Strategy Zoo / S1460

PriceMomentum_V1460

ARCHIVEDhybrid

structuraladded exit filter: vol_pctile < 0.1012

Fitness

0.6693

Generation

Complexity

Created

2026-10-10

Lineage

Parents (1)

PriceMomentum_V1003S1003 · gen 46ARCHIVEDstructural

entry from PriceMomentum_V0640, exit from PriceMomentum_V0449

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1460  [hybrid]
if flat and ret_20d > 0.184:
    position = 1.0
if long and (ret_20d < -0.006 or vol_pctile < 0.1012):
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	19.0%	89.0%	17.8%	30.7%
Total Return	301.6%	574.7%	85.2%	5067.1%
Sharpe	0.81	1.61	0.69	1.00
Sortino	0.62	1.43	0.50	0.77
Calmar	0.66	2.64	0.50	0.87
Volatility	25.3%	46.3%	30.5%	32.0%
Max DD	-28.7%	-33.7%	-35.4%	-35.4%
Win Rate	60.0%	69.2%	43.8%	57.6%
Avg Win	15.0%	30.5%	17.7%	19.8%
Avg Loss	-5.5%	-3.1%	-5.1%	-5.0%
Payoff	2.72	9.79	3.45	3.96
Expectancy	6.8%	20.2%	4.9%	9.3%
Profit Factor	4.08	10.00	2.69	5.39
Trades	30	13	16	59
Avg Holding Days	15.9	22.5	16.1	17.4
Turnover	7.6	8.7	8.5	8.0
Exposure	22.2%	36.9%	25.6%	26.1%

Growth of $100

PriceMomentum_V1460 vs TSLA Buy & Hold

PriceMomentum_V1460 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	17.1%	1.19	-9.4%	2
2017	-2.6%	-0.06	-19.0%	5
2018	-9.1%	-0.40	-18.1%	2
2019	8.5%	0.48	-14.5%	5
2020	437.9%	2.72	-33.7%	5
2021	19.9%	0.77	-17.6%	6
2022	0.4%	0.12	-14.8%	2

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	30.4%	1.75	6%
hidden test	EXPENSIVE	83	50.5%	1.28	55%
hidden test	EXTREME	48	183.9%	3.27	67%
hidden test	HIGH VOLATILITY	254	53.5%	1.19	36%
hidden test	LOW VOLATILITY	442	33.2%	1.96	17%
hidden test	MEDIUM VOLATILITY	250	-33.2%	-1.07	31%
hidden test	NORMAL	815	8.5%	0.31	20%
hidden test	SIDEWAYS	297	-10.0%	-0.38	21%
hidden test	UPTREND	371	39.1%	0.98	44%
train	DOWNTREND	518	8.3%	1.08	4%
train	EXPENSIVE	311	19.3%	0.56	48%
train	EXTREME	100	368.1%	5.07	95%
train	HIGH VOLATILITY	699	46.6%	1.27	31%
train	LOW VOLATILITY	745	8.4%	0.65	17%
train	MEDIUM VOLATILITY	568	4.4%	0.22	19%
train	NORMAL	1,601	-0.9%	-0.06	13%
train	SIDEWAYS	592	-14.5%	-0.88	12%
train	UPTREND	902	50.6%	1.45	40%
validation	DOWNTREND	125	11.5%	1.42	1%
validation	EXPENSIVE	138	62.1%	1.18	52%
validation	EXTREME	144	319.7%	3.89	91%
validation	HIGH VOLATILITY	258	99.2%	1.52	43%
validation	LOW VOLATILITY	183	9.5%	0.70	11%
validation	MEDIUM VOLATILITY	315	91.7%	2.33	47%
validation	NORMAL	474	3.5%	0.16	16%
validation	SIDEWAYS	206	-0.7%	-0.03	20%
validation	UPTREND	425	129.3%	2.20	56%

Trades (full period)

