Strategy Zoo / S1285
PriceMomentum_V1285
ARCHIVEDhybridstructuralchanged ret_20d threshold -0.0017 -> 0.0399; added exit filter: sma_100 > sma_20
Fitness
0.6443
Generation
59
Complexity
4
Created
2026-10-08
Lineage
Parents (1)
changed ret_20d threshold 0.05 -> 0.184
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1285 [hybrid]
if flat and ret_20d > 0.184:
position = 1.0
if long and (ret_20d < 0.0399 or sma_100 > sma_20):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 19.6% | 85.6% | -0.1% | 25.2% |
| Total Return | 317.6% | 539.5% | -0.5% | 2634.7% |
| Sharpe | 0.86 | 1.58 | 0.14 | 0.88 |
| Sortino | 0.62 | 1.39 | 0.09 | 0.65 |
| Calmar | 0.61 | 2.54 | -0.00 | 0.54 |
| Volatility | 24.2% | 45.9% | 27.8% | 30.7% |
| Max DD | -32.1% | -33.7% | -46.7% | -46.7% |
| Win Rate | 56.4% | 65.2% | 45.2% | 54.8% |
| Avg Win | 12.8% | 17.6% | 8.1% | 13.0% |
| Avg Loss | -4.3% | -3.4% | -5.7% | -4.7% |
| Payoff | 2.99 | 5.17 | 1.41 | 2.77 |
| Expectancy | 5.4% | 10.3% | 0.5% | 5.0% |
| Profit Factor | 3.87 | 9.70 | 1.16 | 3.36 |
| Trades | 39 | 23 | 31 | 93 |
| Avg Holding Days | 11.4 | 12.2 | 7.4 | 10.3 |
| Turnover | 9.9 | 15.3 | 16.6 | 12.6 |
| Exposure | 20.5% | 34.1% | 21.0% | 23.4% |
Growth of $100
PriceMomentum_V1285 vs TSLA Buy & Hold
PriceMomentum_V1285 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 | 12.8% | 1.11 | -7.3% | 8 |
| 2017 | 14.7% | 0.90 | -11.4% | 3 |
| 2018 | -11.6% | -0.78 | -19.4% | 8 |
| 2019 | -4.2% | -0.12 | -14.7% | 4 |
| 2020 | 388.0% | 2.60 | -33.7% | 7 |
| 2021 | 35.2% | 1.13 | -17.6% | 4 |
| 2022 | -7.0% | -0.38 | -11.9% | 12 |
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 | 19.0% | 1.48 | 3% |
| hidden test | EXPENSIVE | 83 | 0.0% | 0.00 | 43% |
| hidden test | EXTREME | 48 | 183.4% | 3.26 | 63% |
| hidden test | HIGH VOLATILITY | 254 | 11.9% | 0.29 | 28% |
| hidden test | LOW VOLATILITY | 440 | 25.5% | 1.50 | 16% |
| hidden test | MEDIUM VOLATILITY | 250 | -42.7% | -1.56 | 23% |
| hidden test | NORMAL | 813 | -6.5% | -0.27 | 16% |
| hidden test | SIDEWAYS | 295 | -39.5% | -1.73 | 13% |
| hidden test | UPTREND | 371 | 26.7% | 0.71 | 41% |
| train | DOWNTREND | 518 | 0.9% | 0.27 | 1% |
| train | EXPENSIVE | 311 | 10.6% | 0.34 | 39% |
| train | EXTREME | 100 | 368.1% | 5.07 | 95% |
| train | HIGH VOLATILITY | 699 | 40.3% | 1.16 | 25% |
| train | LOW VOLATILITY | 745 | 14.1% | 0.92 | 23% |
| train | MEDIUM VOLATILITY | 568 | 5.5% | 0.33 | 11% |
| train | NORMAL | 1,601 | 1.0% | 0.08 | 12% |
| train | SIDEWAYS | 592 | -10.0% | -0.69 | 7% |
| train | UPTREND | 902 | 52.3% | 1.54 | 40% |
| validation | DOWNTREND | 125 | 11.5% | 1.42 | 1% |
| validation | EXPENSIVE | 138 | 72.7% | 1.38 | 52% |
| validation | EXTREME | 144 | 291.8% | 3.57 | 88% |
| validation | HIGH VOLATILITY | 258 | 94.9% | 1.46 | 43% |
| validation | LOW VOLATILITY | 183 | 20.0% | 1.35 | 13% |
| validation | MEDIUM VOLATILITY | 315 | 84.3% | 2.22 | 40% |
| validation | NORMAL | 474 | 5.6% | 0.26 | 13% |
