Strategy Zoo / S1235

PriceMomentum_V1235

ARCHIVEDhybrid

crossoverlogic of PriceMomentum_V0792 with risk overlay of PriceMomentum_V1133

Fitness

0.5673

Generation

Complexity

Created

2026-10-07

Lineage

Parents (2)

PriceMomentum_V0792S0792 · gen 36ARCHIVEDcrossover

changed ret_20d threshold -0.006 -> -0.1496

PriceMomentum_V1133S1133 · gen 52ELITEcrossover

entry from PriceMomentum_V0690, exit from PriceMomentum_V0624

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1235  [hybrid]
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 < -0.1496:
    position = 0.0  # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	7.1%	104.9%	-13.2%	16.1%
Total Return	72.9%	759.9%	-41.2%	800.6%
Sharpe	0.37	1.89	-0.17	0.59
Sortino	0.45	2.48	-0.20	0.73
Calmar	0.10	3.02	-0.21	0.23
Volatility	34.3%	42.8%	39.0%	37.5%
Max DD	-67.7%	-34.7%	-64.4%	-69.8%
Win Rate	42.1%	62.5%	25.0%	41.0%
Avg Win	28.9%	67.6%	26.4%	47.1%
Avg Loss	-13.1%	-7.0%	-13.3%	-12.4%
Payoff	2.20	9.69	1.99	3.81
Expectancy	4.6%	39.6%	-3.3%	12.0%
Profit Factor	1.60	10.00	0.66	2.65
Trades	19	8	12	39
Avg Holding Days	80.4	65.9	58.3	72.6
Turnover	9.6	7.7	8.9	9.0
Exposure	64.3%	57.0%	65.8%	63.2%

Growth of $100

PriceMomentum_V1235 vs TSLA Buy & Hold

PriceMomentum_V1235 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	-21.7%	-0.72	-38.9%	2
2017	12.9%	0.55	-31.2%	2
2018	-13.2%	-0.34	-29.2%	3
2019	16.3%	0.59	-31.5%	3
2020	568.2%	4.02	-15.9%	2
2021	39.4%	1.02	-26.7%	3
2022	-11.5%	-0.18	-25.2%	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	-29.4%	-0.91	44%
hidden test	EXPENSIVE	83	25.1%	0.57	71%
hidden test	EXTREME	48	96.1%	2.35	56%
hidden test	HIGH VOLATILITY	254	-6.2%	-0.18	29%
hidden test	LOW VOLATILITY	439	27.5%	0.76	81%
hidden test	MEDIUM VOLATILITY	250	-66.5%	-1.42	76%
hidden test	NORMAL	812	-15.8%	-0.41	66%
hidden test	SIDEWAYS	294	-56.4%	-1.40	78%
hidden test	UPTREND	371	50.2%	1.19	72%
train	DOWNTREND	518	-28.8%	-0.97	56%
train	EXPENSIVE	311	65.3%	1.68	65%
train	EXTREME	100	211.4%	5.29	59%
train	HIGH VOLATILITY	699	8.9%	0.25	32%
train	LOW VOLATILITY	745	33.8%	1.11	87%
train	MEDIUM VOLATILITY	568	-10.1%	-0.27	74%
train	NORMAL	1,601	-9.9%	-0.30	65%
train	SIDEWAYS	592	-10.8%	-0.33	57%
train	UPTREND	902	52.1%	1.40	74%
validation	DOWNTREND	125	48.7%	2.05	16%
validation	EXPENSIVE	138	98.5%	1.95	77%
validation	EXTREME	144	287.3%	5.56	54%
validation	HIGH VOLATILITY	258	73.5%	1.94	25%
validation	LOW VOLATILITY	183	56.0%	1.69	87%
validation	MEDIUM VOLATILITY	315	101.4%	1.99	66%
validation	NORMAL	474	13.1%	0.36	52%
validation	SIDEWAYS	206	-13.2%	-0.34	58%
validation	UPTREND	425	136.0%	2.80	69%

Trades (full period)

40 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-21	—	$362.86	—	10.20%	32	OPEN
2026-04-20	2026-07-27	$392.50	$309.22	-21.85%	68
2025-04-08	2026-04-10	$221.86	$348.95	20.02%	253
2024-11-07	2025-02-12	$296.91	$336.51	-1.24%	65
2024-09-04	2024-10-24	$219.41	$260.48	-2.76%	37
2024-04-30	2024-08-05	$183.28	$198.88	24.03%	67
2024-04-15	2024-04-23	$161.48	$144.68	-17.13%	7
2024-02-26	2024-03-18	$199.40	$173.80	-14.96%	16
2023-11-16	2024-01-18	$233.59	$211.88	-11.42%	42
2023-09-12	2023-10-27	$267.48	$207.30	-24.94%	34
2023-05-19	2023-08-15	$180.14	$232.96	35.27%	60
2023-04-03	2023-04-26	$194.77	$153.75	-22.71%	17
2023-01-24	2023-03-13	$143.89	$174.48	-2.45%	34
2022-06-22	2022-10-06	$236.09	$238.13	1.67%	75
2022-03-21	2022-04-27	$307.05	$293.84	-3.39%	27
2022-01-04	2022-01-26	$383.20	$312.47	-9.89%	16
2021-06-14	2021-12-06	$205.90	$336.34	54.46%	123
2021-04-05	2021-05-12	$230.35	$196.63	-7.64%	28
2020-10-07	2021-02-23	$141.77	$232.95	65.68%	95
2020-04-13	2020-09-30	$43.40	$143.00	155.05%	120
2019-09-11	2020-03-05	$16.47	$48.30	166.59%	122
2019-06-18	2019-08-22	$14.98	$14.81	1.63%	47
2019-01-18	2019-04-29	$20.15	$16.10	-27.81%	69
2018-10-04	2019-01-04	$18.79	$21.18	-0.40%	63
2018-08-03	2018-09-05	$23.21	$18.72	-7.25%	23
2018-04-27	2018-07-30	$19.61	$19.34	4.22%	65
2017-12-12	2018-03-28	$22.74	$17.19	-15.69%	73
2017-08-04	2017-11-03	$23.79	$20.41	-13.15%	65
2016-06-08	2017-07-10	$15.70	$21.07	19.87%	274
2016-03-04	2016-05-05	$13.40	$14.10	5.43%	44
2015-11-09	2016-01-27	$15.02	$12.54	-16.83%	54
2015-09-17	2015-10-15	$17.47	$14.75	-17.16%	21
2015-02-04	2015-08-26	$14.57	$14.99	5.84%	142
2014-11-11	2014-12-11	$16.74	$13.93	-13.43%	22
2014-05-28	2014-10-13	$14.02	$14.97	11.76%	97
2013-12-13	2014-03-27	$9.84	$13.82	31.45%	71
2012-11-06	2013-10-29	$2.08	$10.96	150.65%	247
2012-08-24	2012-10-16	$1.97	$1.87	-9.92%	37
2012-06-19	2012-08-03	$2.14	$1.82	-14.92%	33
2012-01-27	2012-05-21	$1.96	$1.92	-7.58%	80