Strategy Zoo / S1253
PriceMomentum_V1253
ARCHIVEDhybridparameterchanged ret_20d threshold -0.0017 -> 0.0708
Fitness
0.7259
Generation
57
Complexity
4
Created
2026-10-07
Lineage
Parents (1)
added entry filter: breakout_20 == 1
Children (3)
Strategy Logic (pseudocode)
# PriceMomentum_V1253 [hybrid]
if flat and (ret_20d > 0.184 and breakout_20 == 1):
position = 1.0
if long and ret_20d < 0.0708:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.6% | 94.4% | 9.8% | 29.5% |
| Total Return | 318.7% | 634.7% | 41.9% | 4395.7% |
| Sharpe | 0.87 | 1.69 | 0.48 | 1.00 |
| Sortino | 0.62 | 1.44 | 0.31 | 0.72 |
| Calmar | 1.04 | 2.80 | 0.32 | 0.87 |
| Volatility | 23.8% | 45.3% | 27.3% | 30.3% |
| Max DD | -18.9% | -33.7% | -31.0% | -33.7% |
| Win Rate | 57.1% | 87.5% | 41.7% | 58.5% |
| Avg Win | 19.7% | 35.3% | 20.6% | 24.6% |
| Avg Loss | -4.5% | -1.9% | -7.3% | -5.5% |
| Payoff | 4.34 | 10.00 | 2.83 | 4.47 |
| Expectancy | 9.3% | 30.7% | 4.3% | 12.1% |
| Profit Factor | 5.78 | 10.00 | 2.02 | 6.31 |
| Trades | 21 | 8 | 12 | 41 |
| Avg Holding Days | 20.1 | 32.3 | 17.0 | 21.7 |
| Turnover | 5.4 | 5.3 | 6.4 | 5.6 |
| Exposure | 20.2% | 33.1% | 20.4% | 22.9% |
Growth of $100
PriceMomentum_V1253 vs TSLA Buy & Hold
PriceMomentum_V1253 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 | 20.0% | 1.41 | -7.6% | 2 |
| 2017 | 15.0% | 0.97 | -10.1% | 3 |
| 2018 | -11.6% | -0.70 | -17.7% | 2 |
| 2019 | 11.2% | 0.61 | -13.7% | 2 |
| 2020 | 372.5% | 2.60 | -33.7% | 4 |
| 2021 | 44.6% | 1.37 | -17.6% | 2 |
| 2022 | 3.2% | 0.26 | -14.8% | 2 |
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 | 21.6% | 1.52 | 3% |
| hidden test | EXPENSIVE | 83 | 31.6% | 0.84 | 46% |
| hidden test | EXTREME | 48 | 183.4% | 3.26 | 63% |
| hidden test | HIGH VOLATILITY | 254 | 14.6% | 0.36 | 28% |
| hidden test | LOW VOLATILITY | 439 | 30.6% | 1.84 | 15% |
| hidden test | MEDIUM VOLATILITY | 250 | -19.2% | -0.77 | 21% |
| hidden test | NORMAL | 812 | 1.1% | 0.05 | 15% |
| hidden test | SIDEWAYS | 294 | -19.2% | -0.83 | 17% |
| hidden test | UPTREND | 371 | 32.4% | 0.90 | 36% |
| train | DOWNTREND | 518 | 7.8% | 1.01 | 4% |
| train | EXPENSIVE | 311 | 15.2% | 0.50 | 38% |
| train | EXTREME | 100 | 307.9% | 4.33 | 86% |
| train | HIGH VOLATILITY | 699 | 35.3% | 1.01 | 26% |
| train | LOW VOLATILITY | 745 | 18.0% | 1.32 | 22% |
| train | MEDIUM VOLATILITY | 568 | 6.3% | 0.39 | 10% |
| train | NORMAL | 1,601 | 3.8% | 0.27 | 13% |
| train | SIDEWAYS | 592 | -7.6% | -0.49 | 9% |
| train | UPTREND | 902 | 46.7% | 1.43 | 37% |
| validation | DOWNTREND | 125 | 11.5% | 1.42 | 1% |
| validation | EXPENSIVE | 138 | 75.8% | 1.50 | 47% |
| validation | EXTREME | 144 | 278.7% | 3.46 | 81% |
| validation | HIGH VOLATILITY | 258 | 90.9% | 1.43 | 38% |
| validation | LOW VOLATILITY | 183 | 23.9% | 1.65 | 12% |
