Strategy Zoo / S1470
PriceMomentum_V1470
ARCHIVEDhybridparameterchanged macd_hist threshold 0.0 -> 0.9213
Fitness
0.4447
Generation
67
Complexity
30
Created
2026-10-10
Lineage
Parents (1)
changed dist_sma_50 threshold -0.2357 -> -0.0777
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1470 [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 > -0.1997 and dist_sma_50 > -0.0777) 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)):
position = 1.0
if long and macd_hist < 0.9213:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 4.8% | 73.5% | 24.6% | 21.3% |
| Total Return | 44.9% | 422.1% | 128.6% | 1627.3% |
| Sharpe | 0.31 | 1.45 | 0.87 | 0.77 |
| Sortino | 0.31 | 1.54 | 0.86 | 0.77 |
| Calmar | 0.12 | 1.80 | 0.82 | 0.52 |
| Volatility | 24.5% | 44.7% | 30.8% | 31.2% |
| Max DD | -39.3% | -40.7% | -30.0% | -40.7% |
| Win Rate | 50.0% | 53.8% | 39.2% | 49.8% |
| Avg Win | 2.4% | 5.9% | 9.6% | 3.6% |
| Avg Loss | -2.1% | -2.8% | -2.9% | -2.3% |
| Payoff | 1.14 | 2.08 | 3.32 | 1.55 |
| Expectancy | 0.1% | 1.9% | 2.0% | 0.6% |
| Profit Factor | 1.14 | 2.42 | 2.14 | 1.54 |
| Trades | 416 | 104 | 51 | 572 |
| Avg Holding Days | 2.0 | 3.8 | 7.2 | 2.8 |
| Turnover | 104.3 | 69.3 | 27.4 | 77.7 |
| Exposure | 20.7% | 38.4% | 33.4% | 27.5% |
Growth of $100
PriceMomentum_V1470 vs TSLA Buy & Hold
PriceMomentum_V1470 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 | 18.9% | 1.59 | -4.1% | 31 |
| 2017 | -3.3% | -0.16 | -11.1% | 58 |
| 2018 | -3.1% | -0.02 | -17.9% | 43 |
| 2019 | 12.5% | 0.64 | -20.2% | 39 |
| 2020 | 255.8% | 2.34 | -40.7% | 65 |
| 2021 | 36.9% | 1.10 | -18.7% | 29 |
| 2022 | -9.1% | -0.23 | -20.1% | 9 |
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 | 3.3% | 0.15 | 24% |
| hidden test | EXPENSIVE | 83 | 106.7% | 2.38 | 47% |
| hidden test | EXTREME | 48 | 121.4% | 2.73 | 38% |
| hidden test | HIGH VOLATILITY | 254 | 31.3% | 0.77 | 37% |
| hidden test | LOW VOLATILITY | 442 | 45.3% | 1.92 | 33% |
| hidden test | MEDIUM VOLATILITY | 250 | -10.7% | -0.35 | 31% |
| hidden test | NORMAL | 815 | 13.0% | 0.47 | 32% |
| hidden test | SIDEWAYS | 297 | 1.7% | 0.06 | 37% |
| hidden test | UPTREND | 371 | 64.3% | 1.76 | 37% |
| train | DOWNTREND | 518 | -11.3% | -0.74 | 9% |
| train | EXPENSIVE | 311 | 12.4% | 0.47 | 32% |
| train | EXTREME | 100 | 199.0% | 3.39 | 48% |
| train | HIGH VOLATILITY | 699 | 12.0% | 0.36 | 21% |
| train | LOW VOLATILITY | 745 | 6.5% | 0.41 | 23% |
| train | MEDIUM VOLATILITY | 568 | 3.4% | 0.17 | 18% |
| train | NORMAL | 1,601 | -5.3% | -0.27 | 17% |
| train | SIDEWAYS | 592 | 8.4% | 0.45 | 21% |
| train | UPTREND | 902 | 17.9% | 0.57 | 27% |
| validation | DOWNTREND | 125 | 34.7% | 1.58 | 13% |
| validation | EXPENSIVE | 138 | 25.8% | 0.51 | 41% |
| validation | EXTREME | 144 | 267.2% | 3.84 | 59% |
| validation | HIGH VOLATILITY | 258 | 60.1% | 1.01 | 33% |
| validation | LOW VOLATILITY | 183 | 3.1% | 0.13 | 42% |
| validation | MEDIUM VOLATILITY | 315 | 105.2% | 2.62 | 41% |
| validation | NORMAL | 474 | 15.1% | 0.50 | 31% |
| validation | SIDEWAYS | 206 | 28.7% | 0.99 | 34% |
| validation | UPTREND | 425 | 91.6% | 1.67 | 48% |
Trades (full period)
latest 100 of 573
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-09 | — | $382.70 | — | 1.95% | 1 | OPEN |
| 2026-10-07 | 2026-10-08 | $377.81 | $375.00 | -0.95% | 2 | |
| 2026-09-22 | 2026-09-29 | $378.90 | $352.84 | -4.95% | 6 | |
| 2026-09-18 | 2026-09-21 | $364.27 | $375.30 | -0.73% | 2 | |
| 2026-09-01 | 2026-09-16 | $356.09 | $358.08 | -3.29% | 11 | |
| 2026-07-01 | 2026-07-14 | $425.30 | $396.18 | -6.33% | 9 | |
| 2026-05-28 | 2026-06-01 | $442.10 | $415.88 | -1.24% | 3 | |
| 2026-04-16 | 2026-05-20 | $388.90 | $417.26 | 2.90% | 25 | |
| 2025-12-04 | 2025-12-30 | $454.53 | $454.43 | 2.68% | 18 | |
| 2025-11-04 | 2025-11-05 | $444.26 | $462.07 | -5.34% | 2 | |
| 2025-09-12 | 2025-10-03 | $395.94 | $429.83 | 17.99% | 16 | |
| 2025-09-10 | 2025-09-11 | $347.79 | $368.81 | 0.04% | 2 | |
| 2025-09-08 | 2025-09-09 | $346.40 | $346.97 | -1.46% | 2 | |
| 2025-08-25 | 2025-09-02 | $346.60 | $329.36 | -2.00% | 6 | |
| 2025-08-08 | 2025-08-21 | $329.65 | $320.11 | 0.31% | 10 | |
| 2025-07-29 | 2025-07-30 | $321.20 | $319.04 | -1.55% | 2 | |
| 2025-07-21 | 2025-07-28 | $328.49 | $325.59 | -4.31% | 6 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -3.99% | 2 | |
| 2025-04-28 | 2025-06-02 | $285.88 | $342.69 | 21.34% | 25 | |
| 2024-12-09 | 2024-12-23 | $389.79 | $430.60 | 7.96% | 11 | |
| 2024-12-05 | 2024-12-06 | $369.49 | $389.22 | 3.03% | 2 | |
| 2024-12-03 | 2024-12-04 | $351.42 | $357.93 | -1.79% | 2 | |
| 2024-10-25 | 2024-11-27 | $269.19 | $332.89 | 29.59% | 24 | |
| 2024-09-11 | 2024-10-04 | $228.13 | $250.08 | 6.19% | 18 | |
| 2024-09-06 | 2024-09-10 | $210.73 | $226.17 | -6.24% | 3 | |
| 2024-08-20 | 2024-08-28 | $221.10 | $205.75 | -6.25% | 7 | |
| 2024-06-26 | 2024-07-19 | $196.37 | $239.20 | 32.77% | 17 | |
| 2024-06-24 | 2024-06-25 | $182.58 | $187.35 | -0.43% | 2 | |
| 2024-06-20 | 2024-06-21 | $181.57 | $183.01 | -1.98% | 2 | |
| 2024-06-17 | 2024-06-18 | $187.44 | $184.86 | 5.09% | 2 | |
| 2024-05-28 | 2024-05-29 | $176.75 | $176.19 | -1.59% | 2 | |
| 2024-05-22 | 2024-05-23 | $180.11 | $173.74 | -3.67% | 2 | |
| 2024-05-20 | 2024-05-21 | $174.95 | $186.60 | -1.61% | 2 | |
| 2024-05-16 | 2024-05-17 | $174.84 | $177.46 | 0.29% | 2 | |
| 2024-05-14 | 2024-05-15 | $177.55 | $173.99 | 3.09% | 2 | |
| 2024-04-30 | 2024-05-13 | $183.28 | $171.89 | -13.36% | 10 | |
| 2024-01-02 | 2024-01-03 | $248.42 | $238.45 | -0.22% | 2 | |
| 2023-12-27 | 2023-12-29 | $261.44 | $248.48 | -1.53% | 3 | |
| 2023-12-15 | 2023-12-26 | $253.50 | $256.61 | 0.39% | 7 | |
| 2023-12-11 | 2023-12-12 | $239.74 | $237.01 | -1.88% | 2 | |
| 2023-12-07 | 2023-12-08 | $242.64 | $243.84 | 1.16% | 2 | |
