Strategy Zoo / S1442
PriceMomentum_V1442
ARCHIVEDhybridstructuraladded entry filter: vol_chg < 1.2824; swapped indicator ret_20d -> cumret_252d
Fitness
0.7371
Generation
66
Complexity
16
Created
2026-10-10
Lineage
Parents (1)
changed cumret_252d threshold -0.1997 -> -0.0062
Children (3)
Strategy Logic (pseudocode)
# PriceMomentum_V1442 [hybrid]
if flat and (((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 > -0.0062)) or cumret_252d > 1.2892) and vol_chg < 1.2824):
position = 1.0
if long and ret_20d < -0.006:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 10.8% | 115.4% | -2.6% | 23.0% |
| Total Return | 126.0% | 899.2% | -9.3% | 2008.7% |
| Sharpe | 0.53 | 2.06 | 0.02 | 0.85 |
| Sortino | 0.48 | 2.86 | 0.02 | 0.84 |
| Calmar | 0.23 | 5.25 | -0.09 | 0.49 |
| Volatility | 25.8% | 41.4% | 24.7% | 29.5% |
| Max DD | -46.5% | -22.0% | -28.3% | -46.5% |
| Win Rate | 42.9% | 46.4% | 23.5% | 41.9% |
| Avg Win | 9.1% | 15.5% | 13.2% | 12.9% |
| Avg Loss | -4.1% | -3.0% | -4.3% | -3.7% |
| Payoff | 2.21 | 5.09 | 3.10 | 3.46 |
| Expectancy | 1.6% | 5.6% | -0.2% | 3.3% |
| Profit Factor | 1.66 | 4.42 | 0.95 | 2.50 |
| Trades | 63 | 56 | 17 | 136 |
| Avg Holding Days | 13.5 | 9.4 | 18.2 | 12.7 |
| Turnover | 15.3 | 33.4 | 8.1 | 17.1 |
| Exposure | 33.8% | 50.7% | 26.4% | 35.4% |
Growth of $100
PriceMomentum_V1442 vs TSLA Buy & Hold
PriceMomentum_V1442 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 | 13.3% | 1.03 | -9.3% | 1 |
| 2017 | -3.6% | -0.03 | -29.0% | 7 |
| 2018 | -19.2% | -1.35 | -23.3% | 6 |
| 2019 | 18.5% | 1.40 | -7.9% | 0 |
| 2020 | 317.7% | 3.20 | -22.0% | 17 |
| 2021 | 93.8% | 1.67 | -21.4% | 35 |
| 2022 | 18.6% | 0.78 | -15.2% | 4 |
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 | -18.5% | -1.20 | 16% |
| hidden test | EXPENSIVE | 83 | 50.1% | 1.28 | 57% |
| hidden test | EXTREME | 48 | 92.9% | 2.52 | 37% |
| hidden test | HIGH VOLATILITY | 254 | -5.4% | -0.26 | 12% |
| hidden test | LOW VOLATILITY | 442 | 39.0% | 1.67 | 33% |
| hidden test | MEDIUM VOLATILITY | 250 | -61.7% | -2.06 | 29% |
| hidden test | NORMAL | 815 | -10.0% | -0.46 | 23% |
| hidden test | SIDEWAYS | 297 | 3.1% | 0.14 | 26% |
| hidden test | UPTREND | 371 | 12.6% | 0.41 | 35% |
| train | DOWNTREND | 518 | -3.8% | -0.41 | 7% |
| train | EXPENSIVE | 311 | 31.7% | 0.81 | 60% |
| train | EXTREME | 100 | 203.0% | 5.10 | 58% |
| train | HIGH VOLATILITY | 699 | 13.2% | 0.52 | 15% |
| train | LOW VOLATILITY | 745 | 34.7% | 1.48 | 48% |
| train | MEDIUM VOLATILITY | 568 | -13.8% | -0.48 | 38% |
| train | NORMAL | 1,601 | -1.8% | -0.09 | 27% |
| train | SIDEWAYS | 592 | 2.5% | 0.13 | 25% |
| train | UPTREND | 902 | 30.7% | 0.89 | 55% |
| validation | DOWNTREND | 125 | 53.9% | 2.60 | 12% |
| validation | EXPENSIVE | 138 | 66.3% | 1.37 | 68% |
| validation | EXTREME | 144 | 240.4% | 4.84 | 53% |
| validation | HIGH VOLATILITY | 258 | 74.0% | 1.84 | 25% |
| validation | LOW VOLATILITY | 183 | 53.9% | 1.76 | 73% |
| validation | MEDIUM VOLATILITY | 315 | 112.6% | 2.38 | 59% |
| validation | NORMAL | 474 | 43.6% | 1.22 | 45% |
| validation | SIDEWAYS | 206 | 22.2% | 0.72 | 47% |