| validation | SIDEWAYS | 206 | -12.6% | -0.62 | 13% |
| validation | UPTREND | 425 | 131.5% | 2.22 | 54% |
Trades (full period)
93 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-08 | $435.79 | $408.95 | -11.74% | 7 | |
| 2026-05-12 | 2026-05-13 | $433.45 | $445.27 | -2.79% | 2 | |
| 2026-05-08 | 2026-05-11 | $428.35 | $445.00 | 3.82% | 2 | |
| 2025-12-17 | 2026-01-05 | $467.26 | $451.67 | -10.76% | 12 | |
| 2025-09-16 | 2025-10-15 | $421.62 | $435.15 | 4.48% | 22 | |
| 2025-05-28 | 2025-06-06 | $356.90 | $295.14 | -21.70% | 8 | |
| 2025-05-23 | 2025-05-27 | $339.34 | $362.89 | -0.70% | 2 | |
| 2025-05-21 | 2025-05-22 | $334.62 | $341.04 | -2.87% | 2 | |
| 2025-05-19 | 2025-05-20 | $342.09 | $343.82 | -2.45% | 2 | |
| 2025-05-15 | 2025-05-16 | $342.82 | $349.98 | -1.60% | 2 | |
| 2025-05-13 | 2025-05-14 | $334.07 | $347.68 | 4.72% | 2 | |
| 2025-05-08 | 2025-05-09 | $284.82 | $298.26 | 2.91% | 2 | |
| 2024-11-07 | 2025-01-08 | $296.91 | $394.94 | 36.41% | 42 | |
| 2024-09-25 | 2024-10-11 | $257.02 | $217.80 | -6.28% | 13 | |
| 2024-09-06 | 2024-09-18 | $210.73 | $227.20 | -1.21% | 9 | |
| 2024-07-03 | 2024-08-01 | $246.39 | $216.86 | 0.16% | 21 | |
| 2024-05-22 | 2024-05-23 | $180.11 | $173.74 | -3.67% | 2 | |
| 2024-05-20 | 2024-05-21 | $174.95 | $186.60 | -1.61% | 2 | |
| 2023-11-29 | 2023-11-30 | $244.14 | $240.08 | -1.24% | 2 | |
| 2023-09-15 | 2023-09-26 | $274.39 | $244.12 | -10.70% | 8 | |
| 2023-05-31 | 2023-07-21 | $203.93 | $260.02 | 30.43% | 36 | |
| 2023-05-25 | 2023-05-26 | $184.47 | $193.17 | 0.66% | 2 | |
| 2023-02-21 | 2023-03-07 | $197.37 | $187.71 | -7.15% | 11 | |
| 2023-02-16 | 2023-02-17 | $202.04 | $208.31 | -5.89% | 2 | |
| 2023-02-14 | 2023-02-15 | $209.25 | $214.24 | 7.30% | 2 | |
| 2023-02-10 | 2023-02-13 | $196.89 | $194.64 | -5.23% | 2 | |
| 2023-02-08 | 2023-02-09 | $201.29 | $207.32 | 2.07% | 2 | |
| 2023-02-06 | 2023-02-07 | $194.76 | $196.81 | 2.31% | 2 | |
| 2023-02-02 | 2023-02-03 | $188.27 | $189.98 | 3.58% | 2 | |
| 2023-01-31 | 2023-02-01 | $173.22 | $181.41 | 3.73% | 2 | |
| 2023-01-27 | 2023-01-30 | $177.90 | $166.66 | 10.79% | 2 | |
| 2022-08-11 | 2022-08-29 | $286.63 | $284.82 | -2.33% | 13 | |
| 2022-08-09 | 2022-08-10 | $283.33 | $294.36 | -2.64% | 2 | |
| 2022-08-04 | 2022-08-05 | $308.63 | $288.17 | 0.20% | 2 | |
| 2022-08-02 | 2022-08-03 | $300.59 | $307.40 | 0.91% | 2 | |
| 2022-07-29 | 2022-08-01 | $297.15 | $297.28 | 5.58% | 2 | |
| 2022-04-08 | 2022-04-21 | $341.83 | $336.26 | -7.76% | 9 | |
| 2022-04-06 | 2022-04-07 | $348.59 | $352.42 | -4.37% | 2 | |
| 2022-04-04 | 2022-04-05 | $381.82 | $363.75 | 5.41% | 2 | |
| 2022-03-31 | 2022-04-01 | $359.20 | $361.53 | -1.70% | 2 | |
| 2022-03-29 | 2022-03-30 | $366.52 | $364.66 | 0.51% | 2 | |
| 2022-03-25 | 2022-03-28 | $336.88 | $363.95 | -0.52% | 2 | |
| 2022-03-23 | 2022-03-24 | $333.04 | $337.97 | 0.32% | 2 | |
| 2021-10-19 | 2021-11-29 | $288.09 | $379.00 | 24.09% | 29 | |
