Strategy Zoo / S1417
PriceMomentum_V1417
ARCHIVEDhybridstructuralreduce exposure to 32% during MEDIUM_VOLATILITY
Fitness
0.5550
Generation
65
Complexity
5
Created
2026-10-10
Lineage
Parents (1)
changed ret_20d threshold -0.1499 -> -0.1076
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1417 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
require regime.bubble in ['EXPENSIVE', 'EXTREME']
if flat and ret_20d > 0.0594:
position = 1.0
if long and ret_20d < -0.1076:
position = 0.0 # exit to cash
if regime.volatility == "MEDIUM_VOLATILITY": position *= 0.32Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 20.5% | 58.0% | 9.6% | 24.5% |
| Total Return | 343.4% | 294.1% | 41.0% | 2436.8% |
| Sharpe | 1.02 | 1.39 | 0.64 | 1.02 |
| Sortino | 0.78 | 0.99 | 0.32 | 0.64 |
| Calmar | 0.98 | 1.72 | 0.51 | 0.73 |
| Volatility | 20.2% | 38.3% | 16.4% | 24.3% |
| Max DD | -21.0% | -33.8% | -18.6% | -33.8% |
| Win Rate | 50.0% | 100.0% | 66.7% | 66.7% |
| Avg Win | 63.7% | 34.9% | 22.8% | 46.5% |
| Avg Loss | -2.6% | 0.0% | -3.9% | -2.9% |
| Payoff | 10.00 | 5.00 | 5.84 | 10.00 |
| Expectancy | 30.5% | 34.9% | 13.9% | 30.1% |
| Profit Factor | 10.00 | 5.00 | 10.00 | 10.00 |
| Trades | 10 | 5 | 3 | 18 |
| Avg Holding Days | 31.1 | 48.4 | 32.3 | 36.7 |
| Turnover | 5.4 | 7.0 | 3.0 | 5.0 |
| Exposure | 12.7% | 22.1% | 7.3% | 13.2% |
Growth of $100
PriceMomentum_V1417 vs TSLA Buy & Hold
PriceMomentum_V1417 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 | 0.0% | 0.00 | 0.0% | 0 |
| 2017 | -8.6% | -0.37 | -20.0% | 6 |
| 2018 | 0.0% | 0.00 | 0.0% | 0 |
| 2019 | 9.5% | 1.31 | -3.8% | 0 |
| 2020 | 297.7% | 2.45 | -33.8% | 4 |
| 2021 | -2.5% | -0.26 | -8.5% | 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 | 0.0% | 0.00 | 0% |
| hidden test | EXPENSIVE | 83 | 10.8% | 0.33 | 41% |
| hidden test | EXTREME | 48 | 210.0% | 3.67 | 70% |
| hidden test | HIGH VOLATILITY | 254 | 33.2% | 1.26 | 15% |
| hidden test | LOW VOLATILITY | 442 | 15.5% | 1.91 | 3% |
| hidden test | MEDIUM VOLATILITY | 250 | -21.4% | -1.54 | 6% |
| hidden test | NORMAL | 815 | -1.3% | -0.67 | 0% |
| hidden test | SIDEWAYS | 297 | 0.0% | 0.00 | 0% |
| hidden test | UPTREND | 371 | 26.7% | 1.02 | 19% |
| train | DOWNTREND | 518 | 0.0% | 0.00 | 0% |
| train | EXPENSIVE | 311 | 17.0% | 0.59 | 52% |
| train | EXTREME | 100 | 383.6% | 5.40 | 87% |
| train | HIGH VOLATILITY | 699 | 50.9% | 1.69 | 20% |
| train | LOW VOLATILITY | 745 | 11.8% | 1.11 | 10% |
| train | MEDIUM VOLATILITY | 568 | -5.1% | -0.38 | 7% |
| train | NORMAL | 1,601 | -1.4% | -0.87 | 0% |
| train | SIDEWAYS | 592 | 0.4% | 0.63 | 0% |
| train | UPTREND | 902 | 45.7% | 1.52 | 28% |
| validation | DOWNTREND | 125 | 0.0% | 0.00 | 0% |
| validation | EXPENSIVE | 138 | 30.6% | 0.67 | 44% |
| validation | EXTREME | 144 | 251.8% | 3.38 | 73% |
| validation | HIGH VOLATILITY | 258 | 107.5% | 1.77 | 38% |
| validation | LOW VOLATILITY | 183 | 11.1% | 0.56 | 17% |
| validation | MEDIUM VOLATILITY | 315 | 32.9% | 2.07 | 12% |
| validation | NORMAL | 474 | -0.8% | -0.78 | 0% |
| validation | SIDEWAYS | 206 | 3.1% | 0.65 | 1% |
| validation | UPTREND | 425 | 92.9% | 1.83 | 39% |
Trades (full period)
18 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2025-09-15 | 2025-11-13 | $410.04 | $401.99 | 2.40% | 44 | |
| 2025-05-28 | 2025-06-02 | $356.90 | $342.69 | -3.91% | 4 | |
| 2024-11-07 | 2025-01-21 | $296.91 | $424.07 | 43.30% | 49 | |
| 2020-11-19 | 2021-02-19 | $166.42 | $260.43 | 11.50% | 62 | |
| 2020-10-07 | 2020-11-13 | $141.77 | $136.17 | 1.34% | 28 | |
| 2020-05-15 | 2020-09-30 | $53.28 | $143.00 | 87.06% | 96 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 22.74% | 13 | |
| 2019-12-17 | 2020-03-05 | $25.27 | $48.30 | 71.31% | 54 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -5.99% | 7 | |
| 2017-08-04 | 2017-08-24 | $23.79 | $23.53 | -1.25% | 15 | |
| 2017-04-07 | 2017-07-07 | $20.17 | $20.88 | -3.54% | 63 | |
| 2017-03-28 | 2017-04-06 | $18.50 | $19.91 | 3.58% | 8 | |
| 2017-02-03 | 2017-02-28 | $16.76 | $16.67 | 0.33% | 17 | |
| 2017-01-25 | 2017-01-31 | $16.96 | $16.80 | -1.76% | 5 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 6.22% | 43 | |
| 2013-04-11 | 2013-10-24 | $2.91 | $11.54 | 304.87% | 138 | |
| 2013-02-14 | 2013-02-15 | $2.55 | $2.47 | -0.67% | 2 | |
| 2013-01-25 | 2013-02-12 | $2.47 | $2.53 | 3.66% | 13 |