Strategy Zoo / S1413
PriceMomentum_V1413
ARCHIVEDhybridstructuralrestricted to bubble regimes ['EXTREME', 'NORMAL']
Fitness
0.3744
Generation
65
Complexity
4
Created
2026-10-10
Lineage
Parents (1)
changed ret_20d threshold -0.1499 -> -0.1076
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1413 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXTREME', 'NORMAL']
if flat and ret_20d > 0.0594:
position = 1.0
if long and ret_20d < -0.1076:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 14.6% | 22.9% | 9.4% | 14.8% |
| Total Return | 196.1% | 85.7% | 40.0% | 669.4% |
| Sharpe | 0.64 | 0.69 | 0.45 | 0.59 |
| Sortino | 0.56 | 0.57 | 0.34 | 0.48 |
| Calmar | 0.34 | 0.40 | 0.18 | 0.26 |
| Volatility | 26.8% | 44.3% | 30.9% | 32.1% |
| Max DD | -43.1% | -57.6% | -50.8% | -57.6% |
| Win Rate | 53.5% | 44.4% | 60.0% | 53.5% |
| Avg Win | 12.2% | 23.1% | 9.4% | 13.2% |
| Avg Loss | -5.8% | -9.1% | -8.8% | -7.4% |
| Payoff | 2.09 | 2.54 | 1.06 | 1.78 |
| Expectancy | 3.8% | 5.2% | 2.1% | 3.6% |
| Profit Factor | 2.41 | 2.03 | 1.59 | 2.05 |
| Trades | 43 | 18 | 25 | 86 |
| Avg Holding Days | 16.1 | 15.6 | 12.2 | 14.8 |
| Turnover | 10.8 | 12.0 | 13.3 | 11.7 |
| Exposure | 32.2% | 34.8% | 29.6% | 32.1% |
Growth of $100
PriceMomentum_V1413 vs TSLA Buy & Hold
PriceMomentum_V1413 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 | 13.8% | 0.92 | -21.2% | 6 |
| 2017 | 8.5% | 0.98 | -6.0% | 4 |
| 2018 | -34.2% | -1.32 | -41.5% | 7 |
| 2019 | 51.4% | 2.24 | -8.5% | 4 |
| 2020 | 133.1% | 1.63 | -43.7% | 8 |
| 2021 | 26.0% | 0.93 | -17.6% | 3 |
| 2022 | -37.1% | -1.53 | -40.2% | 7 |
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 | 14.8% | 0.46 | 39% |
| hidden test | EXPENSIVE | 83 | 10.6% | 0.48 | 7% |
| hidden test | EXTREME | 48 | 66.0% | 1.27 | 67% |
| hidden test | HIGH VOLATILITY | 254 | -16.5% | -0.39 | 39% |
| hidden test | LOW VOLATILITY | 442 | 29.1% | 1.27 | 28% |
| hidden test | MEDIUM VOLATILITY | 250 | 17.3% | 0.60 | 24% |
| hidden test | NORMAL | 815 | 11.0% | 0.37 | 30% |
| hidden test | SIDEWAYS | 297 | -2.5% | -0.16 | 4% |
| hidden test | UPTREND | 371 | 26.0% | 0.68 | 43% |
| train | DOWNTREND | 518 | 17.1% | 0.95 | 25% |
| train | EXPENSIVE | 311 | -8.7% | -0.53 | 5% |
| train | EXTREME | 100 | 299.6% | 4.35 | 90% |
| train | HIGH VOLATILITY | 699 | 26.1% | 0.76 | 24% |
| train | LOW VOLATILITY | 745 | 24.0% | 1.15 | 43% |
| train | MEDIUM VOLATILITY | 568 | -3.0% | -0.13 | 29% |
| train | NORMAL | 1,601 | 4.5% | 0.19 | 34% |
| train | SIDEWAYS | 592 | -7.7% | -0.63 | 4% |
| train | UPTREND | 902 | 33.4% | 0.92 | 55% |
| validation | DOWNTREND | 125 | 38.9% | 1.75 | 16% |
| validation | EXPENSIVE | 138 | -100.6% | -2.88 | 5% |
