Strategy Zoo / S1295
PriceMomentum_V1295
ARCHIVEDhybridstructuralremoved entry condition: ((ret_20d > 0.05 and breakout_50 == 1) or ((ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > -0.0674 and cumret_252d > -0.1997)) or ret_20d > 0.184)); removed entry condition: sma_20 < close
Fitness
0.5829
Generation
59
Complexity
2
Created
2026-10-08
Lineage
Parents (1)
added entry filter: sma_20 < close; added entry filter: macd_hist > -2.6055
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1295 [hybrid]
if flat and macd_hist > -2.6055:
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.9% | 116.9% | 26.4% | 28.6% |
| Total Return | 83.3% | 920.8% | 140.8% | 3961.8% |
| Sharpe | 0.39 | 1.63 | 0.74 | 0.77 |
| Sortino | 0.56 | 2.17 | 1.00 | 1.07 |
| Calmar | 0.09 | 2.77 | 0.61 | 0.33 |
| Volatility | 43.1% | 57.9% | 45.1% | 47.2% |
| Max DD | -86.8% | -42.2% | -43.7% | -86.8% |
| Win Rate | 40.8% | 45.5% | 46.5% | 42.6% |
| Avg Win | 4.6% | 11.6% | 5.3% | 6.3% |
| Avg Loss | -2.6% | -3.5% | -3.0% | -2.8% |
| Payoff | 1.76 | 3.30 | 1.74 | 2.21 |
| Expectancy | 0.3% | 3.4% | 0.8% | 1.0% |
| Profit Factor | 1.21 | 2.75 | 1.52 | 1.64 |
| Trades | 471 | 110 | 157 | 739 |
| Avg Holding Days | 4.2 | 5.9 | 5.0 | 4.7 |
| Turnover | 118.1 | 73.3 | 84.1 | 100.4 |
| Exposure | 76.5% | 71.2% | 66.2% | 72.9% |
Growth of $100
PriceMomentum_V1295 vs TSLA Buy & Hold
PriceMomentum_V1295 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 | 0.5% | 0.18 | -26.7% | 73 |
| 2017 | -19.0% | -0.52 | -46.2% | 51 |
| 2018 | -53.0% | -1.43 | -61.4% | 67 |
| 2019 | 17.5% | 0.59 | -46.2% | 66 |
| 2020 | 513.2% | 2.71 | -37.8% | 29 |
| 2021 | 136.1% | 2.34 | -17.6% | 25 |
| 2022 | -40.6% | -0.95 | -42.2% | 56 |
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 | 48.0% | 1.08 | 62% |
| hidden test | EXPENSIVE | 83 | 84.8% | 1.56 | 83% |
| hidden test | EXTREME | 48 | 162.2% | 2.85 | 73% |
| hidden test | HIGH VOLATILITY | 254 | 55.7% | 0.92 | 68% |
| hidden test | LOW VOLATILITY | 440 | 52.5% | 1.55 | 66% |
| hidden test | MEDIUM VOLATILITY | 250 | -22.1% | -0.49 | 64% |
| hidden test | NORMAL | 813 | 20.8% | 0.48 | 64% |
| hidden test | SIDEWAYS | 295 | -35.7% | -0.88 | 68% |
| hidden test | UPTREND | 371 | 77.9% | 1.60 | 68% |
| train | DOWNTREND | 518 | -50.1% | -1.34 | 65% |
| train | EXPENSIVE | 311 | 69.1% | 1.47 | 88% |
| train | EXTREME | 100 | 407.4% | 5.51 | 99% |
| train | HIGH VOLATILITY | 699 | 21.2% | 0.38 | 73% |
| train | LOW VOLATILITY | 745 | 34.7% | 1.15 | 81% |
| train | MEDIUM VOLATILITY | 568 | -12.1% | -0.31 | 74% |
| train | NORMAL | 1,601 | -17.8% | -0.45 | 73% |
| train | SIDEWAYS | 592 | 5.0% | 0.12 | 74% |
| train | UPTREND | 902 | 63.0% | 1.34 | 85% |
| validation | DOWNTREND | 125 | -65.3% | -1.38 | 45% |
| validation | EXPENSIVE | 138 | 78.9% | 1.29 | 77% |
| validation | EXTREME | 144 | 352.7% | 4.03 | 97% |
| validation | HIGH VOLATILITY | 258 | 105.0% | 1.34 | 71% |
| validation | LOW VOLATILITY | 183 | 59.9% | 1.98 | 75% |
| validation | MEDIUM VOLATILITY | 315 | 105.4% | 2.10 | 69% |
| validation | NORMAL | 474 | 20.2% | 0.47 | 62% |
| validation | SIDEWAYS | 206 | 34.7% | 0.85 | 64% |
