Strategy Zoo / S1363

PriceMomentum_V1363

ARCHIVEDhybrid

crossoverentry = PriceMomentum_V0640 AND PriceMomentum_V1125

Fitness

0.7242

Generation

Complexity

Created

2026-10-09

Lineage

Parents (2)

PriceMomentum_V0640S0640 · gen 29ARCHIVEDcrossover

changed ret_20d threshold 0.05 -> 0.184

PriceMomentum_V1125S1125 · gen 51ARCHIVEDcrossover

added entry filter: vol_chg < 1.2824; swapped indicator vol_chg -> rel_volume

Children (2)

PriceMomentum_V1398S1398 · gen 64ARCHIVEDstructural

PriceMomentum_V1414S1414 · gen 65ARCHIVEDllm

Strategy Logic (pseudocode)

# PriceMomentum_V1363  [hybrid]
if flat and (ret_20d > 0.184 and ((ret_20d > 0.05 or (breakout_20 == 1 and dist_sma_20 > -0.121 and rel_volume < 2.749)) and vol_chg < 1.2824)):
    position = 1.0
if long and ret_20d < -0.0017:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	23.5%	101.2%	13.7%	33.8%
Total Return	439.9%	714.3%	61.8%	7225.2%
Sharpe	0.93	1.73	0.57	1.05
Sortino	0.77	1.55	0.45	0.86
Calmar	0.68	3.00	0.34	0.83
Volatility	26.3%	46.9%	31.3%	32.8%
Max DD	-34.7%	-33.7%	-40.8%	-40.8%
Win Rate	55.6%	70.0%	41.7%	55.0%
Avg Win	26.2%	43.2%	23.3%	33.8%
Avg Loss	-7.0%	-4.2%	-7.3%	-6.6%
Payoff	3.76	10.00	3.18	5.10
Expectancy	11.5%	29.0%	5.4%	15.6%
Profit Factor	4.70	10.00	2.27	6.24
Trades	18	10	12	40
Avg Holding Days	30.6	29.1	24.0	29.3
Turnover	4.6	6.7	6.4	5.4
Exposure	28.5%	37.2%	29.2%	30.5%

Growth of $100

PriceMomentum_V1363 vs TSLA Buy & Hold

PriceMomentum_V1363 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	15.1%	1.02	-11.1%	2
2017	-0.1%	0.10	-22.8%	3
2018	-12.6%	-0.63	-21.3%	2
2019	38.6%	1.60	-13.9%	1
2020	459.7%	2.78	-33.7%	4
2021	39.0%	1.19	-17.6%	4
2022	0.4%	0.12	-14.8%	2

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	30.4%	1.75	6%
hidden test	EXPENSIVE	83	41.7%	1.07	54%
hidden test	EXTREME	48	183.9%	3.27	67%
hidden test	HIGH VOLATILITY	254	50.7%	1.13	36%
hidden test	LOW VOLATILITY	441	31.4%	1.55	25%
hidden test	MEDIUM VOLATILITY	250	-39.8%	-1.31	30%
hidden test	NORMAL	814	5.5%	0.20	24%
hidden test	SIDEWAYS	296	-8.6%	-0.30	29%
hidden test	UPTREND	371	29.3%	0.73	47%
train	DOWNTREND	518	8.6%	1.11	4%
train	EXPENSIVE	311	27.8%	0.76	55%
train	EXTREME	100	368.1%	5.07	95%
train	HIGH VOLATILITY	699	42.4%	1.19	28%
train	LOW VOLATILITY	745	25.1%	1.31	36%
train	MEDIUM VOLATILITY	568	1.7%	0.08	19%
train	NORMAL	1,601	2.4%	0.15	19%
train	SIDEWAYS	592	-13.2%	-0.78	12%
train	UPTREND	902	58.4%	1.61	53%
validation	DOWNTREND	125	11.5%	1.42	1%
validation	EXPENSIVE	138	69.5%	1.32	53%
validation	EXTREME	144	319.7%	3.89	91%
validation	HIGH VOLATILITY	258	99.2%	1.52	43%
validation	LOW VOLATILITY	183	20.2%	1.36	13%
validation	MEDIUM VOLATILITY	315	101.3%	2.48	46%
validation	NORMAL	474	11.7%	0.49	16%
validation	SIDEWAYS	206	-1.9%	-0.07	19%
validation	UPTREND	425	141.5%	2.37	56%

Trades (full period)

40 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-08	2026-06-08	$428.35	$408.95	-5.23%	21
2025-12-17	2026-01-05	$467.26	$451.67	-10.76%	12
2025-09-16	2025-10-23	$421.62	$448.98	6.84%	28
2025-05-08	2025-06-12	$284.82	$319.11	17.94%	25
2024-11-08	2025-01-13	$321.22	$403.31	32.69%	43
2024-09-06	2024-10-14	$210.73	$219.16	-5.57%	27
2024-07-05	2024-08-02	$251.52	$207.67	-12.16%	21
2024-05-20	2024-05-29	$174.95	$176.19	-0.60%	7
2023-11-29	2024-01-05	$244.14	$237.49	-3.76%	26
2023-09-15	2023-09-28	$274.39	$246.38	-13.05%	10
2023-05-25	2023-07-24	$184.47	$269.06	41.88%	40
2023-01-27	2023-03-08	$177.90	$182.00	16.90%	28
2022-07-29	2022-08-29	$297.15	$284.82	2.36%	22
2022-03-23	2022-04-21	$333.04	$336.26	-1.88%	21
2021-10-19	2021-12-01	$288.09	$365.00	31.30%	31
2021-04-27	2021-05-04	$234.91	$224.53	-7.41%	6
2021-04-07	2021-04-08	$223.66	$227.93	-3.18%	2
2020-11-24	2021-02-09	$185.13	$283.15	65.13%	52
2020-10-07	2020-10-14	$141.77	$153.77	7.68%	6
2020-08-19	2020-09-24	$125.24	$129.26	0.58%	26
2020-04-14	2020-08-10	$47.33	$94.57	122.74%	83
2019-10-31	2020-03-04	$20.99	$49.97	136.19%	85
2019-07-01	2019-08-02	$15.14	$15.62	4.44%	24
2018-11-02	2018-12-19	$23.09	$22.20	-2.30%	32
2018-06-14	2018-07-06	$23.85	$20.59	-10.51%	16
2017-06-14	2017-07-06	$25.38	$20.59	-13.17%	16
2017-04-04	2017-05-24	$20.25	$20.68	1.59%	36
2017-01-04	2017-02-28	$15.13	$16.67	13.25%	38
2016-07-26	2016-08-16	$15.30	$14.91	-2.12%	16
2016-03-08	2016-05-03	$13.51	$15.49	17.55%	40
2015-09-23	2015-09-30	$17.40	$16.56	-5.67%	6
2015-04-29	2015-07-09	$15.50	$17.19	10.40%	50
2014-08-14	2014-09-16	$17.43	$17.38	-2.67%	23
2014-01-22	2014-03-26	$11.90	$14.20	24.52%	45
2013-12-18	2014-01-14	$9.87	$10.75	-8.79%	18
2013-07-02	2013-10-22	$7.85	$11.44	47.00%	79
2013-04-15	2013-06-26	$2.89	$7.05	133.59%	52
2012-11-21	2012-12-31	$2.16	$2.26	0.46%	27
2012-07-17	2012-07-20	$2.22	$2.12	-10.45%	4
2012-02-14	2012-03-23	$2.21	$2.27	9.03%	28