Strategy Zoo / S1384
PriceMomentum_V1384
ARCHIVEDhybridstructuralchanged ret_20d threshold 0.184 -> 0.2213; restricted to trend regimes ['UPTREND']
Fitness
0.5432
Generation
63
Complexity
3
Created
2026-10-09
Lineage
Parents (1)
entry from PriceMomentum_V0640, exit from PriceMomentum_V0449
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1384 [hybrid]
require regime.trend in ['UPTREND']
if flat and ret_20d > 0.2213:
position = 1.0
if long and ret_20d < -0.006:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 18.1% | 64.9% | 6.0% | 23.2% |
| Total Return | 277.6% | 348.3% | 24.4% | 2068.5% |
| Sharpe | 0.81 | 1.36 | 0.36 | 0.86 |
| Sortino | 0.60 | 1.08 | 0.19 | 0.58 |
| Calmar | 0.44 | 1.92 | 0.18 | 0.57 |
| Volatility | 24.2% | 43.7% | 24.2% | 29.3% |
| Max DD | -40.7% | -33.7% | -33.3% | -40.7% |
| Win Rate | 25.0% | 60.0% | 42.9% | 41.4% |
| Avg Win | 66.9% | 38.5% | 21.5% | 47.7% |
| Avg Loss | -4.5% | -7.8% | -8.3% | -6.2% |
| Payoff | 10.00 | 4.95 | 2.58 | 7.72 |
| Expectancy | 13.4% | 20.0% | 4.5% | 16.1% |
| Profit Factor | 4.96 | 7.42 | 1.94 | 5.45 |
| Trades | 12 | 10 | 7 | 29 |
| Avg Holding Days | 27.5 | 23.0 | 21.3 | 26.1 |
| Turnover | 3.1 | 6.7 | 3.7 | 3.9 |
| Exposure | 18.1% | 29.1% | 15.0% | 19.6% |
Growth of $100
PriceMomentum_V1384 vs TSLA Buy & Hold
PriceMomentum_V1384 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 | -2.3% | -0.22 | -9.3% | 1 |
| 2017 | -16.2% | -0.80 | -24.0% | 3 |
| 2018 | -13.7% | -1.14 | -16.6% | 2 |
| 2019 | 39.5% | 2.02 | -8.5% | 0 |
| 2020 | 330.8% | 2.48 | -33.7% | 5 |
| 2021 | 31.6% | 1.13 | -17.6% | 2 |
| 2022 | -24.2% | -1.96 | -24.1% | 3 |
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 | 32.5% | 0.86 | 48% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | -11.6% | -0.33 | 20% |
| hidden test | LOW VOLATILITY | 441 | 26.9% | 1.85 | 11% |
| hidden test | MEDIUM VOLATILITY | 250 | -2.5% | -0.10 | 17% |
| hidden test | NORMAL | 814 | -4.0% | -0.21 | 9% |
| hidden test | SIDEWAYS | 296 | -13.3% | -1.01 | 1% |
| hidden test | UPTREND | 371 | 33.0% | 0.90 | 38% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 23.8% | 0.67 | 50% |
| train | EXTREME | 100 | 368.5% | 5.08 | 93% |
| train | HIGH VOLATILITY | 699 | 44.4% | 1.29 | 24% |
| train | LOW VOLATILITY | 745 | 13.4% | 0.94 | 16% |
| train | MEDIUM VOLATILITY | 568 | -3.1% | -0.17 | 14% |
| train | NORMAL | 1,601 | -3.2% | -0.28 | 7% |
| train | SIDEWAYS | 592 | -5.2% | -1.00 | 1% |
| train | UPTREND | 902 | 46.8% | 1.31 | 40% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 72.7% | 1.38 | 52% |
| validation | EXTREME | 144 | 266.9% | 3.41 | 74% |
| validation | HIGH VOLATILITY | 258 | 81.2% | 1.30 | 36% |
| validation | LOW VOLATILITY | 183 | 17.9% | 1.34 | 8% |
| validation | MEDIUM VOLATILITY | 315 | 66.2% | 1.85 | 36% |
| validation | NORMAL | 474 | -7.2% | -0.40 | 9% |
| validation | SIDEWAYS | 206 | -6.1% | -0.68 | 1% |
| validation | UPTREND | 425 | 109.0% | 1.88 | 51% |
Trades (full period)
29 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-12-23 | 2026-01-05 | $485.56 | $451.67 | -10.55% | 8 | |
| 2025-09-16 | 2025-10-23 | $421.62 | $448.98 | 6.84% | 28 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2024-11-08 | 2025-01-13 | $321.22 | $403.31 | 32.69% | 43 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -1.29% | 2 | |
| 2024-07-03 | 2024-08-02 | $246.39 | $207.67 | -6.41% | 22 | |
| 2023-06-02 | 2023-07-24 | $213.97 | $269.06 | 25.05% | 35 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -14.86% | 12 | |
| 2021-10-26 | 2021-12-01 | $339.48 | $365.00 | 11.48% | 26 | |
| 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 | |
| 2020-08-21 | 2020-09-24 | $136.67 | $129.26 | -5.18% | 24 | |
| 2020-06-02 | 2020-08-10 | $58.77 | $94.57 | 61.43% | 49 | |
| 2020-04-15 | 2020-04-30 | $48.66 | $52.13 | 12.54% | 12 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 148.29% | 89 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2017-06-16 | 2017-07-06 | $24.76 | $20.59 | -13.03% | 14 | |
| 2017-04-05 | 2017-05-24 | $19.67 | $20.68 | -0.15% | 35 | |
| 2017-01-25 | 2017-02-28 | $16.96 | $16.67 | -3.48% | 24 | |
| 2016-04-05 | 2016-05-03 | $17.03 | $15.49 | -2.29% | 21 | |
| 2015-04-30 | 2015-05-01 | $15.07 | $15.07 | -2.95% | 2 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 21.21% | 43 | |
| 2013-07-02 | 2013-10-22 | $7.85 | $11.44 | 47.00% | 79 | |
| 2013-04-02 | 2013-06-26 | $2.96 | $7.05 | 132.63% | 61 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | -3.32% | 33 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |