Strategy Zoo / S1275
PriceMomentum_V1275
ARCHIVEDhybridparameterchanged ret_20d threshold -0.0017 -> -0.0618
Fitness
0.6720
Generation
58
Complexity
2
Created
2026-10-07
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.184
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1275 [hybrid]
if flat and ret_20d > 0.184:
position = 1.0
if long and ret_20d < -0.0618:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 26.2% | 77.0% | 12.2% | 31.5% |
| Total Return | 541.5% | 454.6% | 53.8% | 5534.8% |
| Sharpe | 0.95 | 1.42 | 0.51 | 0.96 |
| Sortino | 0.88 | 1.38 | 0.45 | 0.87 |
| Calmar | 0.78 | 2.28 | 0.29 | 0.75 |
| Volatility | 28.9% | 48.7% | 33.4% | 34.9% |
| Max DD | -33.5% | -33.7% | -41.8% | -41.8% |
| Win Rate | 56.3% | 55.6% | 33.3% | 48.6% |
| Avg Win | 29.9% | 52.7% | 28.6% | 40.1% |
| Avg Loss | -7.0% | -5.9% | -6.5% | -6.6% |
| Payoff | 4.26 | 8.95 | 4.37 | 6.11 |
| Expectancy | 13.8% | 26.6% | 5.2% | 16.2% |
| Profit Factor | 5.48 | 10.00 | 2.18 | 5.78 |
| Trades | 16 | 9 | 12 | 37 |
| Avg Holding Days | 41.8 | 37.6 | 28.3 | 37.6 |
| Turnover | 4.1 | 6.0 | 6.4 | 5.0 |
| Exposure | 34.7% | 43.5% | 34.7% | 36.5% |
Growth of $100
PriceMomentum_V1275 vs TSLA Buy & Hold
PriceMomentum_V1275 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 | 7.8% | 0.56 | -16.5% | 2 |
| 2017 | 23.3% | 1.02 | -14.8% | 2 |
| 2018 | -12.2% | -0.55 | -18.3% | 2 |
| 2019 | 42.6% | 1.57 | -13.9% | 1 |
| 2020 | 399.5% | 2.60 | -33.7% | 4 |
| 2021 | 22.8% | 0.75 | -19.8% | 3 |
| 2022 | -13.2% | -0.47 | -24.6% | 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 | 30.4% | 1.75 | 6% |
| hidden test | EXPENSIVE | 83 | 53.7% | 1.19 | 72% |
| hidden test | EXTREME | 48 | 210.8% | 3.53 | 75% |
| hidden test | HIGH VOLATILITY | 254 | 56.4% | 1.23 | 38% |
| hidden test | LOW VOLATILITY | 439 | 24.1% | 1.12 | 29% |
| hidden test | MEDIUM VOLATILITY | 250 | -35.1% | -1.00 | 40% |
| hidden test | NORMAL | 812 | 1.9% | 0.07 | 28% |
| hidden test | SIDEWAYS | 294 | -16.8% | -0.57 | 32% |
| hidden test | UPTREND | 371 | 34.0% | 0.78 | 58% |
| train | DOWNTREND | 518 | 8.6% | 1.11 | 4% |
| train | EXPENSIVE | 311 | 64.7% | 1.61 | 62% |
| train | EXTREME | 100 | 380.3% | 5.23 | 96% |
| train | HIGH VOLATILITY | 699 | 57.8% | 1.51 | 35% |
| train | LOW VOLATILITY | 745 | 27.0% | 1.28 | 42% |
| train | MEDIUM VOLATILITY | 568 | -9.6% | -0.41 | 25% |
| train | NORMAL | 1,601 | -1.9% | -0.10 | 26% |
| train | SIDEWAYS | 592 | -4.9% | -0.23 | 17% |
| train | UPTREND | 902 | 59.3% | 1.52 | 64% |
| validation | DOWNTREND | 125 | 11.5% | 1.42 | 1% |
| validation | EXPENSIVE | 138 | 34.7% | 0.63 | 68% |
| validation | EXTREME | 144 | 320.5% | 3.90 | 92% |
