Strategy Zoo / S1398
PriceMomentum_V1398
ARCHIVEDhybridstructuralreplaced exit rule with: dist_sma_20 < 0.0475
Fitness
0.4667
Generation
64
Complexity
11
Created
2026-10-09
Lineage
Parents (1)
entry = PriceMomentum_V0640 AND PriceMomentum_V1125
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1398 [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 dist_sma_20 < 0.0475:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 12.1% | 50.9% | 21.7% | 21.9% |
| Total Return | 148.7% | 243.9% | 109.0% | 1739.9% |
| Sharpe | 0.64 | 1.19 | 0.94 | 0.86 |
| Sortino | 0.40 | 0.93 | 0.65 | 0.56 |
| Calmar | 0.51 | 1.51 | 0.68 | 0.65 |
| Volatility | 21.1% | 42.2% | 23.8% | 27.3% |
| Max DD | -23.8% | -33.8% | -32.0% | -33.8% |
| Win Rate | 52.5% | 62.1% | 30.4% | 50.0% |
| Avg Win | 9.8% | 11.7% | 20.4% | 12.2% |
| Avg Loss | -3.6% | -4.6% | -3.1% | -3.7% |
| Payoff | 2.70 | 2.51 | 6.50 | 3.31 |
| Expectancy | 3.4% | 5.5% | 4.0% | 4.3% |
| Profit Factor | 2.98 | 4.10 | 2.84 | 3.31 |
| Trades | 40 | 29 | 23 | 92 |
| Avg Holding Days | 7.9 | 8.0 | 8.0 | 8.0 |
| Turnover | 10.1 | 19.3 | 12.3 | 12.5 |
| Exposure | 13.9% | 26.9% | 17.0% | 17.4% |
Growth of $100
PriceMomentum_V1398 vs TSLA Buy & Hold
PriceMomentum_V1398 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 | 18.2% | 1.39 | -7.1% | 3 |
| 2017 | 11.7% | 1.02 | -7.8% | 5 |
| 2018 | -2.5% | -0.14 | -13.4% | 4 |
| 2019 | -11.0% | -0.59 | -17.2% | 4 |
| 2020 | 152.5% | 1.75 | -33.8% | 14 |
| 2021 | 33.1% | 1.15 | -19.1% | 9 |
| 2022 | -1.5% | -0.01 | -15.1% | 6 |
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 | 24.5% | 1.56 | 5% |
| hidden test | EXPENSIVE | 83 | 34.7% | 1.05 | 40% |
| hidden test | EXTREME | 48 | 177.6% | 3.44 | 54% |
| hidden test | HIGH VOLATILITY | 254 | 41.4% | 1.21 | 24% |
| hidden test | LOW VOLATILITY | 441 | 27.0% | 1.61 | 13% |
| hidden test | MEDIUM VOLATILITY | 250 | -4.8% | -0.22 | 17% |
| hidden test | NORMAL | 814 | 12.1% | 0.61 | 13% |
| hidden test | SIDEWAYS | 296 | 19.0% | 0.98 | 13% |
| hidden test | UPTREND | 371 | 23.8% | 0.77 | 29% |
| train | DOWNTREND | 518 | 1.5% | 0.26 | 3% |
| train | EXPENSIVE | 311 | -12.1% | -0.47 | 23% |
| train | EXTREME | 100 | 285.2% | 4.26 | 77% |
| train | HIGH VOLATILITY | 699 | 27.5% | 0.86 | 21% |
| train | LOW VOLATILITY | 745 | 4.5% | 0.43 | 13% |
| train | MEDIUM VOLATILITY | 568 | 8.4% | 0.65 | 6% |
| train | NORMAL | 1,601 | 1.6% | 0.14 | 8% |
| train | SIDEWAYS | 592 | -5.3% | -0.39 | 7% |
| train | UPTREND | 902 | 32.9% | 1.13 | 25% |
| validation | DOWNTREND | 125 | 11.5% | 1.42 | 1% |
| validation | EXPENSIVE | 138 | 41.2% | 0.88 | 38% |
| validation | EXTREME | 144 | 198.8% | 2.61 | 69% |
| validation | HIGH VOLATILITY | 258 | 46.1% | 0.78 | 31% |
| validation | LOW VOLATILITY | 183 | 26.9% | 1.96 | 9% |
| validation | MEDIUM VOLATILITY | 315 | 66.8% | 1.85 | 34% |