| validation | EXTREME | 144 | 268.2% | 3.44 | 82% |
| validation | HIGH VOLATILITY | 258 | 61.9% | 0.97 | 45% |
| validation | LOW VOLATILITY | 183 | 24.6% | 1.29 | 36% |
| validation | MEDIUM VOLATILITY | 315 | 8.1% | 0.24 | 26% |
| validation | NORMAL | 474 | -3.6% | -0.12 | 29% |
| validation | SIDEWAYS | 206 | -29.3% | -1.70 | 4% |
| validation | UPTREND | 425 | 56.9% | 1.01 | 55% |
Trades (full period)
86 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-21 | 2026-10-07 | $362.86 | $377.81 | 10.09% | 33 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-04-21 | 2026-05-08 | $386.42 | $428.35 | 4.70% | 14 | |
| 2025-12-15 | 2026-01-13 | $475.31 | $447.20 | -2.37% | 20 | |
| 2025-09-12 | 2025-09-15 | $395.94 | $410.04 | 7.15% | 2 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-08-07 | 2025-08-11 | $322.27 | $339.03 | 2.84% | 3 | |
| 2025-07-31 | 2025-08-01 | $308.27 | $302.63 | -3.57% | 2 | |
| 2025-06-02 | 2025-06-06 | $342.69 | $295.14 | -17.99% | 5 | |
| 2025-05-22 | 2025-05-28 | $341.04 | $356.90 | 8.23% | 4 | |
| 2025-04-29 | 2025-05-12 | $292.03 | $318.38 | 4.12% | 10 | |
| 2025-04-10 | 2025-04-23 | $252.40 | $250.74 | -12.76% | 9 | |
| 2025-01-06 | 2025-01-21 | $411.05 | $424.07 | 3.71% | 10 | |
| 2024-12-03 | 2025-01-03 | $351.42 | $410.44 | 6.00% | 22 | |
| 2024-11-25 | 2024-11-26 | $338.59 | $338.23 | -4.16% | 2 | |
| 2024-11-19 | 2024-11-22 | $346.00 | $352.56 | 0.07% | 4 | |
| 2024-11-12 | 2024-11-14 | $328.49 | $311.18 | -5.84% | 3 | |
| 2024-10-03 | 2024-10-22 | $240.66 | $217.97 | -12.29% | 14 | |
| 2024-09-05 | 2024-09-27 | $230.17 | $260.46 | 15.64% | 17 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 3.14% | 23 | |
| 2024-04-30 | 2024-05-29 | $183.28 | $176.19 | -9.10% | 21 | |
| 2024-02-27 | 2024-03-15 | $199.73 | $163.57 | -18.67% | 14 | |
| 2023-06-02 | 2023-08-10 | $213.97 | $245.34 | 16.48% | 48 | |
| 2023-05-19 | 2023-05-31 | $180.14 | $203.93 | 13.50% | 8 | |
| 2023-01-25 | 2023-02-10 | $144.43 | $196.89 | 43.79% | 13 | |
| 2022-09-21 | 2022-09-23 | $300.80 | $275.33 | -6.71% | 3 | |
| 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 | |
| 2022-07-14 | 2022-08-02 | $238.31 | $300.59 | 25.16% | 14 | |
| 2022-06-22 | 2022-07-05 | $236.09 | $233.07 | -4.32% | 9 | |
| 2022-04-05 | 2022-04-27 | $363.75 | $293.84 | -23.64% | 16 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -17.18% | 12 | |
| 2021-08-24 | 2021-12-06 | $236.16 | $336.34 | 43.42% | 73 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2021-01-11 | 2021-01-12 | $270.40 | $283.15 | -8.01% | 2 | |
| 2020-12-08 | 2020-12-10 | $216.63 | $209.02 | -6.00% | 3 | |
| 2020-09-15 | 2020-09-24 | $149.92 | $129.26 | -9.53% | 8 | |
| 2020-08-14 | 2020-09-09 | $110.05 | $122.09 | 1.65% | 18 | |
