Strategy Zoo / S1225
PriceMomentum_V1225
ARCHIVEDhybridparameterchanged ret_20d threshold 0.05 -> -0.0676
Fitness
0.6515
Generation
56
Complexity
9
Created
2026-10-07
Lineage
Parents (1)
changed ret_20d threshold -0.006 -> -0.1496
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1225 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (ret_20d > -0.0676 or (breakout_20 == 1 and dist_sma_20 > -0.121 and vol_chg < 1.2007)):
position = 1.0
if long and ret_20d < -0.1496:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.4% | 90.3% | 2.4% | 26.5% |
| Total Return | 310.8% | 588.7% | 9.3% | 3084.9% |
| Sharpe | 0.85 | 1.64 | 0.22 | 0.95 |
| Sortino | 0.57 | 1.37 | 0.15 | 0.65 |
| Calmar | 0.52 | 2.68 | 0.07 | 0.71 |
| Volatility | 24.2% | 45.5% | 20.0% | 29.0% |
| Max DD | -37.5% | -33.7% | -34.8% | -37.5% |
| Win Rate | 50.0% | 66.7% | 50.0% | 54.5% |
| Avg Win | 54.6% | 79.6% | 11.1% | 57.6% |
| Avg Loss | -6.3% | -12.3% | -5.8% | -7.4% |
| Payoff | 8.62 | 6.48 | 1.90 | 7.75 |
| Expectancy | 24.2% | 49.0% | 2.6% | 28.0% |
| Profit Factor | 8.62 | 10.00 | 1.90 | 9.30 |
| Trades | 12 | 6 | 4 | 22 |
| Avg Holding Days | 27.6 | 41.3 | 30.3 | 32.3 |
| Turnover | 3.1 | 4.0 | 2.1 | 3.0 |
| Exposure | 16.4% | 32.0% | 12.4% | 18.6% |
Growth of $100
PriceMomentum_V1225 vs TSLA Buy & Hold
PriceMomentum_V1225 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 | -2.1% | 0.06 | -27.0% | 7 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 9.5% | 1.31 | -3.8% | 0 |
| 2020 | 513.4% | 2.79 | -33.7% | 5 |
| 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 | -32.5% | -0.70 | 80% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 17.2% | 0.63 | 21% |
| hidden test | LOW VOLATILITY | 439 | 17.6% | 1.85 | 4% |
| hidden test | MEDIUM VOLATILITY | 250 | -31.8% | -1.32 | 18% |
| hidden test | NORMAL | 812 | -2.5% | -0.98 | 0% |
| hidden test | SIDEWAYS | 294 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 11.1% | 0.35 | 32% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 12.8% | 0.30 | 71% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 40.5% | 1.16 | 22% |
| train | LOW VOLATILITY | 745 | 9.5% | 0.84 | 11% |
| train | MEDIUM VOLATILITY | 568 | 10.4% | 0.52 | 16% |
| train | NORMAL | 1,601 | -2.7% | -0.95 | 0% |
| train | SIDEWAYS | 592 | 1.4% | 0.63 | 0% |
| train | UPTREND | 902 | 44.9% | 1.25 | 36% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 50.0% | 0.85 | 82% |
| validation | EXTREME | 144 | 346.8% | 4.08 | 89% |
| validation | HIGH VOLATILITY | 258 | 117.7% | 1.77 | 41% |
| 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 | 131.4% | 2.17 | 56% |
Trades (full period)
22 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 | |
| 2024-11-07 | 2025-02-12 | $296.91 | $336.51 | 13.63% | 65 | |
| 2024-10-25 | 2024-11-05 | $269.19 | $251.44 | -6.96% | 8 | |
| 2020-11-19 | 2021-02-19 | $166.42 | $260.43 | 61.48% | 62 | |
| 2020-10-02 | 2020-11-13 | $138.36 | $136.17 | -8.31% | 31 | |
| 2020-05-15 | 2020-09-30 | $53.28 | $143.00 | 160.31% | 96 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-03-06 | 2020-03-10 | $46.90 | $43.02 | -16.25% | 3 | |
| 2019-12-17 | 2020-03-05 | $25.27 | $48.30 | 96.07% | 54 | |
| 2017-10-05 | 2017-10-10 | $23.69 | $23.71 | -3.59% | 4 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -9.35% | 7 | |
| 2017-07-27 | 2017-08-24 | $22.30 | $23.53 | 2.39% | 21 | |
| 2017-04-07 | 2017-07-10 | $20.17 | $21.07 | 4.65% | 64 | |
| 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 | 2014-03-27 | $11.64 | $13.82 | 17.09% | 44 | |
| 2013-11-05 | 2013-11-08 | $11.79 | $9.20 | -20.38% | 4 | |
| 2013-04-11 | 2013-10-29 | $2.91 | $10.96 | 288.30% | 141 | |
| 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 |