Strategy Zoo / S1318
PriceMomentum_V1318
ARCHIVEDhybridstructuralreplaced exit rule with: roc_20 > 18.0356
Fitness
0.2848
Generation
60
Complexity
4
Created
2026-10-08
Lineage
Parents (1)
changed ret_20d threshold -0.0017 -> -0.1499
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1318 [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 roc_20 > 18.0356:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 10.2% | 13.6% | 0.2% | 8.4% |
| Total Return | 116.8% | 46.6% | 0.8% | 228.6% |
| Sharpe | 0.58 | 0.53 | 0.09 | 0.45 |
| Sortino | 0.34 | 0.38 | 0.05 | 0.27 |
| Calmar | 0.34 | 0.24 | 0.01 | 0.15 |
| Volatility | 20.4% | 39.0% | 15.9% | 24.5% |
| Max DD | -30.2% | -55.7% | -29.9% | -55.7% |
| Win Rate | 56.8% | 59.0% | 53.1% | 57.3% |
| Avg Win | 4.9% | 5.2% | 3.2% | 4.7% |
| Avg Loss | -3.8% | -5.0% | -3.4% | -4.2% |
| Payoff | 1.29 | 1.02 | 0.95 | 1.13 |
| Expectancy | 1.2% | 1.0% | 0.1% | 0.9% |
| Profit Factor | 1.70 | 1.47 | 1.08 | 1.51 |
| Trades | 81 | 78 | 32 | 192 |
| Avg Holding Days | 4.5 | 3.3 | 3.7 | 3.9 |
| Turnover | 20.3 | 52.0 | 17.1 | 26.1 |
| Exposure | 14.2% | 23.3% | 9.2% | 14.8% |
Growth of $100
PriceMomentum_V1318 vs TSLA Buy & Hold
PriceMomentum_V1318 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 | 8.5% | 0.44 | -19.4% | 17 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 6.7% | 0.95 | -3.9% | 3 |
| 2020 | 53.9% | 0.99 | -55.7% | 67 |
| 2021 | -7.9% | -0.47 | -17.0% | 10 |
| 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 | -77.7% | -2.04 | 61% |
| hidden test | EXTREME | 48 | 192.9% | 4.03 | 71% |
| hidden test | HIGH VOLATILITY | 254 | 15.8% | 0.78 | 12% |
| hidden test | LOW VOLATILITY | 440 | 8.7% | 1.20 | 4% |
| hidden test | MEDIUM VOLATILITY | 250 | -25.9% | -1.22 | 16% |
| hidden test | NORMAL | 813 | -1.8% | -0.79 | 0% |
| hidden test | SIDEWAYS | 295 | -4.1% | -0.94 | 0% |
| hidden test | UPTREND | 371 | 7.0% | 0.28 | 23% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 21.0% | 0.50 | 70% |
| train | EXTREME | 100 | 219.1% | 4.33 | 60% |
| train | HIGH VOLATILITY | 699 | 18.9% | 0.72 | 17% |
| train | LOW VOLATILITY | 745 | 9.6% | 0.81 | 10% |
| train | MEDIUM VOLATILITY | 568 | 5.8% | 0.28 | 15% |
| train | NORMAL | 1,601 | -3.0% | -0.90 | 0% |
| train | SIDEWAYS | 592 | 3.4% | 0.89 | 0% |
| train | UPTREND | 902 | 24.0% | 0.79 | 31% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | -59.4% | -1.00 | 64% |
| validation | EXTREME | 144 | 195.5% | 3.09 | 60% |
| validation | HIGH VOLATILITY | 258 | -1.5% | -0.03 | 31% |
| validation | LOW VOLATILITY | 183 | 4.1% | 0.22 | 16% |
| validation | MEDIUM VOLATILITY | 315 | 48.1% | 1.91 | 21% |
| validation | NORMAL | 474 | -9.3% | -0.80 | 0% |
| validation | SIDEWAYS | 206 | -21.4% | -1.21 | 1% |
| validation | UPTREND | 425 | 46.9% | 0.93 | 41% |
Trades (full period)
latest 100 of 192
