Strategy Zoo / S1447
PriceMomentum_V1447
ARCHIVEDhybridparameterchanged ret_20d threshold 0.184 -> 0.0359; changed ret_20d threshold 0.0359 -> -0.0348
Fitness
0.5476
Generation
66
Complexity
14
Created
2026-10-10
Lineage
Parents (1)
entry from PriceMomentum_V1342, exit from PriceMomentum_V1243
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1447 [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 ret_20d > -0.0348):
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 7.0% | 96.4% | -7.5% | 16.9% |
| Total Return | 71.3% | 657.0% | -25.3% | 897.2% |
| Sharpe | 0.37 | 1.88 | -0.05 | 0.63 |
| Sortino | 0.41 | 2.37 | -0.06 | 0.71 |
| Calmar | 0.12 | 3.10 | -0.14 | 0.30 |
| Volatility | 31.6% | 40.1% | 34.5% | 34.3% |
| Max DD | -56.9% | -31.0% | -54.9% | -56.9% |
| Win Rate | 34.6% | 32.5% | 26.9% | 32.1% |
| Avg Win | 6.3% | 28.6% | 8.1% | 11.0% |
| Avg Loss | -2.8% | -3.1% | -3.1% | -2.9% |
| Payoff | 2.26 | 9.17 | 2.61 | 3.75 |
| Expectancy | 0.4% | 7.2% | -0.1% | 1.5% |
| Profit Factor | 1.19 | 4.41 | 0.96 | 1.78 |
| Trades | 162 | 40 | 78 | 280 |
| Avg Holding Days | 8.3 | 12.6 | 7.9 | 9.0 |
| Turnover | 36.3 | 25.5 | 38.1 | 34.5 |
| Exposure | 49.9% | 50.0% | 48.3% | 49.5% |
Growth of $100
PriceMomentum_V1447 vs TSLA Buy & Hold
PriceMomentum_V1447 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 | -6.4% | -0.15 | -30.6% | 22 |
| 2017 | 28.6% | 1.03 | -19.0% | 20 |
| 2018 | -14.4% | -0.42 | -26.4% | 25 |
| 2019 | 20.5% | 0.71 | -29.1% | 18 |
| 2020 | 406.8% | 3.69 | -20.3% | 10 |
| 2021 | 46.6% | 1.18 | -20.6% | 13 |
| 2022 | -2.1% | 0.10 | -31.0% | 16 |
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 | -14.1% | -0.51 | 31% |
| hidden test | EXPENSIVE | 83 | 69.7% | 1.66 | 66% |
| hidden test | EXTREME | 48 | 65.7% | 1.66 | 43% |
| hidden test | HIGH VOLATILITY | 254 | -30.3% | -0.90 | 26% |
| hidden test | LOW VOLATILITY | 442 | 61.1% | 2.03 | 56% |
| hidden test | MEDIUM VOLATILITY | 250 | -84.0% | -2.05 | 57% |
| hidden test | NORMAL | 815 | -13.0% | -0.39 | 47% |
| hidden test | SIDEWAYS | 297 | -42.7% | -1.24 | 57% |
| hidden test | UPTREND | 371 | 40.2% | 1.04 | 54% |
| train | DOWNTREND | 518 | -35.7% | -1.60 | 34% |
| train | EXPENSIVE | 311 | 55.9% | 1.47 | 62% |
| train | EXTREME | 100 | 203.0% | 5.10 | 58% |
| train | HIGH VOLATILITY | 699 | 12.1% | 0.36 | 25% |
| train | LOW VOLATILITY | 745 | 35.0% | 1.26 | 69% |
| train | MEDIUM VOLATILITY | 568 | -19.3% | -0.57 | 55% |
| train | NORMAL | 1,601 | -8.8% | -0.30 | 47% |
| train | SIDEWAYS | 592 | -0.9% | -0.03 | 45% |
| train | UPTREND | 902 | 47.3% | 1.27 | 62% |
| validation | DOWNTREND | 125 | 40.5% | 1.77 | 15% |
| validation | EXPENSIVE | 138 | 70.2% | 1.51 | 61% |
| validation | EXTREME | 144 | 261.8% | 5.32 | 54% |
| validation | HIGH VOLATILITY | 258 | 52.9% | 1.47 | 24% |
| validation | LOW VOLATILITY | 183 | 36.5% | 1.29 | 70% |
| validation | MEDIUM VOLATILITY | 315 | 116.7% | 2.41 | 60% |
| validation | NORMAL | 474 | 20.5% | 0.60 | 46% |
| validation | SIDEWAYS | 206 | -4.6% | -0.13 | 46% |
| validation | UPTREND | 425 | 124.7% | 2.72 | 62% |
Trades (full period)
latest 100 of 281
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-05 | — | $378.73 | — | 3.17% | 5 | OPEN |
| 2026-10-01 | 2026-10-02 | $354.11 | $370.59 | -0.40% | 2 | |
| 2026-08-21 | 2026-09-30 | $362.86 | $354.81 | 2.03% | 28 | |
| 2026-07-23 | 2026-07-24 | $319.69 | $313.03 | -14.71% | 2 | |
| 2026-07-17 | 2026-07-20 | $380.84 | $369.57 | -2.81% | 2 | |
| 2026-07-15 | 2026-07-16 | $394.46 | $391.06 | -0.63% | 2 | |
| 2026-07-10 | 2026-07-14 | $407.76 | $396.18 | -1.27% | 3 | |
| 2026-07-07 | 2026-07-09 | $402.90 | $406.55 | -2.61% | 3 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-06-23 | 2026-06-24 | $381.61 | $375.53 | -5.98% | 2 | |
| 2026-06-18 | 2026-06-22 | $400.49 | $405.05 | 0.84% | 2 | |
| 2026-06-16 | 2026-06-17 | $404.66 | $396.38 | -1.78% | 2 | |
| 2026-04-27 | 2026-06-08 | $378.67 | $408.95 | 3.70% | 30 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2026-04-16 | 2026-04-17 | $388.90 | $400.62 | -0.98% | 2 | |
| 2026-03-18 | 2026-03-19 | $392.78 | $380.30 | -1.82% | 2 | |
| 2026-03-06 | 2026-03-10 | $396.73 | $399.24 | -1.89% | 3 | |
| 2026-03-02 | 2026-03-03 | $403.32 | $392.43 | 0.00% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -2.31% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.11% | 2 | |
| 2026-01-12 | 2026-01-14 | $448.96 | $439.20 | 0.29% | 3 | |
| 2026-01-08 | 2026-01-09 | $435.80 | $445.01 | 0.82% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -4.34% | 2 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -3.92% | 19 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 1.54% | 2 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.21% | 2 | |
| 2025-10-28 | 2025-11-13 | $460.55 | $401.99 | -5.01% | 13 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-08-21 | 2025-10-23 | $320.11 | $448.98 | 35.25% | 45 | |
| 2025-08-05 | 2025-08-20 | $308.72 | $323.90 | 6.27% | 12 | |
| 2025-07-28 | 2025-08-01 | $325.59 | $302.63 | -2.66% | 5 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -8.39% | 2 | |
| 2025-07-17 | 2025-07-23 | $319.41 | $332.56 | 3.04% | 5 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -2.13% | 2 | |
| 2025-07-08 | 2025-07-10 | $297.81 | $309.87 | 0.46% | 3 | |
| 2025-06-24 | 2025-06-26 | $340.47 | $325.78 | -2.59% | 3 | |
| 2025-05-05 | 2025-06-12 | $280.26 | $319.11 | -3.16% | 28 | |
| 2025-04-28 | 2025-05-02 | $285.88 | $287.21 | -0.70% | 5 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -7.04% | 8 | |
| 2025-04-08 | 2025-04-09 | $221.86 | $272.20 | -2.09% | 2 | |
| 2025-04-02 | 2025-04-07 | $282.76 | $233.29 | -4.45% | 4 | |
| 2025-03-28 | 2025-03-31 | $263.55 | $259.16 | -1.52% | 2 | |
| 2025-02-03 | 2025-02-05 | $383.68 | $378.17 | -3.26% | 3 | |
| 2025-01-24 | 2025-01-27 | $406.58 | $397.15 | -0.66% | 2 | |
| 2025-01-16 | 2025-01-17 | $413.82 | $426.50 | -1.46% | 2 | |
| 2024-11-05 | 2025-01-13 | $251.44 | $403.31 | 26.59% | 46 | |
| 2024-10-25 | 2024-11-04 | $269.19 | $242.84 | -1.88% | 7 | |
| 2024-10-17 | 2024-10-18 | $220.89 | $220.70 | -0.40% | 2 | |
| 2024-10-15 | 2024-10-16 | $219.57 | $221.33 | -0.01% | 2 | |
| 2024-09-03 | 2024-10-14 | $210.60 | $219.16 | -2.50% | 30 | |
| 2024-08-26 | 2024-08-27 | $213.21 | $209.21 | -1.40% | 2 | |
| 2024-08-22 | 2024-08-23 | $210.66 | $220.32 | -2.40% | 2 | |
| 2024-06-24 | 2024-08-02 | $182.58 | $207.67 | 26.41% | 29 | |
| 2024-06-13 | 2024-06-21 | $182.47 | $183.01 | 2.21% | 6 | |
| 2024-06-06 | 2024-06-12 | $177.94 | $177.29 | -2.67% | 5 | |
| 2024-06-04 | 2024-06-05 | $174.77 | $175.00 | -1.06% | 2 | |
| 2024-05-31 | 2024-06-03 | $178.08 | $176.29 | -0.60% | 2 | |
| 2024-05-13 | 2024-05-29 | $171.89 | $176.19 | 2.03% | 12 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -4.84% | 9 | |
| 2024-04-11 | 2024-04-16 | $174.60 | $157.11 | -6.17% | 4 | |
| 2024-04-09 | 2024-04-10 | $176.88 | $171.76 | 2.05% | 2 | |
| 2024-04-05 | 2024-04-08 | $164.90 | $172.98 | -3.83% | 2 | |
| 2024-02-26 | 2024-03-06 | $199.40 | $176.54 | -6.03% | 8 | |
| 2024-01-11 | 2024-01-12 | $227.22 | $218.89 | -3.07% | 2 | |
| 2024-01-08 | 2024-01-09 | $240.45 | $234.96 | 1.05% | 2 | |
| 2023-11-16 | 2024-01-05 | $233.59 | $237.49 | -2.22% | 34 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.44% | 2 | |
| 2023-10-05 | 2023-10-10 | $260.05 | $263.62 | -0.77% | 4 | |
| 2023-10-02 | 2023-10-04 | $251.60 | $261.16 | -1.67% | 3 | |
| 2023-09-06 | 2023-09-28 | $251.92 | $246.38 | -6.42% | 17 | |
| 2023-08-30 | 2023-09-01 | $256.90 | $245.01 | 0.15% | 3 | |
| 2023-07-31 | 2023-08-02 | $267.43 | $254.11 | -2.21% | 3 | |
| 2023-07-25 | 2023-07-28 | $265.28 | $266.44 | -5.15% | 4 | |
| 2023-05-19 | 2023-07-24 | $180.14 | $269.06 | 46.70% | 44 | |
| 2023-04-14 | 2023-04-20 | $185.00 | $162.99 | -3.05% | 5 | |
| 2023-03-31 | 2023-04-13 | $207.46 | $185.90 | -7.73% | 9 | |
| 2023-03-27 | 2023-03-28 | $191.81 | $189.19 | 0.53% | 2 | |
| 2023-03-22 | 2023-03-23 | $191.15 | $192.22 | -3.45% | 2 | |
| 2023-01-23 | 2023-03-08 | $143.75 | $182.00 | 8.93% | 32 | |
| 2022-12-09 | 2022-12-12 | $179.05 | $167.82 | 3.03% | 2 | |
| 2022-09-28 | 2022-09-30 | $287.81 | $265.25 | -5.39% | 3 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-09-12 | 2022-09-14 | $304.42 | $302.61 | -2.71% | 3 | |
| 2022-09-08 | 2022-09-09 | $289.26 | $299.68 | 1.76% | 2 | |
| 2022-07-13 | 2022-08-29 | $237.04 | $284.82 | 22.14% | 34 | |
| 2022-07-08 | 2022-07-12 | $250.76 | $233.07 | -4.36% | 3 | |
| 2022-07-06 | 2022-07-07 | $231.73 | $244.54 | -0.77% | 2 | |
| 2022-06-22 | 2022-06-29 | $236.09 | $228.49 | -0.79% | 6 | |
| 2022-06-10 | 2022-06-13 | $232.23 | $215.74 | -1.36% | 2 | |
| 2022-04-26 | 2022-04-27 | $292.14 | $293.84 | -12.37% | 2 | |
| 2022-04-22 | 2022-04-25 | $335.02 | $332.67 | -0.57% | 2 | |
| 2022-03-21 | 2022-04-21 | $307.05 | $336.26 | 7.72% | 23 | |
| 2022-02-28 | 2022-03-02 | $290.14 | $293.30 | 6.52% | 3 | |
| 2022-01-10 | 2022-01-24 | $352.71 | $310.00 | -1.25% | 10 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -4.80% | 4 | |
| 2021-12-31 | 2022-01-03 | $352.26 | $399.93 | -1.47% | 2 | |
| 2021-12-28 | 2021-12-29 | $362.82 | $362.06 | -0.70% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -6.29% | 2 | |
| 2021-07-30 | 2021-12-01 | $229.07 | $365.00 | 56.86% | 87 | |
| 2021-07-27 | 2021-07-28 | $214.93 | $215.66 | -2.15% | 2 |