Strategy Zoo / S1230
PriceMomentum_V1230
ARCHIVEDhybridstructuralreplaced exit rule with: sma_20 < roll_high_50
Fitness
0.4018
Generation
56
Complexity
2
Created
2026-10-07
Lineage
Parents (1)
entry from PriceMomentum_V0640, exit from PriceMomentum_V0449
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1230 [hybrid]
if flat and ret_20d > 0.184:
position = 1.0
if long and sma_20 < roll_high_50:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 6.0% | 33.3% | 0.7% | 9.6% |
| Total Return | 59.4% | 136.8% | 2.6% | 286.8% |
| Sharpe | 0.42 | 1.07 | 0.14 | 0.53 |
| Sortino | 0.29 | 0.95 | 0.08 | 0.36 |
| Calmar | 0.31 | 1.76 | 0.02 | 0.32 |
| Volatility | 17.2% | 31.5% | 20.9% | 21.8% |
| Max DD | -19.4% | -18.9% | -29.9% | -29.9% |
| Win Rate | 50.7% | 54.5% | 56.2% | 53.5% |
| Avg Win | 2.9% | 4.3% | 3.0% | 3.4% |
| Avg Loss | -2.1% | -3.2% | -3.6% | -2.8% |
| Payoff | 1.34 | 1.36 | 0.84 | 1.19 |
| Expectancy | 0.4% | 0.9% | 0.1% | 0.5% |
| Profit Factor | 1.38 | 1.63 | 1.08 | 1.37 |
| Trades | 142 | 110 | 89 | 342 |
| Avg Holding Days | 2.0 | 2.0 | 2.0 | 2.0 |
| Turnover | 35.7 | 73.3 | 47.6 | 46.4 |
| Exposure | 7.1% | 14.6% | 9.4% | 9.2% |
Growth of $100
PriceMomentum_V1230 vs TSLA Buy & Hold
PriceMomentum_V1230 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 | 8.1% | 0.94 | -4.5% | 14 |
| 2017 | 4.4% | 0.57 | -5.3% | 20 |
| 2018 | 2.2% | 0.26 | -7.8% | 14 |
| 2019 | -10.8% | -0.51 | -14.7% | 16 |
| 2020 | 126.6% | 1.92 | -18.9% | 69 |
| 2021 | 8.6% | 0.49 | -15.4% | 24 |
| 2022 | -4.0% | -0.29 | -10.3% | 16 |
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 | 19.0% | 1.48 | 3% |
| hidden test | EXPENSIVE | 83 | 11.7% | 0.54 | 22% |
| hidden test | EXTREME | 48 | 73.0% | 1.71 | 27% |
| hidden test | HIGH VOLATILITY | 254 | 2.7% | 0.08 | 15% |
| hidden test | LOW VOLATILITY | 439 | 4.2% | 0.36 | 6% |
| hidden test | MEDIUM VOLATILITY | 250 | 0.9% | 0.05 | 10% |
| hidden test | NORMAL | 812 | -2.1% | -0.11 | 7% |
| hidden test | SIDEWAYS | 294 | -16.8% | -0.86 | 7% |
| hidden test | UPTREND | 371 | 6.5% | 0.25 | 16% |
| train | DOWNTREND | 518 | 0.9% | 0.27 | 1% |
| train | EXPENSIVE | 311 | 2.2% | 0.12 | 13% |
| train | EXTREME | 100 | 157.1% | 2.75 | 40% |
| train | HIGH VOLATILITY | 699 | 19.0% | 0.71 | 12% |
| train | LOW VOLATILITY | 745 | -1.1% | -0.15 | 5% |
| train | MEDIUM VOLATILITY | 568 | 3.7% | 0.37 | 4% |
| train | NORMAL | 1,601 | -1.1% | -0.11 | 4% |
| train | SIDEWAYS | 592 | -8.2% | -0.66 | 4% |
| train | UPTREND | 902 | 21.0% | 0.90 | 13% |
| validation | DOWNTREND | 125 | 11.5% | 1.42 | 1% |
| validation | EXPENSIVE | 138 | 26.8% | 0.92 | 22% |
| validation | EXTREME | 144 | 160.3% | 2.68 | 35% |
| validation | HIGH VOLATILITY | 258 | 71.4% | 1.58 | 17% |
| validation | LOW VOLATILITY | 183 | 3.7% | 0.53 | 3% |
| validation | MEDIUM VOLATILITY | 315 | 20.1% | 0.76 | 19% |
| validation | NORMAL | 474 | -2.9% | -0.19 | 6% |
| validation | SIDEWAYS | 206 | -2.8% | -0.20 | 7% |
| validation | UPTREND | 425 | 57.8% | 1.42 | 22% |
