Strategy Zoo / S1256
PriceMomentum_V1256
ARCHIVEDhybridstructuralreduce exposure to 56% during MEDIUM_VOLATILITY
Fitness
0.6254
Generation
57
Complexity
18
Created
2026-10-07
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> -0.0982
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1256 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (ret_20d > 0.05 or (ret_20d > 0.1146 and ((((close > sma_200 and sma_200_slope > 0.0) or ret_60d > -0.2905) and ret_20d > -0.0982 and cumret_252d > -0.1997) and ret_20d > 0.05))):
position = 1.0
if long and ret_20d < -0.1003:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.56Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 22.0% | 74.4% | 9.6% | 27.9% |
| Total Return | 388.7% | 430.1% | 40.9% | 3658.9% |
| Sharpe | 1.05 | 1.60 | 0.62 | 1.10 |
| Sortino | 0.80 | 1.21 | 0.34 | 0.72 |
| Calmar | 0.97 | 2.20 | 0.49 | 0.83 |
| Volatility | 20.9% | 39.8% | 17.0% | 25.2% |
| Max DD | -22.7% | -33.8% | -19.5% | -33.8% |
| Win Rate | 40.0% | 100.0% | 66.7% | 61.1% |
| Avg Win | 81.2% | 44.3% | 22.6% | 55.6% |
| Avg Loss | -1.9% | 0.0% | -4.2% | -2.3% |
| Payoff | 10.00 | 5.00 | 5.39 | 10.00 |
| Expectancy | 31.3% | 44.3% | 13.7% | 33.1% |
| Profit Factor | 10.00 | 5.00 | 10.00 | 10.00 |
| Trades | 10 | 5 | 3 | 18 |
| Avg Holding Days | 31.2 | 48.4 | 32.0 | 36.7 |
| Turnover | 4.4 | 5.7 | 2.5 | 4.1 |
| Exposure | 13.7% | 25.4% | 8.1% | 14.7% |
Growth of $100
PriceMomentum_V1256 vs TSLA Buy & Hold
PriceMomentum_V1256 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 | -5.8% | -0.18 | -22.1% | 6 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 9.5% | 1.31 | -3.8% | 0 |
| 2020 | 410.7% | 2.77 | -33.8% | 4 |
| 2021 | 1.1% | 0.15 | -9.3% | 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 | 19.0% | 0.53 | 50% |
| hidden test | EXTREME | 48 | 199.9% | 3.46 | 70% |
| hidden test | HIGH VOLATILITY | 254 | 29.3% | 1.12 | 15% |
| hidden test | LOW VOLATILITY | 439 | 16.7% | 2.00 | 3% |
| hidden test | MEDIUM VOLATILITY | 250 | -19.2% | -1.19 | 10% |
| hidden test | NORMAL | 812 | -1.5% | -0.73 | 0% |
| hidden test | SIDEWAYS | 294 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 26.9% | 1.00 | 21% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 23.4% | 0.74 | 57% |
| train | EXTREME | 100 | 395.1% | 5.51 | 92% |
| train | HIGH VOLATILITY | 699 | 50.8% | 1.65 | 20% |
| train | LOW VOLATILITY | 745 | 12.4% | 1.16 | 10% |
| train | MEDIUM VOLATILITY | 568 | -1.0% | -0.07 | 10% |
| train | NORMAL | 1,601 | -1.6% | -0.90 | 0% |
| train | SIDEWAYS | 592 | 0.8% | 0.63 | 0% |
| train | UPTREND | 902 | 48.5% | 1.56 | 30% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 42.3% | 0.87 | 57% |
| validation | EXTREME | 144 | 295.6% | 3.87 | 78% |
| validation | HIGH VOLATILITY | 258 | 119.4% | 1.94 | 39% |
| validation | LOW VOLATILITY | 183 | 10.3% | 0.52 | 17% |
| validation | MEDIUM VOLATILITY | 315 | 48.7% | 2.29 | 19% |
| validation | NORMAL | 474 | -0.8% | -0.78 | 0% |
| validation | SIDEWAYS | 206 | 3.1% | 0.66 | 1% |
| validation | UPTREND | 425 | 111.5% | 2.11 | 45% |
Trades (full period)
18 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-15 | 2025-11-13 | $410.04 | $401.99 | 4.68% | 44 | |
| 2025-05-28 | 2025-06-02 | $356.90 | $342.69 | -4.20% | 4 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 40.52% | 48 | |
| 2020-11-19 | 2021-02-19 | $166.42 | $260.43 | 27.60% | 62 | |
| 2020-10-07 | 2020-11-13 | $141.77 | $136.17 | 0.63% | 28 | |
| 2020-05-15 | 2020-09-30 | $53.28 | $143.00 | 110.93% | 96 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-12-17 | 2020-03-05 | $25.27 | $48.30 | 79.85% | 54 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -7.18% | 7 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | -0.29% | 15 | |
| 2017-04-07 | 2017-07-07 | $20.17 | $20.88 | -1.11% | 63 | |
| 2017-03-28 | 2017-04-06 | $18.50 | $19.91 | 5.47% | 8 | |
| 2017-02-03 | 2017-02-28 | $16.76 | $16.67 | -0.60% | 17 | |
| 2017-01-25 | 2017-01-31 | $16.96 | $16.80 | -1.76% | 5 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 11.44% | 43 | |
| 2013-04-11 | 2013-10-24 | $2.91 | $11.54 | 301.46% | 138 | |
| 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 |