Strategy Zoo / S1400
PriceMomentum_V1400
ARCHIVEDhybridstructuraladded exit filter: sma_50_slope < 0.0034
Fitness
0.6563
Generation
64
Complexity
19
Created
2026-10-09
Lineage
Parents (1)
entry = PriceMomentum_V1253 OR PriceMomentum_V1133
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1400 [hybrid]
if flat and ((ret_20d > 0.184 and breakout_20 == 1) or ((ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > -0.0674 and cumret_252d > -0.1997)) or ret_20d > 0.184)):
position = 1.0
if long and (ret_20d < -0.006 or sma_50_slope < 0.0034):
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 14.7% | 105.0% | 3.2% | 25.9% |
| Total Return | 199.8% | 762.0% | 12.4% | 2890.7% |
| Sharpe | 0.64 | 1.76 | 0.26 | 0.86 |
| Sortino | 0.63 | 1.88 | 0.22 | 0.83 |
| Calmar | 0.30 | 3.11 | 0.08 | 0.53 |
| Volatility | 27.4% | 47.1% | 30.9% | 33.2% |
| Max DD | -49.3% | -33.7% | -38.7% | -49.3% |
| Win Rate | 47.8% | 57.3% | 49.0% | 50.3% |
| Avg Win | 3.9% | 7.3% | 3.5% | 4.9% |
| Avg Loss | -2.2% | -2.6% | -2.9% | -2.5% |
| Payoff | 1.76 | 2.80 | 1.20 | 2.00 |
| Expectancy | 0.7% | 3.1% | 0.2% | 1.2% |
| Profit Factor | 1.61 | 3.75 | 1.15 | 2.02 |
| Trades | 203 | 89 | 104 | 396 |
| Avg Holding Days | 3.8 | 4.6 | 3.4 | 4.0 |
| Turnover | 51.0 | 59.3 | 55.5 | 53.8 |
| Exposure | 30.8% | 42.5% | 26.2% | 32.0% |
Growth of $100
PriceMomentum_V1400 vs TSLA Buy & Hold
PriceMomentum_V1400 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 | 2.4% | 0.25 | -13.5% | 20 |
| 2017 | 5.5% | 0.35 | -14.8% | 31 |
| 2018 | -24.6% | -1.25 | -30.7% | 26 |
| 2019 | 25.2% | 1.26 | -11.5% | 12 |
| 2020 | 543.3% | 3.01 | -33.7% | 22 |
| 2021 | 43.5% | 1.25 | -21.2% | 42 |
| 2022 | -10.5% | -0.37 | -15.5% | 25 |
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% | -0.11 | 10% |
| hidden test | EXPENSIVE | 83 | 56.8% | 1.27 | 63% |
| hidden test | EXTREME | 48 | 183.9% | 3.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | 12.5% | 0.29 | 31% |
| hidden test | LOW VOLATILITY | 441 | 19.0% | 0.94 | 21% |
| hidden test | MEDIUM VOLATILITY | 250 | -16.2% | -0.51 | 30% |
| hidden test | NORMAL | 814 | -7.4% | -0.28 | 20% |
| hidden test | SIDEWAYS | 296 | -20.8% | -0.84 | 19% |
| hidden test | UPTREND | 371 | 38.3% | 0.95 | 44% |
| train | DOWNTREND | 518 | 2.0% | 0.37 | 3% |
| train | EXPENSIVE | 311 | 40.0% | 1.11 | 59% |
| train | EXTREME | 100 | 381.5% | 5.19 | 95% |
| train | HIGH VOLATILITY | 699 | 37.4% | 1.05 | 29% |
| train | LOW VOLATILITY | 745 | 17.2% | 0.89 | 37% |
| train | MEDIUM VOLATILITY | 568 | -6.9% | -0.29 | 24% |
| train | NORMAL | 1,601 | -9.7% | -0.55 | 21% |
| train | SIDEWAYS | 592 | -20.7% | -1.24 | 17% |
| train | UPTREND | 902 | 51.2% | 1.34 | 56% |
| validation | DOWNTREND | 125 | 9.6% | 1.05 | 5% |
| validation | EXPENSIVE | 138 | 58.6% | 1.10 | 59% |
| validation | EXTREME | 144 | 353.2% | 4.43 | 83% |
| validation | HIGH VOLATILITY | 258 | 115.9% | 1.79 | 43% |
| validation | LOW VOLATILITY | 183 | 18.6% | 0.94 | 35% |
| validation | MEDIUM VOLATILITY | 315 | 93.3% | 2.29 | 46% |
| validation | NORMAL | 474 | 7.9% | 0.30 | 25% |
| validation | SIDEWAYS | 206 | 5.4% | 0.22 | 23% |
| validation | UPTREND | 425 | 142.1% | 2.37 | 63% |
Trades (full period)
latest 100 of 396
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-09-25 | 2026-09-28 | $372.11 | $357.45 | -1.74% | 2 | |
| 2026-09-11 | 2026-09-14 | $365.44 | $358.97 | 0.32% | 2 | |
| 2026-09-09 | 2026-09-10 | $367.81 | $363.56 | -0.29% | 2 | |
| 2026-09-03 | 2026-09-04 | $376.37 | $354.08 | 5.22% | 2 | |
| 2026-09-01 | 2026-09-02 | $356.09 | $357.01 | -3.42% | 2 | |
| 2026-08-28 | 2026-08-31 | $348.75 | $367.95 | -1.91% | 2 | |
| 2026-08-26 | 2026-08-27 | $345.82 | $354.81 | -1.46% | 2 | |
| 2026-08-24 | 2026-08-25 | $348.95 | $350.25 | -4.03% | 2 | |
| 2026-06-03 | 2026-06-04 | $423.70 | $418.45 | -0.21% | 2 | |
| 2026-06-01 | 2026-06-02 | $415.88 | $423.74 | -4.76% | 2 | |
| 2026-05-28 | 2026-05-29 | $442.10 | $435.79 | 0.19% | 2 | |
| 2026-05-26 | 2026-05-27 | $433.59 | $440.36 | 1.58% | 2 | |
| 2026-05-21 | 2026-05-22 | $417.85 | $426.01 | -0.06% | 2 | |
| 2026-05-15 | 2026-05-18 | $422.24 | $409.99 | -4.95% | 2 | |
| 2026-05-13 | 2026-05-14 | $445.27 | $443.30 | 2.52% | 2 | |
| 2026-05-11 | 2026-05-12 | $445.00 | $433.45 | 3.68% | 2 | |
| 2026-05-07 | 2026-05-08 | $411.79 | $428.35 | 3.07% | 2 | |
| 2026-05-05 | 2026-05-06 | $389.37 | $398.73 | -1.00% | 2 | |
| 2026-04-20 | 2026-04-21 | $392.50 | $386.42 | -2.22% | 2 | |
| 2025-12-30 | 2025-12-31 | $454.43 | $449.72 | -1.33% | 2 | |
| 2025-12-26 | 2025-12-29 | $475.19 | $459.64 | -2.30% | 2 | |
| 2025-12-23 | 2025-12-24 | $485.56 | $485.40 | -0.85% | 2 | |
| 2025-12-19 | 2025-12-22 | $481.20 | $488.73 | -0.65% | 2 | |
| 2025-12-17 | 2025-12-18 | $467.26 | $483.37 | -4.81% | 2 | |
| 2025-12-15 | 2025-12-16 | $475.31 | $489.88 | 3.36% | 2 | |
| 2025-11-03 | 2025-11-13 | $468.37 | $401.99 | -5.87% | 9 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-09-18 | 2025-10-23 | $416.85 | $448.98 | 2.87% | 26 | |
| 2025-09-16 | 2025-09-17 | $421.62 | $425.86 | 2.62% | 2 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-29 | 2025-09-02 | $333.87 | $329.36 | -3.70% | 2 | |
| 2025-08-27 | 2025-08-28 | $349.60 | $345.98 | -0.79% | 2 | |
| 2025-08-25 | 2025-08-26 | $346.60 | $351.67 | 1.74% | 2 | |
| 2025-08-15 | 2025-08-18 | $330.56 | $335.16 | -1.69% | 2 | |
| 2025-08-13 | 2025-08-14 | $339.38 | $335.58 | -0.63% | 2 | |
| 2025-08-11 | 2025-08-12 | $339.03 | $340.84 | 2.64% | 2 | |
| 2025-05-20 | 2025-06-12 | $343.82 | $319.11 | -4.77% | 17 | |
| 2025-05-16 | 2025-05-19 | $349.98 | $342.09 | 1.89% | 2 | |
| 2025-05-14 | 2025-05-15 | $347.68 | $342.82 | 3.87% | 2 | |
| 2025-05-12 | 2025-05-13 | $318.38 | $334.07 | 6.54% | 2 | |
| 2025-05-08 | 2025-05-09 | $284.82 | $298.26 | 2.91% | 2 | |
| 2025-05-06 | 2025-05-07 | $275.35 | $276.22 | -1.95% | 2 | |
| 2025-04-30 | 2025-05-01 | $282.16 | $280.52 | -3.58% | 2 | |
| 2025-04-16 | 2025-04-17 | $241.55 | $241.37 | -5.14% | 2 | |
| 2025-04-10 | 2025-04-11 | $252.40 | $252.31 | -7.47% | 2 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 36.54% | 44 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-10-02 | 2024-10-03 | $249.02 | $240.66 | -3.68% | 2 | |
