Strategy Zoo / S1269
PriceMomentum_V1269
ARCHIVEDhybridparameterchanged ret_20d threshold -0.0017 -> -0.1439
Fitness
0.6845
Generation
58
Complexity
4
Created
2026-10-07
Lineage
Parents (1)
added entry filter: breakout_20 == 1
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1269 [hybrid]
if flat and (ret_20d > 0.184 and breakout_20 == 1):
position = 1.0
if long and ret_20d < -0.1439:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 26.1% | 88.4% | -6.6% | 27.0% |
| Total Return | 536.0% | 569.0% | -22.6% | 3291.9% |
| Sharpe | 0.87 | 1.52 | 0.02 | 0.81 |
| Sortino | 0.91 | 1.46 | 0.02 | 0.84 |
| Calmar | 0.63 | 2.33 | -0.12 | 0.47 |
| Volatility | 32.8% | 50.0% | 38.5% | 38.3% |
| Max DD | -41.1% | -37.9% | -56.6% | -57.6% |
| Win Rate | 36.4% | 66.7% | 44.4% | 46.2% |
| Avg Win | 119.0% | 87.0% | 12.2% | 79.1% |
| Avg Loss | -10.4% | -13.2% | -13.0% | -11.7% |
| Payoff | 10.00 | 6.58 | 0.94 | 6.74 |
| Expectancy | 36.7% | 53.6% | -1.8% | 30.2% |
| Profit Factor | 6.56 | 10.00 | 0.75 | 5.78 |
| Trades | 11 | 6 | 9 | 26 |
| Avg Holding Days | 80.0 | 55.2 | 59.4 | 69.0 |
| Turnover | 2.9 | 4.0 | 4.8 | 3.5 |
| Exposure | 45.5% | 43.0% | 55.8% | 47.6% |
Growth of $100
PriceMomentum_V1269 vs TSLA Buy & Hold
PriceMomentum_V1269 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 | 0.4% | 0.14 | -34.0% | 1 |
| 2017 | 44.3% | 1.52 | -19.5% | 1 |
| 2018 | -13.6% | -0.43 | -28.6% | 1 |
| 2019 | 27.7% | 1.08 | -18.7% | 2 |
| 2020 | 648.6% | 3.12 | -33.7% | 2 |
| 2021 | 13.8% | 0.55 | -19.8% | 2 |
| 2022 | -24.8% | -0.83 | -34.6% | 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 | 2.4% | 0.13 | 12% |
| hidden test | EXPENSIVE | 83 | 33.9% | 0.68 | 81% |
| hidden test | EXTREME | 48 | 185.0% | 2.93 | 100% |
| hidden test | HIGH VOLATILITY | 254 | 37.1% | 0.80 | 44% |
| hidden test | LOW VOLATILITY | 439 | 13.8% | 0.45 | 60% |
| hidden test | MEDIUM VOLATILITY | 250 | -59.7% | -1.44 | 60% |
| hidden test | NORMAL | 812 | -13.7% | -0.39 | 51% |
| hidden test | SIDEWAYS | 294 | -48.9% | -1.35 | 61% |
| hidden test | UPTREND | 371 | 38.5% | 0.78 | 85% |
| train | DOWNTREND | 518 | 1.6% | 0.11 | 16% |
| train | EXPENSIVE | 311 | 78.7% | 1.87 | 70% |
| train | EXTREME | 100 | 416.1% | 5.63 | 100% |
| train | HIGH VOLATILITY | 699 | 48.0% | 1.12 | 41% |
| train | LOW VOLATILITY | 745 | 30.5% | 1.30 | 55% |
| train | MEDIUM VOLATILITY | 568 | 1.7% | 0.06 | 39% |
| train | NORMAL | 1,601 | -5.5% | -0.22 | 37% |
| train | SIDEWAYS | 592 | -17.2% | -0.70 | 24% |
| train | UPTREND | 902 | 73.8% | 1.71 | 76% |
| validation | DOWNTREND | 125 | 11.5% | 1.42 | 1% |
| validation | EXPENSIVE | 138 | 50.3% | 0.93 | 58% |
| validation | EXTREME | 144 | 378.9% | 4.47 | 95% |
| validation | HIGH VOLATILITY | 258 | 137.4% | 2.03 | 46% |
| validation | LOW VOLATILITY | 183 | 7.8% | 0.36 | 29% |
| validation | MEDIUM VOLATILITY | 315 | 65.2% | 1.46 | 49% |
| validation | NORMAL | 474 | -8.7% | -0.30 | 23% |
| validation | SIDEWAYS | 206 | -34.2% | -1.08 | 26% |
| validation | UPTREND | 425 | 148.2% | 2.37 | 64% |
Trades (full period)
26 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-26 | $428.35 | $379.71 | -9.08% | 34 | |
| 2025-05-13 | 2026-04-10 | $334.07 | $348.95 | 8.34% | 229 | |
| 2024-11-07 | 2025-02-12 | $296.91 | $336.51 | 13.63% | 65 | |
| 2024-09-06 | 2024-10-24 | $210.73 | $260.48 | -7.37% | 35 | |
| 2024-07-03 | 2024-08-05 | $246.39 | $198.88 | -10.37% | 23 | |
| 2023-11-29 | 2024-01-18 | $244.14 | $211.88 | -12.81% | 34 | |
| 2023-09-15 | 2023-10-27 | $274.39 | $207.30 | -25.61% | 31 | |
| 2023-05-31 | 2023-08-15 | $203.93 | $232.96 | 18.95% | 53 | |
| 2023-01-27 | 2023-03-13 | $177.90 | $174.48 | 8.01% | 31 | |
| 2022-07-29 | 2022-10-06 | $297.15 | $238.13 | -14.44% | 49 | |
| 2022-03-23 | 2022-04-27 | $333.04 | $293.84 | -12.00% | 25 | |
| 2021-10-19 | 2021-12-06 | $288.09 | $336.34 | 16.41% | 34 | |
| 2020-11-24 | 2021-02-23 | $185.13 | $232.95 | 36.65% | 61 | |
| 2020-04-14 | 2020-09-30 | $47.33 | $143.00 | 221.27% | 119 | |
| 2019-10-25 | 2020-03-05 | $21.88 | $48.30 | 149.62% | 90 | |
| 2019-07-02 | 2019-08-16 | $14.97 | $14.66 | -5.27% | 33 | |
| 2018-10-29 | 2019-01-04 | $22.32 | $21.18 | -9.41% | 46 | |
| 2018-06-14 | 2018-07-30 | $23.85 | $19.34 | -13.98% | 32 | |
| 2016-07-26 | 2017-07-10 | $15.30 | $21.07 | 35.90% | 241 | |
| 2016-03-08 | 2016-05-05 | $13.51 | $14.10 | 8.19% | 42 | |
| 2015-04-28 | 2015-08-26 | $15.37 | $14.99 | -5.17% | 85 | |
| 2014-08-14 | 2014-10-01 | $17.43 | $16.02 | -6.96% | 34 | |
| 2013-12-18 | 2014-03-27 | $9.87 | $13.82 | 39.40% | 68 | |
| 2012-11-21 | 2013-10-29 | $2.16 | $10.96 | 392.52% | 236 | |
| 2012-07-17 | 2012-08-03 | $2.22 | $1.82 | -27.57% | 14 | |
| 2012-02-15 | 2012-04-25 | $2.24 | $2.19 | -4.26% | 49 |