| validation | NORMAL | 474 | 7.5% | 0.36 | 11% |
| validation | SIDEWAYS | 206 | -14.2% | -0.70 | 13% |
| validation | UPTREND | 425 | 92.6% | 1.71 | 41% |
Trades (full period)
92 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-08 | 2026-05-19 | $428.35 | $404.11 | -0.63% | 8 | |
| 2025-12-17 | 2025-12-29 | $467.26 | $459.64 | -3.20% | 8 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-09-16 | 2025-10-06 | $421.62 | $453.25 | 4.62% | 15 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-05-08 | 2025-06-03 | $284.82 | $344.27 | 23.82% | 18 | |
| 2024-12-31 | 2025-01-02 | $403.84 | $379.28 | -3.45% | 2 | |
| 2024-11-08 | 2024-12-30 | $321.22 | $417.41 | 45.10% | 35 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-09-25 | 2024-10-03 | $257.02 | $240.66 | -2.26% | 7 | |
| 2024-09-06 | 2024-09-09 | $210.73 | $216.27 | -8.64% | 2 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -2.24% | 2 | |
| 2024-07-05 | 2024-07-22 | $251.52 | $251.51 | -3.11% | 12 | |
| 2024-05-22 | 2024-05-23 | $180.11 | $173.74 | -3.67% | 2 | |
| 2024-05-20 | 2024-05-21 | $174.95 | $186.60 | -1.61% | 2 | |
| 2023-11-29 | 2023-12-01 | $244.14 | $238.83 | -2.89% | 3 | |
| 2023-09-15 | 2023-09-20 | $274.39 | $262.59 | -3.65% | 4 | |
| 2023-06-28 | 2023-07-11 | $256.24 | $269.79 | 7.54% | 9 | |
| 2023-05-25 | 2023-06-27 | $184.47 | $250.21 | 31.53% | 22 | |
| 2023-02-27 | 2023-03-01 | $207.63 | $202.77 | 4.28% | 3 | |
| 2023-01-27 | 2023-02-24 | $177.90 | $196.88 | 25.84% | 20 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.75% | 5 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -2.82% | 2 | |
| 2022-07-29 | 2022-08-10 | $297.15 | $294.36 | 0.67% | 9 | |
| 2022-04-14 | 2022-04-18 | $328.33 | $334.76 | -3.85% | 2 | |
| 2022-04-12 | 2022-04-13 | $328.98 | $340.79 | 0.93% | 2 | |
| 2022-03-23 | 2022-04-11 | $333.04 | $325.31 | 2.96% | 14 | |
| 2021-11-19 | 2021-11-22 | $379.02 | $385.62 | 3.51% | 2 | |
| 2021-11-17 | 2021-11-18 | $363.00 | $365.46 | 3.05% | 2 | |
| 2021-11-15 | 2021-11-16 | $337.80 | $351.58 | -2.14% | 2 | |
| 2021-11-11 | 2021-11-12 | $354.50 | $344.47 | -0.62% | 2 | |
| 2021-10-19 | 2021-11-10 | $288.09 | $355.98 | 17.39% | 17 | |
| 2021-04-27 | 2021-04-28 | $234.91 | $231.47 | -4.73% | 2 | |
| 2021-04-07 | 2021-04-08 | $223.66 | $227.93 | -3.18% | 2 | |
| 2021-02-02 | 2021-02-03 | $290.93 | $284.90 | 3.72% | 2 | |
| 2020-12-31 | 2021-01-29 | $235.22 | $264.51 | 20.01% | 20 | |
| 2020-11-24 | 2020-12-23 | $185.13 | $215.33 | 22.47% | 21 | |
| 2020-10-07 | 2020-10-08 | $141.77 | $141.97 | 2.53% | 2 | |
| 2020-09-15 | 2020-09-18 | $149.92 | $147.38 | 0.71% | 4 | |
| 2020-09-10 | 2020-09-11 | $123.78 | $124.24 | 1.18% | 2 | |
| 2020-08-19 | 2020-09-09 | $125.24 | $122.09 | -12.68% | 15 | |
| 2020-07-30 | 2020-07-31 | $99.17 | $95.38 | -0.97% | 2 | |
