Strategy Zoo / S1231
PriceMomentum_V1231
ARCHIVEDhybridparameterchanged ret_20d threshold 0.05 -> 0.1766; changed ret_60d threshold -0.2905 -> -0.0579
Fitness
0.6981
Generation
56
Complexity
17
Created
2026-10-07
Lineage
Parents (1)
entry = PriceMomentum_V0758 OR PriceMomentum_V0641
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1231 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (ret_20d > 0.1766 or (ret_20d > 0.1146 and ((((close > sma_200 and sma_200_slope > 0.0) or ret_60d > -0.0579) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05))):
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 21.0% | 106.9% | 11.1% | 32.3% |
| Total Return | 357.2% | 785.3% | 48.0% | 6068.0% |
| Sharpe | 0.95 | 1.86 | 0.65 | 1.14 |
| Sortino | 0.65 | 1.56 | 0.39 | 0.77 |
| Calmar | 0.96 | 3.17 | 0.53 | 0.96 |
| Volatility | 22.7% | 44.5% | 18.8% | 27.8% |
| Max DD | -21.8% | -33.7% | -21.0% | -33.7% |
| Win Rate | 55.6% | 80.0% | 66.7% | 64.7% |
| Avg Win | 60.7% | 79.2% | 25.8% | 62.1% |
| Avg Loss | -2.1% | -0.7% | -4.7% | -2.3% |
| Payoff | 10.00 | 10.00 | 5.47 | 10.00 |
| Expectancy | 32.8% | 63.2% | 15.7% | 39.4% |
| Profit Factor | 10.00 | 10.00 | 10.00 | 10.00 |
| Trades | 9 | 5 | 3 | 17 |
| Avg Holding Days | 32.7 | 47.8 | 32.0 | 37.5 |
| Turnover | 2.4 | 3.3 | 1.6 | 2.3 |
| Exposure | 14.5% | 31.0% | 9.9% | 16.7% |
Growth of $100
PriceMomentum_V1231 vs TSLA Buy & Hold
PriceMomentum_V1231 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 | -3.3% | -0.03 | -21.8% | 5 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 3.4% | 0.65 | -3.8% | 0 |
| 2020 | 687.7% | 3.19 | -33.7% | 4 |
| 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 | 34.0% | 0.79 | 66% |
| hidden test | EXTREME | 48 | 210.8% | 3.53 | 75% |
| hidden test | HIGH VOLATILITY | 254 | 27.8% | 1.06 | 15% |
| hidden test | LOW VOLATILITY | 439 | 18.8% | 2.10 | 4% |
| hidden test | MEDIUM VOLATILITY | 250 | -15.2% | -0.69 | 15% |
| hidden test | NORMAL | 812 | -1.7% | -0.79 | 0% |
| hidden test | SIDEWAYS | 294 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 31.1% | 1.04 | 25% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 14.3% | 0.39 | 60% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 46.5% | 1.41 | 21% |
| train | LOW VOLATILITY | 745 | 7.9% | 0.78 | 10% |
| train | MEDIUM VOLATILITY | 568 | 8.6% | 0.46 | 13% |
| train | NORMAL | 1,601 | -1.7% | -0.78 | 0% |
| train | SIDEWAYS | 592 | 1.4% | 0.63 | 0% |
| train | UPTREND | 902 | 47.1% | 1.40 | 32% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 63.9% | 1.10 | 80% |
| validation | EXTREME | 144 | 374.9% | 4.55 | 85% |
| validation | HIGH VOLATILITY | 258 | 140.8% | 2.19 | 38% |
| 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 | 145.4% | 2.47 | 55% |
Trades (full period)
17 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 | 2025-01-17 | $296.91 | $426.50 | 43.14% | 48 | |
| 2020-11-19 | 2021-02-19 | $166.42 | $260.43 | 61.48% | 62 | |
| 2020-10-07 | 2020-11-13 | $141.77 | $136.17 | -0.73% | 28 | |
| 2020-05-20 | 2020-09-30 | $54.37 | $143.00 | 158.81% | 93 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-12-20 | 2020-03-05 | $27.04 | $48.30 | 85.13% | 51 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | 1.44% | 15 | |
| 2017-04-07 | 2017-07-07 | $20.17 | $20.88 | 3.19% | 63 | |
| 2017-04-04 | 2017-04-06 | $20.25 | $19.91 | -1.38% | 3 | |
| 2017-02-07 | 2017-02-28 | $17.17 | $16.67 | -4.67% | 15 | |
| 2017-01-25 | 2017-01-31 | $16.96 | $16.80 | -1.76% | 5 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 21.21% | 43 | |
| 2013-04-12 | 2013-10-24 | $2.92 | $11.54 | 276.63% | 137 | |
| 2013-02-14 | 2013-02-15 | $2.55 | $2.47 | -0.67% | 2 | |
| 2013-01-29 | 2013-02-12 | $2.53 | $2.53 | 0.82% | 11 |