Strategy Zoo / S1282
PriceMomentum_V1282
ARCHIVEDhybridstructuralrestricted to trend regimes ['SIDEWAYS']
Fitness
0.1936
Generation
59
Complexity
3
Created
2026-10-08
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.184
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1282 [hybrid]
require regime.trend in ['SIDEWAYS']
if flat and ret_20d > 0.184:
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | -1.2% | 4.4% | -3.0% | -0.6% |
| Total Return | -9.3% | 13.7% | -10.7% | -7.9% |
| Sharpe | -0.08 | 0.41 | -0.18 | 0.00 |
| Sortino | -0.02 | 0.14 | -0.09 | 0.00 |
| Calmar | -0.05 | 0.33 | -0.12 | -0.02 |
| Volatility | 9.4% | 12.5% | 12.4% | 10.9% |
| Max DD | -24.4% | -13.1% | -25.3% | -28.4% |
| Win Rate | 43.8% | 66.7% | 57.1% | 51.7% |
| Avg Win | 5.8% | 6.3% | 3.9% | 5.4% |
| Avg Loss | -5.2% | -5.3% | -8.3% | -5.9% |
| Payoff | 1.11 | 1.18 | 0.47 | 0.92 |
| Expectancy | -0.4% | 2.4% | -1.3% | -0.0% |
| Profit Factor | 0.87 | 2.37 | 0.62 | 0.98 |
| Trades | 16 | 6 | 7 | 29 |
| Avg Holding Days | 5.8 | 6.7 | 11.9 | 7.4 |
| Turnover | 4.0 | 4.0 | 3.7 | 3.9 |
| Exposure | 3.8% | 4.5% | 8.1% | 5.0% |
Growth of $100
PriceMomentum_V1282 vs TSLA Buy & Hold
PriceMomentum_V1282 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 | 3.3% | 0.44 | -7.1% | 2 |
| 2017 | 4.4% | 0.98 | -0.1% | 1 |
| 2018 | 8.1% | 0.72 | -8.0% | 3 |
| 2019 | -11.9% | -0.78 | -14.0% | 1 |
| 2020 | 0.1% | 0.09 | -12.5% | 1 |
| 2021 | -10.4% | -1.23 | -11.3% | 2 |
| 2022 | 26.8% | 1.90 | -2.6% | 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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 9.2% | 0.98 | 6% |
| hidden test | EXTREME | 48 | 0.0% | 0.00 | 0% |
| hidden test | HIGH VOLATILITY | 254 | 3.1% | 0.21 | 5% |
| hidden test | LOW VOLATILITY | 440 | 5.5% | 0.53 | 9% |
| hidden test | MEDIUM VOLATILITY | 250 | -21.3% | -1.63 | 9% |
| hidden test | NORMAL | 813 | -3.5% | -0.27 | 9% |
| hidden test | SIDEWAYS | 295 | -3.4% | -0.16 | 24% |
| hidden test | UPTREND | 371 | -3.0% | -0.77 | 1% |
| train | DOWNTREND | 518 | -2.4% | -0.70 | 0% |
| train | EXPENSIVE | 311 | 7.0% | 0.94 | 5% |
| train | EXTREME | 100 | 0.0% | 0.00 | 0% |
| train | HIGH VOLATILITY | 699 | -1.5% | -0.12 | 5% |
| train | LOW VOLATILITY | 745 | 2.1% | 0.29 | 4% |
| train | MEDIUM VOLATILITY | 568 | -3.6% | -0.42 | 2% |
| train | NORMAL | 1,601 | -2.3% | -0.23 | 4% |
| train | SIDEWAYS | 592 | -8.9% | -0.57 | 11% |
| train | UPTREND | 902 | 5.5% | 1.03 | 1% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 0.0% | 0.00 | 0% |
| validation | EXTREME | 144 | 2.2% | 0.11 | 8% |
| validation | HIGH VOLATILITY | 258 | 1.3% | 0.08 | 4% |
| validation | LOW VOLATILITY | 183 | 0.0% | 0.00 | 0% |
| validation | MEDIUM VOLATILITY | 315 | 11.1% | 0.80 | 7% |
| validation | NORMAL | 474 | 7.4% | 0.65 | 5% |
| validation | SIDEWAYS | 206 | 5.9% | 0.26 | 15% |
| validation | UPTREND | 425 | 6.2% | 1.21 | 1% |
Trades (full period)
29 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-08 | 2026-05-29 | $428.35 | $435.79 | 7.15% | 15 | |
| 2025-05-13 | 2025-05-22 | $334.07 | $341.04 | 4.90% | 8 | |
| 2024-09-27 | 2024-10-03 | $260.46 | $240.66 | -2.24% | 5 | |
| 2023-11-29 | 2024-01-03 | $244.14 | $238.45 | 0.49% | 24 | |
| 2023-09-15 | 2023-09-28 | $274.39 | $246.38 | -13.05% | 10 | |
| 2023-05-31 | 2023-06-02 | $203.93 | $213.97 | 2.96% | 3 | |
| 2023-02-10 | 2023-03-08 | $196.89 | $182.00 | -9.64% | 18 | |
| 2022-08-09 | 2022-08-16 | $283.33 | $306.56 | 6.29% | 6 | |
| 2022-08-02 | 2022-08-05 | $300.59 | $288.17 | 3.61% | 4 | |
| 2022-03-23 | 2022-04-05 | $333.04 | $363.75 | 15.01% | 10 | |
| 2021-04-27 | 2021-05-04 | $234.91 | $224.53 | -7.41% | 6 | |
| 2021-04-07 | 2021-04-08 | $223.66 | $227.93 | -3.18% | 2 | |
| 2020-04-30 | 2020-05-15 | $52.13 | $53.28 | 0.15% | 12 | |
| 2019-07-25 | 2019-08-02 | $15.25 | $15.62 | -11.91% | 7 | |
| 2018-11-20 | 2018-11-27 | $23.17 | $22.93 | -2.31% | 5 | |
| 2018-10-29 | 2018-11-19 | $22.32 | $23.56 | 6.86% | 16 | |
| 2018-06-14 | 2018-06-15 | $23.85 | $23.88 | 3.55% | 2 | |
| 2017-01-04 | 2017-01-05 | $15.13 | $15.12 | 4.40% | 2 | |
| 2016-03-28 | 2016-04-05 | $15.35 | $17.03 | 8.23% | 7 | |
| 2016-03-21 | 2016-03-24 | $15.89 | $15.18 | -4.55% | 4 | |
| 2015-09-23 | 2015-09-30 | $17.40 | $16.56 | -5.67% | 6 | |
| 2015-05-01 | 2015-05-11 | $15.07 | $15.97 | 4.46% | 7 | |
| 2015-04-28 | 2015-04-29 | $15.37 | $15.50 | -0.66% | 2 | |
| 2014-01-22 | 2014-01-24 | $11.90 | $11.64 | 2.52% | 3 | |
| 2013-12-18 | 2014-01-14 | $9.87 | $10.75 | -8.79% | 18 | |
| 2012-11-21 | 2012-11-23 | $2.16 | $2.14 | -1.80% | 2 | |
| 2012-07-17 | 2012-07-20 | $2.22 | $2.12 | -10.45% | 4 | |
| 2012-02-22 | 2012-02-23 | $2.28 | $2.30 | -1.01% | 2 | |
| 2012-02-14 | 2012-02-21 | $2.21 | $2.30 | 10.83% | 5 |