| validation | UPTREND | 425 | 125.0% | 2.53 | 64% |
Trades (full period)
latest 100 of 136
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -2.96% | 27 | |
| 2026-05-05 | 2026-06-08 | $389.37 | $408.95 | -0.58% | 24 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 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 | |
| 2025-08-25 | 2025-10-23 | $346.60 | $448.98 | 28.85% | 43 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.30% | 8 | |
| 2025-05-06 | 2025-06-12 | $275.35 | $319.11 | -2.19% | 27 | |
| 2025-04-30 | 2025-05-02 | $282.16 | $287.21 | -1.70% | 3 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -7.04% | 8 | |
| 2024-11-08 | 2025-01-13 | $321.22 | $403.31 | 16.28% | 43 | |
| 2024-09-25 | 2024-10-14 | $257.02 | $219.16 | -14.51% | 14 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.16% | 10 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -4.84% | 9 | |
| 2023-11-17 | 2024-01-08 | $234.30 | $240.45 | 1.47% | 34 | |
| 2023-06-12 | 2023-07-24 | $249.83 | $269.06 | 6.18% | 29 | |
| 2022-07-14 | 2022-08-29 | $238.31 | $284.82 | 21.29% | 33 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -0.45% | 4 | |
| 2022-03-22 | 2022-04-21 | $331.33 | $336.26 | 5.88% | 22 | |
| 2022-01-04 | 2022-01-24 | $383.20 | $310.00 | -7.28% | 14 | |
| 2021-08-02 | 2021-12-01 | $236.56 | $365.00 | 54.62% | 86 | |
| 2021-07-27 | 2021-07-28 | $214.93 | $215.66 | -2.15% | 2 | |
| 2021-06-10 | 2021-07-23 | $203.37 | $214.46 | 8.22% | 31 | |
| 2021-06-08 | 2021-06-09 | $201.20 | $199.59 | -0.45% | 2 | |
| 2021-06-04 | 2021-06-07 | $199.68 | $201.71 | 4.37% | 2 | |
| 2021-06-02 | 2021-06-03 | $201.71 | $190.95 | -3.21% | 2 | |
| 2021-05-28 | 2021-06-01 | $208.41 | $207.97 | -1.09% | 2 | |
| 2021-05-26 | 2021-05-27 | $206.38 | $210.28 | 2.19% | 2 | |
| 2021-05-24 | 2021-05-25 | $202.15 | $201.56 | 4.20% | 2 | |
| 2021-05-20 | 2021-05-21 | $195.59 | $193.63 | 3.93% | 2 | |
| 2021-05-18 | 2021-05-19 | $192.62 | $187.82 | -0.02% | 2 | |
| 2021-05-14 | 2021-05-17 | $196.58 | $192.28 | 2.95% | 2 | |
| 2021-05-12 | 2021-05-13 | $196.63 | $190.56 | -4.62% | 2 | |
| 2021-05-10 | 2021-05-11 | $209.68 | $205.73 | -6.64% | 2 | |
| 2021-05-05 | 2021-05-07 | $223.65 | $224.12 | -1.69% | 3 | |
| 2021-04-13 | 2021-05-04 | $254.11 | $224.53 | -2.62% | 16 | |
| 2021-03-31 | 2021-04-12 | $222.64 | $233.99 | 3.03% | 8 | |
| 2021-03-29 | 2021-03-30 | $203.76 | $211.87 | -0.57% | 2 | |
| 2021-03-25 | 2021-03-26 | $213.46 | $206.24 | 0.58% | 2 | |
| 2021-03-23 | 2021-03-24 | $220.72 | $210.09 | -0.56% | 2 | |
| 2021-03-19 | 2021-03-22 | $218.29 | $223.33 | 0.03% | 2 | |
| 2021-03-17 | 2021-03-18 | $233.94 | $217.72 | 1.43% | 2 | |
| 2021-03-15 | 2021-03-16 | $235.98 | $225.63 | 0.76% | 2 | |
| 2021-03-11 | 2021-03-12 | $233.20 | $231.24 | 1.85% | 2 | |
| 2021-03-09 | 2021-03-10 | $224.53 | $222.69 | 19.42% | 2 | |
| 2021-03-05 | 2021-03-08 | $199.32 | $187.67 | -3.98% | 2 | |
| 2021-03-03 | 2021-03-04 | $217.73 | $207.15 | -5.04% | 2 | |
| 2021-03-01 | 2021-03-02 | $239.48 | $228.81 | 6.15% | 2 | |
| 2021-02-25 | 2021-02-26 | $227.41 | $225.17 | -8.25% | 2 | |
