Strategy Zoo / S1294

PriceMomentum_V1294

ARCHIVEDhybrid

structuraladded exit filter: dist_sma_200 < 0.1009

Fitness

0.7197

Generation

Complexity

Created

2026-10-08

Lineage

Parents (1)

PriceMomentum_V1085S1085 · gen 49ARCHIVEDstructural

changed ret_20d threshold -0.1499 -> -0.0955

Children (3)

PriceMomentum_V1300S1300 · gen 60ARCHIVEDcrossover

PriceMomentum_V1302S1302 · gen 60ARCHIVEDcrossover

PriceMomentum_V1303S1303 · gen 60ARCHIVEDcrossover

Strategy Logic (pseudocode)

# PriceMomentum_V1294  [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and ret_20d > 0.05:
    position = 1.0
if long and (ret_20d < -0.0955 or dist_sma_200 < 0.1009):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	23.7%	102.8%	11.0%	33.4%
Total Return	446.6%	734.7%	48.0%	6853.5%
Sharpe	1.03	1.82	0.65	1.17
Sortino	0.74	1.52	0.39	0.79
Calmar	0.89	3.05	0.53	0.99
Volatility	23.1%	44.4%	18.8%	28.0%
Max DD	-26.6%	-33.7%	-21.0%	-33.7%
Win Rate	60.0%	100.0%	66.7%	72.2%
Avg Win	55.6%	59.9%	25.8%	54.4%
Avg Loss	-3.5%	0.0%	-4.7%	-3.8%
Payoff	10.00	5.00	5.47	10.00
Expectancy	31.9%	59.9%	15.7%	38.2%
Profit Factor	10.00	5.00	10.00	10.00
Trades	10	5	3	18
Avg Holding Days	31.2	47.6	32.0	36.5
Turnover	2.6	3.3	1.6	2.4
Exposure	15.5%	30.8%	9.9%	17.2%

Growth of $100

PriceMomentum_V1294 vs TSLA Buy & Hold

PriceMomentum_V1294 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	-0.8%	0.10	-26.0%	6
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	642.9%	3.11	-33.7%	4
2021	7.7%	0.48	-10.9%	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	34.0%	0.79	66%
hidden test	EXTREME	48	210.8%	3.53	75%
hidden test	HIGH VOLATILITY	254	27.8%	1.06	15%
hidden test	LOW VOLATILITY	440	18.8%	2.10	4%
hidden test	MEDIUM VOLATILITY	250	-15.2%	-0.69	15%
hidden test	NORMAL	813	-1.7%	-0.79	0%
hidden test	SIDEWAYS	295	0.0%	0.00	0%
hidden test	UPTREND	371	31.1%	1.04	25%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	30.9%	0.81	66%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	50.6%	1.52	21%
train	LOW VOLATILITY	745	11.9%	1.09	11%
train	MEDIUM VOLATILITY	568	6.5%	0.34	15%
train	NORMAL	1,601	-2.0%	-0.87	0%
train	SIDEWAYS	592	1.4%	0.63	0%
train	UPTREND	902	52.3%	1.52	34%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	51.7%	0.90	77%
validation	EXTREME	144	376.0%	4.56	88%
validation	HIGH VOLATILITY	258	133.6%	2.08	38%
validation	LOW VOLATILITY	183	10.6%	0.53	17%
validation	MEDIUM VOLATILITY	315	77.8%	2.34	32%
validation	NORMAL	474	-0.8%	-0.78	0%
validation	SIDEWAYS	206	4.7%	1.05	0%
validation	UPTREND	425	141.0%	2.40	55%

Trades (full period)

18 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-15	2025-11-13	$410.04	$401.99	8.54%	44
2025-05-28	2025-06-02	$356.90	$342.69	-4.72%	4
2024-11-07	2025-01-17	$296.91	$426.50	43.14%	48
2020-11-19	2021-02-19	$166.42	$260.43	61.48%	62
2020-10-07	2020-11-12	$141.77	$137.25	0.56%	27
2020-05-15	2020-09-25	$53.28	$135.78	140.88%	93
2020-04-14	2020-04-30	$47.33	$52.13	22.74%	13
2019-12-17	2020-03-05	$25.27	$48.30	96.07%	54
2017-09-18	2017-09-26	$25.67	$23.02	-9.35%	7
2017-08-04	2017-08-24	$23.79	$23.53	1.44%	15
2017-04-07	2017-07-07	$20.17	$20.88	3.19%	63
2017-03-28	2017-04-06	$18.50	$19.91	8.95%	8
2017-02-03	2017-02-28	$16.76	$16.67	-2.31%	17
2017-01-25	2017-01-31	$16.96	$16.80	-1.76%	5
2014-01-24	2014-03-26	$11.64	$14.20	21.21%	43
2013-04-11	2013-10-24	$2.91	$11.54	292.21%	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