Strategy Zoo / S1254

PriceMomentum_V1254

ARCHIVEDhybrid

structuralremoved entry condition: ret_20d > 0.184; changed ret_20d threshold -0.0017 -> -0.1278

Fitness

0.5698

Generation

Complexity

Created

2026-10-07

Lineage

Parents (1)

PriceMomentum_V1210S1210 · gen 55ARCHIVEDstructural

added entry filter: breakout_20 == 1

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1254  [hybrid]
if flat and breakout_20 == 1:
    position = 1.0
if long and ret_20d < -0.1278:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	13.0%	106.1%	4.5%	25.5%
Total Return	165.2%	775.7%	18.1%	2722.6%
Sharpe	0.50	1.60	0.32	0.73
Sortino	0.65	1.91	0.39	0.91
Calmar	0.16	2.48	0.08	0.32
Volatility	39.5%	54.7%	43.4%	44.0%
Max DD	-80.2%	-42.8%	-59.1%	-80.2%
Win Rate	34.8%	50.0%	41.7%	39.5%
Avg Win	67.7%	111.9%	31.6%	75.9%
Avg Loss	-14.2%	-12.4%	-15.6%	-14.3%
Payoff	4.76	9.06	2.02	5.31
Expectancy	14.3%	49.8%	4.0%	21.4%
Profit Factor	2.54	9.06	1.44	3.47
Trades	23	8	12	43
Avg Holding Days	60.0	61.6	50.0	59.3
Turnover	5.9	5.3	6.7	5.9
Exposure	71.3%	64.2%	65.6%	68.4%

Growth of $100

PriceMomentum_V1254 vs TSLA Buy & Hold

PriceMomentum_V1254 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	-25.6%	-0.92	-47.5%	4
2017	15.7%	0.61	-34.5%	2
2018	-30.0%	-0.69	-45.1%	4
2019	6.6%	0.36	-43.1%	4
2020	861.0%	3.34	-33.7%	2
2021	21.8%	0.70	-36.1%	3
2022	-28.5%	-0.75	-30.6%	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	6.3%	0.19	38%
hidden test	EXPENSIVE	83	108.6%	2.00	82%
hidden test	EXTREME	48	189.8%	3.11	88%
hidden test	HIGH VOLATILITY	254	37.4%	0.67	63%
hidden test	LOW VOLATILITY	439	45.1%	1.39	64%
hidden test	MEDIUM VOLATILITY	250	-64.9%	-1.44	71%
hidden test	NORMAL	812	-6.2%	-0.15	63%
hidden test	SIDEWAYS	294	-54.7%	-1.33	72%
hidden test	UPTREND	371	73.9%	1.45	81%
train	DOWNTREND	518	-37.0%	-1.25	53%
train	EXPENSIVE	311	83.7%	1.92	83%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	44.6%	0.89	62%
train	LOW VOLATILITY	745	24.6%	0.85	80%
train	MEDIUM VOLATILITY	568	-16.7%	-0.46	71%
train	NORMAL	1,601	-17.2%	-0.50	67%
train	SIDEWAYS	592	-15.8%	-0.45	62%
train	UPTREND	902	76.0%	1.64	88%
validation	DOWNTREND	125	36.4%	1.66	12%
validation	EXPENSIVE	138	76.2%	1.27	78%
validation	EXTREME	144	402.7%	4.67	96%
validation	HIGH VOLATILITY	258	125.5%	1.78	52%
validation	LOW VOLATILITY	183	45.5%	1.42	83%
validation	MEDIUM VOLATILITY	315	80.2%	1.60	63%
validation	NORMAL	474	-5.3%	-0.15	50%
validation	SIDEWAYS	206	-41.1%	-1.04	55%
validation	UPTREND	425	164.5%	2.49	84%

Trades (full period)

44 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-08-24	—	$348.95	—	4.80%	31	OPEN
2026-07-02	2026-07-24	$393.45	$313.03	-24.99%	16
2026-04-20	2026-06-25	$392.50	$375.12	-6.45%	47
2025-04-28	2026-01-21	$285.88	$431.44	46.84%	185
2024-10-28	2025-01-28	$262.51	$398.09	47.24%	62
2024-09-06	2024-10-23	$210.73	$213.65	-5.50%	34
2024-04-30	2024-08-05	$183.28	$198.88	6.80%	67
2024-02-29	2024-03-15	$201.88	$163.57	-19.73%	12
2023-11-16	2024-01-18	$233.59	$211.88	-11.42%	42
2023-09-12	2023-10-20	$267.48	$211.99	-19.71%	29
2023-05-19	2023-08-14	$180.14	$239.76	36.90%	59
2023-04-03	2023-04-21	$194.77	$165.08	-21.60%	14
2023-01-24	2023-03-10	$143.89	$173.44	20.05%	33
2022-07-11	2022-10-06	$234.34	$238.13	-4.17%	63
2022-03-21	2022-04-27	$307.05	$293.84	-3.39%	27
2022-01-04	2022-01-25	$383.20	$306.13	-22.64%	15
2021-06-24	2021-12-06	$226.61	$336.34	54.28%	115
2021-04-14	2021-05-12	$244.08	$196.63	-19.20%	21
2020-10-15	2021-02-23	$149.63	$232.95	54.57%	89
2020-04-13	2020-09-30	$43.40	$143.00	264.99%	120
2019-09-11	2020-03-05	$16.47	$48.30	217.58%	122
2019-06-18	2019-08-15	$14.98	$14.38	-2.60%	42
2019-04-04	2019-04-29	$17.85	$16.10	-19.59%	17
2019-01-18	2019-03-07	$20.15	$18.44	-20.63%	33
2018-10-26	2019-01-04	$22.06	$21.18	-4.79%	47
2018-10-02	2018-10-12	$20.07	$17.25	-18.98%	9
2018-08-03	2018-08-31	$23.21	$20.11	-13.45%	21
2018-05-10	2018-07-17	$20.33	$21.51	0.86%	47
2017-12-12	2018-03-26	$22.74	$20.28	-8.50%	71
2017-08-04	2017-11-03	$23.79	$20.41	-13.95%	65
2016-10-04	2017-07-07	$14.09	$20.88	44.23%	191
2016-07-12	2016-09-02	$14.98	$13.19	-10.86%	39
2016-06-08	2016-06-27	$15.70	$13.24	-17.03%	14
2016-03-04	2016-05-05	$13.40	$14.10	13.48%	44
2015-11-06	2016-01-21	$15.49	$13.33	-14.44%	51
2015-09-17	2015-10-13	$17.47	$14.62	-17.96%	19
2015-02-04	2015-08-24	$14.57	$14.59	5.47%	140
2014-11-12	2014-12-11	$16.61	$13.93	-16.59%	21
2014-06-17	2014-10-01	$15.44	$16.02	7.83%	75
2013-12-13	2014-03-27	$9.84	$13.82	44.12%	71
2012-11-06	2013-10-29	$2.08	$10.96	415.98%	247
2012-09-18	2012-10-16	$2.09	$1.87	-16.18%	21
2012-06-19	2012-08-02	$2.14	$1.74	-17.72%	32
2012-01-27	2012-04-25	$1.96	$2.19	9.73%	62