 33.6% | 1.46 | 50% |
| train | MEDIUM VOLATILITY | 568 | -6.4% | -0.24 | 31% |
| train | NORMAL | 1,601 | 3.8% | 0.16 | 31% |
| train | SIDEWAYS | 592 | -8.7% | -0.36 | 28% |
| train | UPTREND | 902 | 62.1% | 1.52 | 65% |
| validation | DOWNTREND | 125 | 42.2% | 1.94 | 10% |
| validation | EXPENSIVE | 138 | 81.4% | 1.52 | 57% |
| validation | EXTREME | 144 | 324.6% | 3.95 | 92% |
| validation | HIGH VOLATILITY | 258 | 79.3% | 1.19 | 48% |
| validation | LOW VOLATILITY | 183 | 39.8% | 1.77 | 48% |
| validation | MEDIUM VOLATILITY | 315 | 115.8% | 2.67 | 52% |
| validation | NORMAL | 474 | 13.2% | 0.44 | 35% |
| validation | SIDEWAYS | 206 | -16.7% | -0.60 | 32% |
| validation | UPTREND | 425 | 146.8% | 2.40 | 70% |
Trades (full period)
62 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 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-08-29 | 2025-10-23 | $333.87 | $448.98 | 26.62% | 39 | |
| 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 | |
| 2024-06-27 | 2024-08-02 | $197.42 | $207.67 | 10.21% | 26 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.65% | 10 | |
| 2023-11-21 | 2024-01-05 | $241.20 | $237.49 | 0.79% | 31 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -12.27% | 13 | |
| 2023-05-23 | 2023-07-24 | $185.77 | $269.06 | 37.39% | 42 | |
| 2023-01-25 | 2023-03-08 | $144.43 | $182.00 | 30.19% | 30 | |
| 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 | |
| 2022-01-13 | 2022-01-24 | $343.85 | $310.00 | -14.85% | 7 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-08-13 | 2021-12-01 | $239.06 | $365.00 | 58.18% | 77 | |
| 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 | 2021-04-08 | $230.54 | $227.93 | -3.10% | 3 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 77.07% | 55 | |
| 2020-10-22 | 2020-10-27 | $141.93 | $141.56 | -0.76% | 4 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.68% | 6 | |
| 2020-08-18 | 2020-09-24 | $125.81 | $129.26 | 3.40% | 27 | |
| 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 | |
| 2019-09-13 | 2019-10-10 | $16.35 | $16.32 | -0.74% | 20 | |
| 2019-06-21 | 2019-08-02 | $14.79 | $15.62 | 6.27% | 30 | |
| 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 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -7.18% | 5 | |
| 2018-01-31 | 2018-02-07 | $23.62 | $23.00 | -3.62% | 6 | |
| 2017-09-20 | 2017-09-25 | $24.93 | $23.00 | -6.59% | 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 | |
| 2017-03-29 | 2017-05-24 | $18.49 | $20.68 | 9.30% | 40 | |
| 2016-12-21 | 2017-02-28 | $13.85 | $16.67 | 17.70% | 46 | |
| 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 | |
| 2015-12-01 | 2015-12-07 | $15.81 | $15.41 | -0.14% | 5 | |
| 2015-09-22 | 2015-09-30 | $17.40 | $16.56 | -6.83% | 7 | |
| 2015-04-14 | 2015-07-09 | $13.83 | $17.19 | 21.29% | 61 | |
| 2014-11-14 | 2014-12-02 | $17.25 | $15.43 | -8.15% | 12 | |
| 2014-08-07 | 2014-09-16 | $16.83 | $17.38 | 1.78% | 28 | |
| 2014-06-09 | 2014-07-16 | $13.69 | $14.48 | 5.27% | 27 | |
| 2014-01-17 | 2014-03-26 | $11.33 | $14.20 | 28.68% | 47 | |
| 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 | |
| 2012-07-02 | 2012-07-20 | $2.03 | $2.12 | 2.92% | 14 | |
| 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 | |
| 2012-02-06 | 2012-03-23 | $2.12 | $2.27 | 10.21% | 34 |