Strategy Zoo / S1353

PriceMomentum_V1353

ARCHIVEDhybrid

structuraladded entry filter: volume_breakout == 1

Fitness

0.5087

Generation

Complexity

Created

2026-10-09

Lineage

Parents (1)

PriceMomentum_V1300S1300 · gen 60ARCHIVEDstructural

entry from PriceMomentum_V1294, exit from LongTermTrend_V0909

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1353  [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (ret_20d > 0.05 and volume_breakout == 1):
    position = 1.0
if long and ret_20d < -0.1003:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	15.4%	57.7%	9.3%	21.5%
Total Return	213.2%	292.2%	39.6%	1664.5%
Sharpe	0.80	1.36	0.58	0.90
Sortino	0.44	0.87	0.33	0.48
Calmar	0.57	1.71	0.44	0.64
Volatility	20.2%	39.3%	18.1%	24.9%
Max DD	-27.0%	-33.7%	-21.0%	-33.7%
Win Rate	50.0%	100.0%	100.0%	77.8%
Avg Win	104.7%	58.3%	18.6%	63.4%
Avg Loss	-7.6%	0.0%	0.0%	-7.6%
Payoff	10.00	5.00	5.00	8.39
Expectancy	48.6%	58.3%	18.6%	47.6%
Profit Factor	10.00	5.00	5.00	10.00
Trades	4	3	2	9
Avg Holding Days	41.5	53.7	45.0	47.6
Turnover	1.1	2.0	1.1	1.2
Exposure	8.5%	20.9%	9.3%	11.3%

Growth of $100

PriceMomentum_V1353 vs TSLA Buy & Hold

PriceMomentum_V1353 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	-15.0%	-1.20	-19.5%	2
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	250.1%	2.26	-33.7%	2
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	4.7%	0.12	61%
hidden test	EXTREME	48	210.3%	3.52	75%
hidden test	HIGH VOLATILITY	254	16.8%	0.68	15%
hidden test	LOW VOLATILITY	441	18.5%	2.07	3%
hidden test	MEDIUM VOLATILITY	250	-10.0%	-0.46	14%
hidden test	NORMAL	814	-0.7%	-0.58	0%
hidden test	SIDEWAYS	296	0.0%	0.00	0%
hidden test	UPTREND	371	26.8%	0.93	24%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	-9.1%	-0.30	27%
train	EXTREME	100	362.4%	5.12	86%
train	HIGH VOLATILITY	699	34.8%	1.14	13%
train	LOW VOLATILITY	745	7.0%	0.80	6%
train	MEDIUM VOLATILITY	568	5.6%	0.39	7%
train	NORMAL	1,601	-0.5%	-0.40	0%
train	SIDEWAYS	592	0.0%	0.00	0%
train	UPTREND	902	36.3%	1.20	19%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	74.3%	1.37	57%
validation	EXTREME	144	211.1%	2.93	54%
validation	HIGH VOLATILITY	258	83.3%	1.42	29%
validation	LOW VOLATILITY	183	2.2%	0.19	7%
validation	MEDIUM VOLATILITY	315	58.4%	2.06	23%
validation	NORMAL	474	-0.8%	-0.78	0%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	94.8%	1.81	37%

Trades (full period)

9 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-09-15	2025-11-13	$410.04	$401.99	8.54%	44
2024-11-11	2025-01-17	$350.00	$426.50	28.58%	46
2020-11-19	2021-02-19	$166.42	$260.43	61.48%	62
2020-07-14	2020-09-30	$101.12	$143.00	39.69%	56
2019-12-17	2020-03-05	$25.27	$48.30	96.07%	54
2017-06-12	2017-07-07	$23.93	$20.88	-13.74%	19
2017-04-04	2017-04-06	$20.25	$19.91	-1.38%	3
2014-02-20	2014-03-26	$14.00	$14.20	13.62%	25
2013-05-08	2013-10-24	$3.72	$11.54	195.75%	119