Strategy Zoo / S1316
PriceMomentum_V1316
ARCHIVEDhybridstructuralreduce exposure to 41% during MEDIUM_VOLATILITY; added entry filter: rel_volume > 1.1075
Fitness
0.6225
Generation
60
Complexity
20
Created
2026-10-08
Lineage
Parents (1)
entry = PriceMomentum_V0817 OR PriceMomentum_V0690
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1316 [hybrid]
if flat and (((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)) and rel_volume > 1.1075):
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 25.9% | 72.1% | 16.9% | 31.9% |
| Total Return | 528.9% | 409.8% | 79.7% | 5830.4% |
| Sharpe | 0.95 | 1.52 | 0.66 | 1.02 |
| Sortino | 0.98 | 1.39 | 0.59 | 0.97 |
| Calmar | 0.58 | 2.13 | 0.57 | 0.71 |
| Volatility | 28.4% | 41.5% | 30.6% | 32.1% |
| Max DD | -45.0% | -33.8% | -29.7% | -45.0% |
| Win Rate | 34.3% | 45.5% | 38.9% | 37.5% |
| Avg Win | 27.6% | 49.8% | 22.3% | 35.0% |
| Avg Loss | -4.2% | -4.4% | -6.7% | -4.9% |
| Payoff | 6.56 | 10.00 | 3.31 | 7.10 |
| Expectancy | 6.7% | 20.2% | 4.5% | 10.0% |
| Profit Factor | 3.43 | 9.33 | 2.11 | 4.26 |
| Trades | 35 | 11 | 18 | 64 |
| Avg Holding Days | 22.1 | 34.4 | 20.8 | 24.7 |
| Turnover | 11.4 | 8.5 | 12.1 | 10.9 |
| Exposure | 34.0% | 36.1% | 31.7% | 33.9% |
Growth of $100
PriceMomentum_V1316 vs TSLA Buy & Hold
PriceMomentum_V1316 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% | 0.04 | -11.6% | 2 |
| 2017 | -2.8% | -0.04 | -24.8% | 6 |
| 2018 | -18.8% | -0.74 | -28.5% | 6 |
| 2019 | 52.6% | 1.52 | -20.0% | 2 |
| 2020 | 265.5% | 2.30 | -33.8% | 3 |
| 2021 | 70.9% | 2.34 | -9.2% | 4 |
| 2022 | -20.0% | -1.54 | -21.1% | 4 |
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 | -13.0% | -0.55 | 18% |
| hidden test | EXPENSIVE | 83 | 73.2% | 1.98 | 44% |
| hidden test | EXTREME | 48 | 169.3% | 3.16 | 61% |
| hidden test | HIGH VOLATILITY | 254 | 27.8% | 0.66 | 40% |
| hidden test | LOW VOLATILITY | 440 | 44.7% | 1.87 | 34% |
| hidden test | MEDIUM VOLATILITY | 250 | -30.2% | -1.11 | 20% |
| hidden test | NORMAL | 813 | 6.1% | 0.22 | 29% |
| hidden test | SIDEWAYS | 295 | 0.4% | 0.02 | 32% |
| hidden test | UPTREND | 371 | 61.1% | 1.57 | 42% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 5% |
| train | EXPENSIVE | 311 | 46.3% | 1.50 | 59% |
| train | EXTREME | 100 | 373.2% | 5.24 | 87% |
| train | HIGH VOLATILITY | 699 | 59.9% | 1.55 | 34% |
| train | LOW VOLATILITY | 745 | 34.3% | 1.51 | 47% |
| train | MEDIUM VOLATILITY | 568 | -23.2% | -1.26 | 17% |
| train | NORMAL | 1,601 | 1.6% | 0.07 | 26% |
| train | SIDEWAYS | 592 | -8.9% | -0.41 | 23% |
| train | UPTREND | 902 | 66.0% | 1.73 | 57% |
| validation | DOWNTREND | 125 | 7.7% | 1.38 | 2% |
| validation | EXPENSIVE | 138 | 29.9% | 0.72 | 26% |
| validation | EXTREME | 144 | 253.3% | 3.28 | 81% |
| validation | HIGH VOLATILITY | 258 | 80.1% | 1.26 | 45% |
| validation | LOW VOLATILITY | 183 | 54.2% | 2.43 | 47% |
| validation | MEDIUM VOLATILITY | 315 | 54.0% | 2.30 | 23% |
| validation | NORMAL | 474 | 14.7% | 0.75 | 25% |
| validation | SIDEWAYS | 206 | -12.0% | -0.53 | 26% |
| validation | UPTREND | 425 | 115.5% | 2.19 | 51% |
Trades (full period)
64 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -6.11% | 27 | |
| 2026-05-12 | 2026-06-08 | $433.45 | $408.95 | -12.31% | 19 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -2.87% | 5 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -1.47% | 2 | |
| 2025-08-25 | 2025-10-23 | $346.60 | $448.98 | 24.98% | 43 | |
