Strategy Zoo / S1368

PriceMomentum_V1368

ARCHIVEDhybrid

structuraladded entry filter: drawdown > -0.1108; added entry filter: macd_hist < 0.3938

Fitness

0.6346

Generation

Complexity

Created

2026-10-09

Lineage

Parents (1)

PriceMomentum_V1085S1085 · gen 49ARCHIVEDstructural

changed ret_20d threshold -0.1499 -> -0.0955

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1368  [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and (ret_20d > 0.05 and drawdown > -0.1108 and macd_hist < 0.3938):
    position = 1.0
if long and ret_20d < -0.0955:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	23.3%	72.5%	3.0%	26.4%
Total Return	433.4%	412.9%	11.8%	3048.3%
Sharpe	1.02	1.53	0.27	1.02
Sortino	0.73	1.07	0.13	0.63
Calmar	0.88	2.15	0.14	0.78
Volatility	23.1%	41.2%	14.9%	26.3%
Max DD	-26.6%	-33.7%	-21.0%	-33.7%
Win Rate	60.0%	100.0%	50.0%	66.7%
Avg Win	55.6%	78.0%	11.8%	60.1%
Avg Loss	-4.1%	0.0%	-0.0%	-3.3%
Payoff	10.00	5.00	10.00	10.00
Expectancy	31.7%	78.0%	5.9%	39.0%
Profit Factor	10.00	5.00	10.00	10.00
Trades	10	3	2	15
Avg Holding Days	31.0	58.0	28.5	36.8
Turnover	2.6	2.0	1.1	2.0
Exposure	15.4%	22.6%	5.8%	14.5%

Growth of $100

PriceMomentum_V1368 vs TSLA Buy & Hold

PriceMomentum_V1368 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	-3.2%	0.00	-26.0%	6
2018	0.0%	0.00	0.0%	0
2019	9.5%	1.31	-3.8%	0
2020	357.4%	2.58	-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	-7.6%	-0.24	34%
hidden test	EXTREME	48	104.3%	2.03	54%
hidden test	HIGH VOLATILITY	254	1.6%	0.09	7%
hidden test	LOW VOLATILITY	441	9.5%	1.45	1%
hidden test	MEDIUM VOLATILITY	250	-3.1%	-0.15	13%
hidden test	NORMAL	814	-0.7%	-0.58	0%
hidden test	SIDEWAYS	296	0.0%	0.00	0%
hidden test	UPTREND	371	10.3%	0.44	15%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	28.9%	0.76	66%
train	EXTREME	100	416.1%	5.63	100%
train	HIGH VOLATILITY	699	50.6%	1.52	21%
train	LOW VOLATILITY	745	11.1%	1.03	11%
train	MEDIUM VOLATILITY	568	6.5%	0.34	15%
train	NORMAL	1,601	-2.0%	-0.87	0%
train	SIDEWAYS	592	1.4%	0.63	0%
train	UPTREND	902	51.6%	1.50	34%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	16.6%	0.33	46%
validation	EXTREME	144	317.1%	4.02	74%
validation	HIGH VOLATILITY	258	104.4%	1.70	31%
validation	LOW VOLATILITY	183	9.0%	0.60	10%
validation	MEDIUM VOLATILITY	315	60.3%	2.08	23%
validation	NORMAL	474	-0.8%	-0.78	0%
validation	SIDEWAYS	206	0.0%	0.00	0%
validation	UPTREND	425	112.0%	2.05	40%

Trades (full period)

15 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-10-06	2025-11-13	$453.25	$401.99	-0.02%	29
2024-12-06	2025-01-17	$389.22	$426.50	11.78%	28
2020-12-17	2021-02-19	$218.63	$260.43	26.19%	43
2020-05-22	2020-09-25	$54.46	$135.78	133.81%	88
2019-12-17	2020-03-05	$25.27	$48.30	96.07%	54
2017-09-18	2017-09-26	$25.67	$23.02	-9.35%	7
2017-08-04	2017-08-24	$23.79	$23.53	1.44%	15
2017-04-07	2017-07-07	$20.17	$20.88	3.19%	63
2017-03-28	2017-04-06	$18.50	$19.91	8.95%	8
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	2014-03-26	$11.64	$14.20	21.21%	43
2013-04-11	2013-10-24	$2.91	$11.54	292.21%	138
2013-02-14	2013-02-15	$2.55	$2.47	-0.67%	2
2013-01-24	2013-02-12	$2.47	$2.53	6.51%	14