| validation | UPTREND | 425 | 170.1% | 2.55 | 83% |
Trades (full period)
latest 100 of 740
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-05 | — | $378.73 | — | 1.85% | 3 | OPEN |
| 2026-10-01 | 2026-10-02 | $354.11 | $370.59 | -0.40% | 2 | |
| 2026-08-21 | 2026-09-30 | $362.86 | $354.81 | 2.03% | 28 | |
| 2026-08-19 | 2026-08-20 | $351.12 | $345.13 | 4.03% | 2 | |
| 2026-08-17 | 2026-08-18 | $339.30 | $336.87 | -1.07% | 2 | |
| 2026-08-13 | 2026-08-14 | $339.96 | $342.27 | 3.60% | 2 | |
| 2026-08-11 | 2026-08-12 | $332.81 | $327.51 | 0.38% | 2 | |
| 2026-08-07 | 2026-08-10 | $328.58 | $330.88 | 2.63% | 2 | |
| 2026-08-05 | 2026-08-06 | $321.55 | $319.53 | -1.97% | 2 | |
| 2026-07-17 | 2026-07-20 | $380.84 | $369.57 | -2.81% | 2 | |
| 2026-07-15 | 2026-07-16 | $394.46 | $391.06 | -0.63% | 2 | |
| 2026-07-10 | 2026-07-14 | $407.76 | $396.18 | -3.09% | 3 | |
| 2026-07-07 | 2026-07-09 | $402.90 | $406.55 | -6.32% | 3 | |
| 2026-06-30 | 2026-07-06 | $420.60 | $419.77 | -4.65% | 4 | |
| 2026-06-22 | 2026-06-23 | $405.05 | $381.61 | 0.94% | 2 | |
| 2026-04-27 | 2026-06-08 | $378.67 | $408.95 | 3.70% | 30 | |
| 2026-04-17 | 2026-04-24 | $400.62 | $376.30 | -4.09% | 6 | |
| 2026-04-15 | 2026-04-16 | $391.95 | $388.90 | 7.41% | 2 | |
| 2026-04-13 | 2026-04-14 | $352.42 | $364.20 | 0.79% | 2 | |
| 2026-04-09 | 2026-04-10 | $345.62 | $348.95 | 0.49% | 2 | |
| 2026-04-07 | 2026-04-08 | $346.65 | $343.25 | -1.95% | 2 | |
| 2026-04-02 | 2026-04-06 | $360.59 | $352.82 | -5.62% | 2 | |
| 2026-03-31 | 2026-04-01 | $371.75 | $381.26 | 4.43% | 2 | |
| 2026-03-27 | 2026-03-30 | $361.83 | $355.28 | -2.96% | 2 | |
| 2026-03-25 | 2026-03-26 | $385.95 | $372.11 | 0.56% | 2 | |
| 2026-03-23 | 2026-03-24 | $380.85 | $383.03 | 3.30% | 2 | |
| 2026-03-19 | 2026-03-20 | $380.30 | $367.96 | -3.37% | 2 | |
| 2026-03-17 | 2026-03-18 | $399.27 | $392.78 | 0.74% | 2 | |
| 2026-03-13 | 2026-03-16 | $391.20 | $395.56 | -1.16% | 2 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.95% | 2 | |
| 2026-03-05 | 2026-03-10 | $405.55 | $399.24 | -1.98% | 4 | |
| 2026-03-03 | 2026-03-04 | $392.43 | $405.94 | -2.90% | 2 | |
| 2026-02-27 | 2026-03-02 | $402.51 | $403.32 | -1.68% | 2 | |
| 2026-02-25 | 2026-02-26 | $417.40 | $408.58 | 1.76% | 2 | |
| 2026-02-23 | 2026-02-24 | $399.83 | $409.38 | -3.11% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.11% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.83% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.81% | 2 | |
| 2026-02-10 | 2026-02-11 | $425.21 | $428.27 | 1.69% | 2 | |
| 2026-02-04 | 2026-02-05 | $406.01 | $397.21 | -3.98% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -2.20% | 2 | |
| 2026-01-29 | 2026-01-30 | $416.56 | $430.41 | -3.65% | 2 | |
| 2026-01-27 | 2026-01-28 | $430.90 | $431.46 | -1.19% | 2 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.27% | 2 | |
| 2026-01-20 | 2026-01-21 | $419.25 | $431.44 | -4.37% | 2 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -3.92% | 19 | |
| 2025-12-03 | 2025-12-05 | $446.74 | $455.00 | 5.68% | 3 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.21% | 2 | |