Trades (full period)
latest 100 of 342
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.79% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.82% | 2 | |
| 2025-12-23 | 2025-12-24 | $485.56 | $485.40 | -0.85% | 2 | |
| 2025-12-19 | 2025-12-22 | $481.20 | $488.73 | -0.65% | 2 | |
| 2025-12-17 | 2025-12-18 | $467.26 | $483.37 | -4.81% | 2 | |
| 2025-10-08 | 2025-10-09 | $438.69 | $435.54 | 1.09% | 2 | |
| 2025-10-06 | 2025-10-07 | $453.25 | $433.09 | 5.24% | 2 | |
| 2025-10-02 | 2025-10-03 | $436.00 | $429.83 | -5.30% | 2 | |
| 2025-09-30 | 2025-10-01 | $444.72 | $459.46 | 0.14% | 2 | |
| 2025-09-26 | 2025-09-29 | $440.40 | $443.21 | 3.81% | 2 | |
| 2025-09-24 | 2025-09-25 | $442.79 | $423.39 | 3.77% | 2 | |
| 2025-09-22 | 2025-09-23 | $434.21 | $425.85 | 1.71% | 2 | |
| 2025-09-18 | 2025-09-19 | $416.85 | $426.07 | -2.31% | 2 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 2025-06-05 | 2025-06-06 | $284.70 | $295.14 | -14.45% | 2 | |
| 2025-06-03 | 2025-06-04 | $344.27 | $332.05 | 0.26% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -3.54% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.85% | 2 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.70% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -2.87% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -2.45% | 2 | |
| 2025-05-15 | 2025-05-16 | $342.82 | $349.98 | -1.60% | 2 | |
| 2025-05-13 | 2025-05-14 | $334.07 | $347.68 | 4.72% | 2 | |
| 2025-05-08 | 2025-05-09 | $284.82 | $298.26 | 2.91% | 2 | |
| 2024-12-31 | 2025-01-02 | $403.84 | $379.28 | -3.45% | 2 | |
| 2024-12-27 | 2024-12-30 | $431.66 | $417.41 | -5.14% | 2 | |
| 2024-12-24 | 2024-12-26 | $462.28 | $454.13 | 7.15% | 2 | |
| 2024-12-20 | 2024-12-23 | $421.06 | $430.60 | -3.66% | 2 | |
| 2024-12-18 | 2024-12-19 | $440.13 | $436.17 | -8.47% | 2 | |
| 2024-12-16 | 2024-12-17 | $463.02 | $479.86 | 5.94% | 2 | |
| 2024-12-12 | 2024-12-13 | $418.10 | $436.23 | -1.77% | 2 | |
| 2024-12-10 | 2024-12-11 | $400.99 | $424.77 | 2.67% | 2 | |
| 2024-12-06 | 2024-12-09 | $389.22 | $389.79 | 5.13% | 2 | |
| 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 | |
| 2024-11-27 | 2024-11-29 | $332.89 | $345.16 | -1.78% | 2 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -4.16% | 2 | |
| 2024-11-21 | 2024-11-22 | $339.64 | $352.56 | -0.90% | 2 | |
| 2024-11-19 | 2024-11-20 | $346.00 | $342.03 | 1.94% | 2 | |
| 2024-11-15 | 2024-11-18 | $320.72 | $338.74 | 2.86% | 2 | |
| 2024-11-13 | 2024-11-14 | $330.24 | $311.18 | 0.33% | 2 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 8.75% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-10-01 | 2024-10-02 | $258.02 | $249.02 | -1.58% | 2 | |
| 2024-09-27 | 2024-09-30 | $260.46 | $261.63 | 2.25% | 2 | |
| 2024-09-25 | 2024-09-26 | $257.02 | $254.22 | 0.88% | 2 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-24 | 2024-07-25 | $215.99 | $220.25 | -12.52% | 2 | |
| 2024-07-22 | 2024-07-23 | $251.51 | $246.38 | 4.94% | 2 | |