| 2025-08-12 | 2025-08-20 | $340.84 | $323.90 | -3.06% | 7 | |
| 2025-05-12 | 2025-06-12 | $318.38 | $319.11 | 21.09% | 23 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 33.16% | 44 | |
| 2024-09-05 | 2024-10-14 | $230.17 | $219.16 | -4.65% | 28 | |
| 2024-06-27 | 2024-08-02 | $197.42 | $207.67 | 7.61% | 26 | |
| 2024-05-22 | 2024-05-29 | $180.11 | $176.19 | -5.47% | 5 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2023-11-20 | 2024-01-05 | $235.60 | $237.49 | 1.35% | 32 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -5.16% | 13 | |
| 2023-05-24 | 2023-07-24 | $182.90 | $269.06 | 43.51% | 41 | |
| 2023-01-27 | 2023-03-08 | $177.90 | $182.00 | 24.16% | 28 | |
| 2022-07-22 | 2022-08-29 | $272.24 | $284.82 | -0.51% | 27 | |
| 2022-03-23 | 2022-04-21 | $333.04 | $336.26 | -0.49% | 21 | |
| 2022-01-14 | 2022-01-24 | $349.87 | $310.00 | -8.68% | 6 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -11.44% | 4 | |
| 2021-08-17 | 2021-12-01 | $221.90 | $365.00 | 68.20% | 75 | |
| 2021-06-24 | 2021-07-23 | $226.61 | $214.46 | -1.31% | 21 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -4.24% | 15 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 27.60% | 55 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 5.24% | 29 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 93.82% | 83 | |
| 2019-10-15 | 2020-03-04 | $17.19 | $49.97 | 158.53% | 97 | |
| 2019-09-13 | 2019-10-10 | $16.35 | $16.32 | -5.86% | 20 | |
| 2019-07-05 | 2019-08-02 | $15.54 | $15.62 | -0.65% | 21 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 1.28% | 36 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-07 | 2018-07-06 | $21.07 | $20.59 | -3.43% | 21 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -4.02% | 5 | |
| 2018-01-26 | 2018-02-07 | $22.86 | $23.00 | -0.48% | 9 | |
| 2018-01-09 | 2018-01-12 | $22.25 | $22.41 | -0.29% | 4 | |
| 2017-12-12 | 2017-12-28 | $22.74 | $21.02 | -5.86% | 12 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -5.77% | 6 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.64% | 13 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.56% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 1.80% | 41 | |
| 2016-12-21 | 2017-02-28 | $13.85 | $16.67 | 20.61% | 46 | |
| 2016-06-08 | 2016-06-21 | $15.70 | $14.64 | -5.52% | 10 | |
| 2016-04-01 | 2016-05-03 | $15.84 | $15.49 | 3.34% | 23 | |
| 2015-12-17 | 2015-12-29 | $15.56 | $15.81 | -1.58% | 8 | |
| 2015-09-22 | 2015-09-30 | $17.40 | $16.56 | -5.27% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -3.72% | 2 | |
| 2015-07-21 | 2015-07-27 | $17.78 | $16.87 | -2.53% | 5 | |
| 2015-04-23 | 2015-07-09 | $14.57 | $17.19 | 15.95% | 54 | |
| 2014-11-12 | 2014-12-02 | $16.61 | $15.43 | -7.23% | 14 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-13 | 2014-07-16 | $13.76 | $14.48 | 7.68% | 23 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 21.75% | 49 | |
| 2013-12-20 | 2014-01-14 | $9.55 | $10.75 | -1.08% | 16 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 52.44% | 79 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 184.41% | 65 | |
| 2013-01-24 | 2013-02-22 | $2.47 | $2.41 | -2.53% | 21 | |
| 2012-11-06 | 2012-12-31 | $2.08 | $2.26 | 5.25% | 38 | |
| 2012-08-24 | 2012-09-05 | $1.97 | $1.86 | -8.27% | 8 | |
| 2012-07-17 | 2012-07-20 | $2.22 | $2.12 | -4.34% | 4 | |
| 2012-06-19 | 2012-06-27 | $2.14 | $2.13 | -4.25% | 7 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -4.01% | 10 | |
| 2012-02-13 | 2012-03-23 | $2.10 | $2.27 | 10.39% | 29 |