| validation | HIGH VOLATILITY | 258 | 101.5% | 1.56 | 44% |
| validation | LOW VOLATILITY | 183 | -2.3% | -0.13 | 20% |
| validation | MEDIUM VOLATILITY | 315 | 83.7% | 1.87 | 57% |
| validation | NORMAL | 474 | 2.6% | 0.09 | 22% |
| validation | SIDEWAYS | 206 | -18.6% | -0.58 | 30% |
| validation | UPTREND | 425 | 128.4% | 2.12 | 63% |
Trades (full period)
37 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-06-10 | $428.35 | $381.59 | -3.86% | 23 | |
| 2025-12-17 | 2026-01-15 | $467.26 | $438.57 | -10.53% | 20 | |
| 2025-09-16 | 2025-11-14 | $421.62 | $404.35 | -2.16% | 44 | |
| 2025-05-08 | 2025-06-13 | $284.82 | $325.31 | 15.30% | 26 | |
| 2024-11-07 | 2025-01-17 | $296.91 | $426.50 | 43.14% | 48 | |
| 2024-09-06 | 2024-10-18 | $210.73 | $220.70 | -4.23% | 31 | |
| 2024-07-03 | 2024-08-02 | $246.39 | $207.67 | -6.41% | 22 | |
| 2024-05-20 | 2024-05-29 | $174.95 | $176.19 | -0.60% | 7 | |
| 2023-11-29 | 2024-01-16 | $244.14 | $219.91 | -11.46% | 32 | |
| 2023-09-15 | 2023-09-28 | $274.39 | $246.38 | -13.05% | 10 | |
| 2023-05-25 | 2023-08-02 | $184.47 | $254.11 | 42.46% | 47 | |
| 2023-01-27 | 2023-03-09 | $177.90 | $172.92 | 13.34% | 29 | |
| 2022-07-29 | 2022-08-31 | $297.15 | $275.61 | -1.33% | 24 | |
| 2022-03-23 | 2022-04-27 | $333.04 | $293.84 | -12.00% | 25 | |
| 2021-10-19 | 2021-12-02 | $288.09 | $361.53 | 25.59% | 32 | |
| 2021-04-07 | 2021-05-11 | $223.66 | $205.73 | -9.23% | 25 | |
| 2020-11-24 | 2021-02-19 | $185.13 | $260.43 | 50.59% | 59 | |
| 2020-10-07 | 2020-10-30 | $141.77 | $129.35 | -0.96% | 18 | |
| 2020-08-19 | 2020-09-25 | $125.24 | $135.78 | 2.54% | 27 | |
| 2020-04-14 | 2020-08-12 | $47.33 | $103.65 | 110.73% | 85 | |
| 2019-10-25 | 2020-03-05 | $21.88 | $48.30 | 149.62% | 90 | |
| 2019-07-01 | 2019-08-13 | $15.14 | $15.67 | 2.28% | 31 | |
| 2018-10-29 | 2018-12-21 | $22.32 | $21.32 | -4.88% | 38 | |
| 2018-06-14 | 2018-07-12 | $23.85 | $21.11 | -7.67% | 20 | |
| 2017-04-04 | 2017-07-06 | $20.25 | $20.59 | 9.35% | 65 | |
| 2017-01-04 | 2017-03-10 | $15.13 | $16.25 | 12.64% | 46 | |
| 2016-07-26 | 2016-08-29 | $15.30 | $14.35 | -4.55% | 25 | |
| 2016-03-08 | 2016-05-04 | $13.51 | $14.84 | 12.94% | 41 | |
| 2015-09-23 | 2015-10-08 | $17.40 | $15.11 | -11.28% | 12 | |
| 2015-04-28 | 2015-08-04 | $15.37 | $17.75 | 12.06% | 69 | |
| 2014-08-14 | 2014-09-26 | $17.43 | $16.44 | -5.32% | 31 | |
| 2013-12-18 | 2014-03-26 | $9.87 | $14.20 | 44.30% | 67 | |
| 2013-07-02 | 2013-10-24 | $7.85 | $11.54 | 40.10% | 81 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 132.63% | 61 | |
| 2012-11-21 | 2013-01-14 | $2.16 | $2.22 | -0.47% | 36 | |
| 2012-07-17 | 2012-07-24 | $2.22 | $1.99 | -14.92% | 6 | |
| 2012-02-14 | 2012-04-11 | $2.21 | $2.21 | 2.88% | 40 |