| 2024-09-30 | 2024-10-01 | $261.63 | $258.02 | 0.25% | 2 | |
| 2024-09-26 | 2024-09-27 | $254.22 | $260.46 | -1.29% | 2 | |
| 2024-09-24 | 2024-09-25 | $254.27 | $257.02 | 1.51% | 2 | |
| 2024-09-20 | 2024-09-23 | $238.25 | $250.00 | -2.52% | 2 | |
| 2024-09-13 | 2024-09-16 | $230.29 | $226.78 | 0.01% | 2 | |
| 2024-09-11 | 2024-09-12 | $228.13 | $229.81 | 0.67% | 2 | |
| 2024-09-05 | 2024-09-06 | $230.17 | $210.73 | 4.70% | 2 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 3.14% | 23 | |
| 2024-06-27 | 2024-06-28 | $197.42 | $197.88 | 0.33% | 2 | |
| 2024-05-23 | 2024-05-24 | $173.74 | $179.24 | -3.73% | 2 | |
| 2024-05-21 | 2024-05-22 | $186.60 | $180.11 | 6.45% | 2 | |
| 2024-05-17 | 2024-05-20 | $177.46 | $174.95 | 1.30% | 2 | |
| 2024-05-15 | 2024-05-16 | $173.99 | $174.84 | -2.20% | 2 | |
| 2024-05-06 | 2024-05-07 | $184.76 | $177.81 | 1.77% | 2 | |
| 2024-04-30 | 2024-05-01 | $183.28 | $179.99 | -5.74% | 2 | |
| 2023-12-27 | 2023-12-28 | $261.44 | $253.18 | 1.68% | 2 | |
| 2023-12-22 | 2023-12-26 | $252.54 | $256.61 | -0.97% | 2 | |
| 2023-12-20 | 2023-12-21 | $247.14 | $254.50 | -4.11% | 2 | |
| 2023-12-18 | 2023-12-19 | $252.08 | $257.22 | -0.76% | 2 | |
| 2023-12-12 | 2023-12-13 | $237.01 | $239.29 | -1.34% | 2 | |
| 2023-12-08 | 2023-12-11 | $243.84 | $239.74 | 0.29% | 2 | |
| 2023-12-06 | 2023-12-07 | $239.37 | $242.64 | 0.07% | 2 | |
| 2023-12-04 | 2023-12-05 | $235.58 | $238.72 | -1.56% | 2 | |
| 2023-11-30 | 2023-12-01 | $240.08 | $238.83 | -1.86% | 2 | |
| 2023-11-28 | 2023-11-29 | $246.72 | $244.14 | 4.30% | 2 | |
| 2023-11-24 | 2023-11-27 | $235.45 | $236.08 | 0.33% | 2 | |
| 2023-11-21 | 2023-11-22 | $241.20 | $234.21 | 2.17% | 2 | |
| 2023-11-17 | 2023-11-20 | $234.30 | $235.60 | 0.10% | 2 | |
| 2023-09-22 | 2023-09-25 | $244.88 | $246.99 | -4.43% | 2 | |
| 2023-09-20 | 2023-09-21 | $262.59 | $255.70 | -1.67% | 2 | |
| 2023-09-18 | 2023-09-19 | $265.28 | $266.50 | -3.52% | 2 | |
| 2023-09-14 | 2023-09-15 | $276.04 | $274.39 | 1.55% | 2 | |
| 2023-09-12 | 2023-09-13 | $267.48 | $271.30 | -2.43% | 2 | |
| 2023-07-26 | 2023-08-02 | $264.35 | $254.11 | -1.78% | 6 | |
| 2023-06-12 | 2023-07-24 | $249.83 | $269.06 | 6.18% | 29 | |
| 2023-06-08 | 2023-06-09 | $234.86 | $244.40 | 4.38% | 2 | |
| 2023-06-06 | 2023-06-07 | $221.31 | $224.57 | 1.50% | 2 | |
| 2023-06-02 | 2023-06-05 | $213.97 | $217.61 | 2.91% | 2 | |
| 2023-05-31 | 2023-06-01 | $203.93 | $207.52 | 1.18% | 2 | |
| 2023-05-26 | 2023-05-30 | $193.17 | $201.16 | 4.51% | 2 | |
| 2023-05-24 | 2023-05-25 | $182.90 | $184.47 | -1.74% | 2 | |
| 2023-03-01 | 2023-03-08 | $202.77 | $182.00 | -8.93% | 6 | |
| 2023-02-27 | 2023-02-28 | $207.63 | $205.71 | 5.25% | 2 | |
| 2023-02-23 | 2023-02-24 | $202.07 | $196.88 | 0.40% | 2 | |
| 2023-02-21 | 2023-02-22 | $197.37 | $200.86 | -5.45% | 2 | |
| 2023-02-16 | 2023-02-17 | $202.04 | $208.31 | -5.89% | 2 | |
| 2023-02-14 | 2023-02-15 | $209.25 | $214.24 | 7.30% | 2 | |
| 2023-02-10 | 2023-02-13 | $196.89 | $194.64 | -5.23% | 2 | |
| 2023-02-08 | 2023-02-09 | $201.29 | $207.32 | 2.07% | 2 |