| 2021-02-23 | 2021-02-24 | $232.95 | $247.34 | -2.39% | 2 | |
| 2021-02-19 | 2021-02-22 | $260.43 | $238.17 | -0.97% | 2 | |
| 2021-02-17 | 2021-02-18 | $266.05 | $262.46 | 0.04% | 2 | |
| 2021-02-12 | 2021-02-16 | $272.04 | $265.41 | 0.35% | 2 | |
| 2021-02-10 | 2021-02-11 | $268.27 | $270.55 | -5.45% | 2 | |
| 2020-11-18 | 2021-02-09 | $162.21 | $283.15 | 95.14% | 56 | |
| 2020-11-16 | 2020-11-17 | $136.03 | $147.20 | -0.30% | 2 | |
| 2020-11-12 | 2020-11-13 | $137.25 | $136.17 | -1.49% | 2 | |
| 2020-11-10 | 2020-11-11 | $136.79 | $139.04 | -2.78% | 2 | |
| 2020-11-06 | 2020-11-09 | $143.32 | $140.42 | -2.06% | 2 | |
| 2020-11-03 | 2020-11-05 | $141.30 | $146.03 | 4.91% | 3 | |
| 2020-10-30 | 2020-11-02 | $129.35 | $133.50 | -5.74% | 2 | |
| 2020-10-21 | 2020-10-29 | $140.88 | $136.94 | -3.97% | 7 | |
| 2020-10-15 | 2020-10-20 | $149.63 | $140.65 | -6.79% | 4 | |
| 2020-10-01 | 2020-10-14 | $149.39 | $153.77 | 2.18% | 10 | |
| 2020-09-29 | 2020-09-30 | $139.69 | $143.00 | -0.29% | 2 | |
| 2020-09-25 | 2020-09-28 | $135.78 | $140.40 | 1.98% | 2 | |
| 2020-08-17 | 2020-09-24 | $122.38 | $129.26 | 19.52% | 28 | |
| 2020-08-11 | 2020-08-12 | $91.63 | $103.65 | -3.31% | 2 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 77.03% | 83 | |
| 2020-03-09 | 2020-03-10 | $40.53 | $43.02 | -5.64% | 2 | |
| 2020-03-05 | 2020-03-06 | $48.30 | $46.90 | -1.45% | 2 | |
| 2019-11-13 | 2020-03-04 | $23.07 | $49.97 | 96.13% | 76 | |
| 2018-10-31 | 2018-12-19 | $22.49 | $22.20 | 2.82% | 34 | |
| 2018-08-13 | 2018-08-20 | $23.76 | $20.56 | -5.99% | 6 | |
| 2018-06-19 | 2018-07-06 | $23.50 | $20.59 | -7.10% | 13 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -6.28% | 5 | |
| 2018-01-22 | 2018-02-07 | $23.44 | $23.00 | -4.78% | 13 | |
| 2018-01-10 | 2018-01-12 | $22.32 | $22.41 | 0.88% | 3 | |
| 2017-12-12 | 2017-12-28 | $22.74 | $21.02 | -5.44% | 12 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -9.35% | 7 | |
| 2017-08-25 | 2017-09-06 | $23.20 | $22.97 | -1.15% | 8 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -1.69% | 13 | |
| 2017-06-02 | 2017-07-06 | $22.66 | $20.59 | -4.01% | 24 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 11.30% | 41 | |
| 2017-01-05 | 2017-02-28 | $15.12 | $16.67 | 8.26% | 37 | |
| 2016-03-07 | 2016-05-03 | $13.69 | $15.49 | 13.29% | 41 | |
| 2015-12-02 | 2015-12-29 | $15.47 | $15.81 | -2.57% | 19 | |
| 2015-09-22 | 2015-09-30 | $17.40 | $16.56 | -6.83% | 7 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-04-14 | 2015-07-27 | $13.83 | $16.87 | 26.26% | 73 | |
| 2014-11-11 | 2014-12-02 | $16.74 | $15.43 | -4.44% | 15 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-09 | 2014-07-16 | $13.69 | $14.48 | 5.27% | 27 | |
| 2014-05-23 | 2014-06-03 | $13.82 | $13.66 | -0.29% | 7 | |
| 2014-05-15 | 2014-05-16 | $12.57 | $12.77 | -1.26% | 2 | |
| 2014-05-12 | 2014-05-13 | $12.31 | $12.68 | 1.12% | 2 | |
| 2014-05-05 | 2014-05-08 | $14.44 | $11.91 | -4.72% | 4 | |
| 2014-05-01 | 2014-05-02 | $13.85 | $14.06 | -0.28% | 2 | |
| 2014-04-29 | 2014-04-30 | $13.79 | $13.86 | 4.03% | 2 |