Strategy Zoo / S1463
PriceMomentum_V1463
ARCHIVEDhybridstructuralreduce exposure to 68% during EXPENSIVE
Fitness
0.7104
Generation
67
Complexity
15
Created
2026-10-10
Lineage
Parents (1)
entry = PriceMomentum_V0671 OR PriceMomentum_V0640
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1463 [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 > -0.1997)) or ret_20d > 0.184):
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41
if regime.bubble == "EXPENSIVE": position *= 0.68Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 14.7% | 93.4% | 7.7% | 25.7% |
| Total Return | 199.0% | 623.7% | 31.9% | 2812.3% |
| Sharpe | 0.69 | 2.10 | 0.41 | 0.97 |
| Sortino | 0.64 | 2.48 | 0.36 | 0.94 |
| Calmar | 0.37 | 4.70 | 0.27 | 0.65 |
| Volatility | 24.2% | 34.2% | 27.7% | 27.4% |
| Max DD | -39.6% | -19.9% | -28.3% | -39.6% |
| Win Rate | 43.9% | 62.5% | 33.3% | 44.9% |
| Avg Win | 11.5% | 26.6% | 13.9% | 18.3% |
| Avg Loss | -4.6% | -3.4% | -4.0% | -4.2% |
| Payoff | 2.51 | 7.85 | 3.44 | 4.32 |
| Expectancy | 2.5% | 15.3% | 1.9% | 5.9% |
| Profit Factor | 1.97 | 10.00 | 1.72 | 3.51 |
| Trades | 41 | 16 | 21 | 78 |
| Avg Holding Days | 21.5 | 26.5 | 19.3 | 22.5 |
| Turnover | 10.8 | 10.4 | 11.1 | 10.7 |
| Exposure | 33.2% | 40.6% | 31.8% | 34.3% |
Growth of $100
PriceMomentum_V1463 vs TSLA Buy & Hold
PriceMomentum_V1463 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 | 16.2% | 1.00 | -15.9% | 3 |
| 2017 | 5.6% | 0.38 | -21.8% | 7 |
| 2018 | -17.5% | -1.09 | -21.3% | 8 |
| 2019 | 47.2% | 1.46 | -21.0% | 2 |
| 2020 | 278.8% | 3.46 | -14.9% | 6 |
| 2021 | 56.7% | 1.50 | -18.2% | 5 |
| 2022 | 18.5% | 0.78 | -15.2% | 5 |
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 | -6.1% | -0.35 | 18% |
| hidden test | EXPENSIVE | 83 | 47.6% | 1.60 | 41% |
| hidden test | EXTREME | 48 | 71.7% | 2.01 | 36% |
| hidden test | HIGH VOLATILITY | 254 | -9.9% | -0.37 | 19% |
| hidden test | LOW VOLATILITY | 442 | 52.5% | 2.13 | 36% |
| hidden test | MEDIUM VOLATILITY | 250 | -40.2% | -1.22 | 37% |
| hidden test | NORMAL | 815 | 4.0% | 0.15 | 31% |
| hidden test | SIDEWAYS | 297 | -9.1% | -0.35 | 35% |
| hidden test | UPTREND | 371 | 40.5% | 1.18 | 39% |
| train | DOWNTREND | 518 | 7.8% | 0.68 | 11% |
| train | EXPENSIVE | 311 | 25.0% | 0.97 | 39% |
| train | EXTREME | 100 | 183.0% | 4.79 | 55% |
| train | HIGH VOLATILITY | 699 | 19.7% | 0.77 | 16% |
| train | LOW VOLATILITY | 745 | 32.4% | 1.47 | 50% |
| train | MEDIUM VOLATILITY | 568 | -7.8% | -0.31 | 33% |
| train | NORMAL | 1,601 | 4.6% | 0.20 | 31% |
| train | SIDEWAYS | 592 | -6.0% | -0.28 | 29% |
| train | UPTREND | 902 | 36.5% | 1.20 | 48% |
| validation | DOWNTREND | 125 | 46.4% | 2.33 | 11% |
| validation | EXPENSIVE | 138 | 41.6% | 1.27 | 38% |
| validation | EXTREME | 144 | 230.6% | 4.92 | 52% |
| validation | HIGH VOLATILITY | 258 | 53.5% | 1.57 | 22% |
| validation | LOW VOLATILITY | 183 | 53.6% | 2.25 | 57% |
| validation | MEDIUM VOLATILITY | 315 | 97.4% | 2.49 | 47% |
| validation | NORMAL | 474 | 32.4% | 1.11 | 38% |
| validation | SIDEWAYS | 206 | 10.9% | 0.42 | 36% |
| validation | UPTREND | 425 | 108.9% | 2.69 | 52% |
Trades (full period)
78 trades
| 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 | -3.93% | 9 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -2.45% | 2 | |
| 2025-08-25 | 2025-10-23 | $346.60 | $448.98 | 25.01% | 43 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.30% | 8 | |
| 2025-05-06 | 2025-06-12 | $275.35 | $319.11 | 0.56% | 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 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 11.63% | 44 | |