| 2020-06-30 | 2020-08-11 | $71.99 | $91.63 | 40.27% | 30 | |
| 2020-06-01 | 2020-06-25 | $59.87 | $65.73 | 14.85% | 19 | |
| 2020-05-15 | 2020-05-29 | $53.28 | $55.67 | 0.11% | 10 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2020-01-22 | 2020-03-05 | $37.97 | $48.30 | 36.70% | 31 | |
| 2019-10-25 | 2019-12-17 | $21.88 | $25.27 | 27.06% | 37 | |
| 2019-10-21 | 2019-10-22 | $16.90 | $17.04 | -1.54% | 2 | |
| 2019-09-27 | 2019-10-15 | $16.14 | $17.19 | 5.72% | 13 | |
| 2019-06-18 | 2019-07-22 | $14.98 | $17.05 | 14.50% | 24 | |
| 2018-12-07 | 2018-12-26 | $23.86 | $21.74 | -18.80% | 13 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-08-22 | 2018-08-28 | $21.44 | $20.79 | -1.02% | 5 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-04-27 | 2018-06-12 | $19.61 | $22.85 | 16.10% | 32 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-06-14 | 2017-06-30 | $25.38 | $24.11 | -4.23% | 13 | |
| 2017-04-06 | 2017-04-07 | $19.91 | $20.17 | 1.05% | 2 | |
| 2017-01-31 | 2017-02-03 | $16.80 | $16.76 | 0.17% | 4 | |
| 2017-01-05 | 2017-01-25 | $15.12 | $16.96 | 11.94% | 14 | |
| 2016-12-14 | 2016-12-28 | $13.25 | $14.65 | 10.57% | 10 | |
| 2016-07-26 | 2016-08-30 | $15.30 | $14.09 | -6.63% | 26 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-05-05 | $17.03 | $14.10 | -10.07% | 23 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 2.12% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 18.67% | 12 | |
| 2015-12-03 | 2015-12-29 | $15.51 | $15.81 | -1.51% | 18 | |
| 2015-11-27 | 2015-12-02 | $15.44 | $15.47 | 3.08% | 4 | |
| 2015-05-11 | 2015-08-17 | $15.97 | $17.00 | 2.56% | 69 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-23 | 2015-04-28 | $14.57 | $15.37 | 5.31% | 4 | |
| 2015-04-08 | 2015-04-14 | $13.84 | $13.83 | 3.01% | 5 | |
| 2015-02-11 | 2015-03-09 | $14.19 | $12.73 | -10.54% | 18 | |
| 2014-06-23 | 2014-10-01 | $15.81 | $16.02 | 5.49% | 71 | |
| 2013-08-23 | 2013-09-09 | $10.79 | $10.71 | 6.07% | 11 | |
| 2013-08-09 | 2013-08-15 | $10.20 | $9.31 | -9.38% | 5 | |
| 2013-07-22 | 2013-08-08 | $8.16 | $10.23 | 11.94% | 14 | |
| 2013-07-18 | 2013-07-19 | $7.94 | $7.98 | -1.21% | 2 | |
| 2013-07-01 | 2013-07-17 | $7.81 | $8.02 | 1.38% | 12 | |
| 2013-04-19 | 2013-06-25 | $3.19 | $6.83 | 115.65% | 47 | |
| 2013-02-15 | 2013-04-11 | $2.47 | $2.91 | 9.16% | 38 | |
| 2013-02-12 | 2013-02-14 | $2.53 | $2.55 | -0.12% | 3 | |
| 2012-12-18 | 2013-01-24 | $2.31 | $2.47 | 4.44% | 25 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-10-09 | 2012-10-15 | $1.89 | $1.82 | -5.70% | 5 | |
| 2012-08-30 | 2012-09-12 | $1.89 | $1.89 | -2.34% | 9 | |
| 2012-02-23 | 2012-04-25 | $2.30 | $2.19 | -7.20% | 44 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |