Strategy Zoo / S1356

PriceMomentum_V1356

ARCHIVEDhybrid

parameterchanged ret_20d threshold -0.1499 -> -0.2981

Fitness

0.6505

Generation

Complexity

Created

2026-10-09

Lineage

Parents (1)

PriceMomentum_V1309S1309 · gen 60ARCHIVEDparameter

changed ret_20d threshold 0.0191 -> 0.0594

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1356  [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and ret_20d > 0.0594:
    position = 1.0
if long and ret_20d < -0.2981:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	22.0%	85.9%	5.2%	28.2%
Total Return	388.1%	542.8%	20.8%	3803.1%
Sharpe	0.92	1.57	0.35	0.99
Sortino	0.64	1.32	0.23	0.68
Calmar	0.73	2.12	0.16	0.70
Volatility	24.9%	46.3%	20.2%	29.7%
Max DD	-30.2%	-40.5%	-33.0%	-40.5%
Win Rate	55.6%	100.0%	66.7%	68.8%
Avg Win	57.6%	66.7%	12.7%	54.2%
Avg Loss	-3.5%	0.0%	-4.7%	-3.8%
Payoff	10.00	5.00	2.69	10.00
Expectancy	30.4%	66.7%	6.9%	36.1%
Profit Factor	10.00	5.00	5.38	10.00
Trades	9	4	3	16
Avg Holding Days	39.4	63.3	40.0	46.2
Turnover	2.4	2.7	1.6	2.2
Exposure	17.7%	32.9%	12.4%	19.5%

Growth of $100

PriceMomentum_V1356 vs TSLA Buy & Hold

PriceMomentum_V1356 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	11.8%	0.54	-19.5%	5
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	472.7%	2.66	-40.5%	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	-9.4%	-0.20	81%
hidden test	EXTREME	48	185.0%	2.93	100%
hidden test	HIGH VOLATILITY	254	24.2%	0.90	18%
hidden test	LOW VOLATILITY	441	17.2%	1.78	5%
hidden test	MEDIUM VOLATILITY	250	-28.3%	-1.11	19%
hidden test	NORMAL	814	-1.7%	-0.79	0%
hidden test	SIDEWAYS	296	-4.1%	-0.94	0%
hidden test	UPTREND	371	21.3%	0.66	31%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	29.6%	0.66	80%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	45.4%	1.29	24%
train	LOW VOLATILITY	745	11.9%	0.99	12%
train	MEDIUM VOLATILITY	568	9.6%	0.44	17%
train	NORMAL	1,601	-3.0%	-0.90	0%
train	SIDEWAYS	592	3.4%	0.89	0%
train	UPTREND	902	48.8%	1.32	39%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	28.8%	0.47	84%
validation	EXTREME	144	357.0%	4.17	92%
validation	HIGH VOLATILITY	258	112.0%	1.64	44%
validation	LOW VOLATILITY	183	8.8%	0.44	18%
validation	MEDIUM VOLATILITY	315	77.8%	2.34	32%
validation	NORMAL	474	-0.8%	-0.78	0%
validation	SIDEWAYS	206	3.2%	0.67	1%
validation	UPTREND	425	127.9%	2.08	58%

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	2025-02-24	$296.91	$330.53	16.85%	72
2020-11-19	2021-02-19	$166.42	$260.43	61.48%	62
2020-05-15	2020-11-13	$53.28	$136.17	155.77%	128
2020-04-14	2020-04-30	$47.33	$52.13	22.74%	13
2019-12-17	2020-03-16	$25.27	$29.67	42.99%	61
2017-09-18	2017-09-26	$25.67	$23.02	-9.35%	7
2017-04-07	2017-08-24	$20.17	$23.53	17.87%	97
2017-03-28	2017-04-06	$18.50	$19.91	8.95%	8
2017-02-03	2017-02-28	$16.76	$16.67	-2.31%	17
2017-01-25	2017-01-31	$16.96	$16.80	-1.76%	5
2014-01-24	2014-04-11	$11.64	$13.59	12.27%	55
2013-04-11	2013-11-12	$2.91	$9.19	245.00%	151
2013-02-14	2013-02-15	$2.55	$2.47	-0.67%	2
2013-01-25	2013-02-12	$2.47	$2.53	3.66%	13