Strategy Zoo / S1329

PriceMomentum_V1329

ARCHIVEDhybrid

structuraladded entry filter: breakout_20 == 1

Fitness

0.6978

Generation

Complexity

Created

2026-10-08

Lineage

Parents (1)

PriceMomentum_V0971S0971 · gen 44ARCHIVEDstructural

changed ret_20d threshold -0.0017 -> -0.1499

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1329  [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (ret_20d > 0.05 and breakout_20 == 1):
    position = 1.0
if long and ret_20d < -0.1499:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	21.0%	105.7%	4.4%	30.1%
Total Return	357.3%	770.7%	17.5%	4717.0%
Sharpe	0.94	1.87	0.32	1.08
Sortino	0.67	1.46	0.21	0.73
Calmar	0.82	3.13	0.13	0.86
Volatility	23.1%	43.8%	19.8%	28.0%
Max DD	-25.5%	-33.7%	-34.8%	-34.8%
Win Rate	66.7%	100.0%	66.7%	75.0%
Avg Win	48.4%	77.7%	11.1%	53.8%
Avg Loss	-5.3%	0.0%	-4.7%	-5.1%
Payoff	9.21	5.00	2.35	10.00
Expectancy	30.5%	77.7%	5.8%	39.1%
Profit Factor	10.00	5.00	4.70	10.00
Trades	9	4	3	16
Avg Holding Days	34.1	52.3	37.7	40.0
Turnover	2.4	2.7	1.6	2.2
Exposure	15.3%	27.1%	11.7%	16.8%

Growth of $100

PriceMomentum_V1329 vs TSLA Buy & Hold

PriceMomentum_V1329 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	-6.1%	-0.12	-25.0%	6
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	674.8%	3.20	-33.7%	3
2021	7.7%	0.48	-10.9%	1
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	-18.9%	-0.41	72%
hidden test	EXTREME	48	185.0%	2.93	100%
hidden test	HIGH VOLATILITY	254	24.2%	0.90	18%
hidden test	LOW VOLATILITY	440	17.5%	1.85	4%
hidden test	MEDIUM VOLATILITY	250	-31.8%	-1.32	18%
hidden test	NORMAL	813	-1.7%	-0.79	0%
hidden test	SIDEWAYS	295	0.0%	0.00	0%
hidden test	UPTREND	371	15.9%	0.50	30%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	15.9%	0.41	65%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	46.3%	1.41	20%
train	LOW VOLATILITY	745	10.2%	0.93	11%
train	MEDIUM VOLATILITY	568	6.2%	0.31	15%
train	NORMAL	1,601	-1.9%	-0.83	0%
train	SIDEWAYS	592	1.4%	0.63	0%
train	UPTREND	902	47.3%	1.38	34%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	63.6%	1.16	60%
validation	EXTREME	144	370.7%	4.50	84%
validation	HIGH VOLATILITY	258	133.9%	2.08	36%
validation	LOW VOLATILITY	183	9.0%	0.60	10%
validation	MEDIUM VOLATILITY	315	81.3%	2.48	29%
validation	NORMAL	474	-0.8%	-0.78	0%
validation	SIDEWAYS	206	4.9%	1.08	0%
validation	UPTREND	425	143.0%	2.46	48%

Trades (full period)

16 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-15	2025-11-13	$410.04	$401.99	8.54%	44
2025-05-28	2025-06-02	$356.90	$342.69	-4.72%	4
2024-11-07	2025-02-12	$296.91	$336.51	13.63%	65
2020-11-19	2021-02-19	$166.42	$260.43	61.48%	62
2020-05-22	2020-09-30	$54.46	$143.00	152.67%	91
2020-04-14	2020-04-30	$47.33	$52.13	22.74%	13
2019-12-17	2020-03-05	$25.27	$48.30	96.07%	54
2017-09-18	2017-09-26	$25.67	$23.02	-9.35%	7
2017-08-04	2017-08-24	$23.79	$23.53	1.44%	15
2017-04-11	2017-07-10	$20.58	$21.07	0.06%	62
2017-03-28	2017-04-06	$18.50	$19.91	8.95%	8
2017-02-07	2017-02-28	$17.17	$16.67	-4.67%	15
2017-01-25	2017-01-31	$16.96	$16.80	-1.76%	5
2014-01-24	2014-03-27	$11.64	$13.82	17.09%	44
2013-04-17	2013-10-29	$3.03	$10.96	256.51%	137
2013-01-24	2013-02-12	$2.47	$2.53	6.51%	14