Strategy Zoo / S1248

PriceMomentum_V1248

ARCHIVEDmomentum

structuraladded entry filter: vol_60 < 0.3753; reduce exposure to 67% during EXPENSIVE

Fitness

0.2935

Generation

Complexity

Created

2026-10-07

Lineage

Parents (1)

PriceMomentum_V0267S0267 · gen 12ARCHIVEDstructural

changed ret_20d threshold 0.05 -> 0.1146

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1248  [momentum]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and (ret_20d > 0.1146 and vol_60 < 0.3753):
    position = 1.0
if long and ret_20d < -0.1003:
    position = 0.0  # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.68
if regime.bubble == "EXPENSIVE": position *= 0.67

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	3.2%	13.6%	1.5%	4.8%
Total Return	28.7%	46.8%	5.5%	99.3%
Sharpe	0.35	1.07	0.71	0.52
Sortino	0.16	0.45	0.00	0.21
Calmar	0.24	1.10	14.54	0.29
Volatility	10.9%	12.7%	2.1%	9.9%
Max DD	-13.4%	-12.5%	-0.1%	-16.3%
Win Rate	57.1%	100.0%	100.0%	66.7%
Avg Win	9.7%	46.8%	5.5%	15.2%
Avg Loss	-3.6%	0.0%	0.0%	-3.6%
Payoff	2.74	5.00	5.00	4.27
Expectancy	4.0%	46.8%	5.5%	9.0%
Profit Factor	3.65	5.00	5.00	8.55
Trades	7	1	1	9
Avg Holding Days	39.9	56.0	3.0	37.6
Turnover	3.0	0.9	0.5	1.9
Exposure	10.9%	6.5%	0.2%	7.3%

Growth of $100

PriceMomentum_V1248 vs TSLA Buy & Hold

PriceMomentum_V1248 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	5.1%	1.34	-0.4%	1
2017	23.0%	1.32	-13.3%	1
2018	0.0%	0.00	0.0%	0
2019	0.0%	0.00	0.0%	0
2020	0.0%	0.00	0.0%	0
2021	46.8%	1.86	-12.5%	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	2.1%	0.95	0%
hidden test	EXPENSIVE	83	0.0%	0.00	0%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	0.0%	0.00	0%
hidden test	LOW VOLATILITY	439	3.1%	1.04	0%
hidden test	MEDIUM VOLATILITY	250	0.0%	0.00	0%
hidden test	NORMAL	812	1.7%	0.76	0%
hidden test	SIDEWAYS	294	2.7%	0.90	0%
hidden test	UPTREND	371	0.0%	0.00	0%
train	DOWNTREND	518	1.0%	0.60	1%
train	EXPENSIVE	311	13.6%	1.11	17%
train	EXTREME	100	0.6%	0.06	10%
train	HIGH VOLATILITY	699	-1.1%	-0.16	4%
train	LOW VOLATILITY	745	14.6%	1.12	18%
train	MEDIUM VOLATILITY	568	-4.5%	-0.38	10%
train	NORMAL	1,601	2.0%	0.19	10%
train	SIDEWAYS	592	2.5%	0.54	1%
train	UPTREND	902	6.1%	0.39	23%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	0.0%	0.00	0%
validation	EXTREME	144	0.0%	0.00	0%
validation	HIGH VOLATILITY	258	2.6%	0.23	3%
validation	LOW VOLATILITY	183	25.9%	2.52	15%
validation	MEDIUM VOLATILITY	315	15.4%	1.05	4%
validation	NORMAL	474	21.7%	1.35	10%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	24.2%	1.43	12%

Trades (full period)

9 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-06	2026-05-08	$398.73	$428.35	5.55%	3
2021-09-16	2021-12-03	$252.33	$338.32	46.78%	56
2017-01-05	2017-07-07	$15.12	$20.88	22.85%	127
2016-12-21	2016-12-28	$13.85	$14.65	5.11%	5
2015-05-11	2015-08-12	$15.97	$15.88	5.27%	66
2015-04-29	2015-05-01	$15.50	$15.07	-2.12%	3
2015-04-24	2015-04-28	$14.56	$15.37	5.71%	3
2014-08-07	2014-10-01	$16.83	$16.02	-0.42%	39
2013-01-29	2013-03-20	$2.53	$2.40	-8.14%	36