Strategy Zoo / S1360

PriceMomentum_V1360

ARCHIVEDhybrid

parameterchanged ret_20d threshold 0.05 -> 0.1766; changed dist_sma_20 threshold -0.121 -> -0.0047

Fitness

0.6648

Generation

Complexity

Created

2026-10-09

Lineage

Parents (1)

PriceMomentum_V1337S1337 · gen 61ARCHIVEDparameter

swapped indicator vol_chg -> rel_volume

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1360  [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (ret_20d > 0.1766 or (breakout_20 == 1 and dist_sma_20 > -0.0047 and rel_volume < 1.2904)):
    position = 1.0
if long and ret_20d < -0.1496:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	19.1%	102.1%	4.4%	28.5%
Total Return	303.1%	725.6%	17.5%	3925.7%
Sharpe	0.87	1.81	0.32	1.03
Sortino	0.62	1.50	0.20	0.71
Calmar	0.68	3.03	0.13	0.82
Volatility	23.0%	44.3%	19.8%	28.1%
Max DD	-27.9%	-33.7%	-34.8%	-34.8%
Win Rate	55.6%	80.0%	66.7%	64.7%
Avg Win	59.9%	76.5%	11.1%	57.5%
Avg Loss	-4.3%	-0.7%	-4.7%	-3.8%
Payoff	10.00	10.00	2.35	10.00
Expectancy	31.4%	61.1%	5.8%	35.8%
Profit Factor	10.00	10.00	4.70	10.00
Trades	9	5	3	17
Avg Holding Days	33.3	47.2	37.7	38.5
Turnover	2.4	3.3	1.6	2.3
Exposure	14.7%	30.6%	11.6%	17.2%

Growth of $100

PriceMomentum_V1360 vs TSLA Buy & Hold

PriceMomentum_V1360 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	-7.2%	-0.17	-27.0%	6
2018	0.0%	0.00	0.0%	0
2019	-0.3%	-0.05	-3.8%	0
2020	634.8%	3.10	-33.7%	4
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	441	17.5%	1.84	4%
hidden test	MEDIUM VOLATILITY	250	-31.8%	-1.32	18%
hidden test	NORMAL	814	-1.7%	-0.79	0%
hidden test	SIDEWAYS	296	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	5.6%	0.15	61%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	48.5%	1.46	21%
train	LOW VOLATILITY	745	4.8%	0.48	9%
train	MEDIUM VOLATILITY	568	4.9%	0.25	15%
train	NORMAL	1,601	-1.9%	-0.83	0%
train	SIDEWAYS	592	1.4%	0.63	0%
train	UPTREND	902	43.7%	1.28	33%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	50.6%	0.89	78%
validation	EXTREME	144	374.9%	4.55	85%
validation	HIGH VOLATILITY	258	140.8%	2.19	38%
validation	LOW VOLATILITY	183	8.8%	0.44	18%
validation	MEDIUM VOLATILITY	315	72.0%	2.20	31%
validation	NORMAL	474	-0.8%	-0.78	0%
validation	SIDEWAYS	206	3.2%	0.67	1%
validation	UPTREND	425	141.1%	2.40	54%

Trades (full period)

17 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
2020-11-24	2021-02-19	$185.13	$260.43	50.59%	59
2020-10-07	2020-11-13	$141.77	$136.17	-0.73%	28
2020-05-20	2020-09-30	$54.37	$143.00	158.81%	93
2020-04-14	2020-04-30	$47.33	$52.13	22.74%	13
2019-12-24	2020-03-05	$28.35	$48.30	78.43%	49
2017-09-18	2017-09-26	$25.67	$23.02	-9.35%	7
2017-08-07	2017-08-24	$23.68	$23.53	-1.36%	14
2017-04-07	2017-07-10	$20.17	$21.07	4.65%	64
2017-03-31	2017-04-06	$18.55	$19.91	5.93%	5
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
2013-04-15	2013-10-29	$2.89	$10.96	271.50%	139
2013-02-04	2013-02-12	$2.52	$2.53	0.11%	7