| 2021-04-27 | 2021-04-28 | $234.91 | $231.47 | -4.73% | 2 | |
| 2021-04-07 | 2021-04-08 | $223.66 | $227.93 | -3.18% | 2 | |
| 2020-11-24 | 2021-02-09 | $185.13 | $283.15 | 65.13% | 52 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.68% | 6 | |
| 2020-08-19 | 2020-09-24 | $125.24 | $129.26 | 0.58% | 26 | |
| 2020-06-02 | 2020-08-10 | $58.77 | $94.57 | 61.43% | 49 | |
| 2020-04-20 | 2020-05-27 | $49.76 | $54.68 | 8.40% | 27 | |
| 2020-04-16 | 2020-04-17 | $49.68 | $50.26 | 1.91% | 2 | |
| 2020-04-14 | 2020-04-15 | $47.33 | $48.66 | 8.85% | 2 | |
| 2019-12-24 | 2020-03-04 | $28.35 | $49.97 | 77.48% | 48 | |
| 2019-10-25 | 2019-11-25 | $21.88 | $22.42 | 10.92% | 22 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -13.80% | 2 | |
| 2019-07-05 | 2019-07-08 | $15.54 | $15.36 | -0.97% | 2 | |
| 2019-07-01 | 2019-07-02 | $15.14 | $14.97 | 1.46% | 2 | |
| 2018-11-12 | 2018-11-26 | $22.09 | $23.07 | -7.23% | 10 | |
| 2018-11-08 | 2018-11-09 | $23.43 | $23.37 | 0.73% | 2 | |
| 2018-11-06 | 2018-11-07 | $22.74 | $23.21 | -0.30% | 2 | |
| 2018-11-02 | 2018-11-05 | $23.09 | $22.76 | 0.42% | 2 | |
| 2018-10-29 | 2018-10-30 | $22.32 | $21.99 | 0.99% | 2 | |
| 2018-06-20 | 2018-07-06 | $24.15 | $20.59 | -12.48% | 12 | |
| 2018-06-18 | 2018-06-19 | $24.72 | $23.50 | 3.33% | 2 | |
| 2018-06-14 | 2018-06-15 | $23.85 | $23.88 | 3.55% | 2 | |
| 2017-06-14 | 2017-07-05 | $25.38 | $21.81 | -6.39% | 15 | |
| 2017-04-04 | 2017-05-04 | $20.25 | $19.70 | 3.98% | 22 | |
| 2017-01-04 | 2017-02-24 | $15.13 | $17.13 | 17.74% | 36 | |
| 2016-07-26 | 2016-07-27 | $15.30 | $15.23 | -0.42% | 2 | |
| 2016-03-24 | 2016-04-20 | $15.18 | $16.66 | 10.92% | 19 | |
| 2016-03-22 | 2016-03-23 | $15.62 | $14.84 | -1.91% | 2 | |
| 2016-03-18 | 2016-03-21 | $15.52 | $15.89 | 2.61% | 2 | |
| 2016-03-16 | 2016-03-17 | $14.80 | $15.09 | 1.44% | 2 | |
| 2016-03-14 | 2016-03-15 | $14.34 | $14.56 | 3.48% | 2 | |
| 2016-03-10 | 2016-03-11 | $13.68 | $13.83 | -1.89% | 2 | |
| 2016-03-08 | 2016-03-09 | $13.51 | $13.91 | -1.51% | 2 | |
| 2015-09-23 | 2015-09-24 | $17.40 | $17.54 | -0.15% | 2 | |
| 2015-04-28 | 2015-06-11 | $15.37 | $16.76 | 8.05% | 32 | |
| 2014-08-14 | 2014-09-16 | $17.43 | $17.38 | -2.67% | 23 | |
| 2014-01-31 | 2014-03-25 | $12.09 | $14.70 | 20.18% | 37 | |
| 2014-01-24 | 2014-01-27 | $11.64 | $11.31 | -4.00% | 2 | |
| 2014-01-22 | 2014-01-23 | $11.90 | $12.10 | 0.86% | 2 | |
| 2014-01-02 | 2014-01-03 | $10.01 | $9.97 | -0.42% | 2 | |
| 2013-12-30 | 2013-12-31 | $10.16 | $10.03 | 0.67% | 2 | |
| 2013-12-26 | 2013-12-27 | $10.37 | $10.07 | 2.50% | 2 | |
| 2013-12-18 | 2013-12-19 | $9.87 | $9.38 | -3.14% | 2 | |
| 2013-07-02 | 2013-10-04 | $7.85 | $12.07 | 47.61% | 67 | |
| 2013-04-15 | 2013-06-26 | $2.89 | $7.05 | 133.59% | 52 | |
| 2013-04-02 | 2013-04-10 | $2.96 | $2.79 | -7.99% | 7 | |
| 2012-11-21 | 2012-12-28 | $2.16 | $2.21 | 1.89% | 26 | |
| 2012-07-17 | 2012-07-18 | $2.22 | $2.14 | -7.45% | 2 | |
| 2012-02-14 | 2012-03-09 | $2.21 | $2.32 | 4.81% | 18 |