| 2025-11-26 | 2025-11-28 | $426.58 | $430.17 | 1.51% | 2 | |
| 2025-10-28 | 2025-11-13 | $460.55 | $401.99 | -5.01% | 13 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-08-21 | 2025-10-23 | $320.11 | $448.98 | 35.25% | 45 | |
| 2025-08-04 | 2025-08-20 | $309.26 | $323.90 | 8.60% | 13 | |
| 2025-07-28 | 2025-08-01 | $325.59 | $302.63 | -2.66% | 5 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -8.39% | 2 | |
| 2025-07-18 | 2025-07-23 | $329.65 | $332.56 | 3.77% | 4 | |
| 2025-07-16 | 2025-07-17 | $321.67 | $319.41 | 3.30% | 2 | |
| 2025-07-14 | 2025-07-15 | $316.90 | $310.78 | 0.88% | 2 | |
| 2025-07-01 | 2025-07-02 | $300.71 | $315.65 | -5.53% | 2 | |
| 2025-06-27 | 2025-06-30 | $323.63 | $317.66 | -0.86% | 2 | |
| 2025-06-23 | 2025-06-26 | $348.68 | $325.78 | 1.48% | 4 | |
| 2025-05-05 | 2025-06-12 | $280.26 | $319.11 | 13.43% | 28 | |
| 2025-04-25 | 2025-05-02 | $284.95 | $287.21 | 7.89% | 6 | |
| 2025-04-23 | 2025-04-24 | $250.74 | $259.51 | 5.16% | 2 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -5.09% | 2 | |
| 2025-04-02 | 2025-04-07 | $282.76 | $233.29 | -10.99% | 4 | |
| 2025-03-31 | 2025-04-01 | $259.16 | $268.46 | -1.86% | 2 | |
| 2025-03-27 | 2025-03-28 | $273.13 | $263.55 | 0.19% | 2 | |
| 2025-03-25 | 2025-03-26 | $288.14 | $272.06 | 3.30% | 2 | |
| 2025-03-21 | 2025-03-24 | $248.71 | $278.39 | 5.06% | 2 | |
| 2025-03-19 | 2025-03-20 | $235.86 | $236.26 | 4.48% | 2 | |
| 2025-03-17 | 2025-03-18 | $238.01 | $225.31 | -4.98% | 2 | |
| 2025-02-24 | 2025-02-25 | $330.53 | $302.80 | -2.35% | 2 | |
| 2025-02-20 | 2025-02-21 | $354.40 | $337.80 | -1.91% | 2 | |
| 2025-01-27 | 2025-01-28 | $397.15 | $398.09 | -2.52% | 2 | |
| 2025-01-23 | 2025-01-24 | $412.38 | $406.58 | -0.86% | 2 | |
| 2025-01-21 | 2025-01-22 | $424.07 | $415.11 | -0.77% | 2 | |
| 2024-11-05 | 2025-01-13 | $251.44 | $403.31 | 62.23% | 46 | |
| 2024-10-25 | 2024-11-04 | $269.19 | $242.84 | -4.60% | 7 | |
| 2024-08-30 | 2024-10-14 | $214.11 | $219.16 | 5.38% | 31 | |
| 2024-08-28 | 2024-08-29 | $205.75 | $206.28 | -1.85% | 2 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -3.42% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -5.84% | 2 | |
| 2024-08-20 | 2024-08-21 | $221.10 | $223.27 | -0.93% | 2 | |
| 2024-08-16 | 2024-08-19 | $216.12 | $222.72 | 0.72% | 2 | |
| 2024-06-24 | 2024-08-02 | $182.58 | $207.67 | 18.26% | 29 | |
| 2024-06-13 | 2024-06-21 | $182.47 | $183.01 | 2.21% | 6 | |
| 2024-06-07 | 2024-06-12 | $177.48 | $177.29 | -4.28% | 4 | |
| 2024-06-05 | 2024-06-06 | $175.00 | $177.94 | -0.07% | 2 | |
| 2024-06-03 | 2024-06-04 | $176.29 | $174.77 | -1.20% | 2 | |
| 2024-05-30 | 2024-05-31 | $178.79 | $178.08 | 1.27% | 2 | |
| 2024-05-13 | 2024-05-29 | $171.89 | $176.19 | 4.71% | 12 | |
| 2024-04-29 | 2024-05-10 | $194.05 | $168.47 | 2.00% | 10 | |
| 2024-04-25 | 2024-04-26 | $170.18 | $168.29 | 4.76% | 2 | |
| 2024-04-23 | 2024-04-24 | $144.68 | $162.13 | 1.65% | 2 | |
| 2024-04-19 | 2024-04-22 | $147.05 | $142.05 | -2.12% | 2 | |
| 2024-04-17 | 2024-04-18 | $155.45 | $149.93 | -1.26% | 2 | |
| 2024-04-11 | 2024-04-16 | $174.60 | $157.11 | -6.17% | 4 | |
| 2024-04-09 | 2024-04-10 | $176.88 | $171.76 | 2.05% | 2 |