Strategy Zoo / S1452

PriceMomentum_V1452

ARCHIVEDhybrid

crossoverentry from PriceMomentum_V1420, exit from LongTermTrend_V1443

Fitness
0.6959
Generation
67
Complexity
32
Created
2026-10-10

Lineage

Parents (2)
PriceMomentum_V1420S1420 · gen 65ELITEcrossover

changed cumret_252d threshold -0.1997 -> 0.0957

LongTermTrend_V1443S1443 · gen 66ELITEcrossover

changed sma_200_slope threshold -0.0024 -> -0.0041

Children (0)
None

Strategy Logic (pseudocode)

# PriceMomentum_V1452  [hybrid]
if flat and (((ret_20d > 0.184 and breakout_20 == 1) or (((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.085) and cumret_252d > 1.1509 and cumret_252d > 0.0957 and dist_sma_50 > -0.0774) or ((macd_hist > 0.0 and close > sma_50) or ((breakout_50 == 1 and rel_volume > 1.5045) or ((macd_hist > 0.0 and close > sma_50) and sma_50 > sma_200)))) and sma_20 < close)) and close > ema_20):
    position = 1.0
if long and ret_20d < -0.0017:
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR21.6%122.2%13.0%35.2%
Total Return376.4%997.3%58.2%8414.0%
Sharpe0.741.810.510.96
Sortino0.782.050.541.03
Calmar0.373.620.370.60
Volatility34.4%51.3%37.5%39.2%
Max DD-58.2%-33.7%-35.2%-58.2%
Win Rate33.3%36.0%28.9%32.6%
Avg Win18.0%46.4%17.2%26.8%
Avg Loss-4.4%-4.1%-4.2%-4.3%
Payoff4.0910.004.166.28
Expectancy3.1%14.1%2.0%5.9%
Profit Factor2.056.371.693.03
Trades692538132
Avg Holding Days14.618.012.315.0
Turnover17.416.720.518.0
Exposure49.3%56.1%45.8%49.8%

Growth of $100

PriceMomentum_V1452 vs TSLA Buy & Hold
PriceMomentum_V1452 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
YearCAGRSharpeMax DDTrades
201625.5%1.33-15.9%3
20172.3%0.22-27.9%13
2018-27.3%-0.99-35.4%11
201948.7%1.27-21.1%6
2020599.9%3.01-33.7%8
202182.1%1.77-17.6%10
2022-17.5%-0.51-24.6%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

PeriodRegimeDaysAnn. ReturnSharpeExposure
hidden testDOWNTREND2787.1%0.3024%
hidden testEXPENSIVE8397.2%1.8673%
hidden testEXTREME48183.9%3.2767%
hidden testHIGH VOLATILITY25421.8%0.4349%
hidden testLOW VOLATILITY44262.5%2.3742%
hidden testMEDIUM VOLATILITY250-59.8%-1.5448%
hidden testNORMAL8151.6%0.0542%
hidden testSIDEWAYS297-19.6%-0.5451%
hidden testUPTREND37159.4%1.2958%
trainDOWNTREND518-8.0%-0.4321%
trainEXPENSIVE31148.6%1.1675%
trainEXTREME100407.4%5.5199%
trainHIGH VOLATILITY69948.9%1.1042%
trainLOW VOLATILITY74536.6%1.5058%
trainMEDIUM VOLATILITY568-18.3%-0.5846%
trainNORMAL1,601-3.0%-0.1141%
trainSIDEWAYS5924.3%0.1642%
trainUPTREND90258.4%1.3370%
validationDOWNTREND12530.6%1.418%
validationEXPENSIVE13869.5%1.2262%
validationEXTREME144362.5%4.3594%
validationHIGH VOLATILITY25886.9%1.2751%
validationLOW VOLATILITY18343.2%1.6264%
validationMEDIUM VOLATILITY315127.1%2.7856%
validationNORMAL47418.0%0.5643%
validationSIDEWAYS2062.9%0.0945%
validationUPTREND425155.1%2.4676%

Trades (full period)

