Strategy Zoo / S1378

PriceMomentum_V1378

ARCHIVEDhybrid

structuraladded entry filter: vol_60 < 0.3753; reduce exposure to 67% during EXPENSIVE

Fitness

0.2293

Generation

Complexity

Created

2026-10-09

Lineage

Parents (1)

PriceMomentum_V1238S1238 · gen 57ARCHIVEDstructural

entry from PriceMomentum_V0936, exit from LongTermTrend_V1216

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1378  [hybrid]
if flat and (((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > 0.05 and cumret_252d > -0.1997) or ((((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.1) and ret_20d > 0.05 and cumret_252d > -0.1997) and ret_20d > 0.05)) and vol_60 < 0.3753):
    position = 1.0
if long and ret_20d < -0.0017:
    position = 0.0  # exit to cash
if regime.bubble == "EXPENSIVE": position *= 0.67

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	0.1%	17.1%	0.1%	3.4%
Total Return	1.2%	60.7%	0.2%	63.0%
Sharpe	0.07	1.07	0.04	0.34
Sortino	0.03	0.45	0.01	0.14
Calmar	0.01	0.97	0.00	0.11
Volatility	11.9%	15.9%	7.0%	11.9%
Max DD	-28.3%	-17.6%	-12.3%	-31.0%
Win Rate	35.7%	100.0%	100.0%	43.8%
Avg Win	11.7%	60.7%	0.2%	17.1%
Avg Loss	-5.7%	0.0%	0.0%	-5.7%
Payoff	2.07	5.00	5.00	3.01
Expectancy	0.5%	60.7%	0.2%	4.3%
Profit Factor	1.15	5.00	5.00	2.34
Trades	14	1	1	16
Avg Holding Days	20.0	83.0	23.0	24.1
Turnover	3.7	0.7	0.5	2.3
Exposure	11.9%	10.8%	2.3%	9.2%

Growth of $100

PriceMomentum_V1378 vs TSLA Buy & Hold

PriceMomentum_V1378 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	-0.6%	-0.04	-8.7%	1
2017	13.1%	0.76	-16.7%	4
2018	-11.4%	-1.50	-12.6%	3
2019	0.0%	0.00	0.0%	0
2020	0.0%	0.00	0.0%	0
2021	60.7%	1.86	-17.6%	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	2.1%	0.95	0%
hidden test	EXPENSIVE	83	0.0%	0.00	0%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	0.0%	0.00	0%
hidden test	LOW VOLATILITY	441	4.5%	0.49	5%
hidden test	MEDIUM VOLATILITY	250	-6.7%	-1.02	0%
hidden test	NORMAL	814	0.4%	0.05	3%
hidden test	SIDEWAYS	296	-1.3%	-0.11	7%
hidden test	UPTREND	371	0.3%	0.82	0%
train	DOWNTREND	518	2.2%	0.42	2%
train	EXPENSIVE	311	12.1%	0.92	18%
train	EXTREME	100	5.1%	0.49	12%
train	HIGH VOLATILITY	699	-5.2%	-0.62	3%
train	LOW VOLATILITY	745	17.1%	1.18	23%
train	MEDIUM VOLATILITY	568	-13.0%	-1.10	9%
train	NORMAL	1,601	-1.6%	-0.13	11%
train	SIDEWAYS	592	-3.5%	-0.39	8%
train	UPTREND	902	3.0%	0.19	20%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	0.0%	0.00	0%
validation	EXTREME	144	0.0%	0.00	0%
validation	HIGH VOLATILITY	258	-1.1%	-0.07	3%
validation	LOW VOLATILITY	183	35.1%	2.23	31%
validation	MEDIUM VOLATILITY	315	21.5%	1.26	5%
validation	NORMAL	474	27.2%	1.36	17%
validation	SIDEWAYS	206	1.2%	1.11	0%
validation	UPTREND	425	29.8%	1.40	19%

Trades (full period)

16 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-06	2026-06-08	$398.73	$408.95	0.22%	23
2021-08-05	2021-12-01	$238.21	$365.00	60.70%	83
2018-03-13	2018-03-19	$22.79	$20.90	-7.18%	5
2018-01-22	2018-02-07	$23.44	$23.00	-4.78%	13
2018-01-09	2018-01-12	$22.25	$22.41	0.26%	4
2017-12-12	2017-12-28	$22.74	$21.02	-5.44%	12
2017-06-01	2017-07-06	$22.69	$20.59	-4.14%	25
2017-03-28	2017-05-24	$18.50	$20.68	8.68%	41
2016-12-20	2017-02-28	$13.92	$16.67	22.80%	47
2016-06-08	2016-06-21	$15.70	$14.64	-5.63%	10
2015-08-06	2015-08-07	$16.41	$16.17	-9.08%	2
2015-07-21	2015-07-27	$17.78	$16.87	-6.16%	5
2015-04-13	2015-07-09	$13.99	$17.19	20.65%	62
2014-08-05	2014-09-16	$15.90	$17.38	6.22%	30
2013-01-28	2013-02-22	$2.54	$2.41	-6.19%	19
2012-12-24	2012-12-31	$2.29	$2.26	-2.49%	5