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-10-14 | 2025-11-13 | $429.24 | $401.99 | -1.41% | 23 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-10-03 | 2025-10-06 | $429.83 | $453.25 | -1.61% | 2 | |
| 2025-10-01 | 2025-10-02 | $459.46 | $436.00 | 3.11% | 2 | |
| 2025-09-29 | 2025-09-30 | $443.21 | $444.72 | 0.44% | 2 | |
| 2025-09-25 | 2025-09-26 | $423.39 | $440.40 | -4.58% | 2 | |
| 2025-09-23 | 2025-09-24 | $425.85 | $442.79 | -2.12% | 2 | |
| 2025-09-19 | 2025-09-22 | $426.07 | $434.21 | 2.01% | 2 | |
| 2025-09-17 | 2025-09-18 | $425.86 | $416.85 | 0.80% | 2 | |
| 2025-09-15 | 2025-09-16 | $410.04 | $421.62 | 3.36% | 2 | |
| 2025-05-30 | 2025-06-02 | $346.46 | $342.69 | -3.54% | 2 | |
| 2025-05-28 | 2025-05-29 | $356.90 | $358.43 | -1.85% | 2 | |
| 2025-01-02 | 2025-02-24 | $379.28 | $330.53 | -16.53% | 35 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.50% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.96% | 2 | |
| 2024-12-23 | 2024-12-24 | $430.60 | $462.28 | 2.06% | 2 | |
| 2024-12-19 | 2024-12-20 | $436.17 | $421.06 | -1.10% | 2 | |
| 2024-12-17 | 2024-12-18 | $479.86 | $440.13 | 3.43% | 2 | |
| 2024-12-13 | 2024-12-16 | $436.23 | $463.02 | 4.13% | 2 | |
| 2024-12-10 | 2024-12-12 | $400.99 | $418.10 | 8.76% | 3 | |
| 2024-12-06 | 2024-12-09 | $389.22 | $389.79 | 5.13% | 2 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-11-27 | 2024-11-29 | $332.89 | $345.16 | -1.78% | 2 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -4.16% | 2 | |
| 2024-11-21 | 2024-11-22 | $339.64 | $352.56 | -0.90% | 2 | |
| 2024-11-19 | 2024-11-20 | $346.00 | $342.03 | 1.94% | 2 | |
| 2024-11-15 | 2024-11-18 | $320.72 | $338.74 | 2.86% | 2 | |
| 2024-11-13 | 2024-11-14 | $330.24 | $311.18 | 0.33% | 2 | |
| 2024-11-11 | 2024-11-12 | $350.00 | $328.49 | 8.75% | 2 | |
| 2024-11-07 | 2024-11-08 | $296.91 | $321.22 | 2.70% | 2 | |
| 2021-02-03 | 2021-02-19 | $284.90 | $260.43 | -9.97% | 12 | |
| 2021-02-01 | 2021-02-02 | $279.94 | $290.93 | 5.63% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -3.52% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-22 | 2021-01-25 | $282.21 | $293.60 | -0.00% | 2 | |
| 2021-01-20 | 2021-01-21 | $283.48 | $281.66 | 0.50% | 2 | |
| 2021-01-15 | 2021-01-19 | $275.39 | $281.52 | -2.43% | 2 | |
| 2021-01-13 | 2021-01-14 | $284.80 | $281.67 | 0.38% | 2 | |
| 2021-01-11 | 2021-01-12 | $270.40 | $283.15 | -8.01% | 2 | |
| 2021-01-06 | 2021-01-08 | $251.99 | $293.34 | 10.79% | 3 | |
| 2021-01-04 | 2021-01-05 | $243.26 | $245.04 | 3.21% | 2 | |
| 2020-12-24 | 2020-12-31 | $220.59 | $235.22 | 7.34% | 5 | |
| 2020-12-22 | 2020-12-23 | $213.45 | $215.33 | -1.66% | 2 | |
| 2020-12-18 | 2020-12-21 | $231.67 | $216.62 | 5.76% | 2 | |
| 2020-12-16 | 2020-12-17 | $207.59 | $218.63 | -1.85% | 2 | |
| 2020-12-14 | 2020-12-15 | $213.28 | $211.08 | 4.69% | 2 | |
| 2020-12-10 | 2020-12-11 | $209.02 | $203.33 | 3.53% | 2 | |
| 2020-12-08 | 2020-12-09 | $216.63 | $201.49 | 1.06% | 2 | |
| 2020-12-04 | 2020-12-07 | $199.68 | $213.92 | 0.75% | 2 | |