latest 100 of 133
EntryExitEntry PxExit PxReturnDays
2026-10-07—$377.81—0.43%3OPEN
2026-09-012026-09-30$356.09$354.81-4.30%21
2026-07-072026-07-09$402.90$406.55-6.32%3
2026-07-012026-07-06$425.30$419.77-6.64%3
2026-05-042026-06-08$392.51$408.95-0.15%25
2026-04-202026-04-24$392.50$376.30-6.90%5
2026-04-162026-04-17$388.90$400.62-0.98%2
2025-12-082026-01-05$439.58$451.67-3.92%19
2025-12-042025-12-05$454.53$455.001.54%2
2025-11-042025-11-13$444.26$401.99-8.25%8
2025-08-252025-10-23$346.60$448.9828.85%43
2025-08-082025-08-20$329.65$323.901.98%9
2025-07-292025-08-01$321.20$302.63-5.51%4
2025-07-242025-07-25$305.30$316.06-8.39%2
2025-07-212025-07-23$328.49$332.560.54%3
2025-06-252025-06-26$327.55$325.78-3.99%2
2025-05-052025-06-12$280.26$319.1113.43%28
2025-04-282025-05-02$285.88$287.21-1.75%5
2024-11-052025-01-13$251.44$403.3162.23%46
2024-10-252024-11-04$269.19$242.84-4.60%7
2024-09-062024-10-14$210.73$219.16-5.57%27
2024-08-262024-08-27$213.21$209.21-3.42%2
2024-08-222024-08-23$210.66$220.32-5.84%2
2024-08-202024-08-21$221.10$223.27-0.93%2
2024-06-242024-08-02$182.58$207.6718.26%29
2024-06-172024-06-21$187.44$183.011.80%4
2024-05-152024-05-29$173.99$176.19-0.65%10
2024-04-302024-05-10$183.28$168.47-11.56%9
2023-11-162024-01-05$233.59$237.49-2.22%34
2023-10-132023-10-16$251.12$253.92-3.19%2
2023-10-112023-10-12$262.99$258.87-0.44%2
2023-10-062023-10-10$260.53$263.62-0.35%3
2023-09-062023-09-28$251.92$246.38-6.42%17
2023-08-302023-09-01$256.90$245.010.15%3
2023-05-222023-07-24$188.87$269.0644.06%43
2023-03-302023-04-13$195.28$185.90-7.07%10
2023-03-282023-03-29$189.19$193.88-1.56%2
2023-03-242023-03-27$190.41$191.81-1.14%2
2023-01-272023-03-08$177.90$182.0016.90%28
2022-09-152022-09-23$303.75$275.33-4.82%7
2022-09-132022-09-14$292.13$302.61-4.23%2
2022-07-192022-08-29$245.53$284.8219.53%30
2022-07-112022-07-12$234.34$233.07-6.74%2
2022-03-212022-04-21$307.05$336.267.72%23
2022-01-132022-01-24$343.85$310.00-14.85%7
2022-01-042022-01-07$383.20$342.32-11.44%4
2021-12-302021-12-31$356.78$352.26-1.66%2
2021-12-282021-12-29$362.82$362.06-0.70%2
2021-07-302021-12-01$229.07$365.0068.67%87
2021-06-152021-07-23$199.79$214.464.90%28
2021-06-022021-06-03$201.71$190.95-3.21%2
2021-05-282021-06-01$208.41$207.97-1.09%2
2021-04-132021-05-04$254.11$224.53-2.62%16
2021-04-092021-04-12$225.67$233.99-1.19%2
2021-04-062021-04-08$230.54$227.93-3.10%3
2020-11-182021-02-09$162.21$283.1595.14%56
2020-11-062020-11-09$143.32$140.42-2.06%2
2020-10-202020-10-21$140.65$140.88-2.26%2
2020-10-152020-10-19$149.63$143.61-4.88%3
2020-10-012020-10-14$149.39$153.773.91%10
2020-09-292020-09-30$139.69$143.00-0.71%2
2020-08-132020-09-24$108.07$129.2622.08%30
2020-04-142020-08-10$47.33$94.57122.74%83
2019-10-112020-03-04$16.53$49.97204.01%99
2019-09-112019-10-10$16.47$16.323.61%22
2019-07-012019-08-02$15.14$15.624.44%24
2019-03-012019-03-04$19.65$19.02-8.04%2
2019-01-182019-01-22$20.15$19.93-13.16%2
2019-01-162019-01-17$23.07$23.150.27%2
2019-01-112019-01-14$23.15$22.290.46%2
2018-10-262018-12-19$22.06$22.206.83%37
2018-10-242018-10-25$19.23$20.99-2.12%2
2018-08-032018-08-20$23.21$20.56-12.77%12
2018-06-072018-07-06$21.07$20.59-3.43%21
2018-06-042018-06-06$19.78$21.30-0.43%3
2018-05-312018-06-01$18.98$19.45-2.59%2
2018-05-102018-05-16$20.33$19.10-7.57%5
2018-03-142018-03-19$21.78$20.90-6.19%4
2018-02-232018-03-01$23.47$22.06-1.09%5
2018-01-162018-02-07$22.67$23.00-0.87%17
2018-01-092018-01-12$22.25$22.410.26%4
2017-12-122017-12-28$22.74$21.02-5.44%12
2017-10-182017-10-19$23.98$23.450.90%2
2017-10-132017-10-16$23.70$23.37-0.23%2
2017-09-142017-09-25$25.18$23.00-4.32%8
2017-09-122017-09-13$24.18$24.42-0.46%2
2017-08-042017-08-22$23.79$22.76-2.85%13
2017-07-272017-07-28$22.30$22.34-2.93%2
2017-07-252017-07-26$22.64$22.92-1.05%2
2017-05-312017-07-06$22.73$20.59-2.58%26
2017-03-272017-05-24$18.01$20.6815.24%42
2017-03-212017-03-22$16.71$17.00-4.49%2
2017-03-172017-03-20$17.43$17.46-0.41%2
2016-12-142017-02-28$13.25$16.6724.02%51
2016-07-122016-08-16$14.98$14.910.16%26
2016-06-082016-06-21$15.70$14.64-5.63%10
2016-03-042016-05-03$13.40$15.4923.29%42
2015-12-302016-01-05$15.87$14.90-6.00%4
2015-12-082015-12-29$15.11$15.81-1.14%15
2015-11-272015-12-07$15.44$15.410.12%7