59 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2026-05-29	2026-06-08	$435.79	$408.95	-11.74%	7
2026-05-08	2026-05-14	$428.35	$443.30	7.92%	5
2025-12-17	2025-12-24	$467.26	$485.40	-1.08%	6
2025-09-16	2025-10-23	$421.62	$448.98	6.84%	28
2025-05-08	2025-06-12	$284.82	$319.11	17.94%	25
2024-11-07	2025-01-13	$296.91	$403.31	36.54%	44
2024-09-06	2024-10-14	$210.73	$219.16	-5.57%	27
2024-07-03	2024-08-02	$246.39	$207.67	-6.41%	22
2024-05-20	2024-05-29	$174.95	$176.19	-0.60%	7
2023-11-29	2023-12-11	$244.14	$239.74	-1.37%	9
2023-09-15	2023-09-28	$274.39	$246.38	-13.05%	10
2023-06-21	2023-07-24	$259.46	$269.06	-5.45%	23
2023-06-16	2023-06-20	$260.54	$274.45	1.61%	2
2023-06-14	2023-06-15	$256.79	$255.90	-0.94%	2
2023-05-25	2023-06-13	$184.47	$258.71	36.32%	13
2023-01-27	2023-03-08	$177.90	$182.00	16.90%	28
2022-07-29	2022-08-29	$297.15	$284.82	2.36%	22
2022-03-23	2022-04-21	$333.04	$336.26	-1.88%	21
2021-10-26	2021-12-01	$339.48	$365.00	11.48%	26
2021-10-22	2021-10-25	$303.23	$341.62	1.55%	2
2021-10-19	2021-10-20	$288.09	$288.60	-0.87%	2
2021-04-27	2021-05-04	$234.91	$224.53	-7.41%	6
2021-04-07	2021-04-12	$223.66	$233.99	-2.31%	4
2020-11-24	2021-02-09	$185.13	$283.15	65.13%	52
2020-10-07	2020-10-14	$141.77	$153.77	7.68%	6
2020-08-19	2020-09-24	$125.24	$129.26	0.58%	26
2020-04-14	2020-08-10	$47.33	$94.57	122.74%	83
2020-01-08	2020-03-04	$32.81	$49.97	58.63%	39
2019-12-31	2020-01-07	$27.89	$31.27	8.67%	5
2019-12-27	2019-12-30	$28.69	$27.65	-0.33%	2
2019-12-24	2019-12-26	$28.35	$28.73	1.24%	2
2019-10-25	2019-12-06	$21.88	$22.39	10.03%	30
2019-07-25	2019-08-06	$15.25	$15.38	-13.99%	9
2019-07-01	2019-07-17	$15.14	$16.99	12.72%	12
2018-10-29	2018-12-19	$22.32	$22.20	1.65%	36
2018-06-14	2018-07-06	$23.85	$20.59	-10.51%	16
2017-06-14	2017-07-06	$25.38	$20.59	-13.17%	16
2017-04-04	2017-05-24	$20.25	$20.68	1.59%	36
2017-02-15	2017-02-16	$18.65	$17.93	-0.63%	2
2017-01-17	2017-01-31	$15.71	$16.80	5.21%	11
2017-01-04	2017-01-13	$15.13	$15.85	5.60%	8
2016-07-26	2016-07-27	$15.30	$15.23	-0.42%	2
2016-03-08	2016-05-03	$13.51	$15.49	17.55%	40
2015-09-23	2015-09-30	$17.40	$16.56	-5.67%	6
2015-05-18	2015-05-19	$16.58	$16.48	-0.24%	2
2015-04-28	2015-05-05	$15.37	$15.53	-0.65%	6
2014-09-03	2014-09-05	$18.75	$18.49	0.47%	3
2014-08-18	2014-08-29	$17.33	$17.98	0.50%	10
2014-08-14	2014-08-15	$17.43	$17.47	0.21%	2
2014-01-22	2014-03-26	$11.90	$14.20	24.52%	45
2013-12-18	2014-01-14	$9.87	$10.75	-8.79%	18
2013-07-02	2013-10-22	$7.85	$11.44	47.00%	79
2013-04-02	2013-06-26	$2.96	$7.05	132.63%	61
2012-11-21	2012-12-05	$2.16	$2.25	2.52%	10
2012-07-17	2012-07-20	$2.22	$2.12	-10.45%	4
2012-02-23	2012-02-24	$2.30	$2.25	0.71%	2
2012-02-21	2012-02-22	$2.30	$2.28	-1.54%	2
2012-02-16	2012-02-17	$2.28	$2.33	1.52%	2
2012-02-14	2012-02-15	$2.21	$2.24	5.13%	2