Strategy Zoo / S1226

PriceMomentum_V1226

ARCHIVEDhybrid

structuraladded entry filter: sma_200 > roll_low_50

Fitness

0.6917

Generation

Complexity

Created

2026-10-07

Lineage

Parents (1)

PriceMomentum_V1155S1155 · gen 53ARCHIVEDstructural

entry from PriceMomentum_V0891, exit from LongTermTrend_V0909

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1226  [hybrid]
if flat and (((ret_20d > 0.0191 and breakout_50 == 1) or ((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)) and sma_200 > roll_low_50):
    position = 1.0
if long and ret_20d < -0.1003:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	25.1%	112.0%	22.1%	38.7%
Total Return	496.2%	852.9%	111.4%	12262.7%
Sharpe	0.81	1.80	0.73	1.04
Sortino	0.93	1.76	0.75	1.11
Calmar	0.54	3.32	0.75	0.84
Volatility	35.3%	48.4%	36.3%	38.6%
Max DD	-46.2%	-33.7%	-29.5%	-46.2%
Win Rate	45.0%	57.1%	60.0%	51.4%
Avg Win	38.2%	97.2%	17.0%	50.8%
Avg Loss	-10.4%	-6.0%	-5.1%	-8.5%
Payoff	3.68	10.00	3.33	5.98
Expectancy	11.5%	52.9%	8.2%	22.0%
Profit Factor	3.01	10.00	5.00	6.32
Trades	20	7	10	37
Avg Holding Days	53.2	51.7	41.6	51.9
Turnover	5.1	4.7	5.6	5.1
Exposure	55.7%	47.0%	46.3%	51.5%

Growth of $100

PriceMomentum_V1226 vs TSLA Buy & Hold

PriceMomentum_V1226 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	-16.1%	-0.64	-35.8%	4
2017	34.5%	1.23	-23.9%	1
2018	-6.7%	0.01	-33.7%	3
2019	66.7%	1.69	-24.9%	1
2020	454.8%	2.77	-33.7%	2
2021	60.5%	1.63	-17.6%	2
2022	6.3%	0.36	-27.1%	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	7.6%	0.27	32%
hidden test	EXPENSIVE	83	79.4%	1.86	64%
hidden test	EXTREME	48	141.4%	2.69	63%
hidden test	HIGH VOLATILITY	254	8.9%	0.19	48%
hidden test	LOW VOLATILITY	439	65.6%	2.46	45%
hidden test	MEDIUM VOLATILITY	250	-23.9%	-0.62	48%
hidden test	NORMAL	812	14.4%	0.42	44%
hidden test	SIDEWAYS	294	15.8%	0.49	46%
hidden test	UPTREND	371	49.4%	1.12	57%
train	DOWNTREND	518	12.3%	0.66	23%
train	EXPENSIVE	311	67.7%	1.67	65%
train	EXTREME	100	345.5%	4.80	87%
train	HIGH VOLATILITY	699	54.7%	1.22	46%
train	LOW VOLATILITY	745	41.6%	1.59	65%
train	MEDIUM VOLATILITY	568	-21.0%	-0.66	55%
train	NORMAL	1,601	1.1%	0.04	52%
train	SIDEWAYS	592	-18.9%	-0.58	49%
train	UPTREND	902	68.9%	1.59	78%
validation	DOWNTREND	125	40.5%	1.83	14%
validation	EXPENSIVE	138	-4.5%	-0.11	19%
validation	EXTREME	144	350.5%	4.17	93%
validation	HIGH VOLATILITY	258	134.2%	1.97	48%
validation	LOW VOLATILITY	183	66.4%	2.56	63%
validation	MEDIUM VOLATILITY	315	60.0%	1.58	36%
validation	NORMAL	474	33.4%	1.06	41%
validation	SIDEWAYS	206	9.2%	0.28	41%
validation	UPTREND	425	138.2%	2.35	60%

Trades (full period)

38 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	4.80%	31	OPEN
2026-04-20	2026-06-10	$392.50	$381.59	-1.18%	37
2025-08-11	2025-11-21	$339.03	$391.09	19.66%	74
2025-04-30	2025-07-02	$282.16	$315.65	2.76%	44
2025-04-10	2025-04-23	$252.40	$250.74	-12.76%	9
2024-11-29	2025-01-17	$345.16	$426.50	24.07%	33
2024-09-05	2024-10-22	$230.17	$217.97	-0.45%	34
2024-04-30	2024-08-02	$183.28	$207.67	11.52%	66
2023-11-17	2024-01-17	$234.30	$215.55	-6.04%	40
2023-05-24	2023-08-03	$182.90	$259.32	36.51%	49
2023-01-27	2023-03-10	$177.90	$173.44	7.69%	30
2022-07-14	2022-09-01	$238.31	$277.16	16.04%	36
2022-06-24	2022-07-05	$245.71	$233.07	-3.51%	7
2022-03-22	2022-04-27	$331.33	$293.84	-5.04%	26
2021-06-14	2021-12-03	$205.90	$338.32	77.48%	122
2021-04-29	2021-05-11	$225.67	$205.73	-9.60%	9
2020-04-14	2020-09-30	$47.33	$143.00	221.27%	119
2019-09-13	2020-03-05	$16.35	$48.30	204.23%	120
2019-07-01	2019-08-15	$15.14	$14.38	-1.91%	33
2018-10-29	2019-01-03	$22.32	$20.02	-6.47%	45
2018-08-03	2018-08-31	$23.21	$20.11	-13.45%	21
2018-04-27	2018-07-16	$19.61	$20.67	11.48%	55
2017-12-12	2018-03-23	$22.74	$20.10	-6.21%	70
2016-12-20	2017-07-07	$13.92	$20.88	52.04%	137
2016-07-22	2016-09-02	$14.82	$13.19	-9.13%	31
2016-06-08	2016-06-24	$15.70	$12.88	-15.64%	13
2016-03-04	2016-05-05	$13.40	$14.10	13.48%	44
2015-11-30	2016-01-19	$15.35	$13.65	-11.67%	34
2015-09-22	2015-10-12	$17.40	$14.37	-16.64%	15
2015-04-13	2015-08-12	$13.99	$15.88	12.33%	86
2014-11-11	2014-12-09	$16.74	$14.46	-11.57%	20
2014-05-28	2014-10-01	$14.02	$16.02	14.48%	89
2013-12-30	2014-03-26	$10.16	$14.20	45.58%	60
2013-05-07	2013-10-24	$3.70	$11.54	175.90%	120
2012-11-06	2013-03-20	$2.08	$2.40	11.14%	92
2012-08-24	2012-09-12	$1.97	$1.89	-9.72%	13
2012-06-19	2012-07-27	$2.14	$1.97	-11.83%	28
2012-02-02	2012-04-25	$2.02	$2.19	7.36%	58