| 2024-07-18 | 2024-07-19 | $249.23 | $239.20 | 0.09% | 2 | |
| 2024-07-16 | 2024-07-17 | $256.56 | $248.50 | 1.35% | 2 | |
| 2024-07-12 | 2024-07-15 | $248.23 | $252.64 | 2.78% | 2 | |
| 2024-07-10 | 2024-07-11 | $263.26 | $241.03 | 0.15% | 2 | |
| 2024-07-08 | 2024-07-09 | $252.94 | $262.33 | 0.36% | 2 | |
| 2024-07-03 | 2024-07-05 | $246.39 | $251.52 | 6.34% | 2 | |
| 2024-05-22 | 2024-05-23 | $180.11 | $173.74 | -3.67% | 2 | |
| 2024-05-20 | 2024-05-21 | $174.95 | $186.60 | -1.61% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.24% | 2 | |
| 2023-09-19 | 2023-09-20 | $266.50 | $262.59 | 0.26% | 2 | |
| 2023-09-15 | 2023-09-18 | $274.39 | $265.28 | -0.80% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.95% | 2 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-07-03 | 2023-07-05 | $279.82 | $282.48 | 6.69% | 2 | |
| 2023-06-29 | 2023-06-30 | $257.50 | $261.77 | 0.29% | 2 | |
| 2023-06-27 | 2023-06-28 | $250.21 | $256.24 | 3.60% | 2 | |
| 2023-06-23 | 2023-06-26 | $256.60 | $241.05 | -3.22% | 2 | |
| 2023-06-21 | 2023-06-22 | $259.46 | $264.61 | -5.66% | 2 | |
| 2023-06-16 | 2023-06-20 | $260.54 | $274.45 | 1.61% | 2 | |
| 2023-06-14 | 2023-06-15 | $256.79 | $255.90 | -0.94% | 2 | |
| 2023-06-12 | 2023-06-13 | $249.83 | $258.71 | 2.02% | 2 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 4.38% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.50% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.91% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 1.18% | 2 | |
| 2023-05-25 | 2023-05-26 | $184.47 | $193.17 | 0.66% | 2 | |
| 2023-03-01 | 2023-03-02 | $202.77 | $190.90 | -1.63% | 2 | |
| 2023-02-27 | 2023-02-28 | $207.63 | $205.71 | 5.25% | 2 | |
| 2023-02-23 | 2023-02-24 | $202.07 | $196.88 | 0.40% | 2 | |
| 2023-02-21 | 2023-02-22 | $197.37 | $200.86 | -5.45% | 2 | |
| 2023-02-16 | 2023-02-17 | $202.04 | $208.31 | -5.89% | 2 | |
| 2023-02-14 | 2023-02-15 | $209.25 | $214.24 | 7.30% | 2 | |
| 2023-02-10 | 2023-02-13 | $196.89 | $194.64 | -5.23% | 2 | |
| 2023-02-08 | 2023-02-09 | $201.29 | $207.32 | 2.07% | 2 | |
| 2023-02-06 | 2023-02-07 | $194.76 | $196.81 | 2.31% | 2 | |
| 2023-02-02 | 2023-02-03 | $188.27 | $189.98 | 3.58% | 2 | |
| 2023-01-31 | 2023-02-01 | $173.22 | $181.41 | 3.73% | 2 | |
| 2023-01-27 | 2023-01-30 | $177.90 | $166.66 | 10.79% | 2 | |
| 2022-08-17 | 2022-08-18 | $304.00 | $302.87 | -1.04% | 2 | |
| 2022-08-15 | 2022-08-16 | $309.32 | $306.56 | 2.89% | 2 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -2.82% | 2 | |
| 2022-08-09 | 2022-08-10 | $283.33 | $294.36 | -2.64% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.20% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.91% | 2 | |
| 2022-07-29 | 2022-08-01 | $297.15 | $297.28 | 5.58% | 2 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.85% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.93% | 2 | |
| 2022-04-08 | 2022-04-11 | $341.83 | $325.31 | -3.20% | 2 | |
| 2022-04-06 | 2022-04-07 | $348.59 | $352.42 | -4.37% | 2 |