| 2024-09-05 | 2024-10-14 | $230.17 | $219.16 | -4.85% | 28 | |
| 2024-06-27 | 2024-08-02 | $197.42 | $207.67 | 17.81% | 26 | |
| 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 | 2024-01-05 | $234.30 | $237.49 | 1.65% | 33 | |
| 2023-09-12 | 2023-09-28 | $267.48 | $246.38 | -12.27% | 13 | |
| 2023-07-26 | 2023-07-28 | $264.35 | $266.44 | -3.80% | 3 | |
| 2023-05-24 | 2023-07-24 | $182.90 | $269.06 | 39.69% | 41 | |
| 2023-01-27 | 2023-03-08 | $177.90 | $182.00 | 0.84% | 28 | |
| 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 | |
| 2022-01-12 | 2022-01-24 | $368.74 | $310.00 | -2.70% | 8 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -4.80% | 4 | |
| 2021-08-04 | 2021-12-01 | $236.97 | $365.00 | 49.70% | 84 | |
| 2021-06-14 | 2021-07-23 | $205.90 | $214.46 | 6.24% | 29 | |
| 2021-04-14 | 2021-05-04 | $244.08 | $224.53 | -10.34% | 15 | |
| 2021-04-05 | 2021-04-08 | $230.35 | $227.93 | 0.52% | 4 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 41.79% | 55 | |
| 2020-10-22 | 2020-10-27 | $141.93 | $141.56 | -0.51% | 4 | |
| 2020-10-16 | 2020-10-19 | $146.56 | $143.61 | -1.53% | 2 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 2.42% | 6 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 16.60% | 29 | |
| 2020-04-14 | 2020-08-10 | $47.33 | $94.57 | 72.18% | 83 | |
| 2019-10-23 | 2020-03-04 | $16.98 | $49.97 | 118.92% | 91 | |
| 2019-09-13 | 2019-10-10 | $16.35 | $16.32 | -0.74% | 20 | |
| 2019-07-01 | 2019-08-02 | $15.14 | $15.62 | 3.15% | 24 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 2.69% | 36 | |
| 2018-08-27 | 2018-08-31 | $21.28 | $20.11 | -2.61% | 5 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -5.17% | 12 | |
| 2018-06-12 | 2018-07-06 | $22.85 | $20.59 | -2.76% | 18 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.17% | 6 | |
| 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 | |
| 2018-01-09 | 2018-01-12 | $22.25 | $22.41 | 0.54% | 4 | |
| 2017-12-12 | 2017-12-28 | $22.74 | $21.02 | -5.44% | 12 | |
| 2017-09-18 | 2017-09-25 | $25.67 | $23.00 | -5.30% | 6 | |
| 2017-08-25 | 2017-09-05 | $23.20 | $23.31 | 0.34% | 7 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -1.13% | 13 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -4.01% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 7.91% | 41 | |
| 2016-12-20 | 2017-02-28 | $13.92 | $16.67 | 22.75% | 47 | |
| 2016-07-22 | 2016-08-16 | $14.82 | $14.91 | 2.10% | 18 | |
| 2016-06-08 | 2016-06-21 | $15.70 | $14.64 | -5.63% | 10 | |
| 2016-03-04 | 2016-05-03 | $13.40 | $15.49 | 14.54% | 42 | |
| 2015-12-17 | 2015-12-29 | $15.56 | $15.81 | -2.57% | 8 | |
| 2015-11-30 | 2015-12-07 | $15.35 | $15.41 | -0.99% | 6 | |
| 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 | |
| 2015-07-21 | 2015-07-27 | $17.78 | $16.87 | -6.16% | 5 | |
| 2015-04-13 | 2015-07-09 | $13.99 | $17.19 | 20.65% | 62 | |
| 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 | |
| 2014-05-28 | 2014-06-03 | $14.02 | $13.66 | -3.44% | 5 | |
| 2014-01-15 | 2014-03-26 | $10.94 | $14.20 | 17.30% | 49 | |
| 2013-12-13 | 2014-01-14 | $9.84 | $10.75 | -5.67% | 21 | |
| 2013-07-01 | 2013-10-22 | $7.81 | $11.44 | 18.64% | 80 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 66.45% | 65 | |
| 2013-01-28 | 2013-02-22 | $2.54 | $2.41 | -6.15% | 19 | |
| 2012-11-06 | 2012-12-31 | $2.08 | $2.26 | 5.25% | 38 | |
| 2012-08-24 | 2012-09-05 | $1.97 | $1.86 | -4.06% | 8 | |
| 2012-06-28 | 2012-07-20 | $2.09 | $2.12 | 0.77% | 16 | |
| 2012-06-19 | 2012-06-27 | $2.14 | $2.13 | 3.09% | 7 | |
| 2012-03-27 | 2012-04-10 | $2.53 | $2.16 | -11.54% | 10 | |
| 2012-02-02 | 2012-03-23 | $2.02 | $2.27 | 8.58% | 36 |