| 2020-07-28 | 2020-07-29 | $98.43 | $99.94 | -4.29% | 2 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 26.32% | 17 | |
| 2020-06-26 | 2020-06-29 | $63.98 | $67.29 | -2.86% | 2 | |
| 2020-06-02 | 2020-06-25 | $58.77 | $65.73 | 6.77% | 18 | |
| 2020-05-05 | 2020-05-14 | $51.21 | $53.56 | 3.70% | 8 | |
| 2020-04-14 | 2020-05-04 | $47.33 | $50.75 | 7.53% | 15 | |
| 2020-02-27 | 2020-02-28 | $45.27 | $44.53 | -13.00% | 2 | |
| 2019-12-24 | 2020-02-26 | $28.35 | $51.92 | 90.43% | 43 | |
| 2019-10-31 | 2019-11-25 | $20.99 | $22.42 | 5.51% | 18 | |
| 2019-07-25 | 2019-07-26 | $15.25 | $15.20 | -13.80% | 2 | |
| 2019-07-05 | 2019-07-09 | $15.54 | $15.34 | -2.14% | 3 | |
| 2019-07-01 | 2019-07-03 | $15.14 | $15.66 | 0.29% | 3 | |
| 2018-11-02 | 2018-11-21 | $23.09 | $22.55 | 0.73% | 14 | |
| 2018-06-29 | 2018-07-02 | $22.86 | $22.34 | -2.19% | 2 | |
| 2018-06-26 | 2018-06-27 | $22.80 | $22.97 | 2.50% | 2 | |
| 2018-06-14 | 2018-06-25 | $23.85 | $22.20 | -3.42% | 8 | |
| 2017-06-14 | 2017-06-27 | $25.38 | $24.16 | 0.21% | 10 | |
| 2017-04-24 | 2017-04-25 | $20.54 | $20.92 | 0.59% | 2 | |
| 2017-04-04 | 2017-04-21 | $20.25 | $20.37 | 1.14% | 13 | |
| 2017-02-15 | 2017-02-17 | $18.65 | $18.15 | -4.47% | 3 | |
| 2017-01-04 | 2017-02-02 | $15.13 | $16.77 | 14.64% | 21 | |
| 2016-07-26 | 2016-07-27 | $15.30 | $15.23 | -0.42% | 2 | |
| 2016-04-01 | 2016-04-13 | $15.84 | $16.97 | 7.64% | 9 | |
| 2016-03-08 | 2016-03-31 | $13.51 | $15.32 | 10.30% | 17 | |
| 2015-09-23 | 2015-09-24 | $17.40 | $17.54 | -0.15% | 2 | |
| 2015-04-29 | 2015-05-21 | $15.50 | $16.37 | 5.81% | 17 | |
| 2014-09-03 | 2014-09-10 | $18.75 | $18.74 | -2.18% | 6 | |
| 2014-08-14 | 2014-08-21 | $17.43 | $16.96 | -1.96% | 6 | |
| 2014-03-20 | 2014-03-21 | $15.66 | $15.26 | -0.59% | 2 | |
| 2014-03-13 | 2014-03-14 | $15.85 | $15.40 | -1.73% | 2 | |
| 2014-02-25 | 2014-03-12 | $16.53 | $16.10 | 7.50% | 12 | |
| 2014-02-10 | 2014-02-20 | $13.10 | $14.00 | 3.61% | 8 | |
| 2014-01-22 | 2014-02-06 | $11.90 | $11.89 | -1.48% | 12 | |
| 2013-12-26 | 2014-01-02 | $10.37 | $10.01 | -0.84% | 5 | |
| 2013-12-18 | 2013-12-20 | $9.87 | $9.55 | -7.89% | 3 | |
| 2013-09-16 | 2013-09-17 | $11.11 | $11.08 | 0.43% | 2 | |
| 2013-08-19 | 2013-09-10 | $9.66 | $11.09 | 12.95% | 16 | |
| 2013-08-14 | 2013-08-15 | $9.29 | $9.31 | -4.37% | 2 | |
| 2013-07-29 | 2013-08-08 | $8.97 | $10.23 | 3.54% | 9 | |
| 2013-07-25 | 2013-07-26 | $8.27 | $8.63 | 1.75% | 2 | |
| 2013-07-22 | 2013-07-24 | $8.16 | $8.11 | 2.35% | 3 | |
| 2013-07-02 | 2013-07-17 | $7.85 | $8.02 | -7.12% | 11 | |
| 2013-06-20 | 2013-06-21 | $6.71 | $6.64 | -4.05% | 2 | |
| 2013-04-15 | 2013-06-12 | $2.89 | $6.52 | 115.50% | 42 | |
| 2012-11-29 | 2012-12-06 | $2.25 | $2.26 | 1.24% | 6 | |
| 2012-11-21 | 2012-11-27 | $2.16 | $2.14 | -2.41% | 4 | |
| 2012-07-17 | 2012-07-18 | $2.22 | $2.14 | -7.45% | 2 | |
| 2012-02-14 | 2012-02-28 | $2.21 | $2.25 | 6.56% | 10 |