Strategy Zoo / S1339

PriceMomentum_V1339

ARCHIVEDhybrid

parameterchanged dist_sma_50 threshold -0.0774 -> -0.2357

Fitness
0.7384
Generation
61
Complexity
30
Created
2026-10-08

Lineage

Parents (1)
PriceMomentum_V1277S1277 · gen 59ELITEparameter

entry = PriceMomentum_V1210 OR LongTermTrend_V1083

Children (13)
PriceMomentum_V1365S1365 · gen 63ARCHIVEDcrossover
PriceMomentum_V1408S1408 · gen 65ARCHIVEDcrossover
LongTermTrend_V1426S1426 · gen 66ARCHIVEDcrossover
PriceMomentum_V1439S1439 · gen 66ELITEparameter
PriceMomentum_V1444S1444 · gen 66ELITEstructural
PriceMomentum_V1469S1469 · gen 67ARCHIVEDstructural
PriceMomentum_V1493S1493 · gen 69ARCHIVEDcrossover
PriceMomentum_V1537S1537 · gen 71ARCHIVEDllm
PriceMomentum_V1542S1542 · gen 71ARCHIVEDllm
PriceMomentum_V1563S1563 · gen 72ARCHIVEDllm
PriceMomentum_V1595S1595 · gen 73ELITEstructural
PriceMomentum_V1619S1619 · gen 75ARCHIVEDcrossover
LongTermTrend_V1639S1639 · gen 76ARCHIVEDcrossover

Strategy Logic (pseudocode)

# PriceMomentum_V1339  [hybrid]
if flat and ((ret_20d > 0.184 and breakout_20 == 1) or (((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and cumret_252d > 1.1509 and cumret_252d > -0.1997 and dist_sma_50 > -0.2357) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))) and sma_20 < close)):
    position = 1.0
if long and macd_hist < 0.0:
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR22.9%97.9%28.8%37.3%
Total Return417.3%675.3%157.9%10546.1%
Sharpe0.791.700.941.06
Sortino0.812.001.001.13
Calmar0.513.990.890.84
Volatility32.4%46.4%32.3%35.7%
Max DD-44.5%-24.5%-32.5%-44.5%
Win Rate49.5%55.4%37.9%49.4%
Avg Win10.6%11.0%17.2%12.0%
Avg Loss-5.2%-3.4%-4.0%-4.4%
Payoff2.053.214.332.70
Expectancy2.6%4.5%4.1%3.7%
Profit Factor2.003.982.642.64
Trades915629176
Avg Holding Days9.87.313.49.7
Turnover22.937.315.824.0
Exposure40.2%47.0%38.1%41.1%

Growth of $100

PriceMomentum_V1339 vs TSLA Buy & Hold
PriceMomentum_V1339 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
YearCAGRSharpeMax DDTrades
201626.5%1.47-12.2%5
201715.8%0.78-20.1%11
2018-2.9%0.04-23.3%8
201919.8%0.69-28.9%6
2020434.7%2.93-24.5%31
202129.2%0.88-20.7%18
2022-1.8%0.07-17.6%6

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

PeriodRegimeDaysAnn. ReturnSharpeExposure
hidden testDOWNTREND27814.5%0.6027%
hidden testEXPENSIVE8397.9%2.1749%
hidden testEXTREME48133.3%2.9940%
hidden testHIGH VOLATILITY25441.5%0.9942%
hidden testLOW VOLATILITY44051.1%2.0337%
hidden testMEDIUM VOLATILITY250-17.3%-0.5436%
hidden testNORMAL81317.5%0.5937%
hidden testSIDEWAYS295-0.9%-0.0346%
hidden testUPTREND37167.2%1.8040%
trainDOWNTREND518-8.3%-0.4619%
trainEXPENSIVE31151.8%1.4559%
trainEXTREME100351.8%4.9284%
trainHIGH VOLATILITY69952.6%1.2240%
trainLOW VOLATILITY74532.7%1.5044%
trainMEDIUM VOLATILITY568-16.4%-0.5735%
trainNORMAL1,6010.3%0.0134%
trainSIDEWAYS59213.9%0.4742%
trainUPTREND90253.1%1.3351%
validationDOWNTREND12534.7%1.5813%
validationEXPENSIVE13847.3%1.0750%
validationEXTREME144308.6%4.0376%
validationHIGH VOLATILITY25876.0%1.2542%
validationLOW VOLATILITY18325.8%1.0252%
validationMEDIUM VOLATILITY315112.2%2.6748%
validationNORMAL47418.3%0.5737%
validationSIDEWAYS2068.8%0.2545%
validationUPTREND425125.9%2.2658%

Trades (full period)

latest 100 of 177
EntryExitEntry PxExit PxReturnDays
2026-10-07—$377.81—-0.85%1OPEN
2026-09-182026-09-29$364.27$352.84-2.58%8
2026-09-012026-09-17$356.09$366.20-2.88%12
2026-07-012026-07-15$425.30$394.46-5.99%10
2026-05-282026-06-02$442.10$423.74-5.75%4
2026-04-162026-05-21$388.90$417.856.24%26
2025-12-042025-12-30$454.53$454.432.68%18
2025-11-042025-11-05$444.26$462.07-5.34%2
2025-09-082025-10-06$346.40$453.2522.27%21
2025-08-252025-09-03$346.60$334.09-3.32%7
2025-08-082025-08-22$329.65$340.01-0.87%11
2025-07-212025-08-01$328.49$302.63-6.67%10
2025-06-252025-06-26$327.55$325.78-3.99%2
2025-04-282025-06-03$285.88$344.2720.02%26
2024-12-092024-12-24$389.79$462.2810.41%12
2024-12-052024-12-06$369.49$389.223.03%2
2024-12-032024-12-04$351.42$357.93-1.79%2
2024-10-252024-11-29$269.19$345.1627.55%25
2024-09-062024-10-04$210.73$250.084.34%21
2024-08-202024-08-30$221.10$214.11-7.57%9
2024-06-172024-07-22$187.44$251.5134.11%24
2024-04-302024-05-30$183.28$178.79-9.39%22
2023-12-152024-01-02$253.50$248.42-1.22%11
2023-11-162023-12-14$233.59$251.05-1.66%20
2023-10-062023-10-17$260.53$254.85-2.55%8
2023-08-302023-09-25$256.90$246.99-4.97%18
2023-07-052023-07-07$282.48$274.43-1.37%3
2023-05-222023-06-27$188.87$250.2133.55%25
2023-03-242023-04-06$190.41$185.06-3.68%10
2023-01-272023-02-23$177.90$202.0725.09%19
2022-09-132022-09-23$292.13$275.33-5.39%9
2022-08-162022-08-19$306.56$296.67-2.28%4
2022-07-112022-08-12$234.34$300.0314.07%25
2022-03-212022-04-11$307.05$325.3113.04%16
2022-01-132022-01-14$343.85$349.87-6.94%2
2021-12-282022-01-12$362.82$368.74-2.90%12
2021-11-222021-11-23$385.62$369.681.54%2
2021-11-182021-11-19$365.46$379.020.48%2
2021-11-122021-11-15$344.47$337.80-3.03%2
2021-10-132021-11-11$270.36$354.5032.28%22
2021-10-082021-10-11$261.83$263.98-1.22%2
2021-09-282021-10-07$259.19$264.54-1.29%8
2021-08-312021-09-21$245.24$246.46-0.30%15
2021-07-302021-08-17$229.07$221.901.10%13
2021-07-132021-07-15$222.85$216.87-4.91%3
2021-05-282021-07-12$208.41$228.573.93%30
2021-04-012021-04-29$220.58$225.673.75%20
2021-03-162021-03-29$225.63$203.76-12.78%10
2021-02-082021-02-09$287.81$283.151.11%2
2021-02-042021-02-05$283.33$284.08-0.75%2
2021-02-022021-02-03$290.93$284.903.72%2
2021-01-282021-01-29$278.48$264.51-3.52%2
2021-01-262021-01-27$294.36$288.050.06%2
2021-01-052021-01-25$245.04$293.6015.78%14
2020-12-312021-01-04$235.22$243.261.37%2
2020-12-292020-12-30$222.00$231.590.15%2
2020-12-242020-12-28$220.59$221.232.24%2
2020-12-182020-12-23$231.67$215.33-2.56%4
2020-11-182020-12-17$162.21$218.6340.75%21
2020-11-062020-11-11$143.32$139.04-6.52%4
2020-10-142020-10-20$153.77$140.65-3.73%5
2020-10-122020-10-13$147.43$148.881.71%2
2020-10-082020-10-09$141.97$144.67-0.05%2
2020-10-052020-10-06$141.89$137.992.35%2
2020-10-012020-10-02$149.39$138.364.26%2
2020-09-292020-09-30$139.69$143.00-0.71%2
2020-09-232020-09-24$126.79$129.26-10.53%2
2020-09-212020-09-22$149.80$141.411.44%2
2020-09-172020-09-18$141.14$147.38-4.35%2
2020-09-152020-09-16$149.92$147.256.98%2
2020-08-172020-09-08$122.38$110.0726.47%16
2020-08-132020-08-14$108.07$110.054.06%2
2020-07-302020-07-31$99.17$95.38-0.97%2
2020-07-282020-07-29$98.43$99.94-4.29%2
2020-07-022020-07-27$80.58$102.6426.32%17
2020-06-302020-07-01$71.99$74.646.77%2
2020-06-262020-06-29$63.98$67.29-2.86%2
2020-06-032020-06-25$58.86$65.738.78%17
2020-06-012020-06-02$59.87$58.777.35%2
2020-05-282020-05-29$53.72$55.67-1.96%2
2020-05-262020-05-27$54.59$54.680.04%2
2020-05-212020-05-22$55.17$54.461.27%2
2020-05-192020-05-20$53.87$54.37-0.89%2
2020-05-152020-05-18$53.28$54.24-0.72%2
2020-04-142020-05-14$47.33$53.5621.28%23
2019-12-162020-02-26$25.43$51.92122.76%49
2019-10-112019-11-21$16.53$23.6643.63%30
2019-10-022019-10-04$16.21$15.43-4.96%3
2019-09-112019-09-25$16.47$15.25-5.42%11
2019-07-012019-07-26$15.14$15.202.20%19
2019-03-012019-03-05$19.65$18.44-10.98%3
2019-01-112019-01-22$23.15$19.93-12.56%7
2018-12-112018-12-18$24.45$22.47-4.77%6
2018-10-242018-11-21$19.23$22.5517.90%21
2018-08-032018-08-20$23.21$20.56-12.77%12
2018-05-312018-06-26$18.98$22.8013.92%19
2018-05-102018-05-17$20.33$18.97-6.83%6
2018-03-142018-03-15$21.78$21.71-4.64%2
2018-02-232018-03-06$23.47$21.88-3.89%8
2018-01-092018-02-05$22.25$22.211.98%19