Strategy Zoo / S1310

PriceMomentum_V1310

ARCHIVEDhybrid

structuraladded entry filter: vol_60 < 0.3753; reduce exposure to 67% during EXPENSIVE

Fitness

0.1241

Generation

Complexity

Created

2026-10-08

Lineage

Parents (1)

PriceMomentum_V1251S1251 · gen 57ARCHIVEDstructural

changed ret_20d threshold 0.05 -> 0.0191

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1310  [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (ret_20d > 0.0191 and vol_60 < 0.3753):
    position = 1.0
if long and ret_20d < -0.1499:
    position = 0.0  # exit to cash
if regime.bubble == "EXPENSIVE": position *= 0.67

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	0.8%	0.0%	0.0%	0.4%
Total Return	6.8%	0.0%	0.0%	6.8%
Sharpe	0.17	0.00	0.00	0.12
Sortino	0.05	0.00	0.00	0.03
Calmar	0.05	0.00	0.00	0.03
Volatility	6.1%	0.0%	0.0%	4.5%
Max DD	-16.5%	0.0%	0.0%	-16.5%
Win Rate	42.9%	0.0%	0.0%	42.9%
Avg Win	4.1%	0.0%	0.0%	4.1%
Avg Loss	-1.4%	0.0%	0.0%	-1.4%
Payoff	3.02	0.00	0.00	3.02
Expectancy	1.0%	0.0%	0.0%	1.0%
Profit Factor	2.27	0.00	0.00	2.27
Trades	7	0	0	7
Avg Holding Days	16.3	0.0	0.0	16.3
Turnover	1.3	0.0	0.0	0.7
Exposure	3.8%	0.0%	0.0%	2.0%

Growth of $100

PriceMomentum_V1310 vs TSLA Buy & Hold

PriceMomentum_V1310 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	2.8%	0.25	-16.5%	5
2018	0.0%	0.00	0.0%	0
2019	0.0%	0.00	0.0%	0
2020	0.0%	0.00	0.0%	0
2021	0.0%	0.00	0.0%	0
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	0.0%	0.00	0%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	0.0%	0.00	0%
hidden test	LOW VOLATILITY	440	0.0%	0.00	0%
hidden test	MEDIUM VOLATILITY	250	0.0%	0.00	0%
hidden test	NORMAL	813	0.0%	0.00	0%
hidden test	SIDEWAYS	295	0.0%	0.00	0%
hidden test	UPTREND	371	0.0%	0.00	0%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	13.1%	0.95	19%
train	EXTREME	100	5.1%	0.49	12%
train	HIGH VOLATILITY	699	1.6%	0.24	3%
train	LOW VOLATILITY	745	2.0%	0.41	4%
train	MEDIUM VOLATILITY	568	-0.9%	-0.13	4%
train	NORMAL	1,601	-1.6%	-0.87	0%
train	SIDEWAYS	592	0.0%	0.00	0%
train	UPTREND	902	2.3%	0.25	8%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	0.0%	0.00	0%
validation	EXTREME	144	0.0%	0.00	0%
validation	HIGH VOLATILITY	258	0.0%	0.00	0%
validation	LOW VOLATILITY	183	0.0%	0.00	0%
validation	MEDIUM VOLATILITY	315	0.0%	0.00	0%
validation	NORMAL	474	0.0%	0.00	0%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	0.0%	0.00	0%

Trades (full period)

7 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2017-10-05	2017-10-10	$23.69	$23.71	-2.40%	4
2017-04-07	2017-07-10	$20.17	$21.07	2.02%	64
2017-03-28	2017-04-06	$18.50	$19.91	5.99%	8
2017-02-03	2017-02-28	$16.76	$16.67	-1.42%	17
2017-01-25	2017-01-31	$16.96	$16.80	-1.18%	5
2013-02-14	2013-02-15	$2.55	$2.47	-0.45%	2
2013-01-24	2013-02-12	$2.47	$2.53	4.36%	14