Strategy Zoo / S1234

PriceMomentum_V1234

ARCHIVEDhybrid

structuralchanged ret_20d threshold -0.1496 -> -0.1905; reduce exposure to 62% during MEDIUM_VOLATILITY

Fitness

0.5643

Generation

Complexity

Created

2026-10-07

Lineage

Parents (1)

PriceMomentum_V0792S0792 · gen 36ARCHIVEDstructural

changed ret_20d threshold -0.006 -> -0.1496

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1234  [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (ret_20d > 0.05 or (breakout_20 == 1 and dist_sma_20 > -0.121 and vol_chg < 1.2007)):
    position = 1.0
if long and ret_20d < -0.1905:
    position = 0.0  # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.62

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	20.8%	61.6%	3.9%	23.6%
Total Return	352.0%	322.0%	15.2%	2162.5%
Sharpe	0.95	1.35	0.30	0.92
Sortino	0.73	1.02	0.19	0.62
Calmar	0.69	1.58	0.12	0.61
Volatility	22.4%	42.3%	18.2%	26.9%
Max DD	-30.3%	-39.0%	-31.9%	-39.0%
Win Rate	55.6%	100.0%	66.7%	68.8%
Avg Win	56.1%	47.8%	9.8%	46.1%
Avg Loss	-2.7%	0.0%	-4.3%	-3.0%
Payoff	10.00	5.00	2.30	10.00
Expectancy	30.0%	47.8%	5.1%	30.7%
Profit Factor	10.00	5.00	4.59	10.00
Trades	9	4	3	16
Avg Holding Days	39.3	63.0	40.0	46.1
Turnover	4.2	4.7	3.0	3.9
Exposure	15.8%	27.6%	10.6%	16.9%

Growth of $100

PriceMomentum_V1234 vs TSLA Buy & Hold

PriceMomentum_V1234 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	4.4%	0.30	-16.3%	5
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	302.5%	2.31	-39.0%	3
2021	2.0%	0.22	-9.5%	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	-24.0%	-0.60	64%
hidden test	EXTREME	48	173.4%	2.88	93%
hidden test	HIGH VOLATILITY	254	25.5%	0.96	18%
hidden test	LOW VOLATILITY	439	15.2%	1.67	5%
hidden test	MEDIUM VOLATILITY	250	-32.1%	-1.66	13%
hidden test	NORMAL	812	-1.5%	-0.74	0%
hidden test	SIDEWAYS	294	-4.1%	-0.95	0%
hidden test	UPTREND	371	17.1%	0.59	27%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	21.5%	0.58	70%
train	EXTREME	100	397.9%	5.54	93%
train	HIGH VOLATILITY	699	46.2%	1.43	23%
train	LOW VOLATILITY	745	13.3%	1.10	11%
train	MEDIUM VOLATILITY	568	1.2%	0.07	12%
train	NORMAL	1,601	-2.2%	-0.96	0%
train	SIDEWAYS	592	0.9%	0.63	0%
train	UPTREND	902	47.0%	1.41	35%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	14.7%	0.28	64%
validation	EXTREME	144	287.6%	3.59	83%
validation	HIGH VOLATILITY	258	95.5%	1.45	43%
validation	LOW VOLATILITY	183	10.1%	0.51	17%
validation	MEDIUM VOLATILITY	315	52.7%	2.31	21%
validation	NORMAL	474	-0.8%	-0.78	0%
validation	SIDEWAYS	206	3.1%	0.66	1%
validation	UPTREND	425	99.9%	1.78	49%

Trades (full period)

16 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-15	2025-11-13	$410.04	$401.99	5.24%	44
2025-05-28	2025-06-02	$356.90	$342.69	-4.27%	4
2024-11-07	2025-02-24	$296.91	$330.53	14.38%	72
2020-11-19	2021-02-19	$166.42	$260.43	31.88%	62
2020-05-15	2020-11-13	$53.28	$136.17	115.97%	128
2020-04-14	2020-04-30	$47.33	$52.13	22.74%	13
2019-12-17	2020-03-13	$25.27	$36.44	36.13%	60
2017-09-18	2017-09-26	$25.67	$23.02	-7.48%	7
2017-04-07	2017-08-24	$20.17	$23.53	9.29%	97
2017-03-28	2017-04-06	$18.50	$19.91	5.95%	8
2017-02-03	2017-02-28	$16.76	$16.67	-0.84%	17
2017-01-25	2017-01-31	$16.96	$16.80	-1.76%	5
2014-01-24	2014-04-11	$11.64	$13.59	5.98%	55
2013-04-11	2013-11-08	$2.91	$9.20	252.59%	149
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