Strategy Zoo / S1326

PriceMomentum_V1326

ARCHIVEDhybrid

structuralrestricted to trend regimes ['SIDEWAYS']

Fitness

0.1699

Generation

Complexity

Created

2026-10-08

Lineage

Parents (1)

PriceMomentum_V1253S1253 · gen 57ARCHIVEDstructural

changed ret_20d threshold -0.0017 -> 0.0708

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1326  [hybrid]
require regime.trend in ['SIDEWAYS']
if flat and (ret_20d > 0.184 and breakout_20 == 1):
    position = 1.0
if long and ret_20d < 0.0708:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	-1.7%	6.1%	-5.1%	-1.1%
Total Return	-12.9%	19.3%	-17.7%	-14.5%
Sharpe	-0.19	0.61	-0.43	-0.07
Sortino	-0.03	0.14	-0.16	-0.02
Calmar	-0.10	0.49	-0.20	-0.04
Volatility	7.5%	10.5%	10.8%	9.1%
Max DD	-17.3%	-12.5%	-25.8%	-27.6%
Win Rate	40.0%	100.0%	42.9%	50.0%
Avg Win	4.5%	6.3%	3.4%	4.7%
Avg Loss	-5.0%	0.0%	-7.1%	-5.8%
Payoff	0.91	5.00	0.48	0.81
Expectancy	-1.2%	6.3%	-2.6%	-0.6%
Profit Factor	0.60	5.00	0.36	0.81
Trades	10	3	7	20
Avg Holding Days	4.8	8.7	7.9	6.5
Turnover	2.5	2.0	3.7	2.7
Exposure	1.9%	3.0%	5.1%	2.9%

Growth of $100

PriceMomentum_V1326 vs TSLA Buy & Hold

PriceMomentum_V1326 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	-4.6%	-0.78	-6.7%	1
2017	0.0%	0.00	0.0%	0
2018	10.7%	1.21	-5.7%	2
2019	-13.8%	-1.01	-13.8%	1
2020	0.1%	0.09	-12.5%	1
2021	0.0%	0.00	0.0%	0
2022	19.2%	1.75	-2.0%	2

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	9.2%	0.98	6%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	3.1%	0.21	5%
hidden test	LOW VOLATILITY	440	0.8%	0.12	4%
hidden test	MEDIUM VOLATILITY	250	-22.1%	-1.89	7%
hidden test	NORMAL	813	-6.3%	-0.56	5%
hidden test	SIDEWAYS	295	-10.8%	-0.58	15%
hidden test	UPTREND	371	-3.2%	-0.82	1%
train	DOWNTREND	518	-2.4%	-0.70	0%
train	EXPENSIVE	311	4.9%	0.68	4%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	-0.7%	-0.06	4%
train	LOW VOLATILITY	745	1.1%	0.40	1%
train	MEDIUM VOLATILITY	568	-5.7%	-0.96	1%
train	NORMAL	1,601	-2.8%	-0.35	2%
train	SIDEWAYS	592	-5.6%	-0.43	5%
train	UPTREND	902	1.9%	0.67	1%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	0.0%	0.00	0%
validation	EXTREME	144	2.2%	0.11	8%
validation	HIGH VOLATILITY	258	1.3%	0.08	4%
validation	LOW VOLATILITY	183	0.0%	0.00	0%
validation	MEDIUM VOLATILITY	315	14.4%	1.56	4%
validation	NORMAL	474	9.6%	1.27	3%
validation	SIDEWAYS	206	14.6%	0.77	10%
validation	UPTREND	425	4.4%	0.97	1%

Trades (full period)

20 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-08	2026-05-18	$428.35	$409.99	2.34%	7
2025-05-13	2025-05-22	$334.07	$341.04	4.90%	8
2024-09-30	2024-10-03	$261.63	$240.66	-4.58%	4
2023-11-29	2023-12-13	$244.14	$239.29	-4.13%	11
2023-09-15	2023-09-25	$274.39	$246.99	-11.47%	7
2023-05-31	2023-06-02	$203.93	$213.97	2.96%	3
2023-02-10	2023-03-03	$196.89	$197.79	-8.11%	15
2022-08-02	2022-08-05	$300.59	$288.17	3.61%	4
2022-03-23	2022-04-05	$333.04	$363.75	15.01%	10
2020-04-30	2020-05-15	$52.13	$53.28	0.15%	12
2019-07-25	2019-07-26	$15.25	$15.20	-13.80%	2
2018-10-29	2018-11-19	$22.32	$23.56	6.86%	16
2018-06-14	2018-06-15	$23.85	$23.88	3.55%	2
2016-03-21	2016-03-24	$15.89	$15.18	-4.55%	4
2015-04-28	2015-04-29	$15.37	$15.50	-0.66%	2
2014-01-22	2014-01-24	$11.90	$11.64	2.52%	3
2013-12-18	2014-01-03	$9.87	$9.97	-1.75%	11
2012-11-21	2012-11-23	$2.16	$2.14	-1.80%	2
2012-07-17	2012-07-18	$2.22	$2.14	-7.45%	2
2012-02-15	2012-02-21	$2.24	$2.30	5.22%	4