| 2020-12-02 | 2020-12-03 | $189.61 | $197.79 | -2.92% | 2 | |
| 2020-11-30 | 2020-12-01 | $189.20 | $194.92 | -3.30% | 2 | |
| 2020-11-25 | 2020-11-27 | $191.33 | $195.25 | 3.15% | 2 | |
| 2020-11-19 | 2020-11-24 | $166.42 | $185.13 | 7.02% | 4 | |
| 2020-10-08 | 2020-11-13 | $141.97 | $136.17 | -3.38% | 27 | |
| 2020-09-16 | 2020-10-07 | $147.25 | $141.77 | -8.14% | 16 | |
| 2020-09-11 | 2020-09-15 | $124.24 | $149.92 | 12.78% | 3 | |
| 2020-09-08 | 2020-09-10 | $110.07 | $123.78 | -12.64% | 3 | |
| 2020-09-03 | 2020-09-04 | $135.67 | $139.44 | -9.21% | 2 | |
| 2020-09-01 | 2020-09-02 | $158.35 | $149.12 | -4.86% | 2 | |
| 2020-08-28 | 2020-08-31 | $147.56 | $166.11 | -1.33% | 2 | |
| 2020-08-26 | 2020-08-27 | $143.54 | $149.25 | 6.21% | 2 | |
| 2020-08-24 | 2020-08-25 | $134.28 | $134.89 | -1.94% | 2 | |
| 2020-08-20 | 2020-08-21 | $133.46 | $136.67 | 6.36% | 2 | |
| 2020-08-04 | 2020-08-19 | $99.13 | $125.24 | 26.82% | 12 | |
| 2020-07-31 | 2020-08-03 | $95.38 | $99.00 | -4.01% | 2 | |
| 2020-07-29 | 2020-07-30 | $99.94 | $99.17 | 1.33% | 2 | |
| 2020-07-27 | 2020-07-28 | $102.64 | $98.43 | 8.44% | 2 | |
| 2020-07-23 | 2020-07-24 | $100.87 | $94.47 | -5.17% | 2 | |
| 2020-07-21 | 2020-07-22 | $104.56 | $106.16 | -4.74% | 2 | |
| 2020-07-17 | 2020-07-20 | $100.06 | $109.53 | -0.19% | 2 | |
| 2020-07-15 | 2020-07-16 | $103.07 | $100.04 | 1.72% | 2 | |
| 2020-07-13 | 2020-07-14 | $99.80 | $101.12 | -3.28% | 2 | |
| 2020-07-09 | 2020-07-10 | $92.95 | $102.98 | 1.88% | 2 | |
| 2020-07-07 | 2020-07-08 | $92.66 | $91.06 | 1.13% | 2 | |
| 2020-07-02 | 2020-07-06 | $80.58 | $91.44 | 7.74% | 2 | |
| 2020-06-29 | 2020-07-01 | $67.29 | $74.64 | 12.29% | 3 | |
| 2020-06-25 | 2020-06-26 | $65.73 | $63.98 | 2.41% | 2 | |
| 2020-06-23 | 2020-06-24 | $66.79 | $64.06 | 0.55% | 2 | |
| 2020-06-19 | 2020-06-22 | $66.73 | $66.29 | -0.50% | 2 | |
| 2020-06-17 | 2020-06-18 | $66.12 | $66.93 | 0.78% | 2 | |
| 2020-06-12 | 2020-06-16 | $62.35 | $65.48 | 1.65% | 3 | |
| 2020-06-03 | 2020-06-11 | $58.86 | $64.86 | 16.04% | 7 | |
| 2020-05-15 | 2020-06-02 | $53.28 | $58.77 | 11.57% | 12 | |
| 2020-04-28 | 2020-04-29 | $51.27 | $53.37 | -3.91% | 2 | |
| 2020-04-24 | 2020-04-27 | $48.34 | $53.25 | 2.56% | 2 | |
| 2020-04-22 | 2020-04-23 | $48.81 | $47.04 | 6.40% | 2 | |
| 2020-04-20 | 2020-04-21 | $49.76 | $45.78 | -1.20% | 2 | |
| 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 | |
| 2020-02-27 | 2020-03-19 | $45.27 | $28.51 | -53.72% | 16 | |
| 2020-02-25 | 2020-02-26 | $53.33 | $51.92 | -4.26% | 2 | |
| 2020-02-21 | 2020-02-24 | $60.07 | $55.59 | -0.02% | 2 | |
| 2020-02-19 | 2020-02-20 | $61.16 | $59.96 | 6.67% | 2 | |
| 2020-02-14 | 2020-02-18 | $53.34 | $57.23 | -0.69% | 2 | |
| 2020-02-12 | 2020-02-13 | $51.15 | $53.60 | -1.11% | 2 | |
| 2020-02-10 | 2020-02-11 | $51.42 | $51.63 | 2.90% | 2 | |
| 2020-02-06 | 2020-02-07 | $49.93 | $49.87 | 1.74% | 2 | |
| 2020-02-04 | 2020-02-05 | $59.14 | $48.98 | 13.51% | 2 |