Strategy Zoo / S1354

PriceMomentum_V1354

ARCHIVEDhybrid

structuraladded exit filter: breakout_252 == 1

Fitness
0.6112
Generation
62
Complexity
34
Created
2026-10-09

Lineage

Parents (1)
PriceMomentum_V1315S1315 · gen 60ELITEstructural

added entry filter: close > ema_20

Children (0)
None

Strategy Logic (pseudocode)

# PriceMomentum_V1354  [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 > -0.0774) 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)) and close > ema_20):
    position = 1.0
if long and (macd_hist < 0.0 or breakout_252 == 1):
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR19.0%65.7%28.3%30.0%
Total Return302.1%355.0%154.6%4696.5%
Sharpe0.711.460.950.96
Sortino0.721.711.011.00
Calmar0.432.910.870.67
Volatility31.0%40.1%31.2%33.1%
Max DD-44.6%-22.6%-32.5%-44.6%
Win Rate58.8%63.6%42.1%58.0%
Avg Win5.6%5.3%12.0%6.1%
Avg Loss-4.9%-4.0%-3.5%-4.4%
Payoff1.141.333.411.40
Expectancy1.3%1.9%3.0%1.7%
Profit Factor1.622.332.481.94
Trades1488838274
Avg Holding Days6.04.510.26.1
Turnover37.258.720.537.3
Exposure36.8%41.1%37.2%37.8%

Growth of $100

PriceMomentum_V1354 vs TSLA Buy & Hold
PriceMomentum_V1354 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
20175.5%0.36-20.2%21
2018-2.9%0.04-23.3%8
201911.1%0.48-28.9%10
2020267.9%2.71-21.0%57
202110.4%0.47-17.5%24
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 testEXPENSIVE83106.8%2.4446%
hidden testEXTREME4885.4%2.7429%
hidden testHIGH VOLATILITY25435.4%0.8740%
hidden testLOW VOLATILITY44149.4%2.0237%
hidden testMEDIUM VOLATILITY250-10.7%-0.3535%
hidden testNORMAL81418.6%0.6337%
hidden testSIDEWAYS296-1.5%-0.0546%
hidden testUPTREND37166.0%1.8938%
trainDOWNTREND518-8.3%-0.4619%
trainEXPENSIVE31128.7%0.9149%
trainEXTREME100321.9%4.8261%
trainHIGH VOLATILITY69944.0%1.0836%
trainLOW VOLATILITY74527.7%1.3141%
trainMEDIUM VOLATILITY568-12.0%-0.4332%
trainNORMAL1,6012.2%0.0833%
trainSIDEWAYS59213.4%0.4641%
trainUPTREND90245.4%1.2145%
validationDOWNTREND12534.7%1.5813%
validationEXPENSIVE13825.7%0.6542%
validationEXTREME144238.4%3.9063%
validationHIGH VOLATILITY25853.0%1.0833%
validationLOW VOLATILITY18314.5%0.5950%
validationMEDIUM VOLATILITY31588.5%2.2543%
validationNORMAL47413.3%0.4434%
validationSIDEWAYS20620.4%0.6439%
validationUPTREND42583.8%1.7850%

Trades (full period)

latest 100 of 275
EntryExitEntry PxExit PxReturnDays
2026-10-07—$377.81—-1.59%2OPEN
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
2025-12-182025-12-30$483.37$454.43-1.82%8
2025-12-042025-12-17$454.53$467.269.44%10
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
2024-12-192024-12-24$436.17$462.28-2.36%4
2024-12-172024-12-18$479.86$440.133.43%2
2024-12-132024-12-16$436.23$463.024.13%2
2024-12-112024-12-12$424.77$418.105.72%2
2024-12-092024-12-10$389.79$400.99-0.05%2
2024-12-052024-12-06$369.49$389.223.03%2
2024-12-032024-12-04$351.42$357.93-1.79%2
2024-11-262024-11-29$338.23$345.16-1.88%3
2024-11-122024-11-25$328.49$338.590.52%10
2024-11-082024-11-11$321.22$350.007.98%2
2024-10-292024-11-07$259.52$296.919.69%8
2024-10-252024-10-28$269.19$262.513.14%2
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
2021-11-052021-11-11$407.36$354.50-13.34%5
2021-11-022021-11-04$390.67$409.970.23%3
2021-10-292021-11-01$371.33$402.863.23%2
2021-10-272021-10-28$345.95$359.011.71%2
2021-10-252021-10-26$341.62$339.4812.45%2
2021-10-132021-10-22$270.36$303.2310.74%8
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
2021-04-062021-04-29$230.54$225.670.28%18
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
2021-01-112021-01-25$270.40$293.60-3.99%10
2021-01-072021-01-08$272.01$293.347.74%2
2021-01-052021-01-06$245.04$251.990.53%2
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
2020-12-222020-12-23$213.45$215.33-1.66%2
2020-12-182020-12-21$231.67$216.625.76%2
2020-12-092020-12-17$201.49$218.63-4.37%7
2020-12-072020-12-08$213.92$216.636.92%2
2020-11-302020-12-04$189.20$199.681.10%5
2020-11-252020-11-27$191.33$195.253.15%2
2020-11-232020-11-24$173.95$185.136.38%2
2020-11-182020-11-20$162.21$163.2012.84%3
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
2020-09-022020-09-08$149.12$110.07-12.12%4
2020-08-282020-09-01$147.56$158.3511.07%3
2020-08-242020-08-27$134.28$149.254.82%4
2020-08-192020-08-21$125.24$136.675.87%3
2020-08-172020-08-18$122.38$125.8110.99%2
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
2020-07-222020-07-27$106.16$102.64-9.83%4