| validation | MEDIUM VOLATILITY | 315 | 96.0% | 2.46 | 41% |
| validation | NORMAL | 474 | 15.7% | 0.69 | 14% |
| validation | SIDEWAYS | 206 | 14.4% | 0.63 | 16% |
| validation | UPTREND | 425 | 126.2% | 2.18 | 51% |
Trades (full period)
41 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-05-18 | $428.35 | $409.99 | 2.34% | 7 | |
| 2025-12-17 | 2025-12-30 | $467.26 | $454.43 | -6.37% | 9 | |
| 2025-09-16 | 2025-10-13 | $421.62 | $435.90 | 0.64% | 20 | |
| 2025-05-13 | 2025-06-06 | $334.07 | $295.14 | -10.75% | 18 | |
| 2024-11-07 | 2025-01-08 | $296.91 | $394.94 | 36.41% | 42 | |
| 2024-09-25 | 2024-10-04 | $257.02 | $250.08 | -5.54% | 8 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-03 | 2024-07-31 | $246.39 | $232.07 | -3.92% | 20 | |
| 2023-11-29 | 2023-12-13 | $244.14 | $239.29 | -4.13% | 11 | |
| 2023-09-15 | 2023-09-25 | $274.39 | $246.99 | -11.47% | 7 | |
| 2023-05-31 | 2023-07-20 | $203.93 | $262.90 | 44.50% | 35 | |
| 2023-01-27 | 2023-03-03 | $177.90 | $197.79 | 18.89% | 25 | |
| 2022-07-29 | 2022-08-26 | $297.15 | $288.09 | 5.20% | 21 | |
| 2022-03-23 | 2022-04-21 | $333.04 | $336.26 | -1.88% | 21 | |
| 2021-10-19 | 2021-11-29 | $288.09 | $379.00 | 24.09% | 29 | |
| 2020-11-24 | 2021-02-08 | $185.13 | $287.81 | 62.99% | 51 | |
| 2020-08-19 | 2020-09-23 | $125.24 | $126.79 | 12.18% | 25 | |
| 2020-06-02 | 2020-08-05 | $58.77 | $99.00 | 65.24% | 46 | |
| 2020-04-14 | 2020-05-18 | $47.33 | $54.24 | 22.53% | 25 | |
| 2019-12-24 | 2020-03-02 | $28.35 | $49.57 | 59.02% | 46 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-07-02 | 2019-07-26 | $14.97 | $15.20 | 0.52% | 18 | |
| 2018-10-29 | 2018-11-26 | $22.32 | $23.07 | -1.73% | 20 | |
| 2018-06-14 | 2018-07-05 | $23.85 | $20.61 | -10.02% | 15 | |
| 2017-06-14 | 2017-06-30 | $25.38 | $24.11 | -4.23% | 13 | |
| 2017-04-04 | 2017-05-03 | $20.25 | $20.73 | 6.61% | 21 | |
| 2017-01-05 | 2017-02-24 | $15.12 | $17.13 | 12.55% | 35 | |
| 2016-07-26 | 2016-08-02 | $15.30 | $15.15 | -0.20% | 6 | |
| 2016-03-08 | 2016-04-20 | $13.51 | $16.66 | 20.26% | 31 | |
| 2015-04-28 | 2015-05-27 | $15.37 | $16.50 | 6.66% | 21 | |
| 2014-08-14 | 2014-09-15 | $17.43 | $16.92 | 7.04% | 22 | |
| 2014-01-22 | 2014-03-25 | $11.90 | $14.70 | 24.37% | 44 | |
| 2013-12-18 | 2014-01-03 | $9.87 | $9.97 | -1.75% | 11 | |
| 2013-09-20 | 2013-10-03 | $12.23 | $11.55 | 1.50% | 10 | |
| 2013-07-30 | 2013-09-10 | $8.78 | $11.09 | 19.13% | 30 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -7.12% | 11 | |
| 2013-04-17 | 2013-06-25 | $3.03 | $6.83 | 122.17% | 49 | |
| 2013-04-02 | 2013-04-10 | $2.96 | $2.79 | -7.99% | 7 | |
| 2012-11-21 | 2012-12-19 | $2.16 | $2.31 | 4.61% | 20 | |
| 2012-07-17 | 2012-07-18 | $2.22 | $2.14 | -7.45% | 2 | |
| 2012-02-15 | 2012-03-07 | $2.24 | $2.21 | -0.38% | 15 |