| 2023-11-16 | 2023-12-06 | $233.59 | $239.37 | -1.90% | 14 | |
| 2023-10-10 | 2023-10-13 | $263.62 | $251.12 | -0.51% | 4 | |
| 2023-10-06 | 2023-10-09 | $260.53 | $259.67 | -0.02% | 2 | |
| 2023-08-30 | 2023-09-22 | $256.90 | $244.88 | -0.77% | 17 | |
| 2023-07-05 | 2023-07-06 | $282.48 | $276.54 | 0.75% | 2 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 33.55% | 25 | |
| 2023-04-03 | 2023-04-05 | $194.77 | $185.52 | -7.36% | 3 | |
| 2023-03-30 | 2023-03-31 | $195.28 | $207.46 | 0.52% | 2 | |
| 2023-03-28 | 2023-03-29 | $189.19 | $193.88 | -1.56% | 2 | |
| 2023-03-24 | 2023-03-27 | $190.41 | $191.81 | -1.14% | 2 | |
| 2023-01-27 | 2023-02-22 | $177.90 | $200.86 | 22.91% | 18 | |
| 2022-09-15 | 2022-09-23 | $303.75 | $275.33 | -4.82% | 7 | |
| 2022-09-13 | 2022-09-14 | $292.13 | $302.61 | -4.23% | 2 | |
| 2022-08-18 | 2022-08-19 | $302.87 | $296.67 | -0.57% | 2 | |
| 2022-08-16 | 2022-08-17 | $306.56 | $304.00 | -1.09% | 2 | |
| 2022-08-11 | 2022-08-12 | $286.63 | $300.03 | -2.82% | 2 | |
| 2022-07-11 | 2022-08-10 | $234.34 | $294.36 | 12.75% | 23 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 13.04% | 16 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2021-12-28 | 2022-01-11 | $362.82 | $354.80 | -3.47% | 11 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.54% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.48% | 2 | |
| 2021-11-11 | 2021-11-12 | $354.50 | $344.47 | -0.62% | 2 | |
| 2021-10-15 | 2021-11-10 | $281.01 | $355.98 | 24.83% | 19 | |
| 2021-10-13 | 2021-10-14 | $270.36 | $272.77 | 0.46% | 2 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-10-06 | 2021-10-07 | $260.92 | $264.54 | 0.08% | 2 | |
| 2021-10-04 | 2021-10-05 | $260.51 | $260.20 | 0.61% | 2 | |
| 2021-09-30 | 2021-10-01 | $258.49 | $258.41 | -0.95% | 2 | |
| 2021-09-28 | 2021-09-29 | $259.19 | $260.44 | -1.94% | 2 | |
| 2021-09-20 | 2021-09-21 | $243.39 | $246.46 | -4.06% | 2 | |
| 2021-09-16 | 2021-09-17 | $252.33 | $253.16 | -0.05% | 2 | |
| 2021-09-14 | 2021-09-15 | $248.16 | $251.94 | 0.00% | 2 | |
| 2021-09-07 | 2021-09-13 | $250.97 | $247.67 | 0.17% | 5 | |
| 2021-09-02 | 2021-09-03 | $244.13 | $244.52 | -0.43% | 2 | |
| 2021-08-31 | 2021-09-01 | $245.24 | $244.70 | 0.46% | 2 | |
| 2021-08-03 | 2021-08-16 | $236.58 | $228.72 | 0.85% | 10 | |
| 2021-07-30 | 2021-08-02 | $229.07 | $236.56 | 1.25% | 2 | |
| 2021-07-13 | 2021-07-14 | $222.85 | $217.79 | -2.70% | 2 | |
| 2021-07-09 | 2021-07-12 | $218.98 | $228.57 | 0.43% | 2 | |
| 2021-05-28 | 2021-07-08 | $208.41 | $217.60 | 1.98% | 28 | |
| 2021-04-06 | 2021-04-28 | $230.54 | $231.47 | 1.78% | 17 | |
| 2021-02-08 | 2021-02-09 | $287.81 | $283.15 | 1.11% | 2 | |
| 2021-02-04 | 2021-02-05 | $283.33 | $284.08 | -0.75% | 2 | |
| 2021-02-02 | 2021-02-03 | $290.93 | $284.90 | 3.72% | 2 | |
| 2021-01-28 | 2021-01-29 | $278.48 | $264.51 | -3.52% | 2 | |
| 2021-01-26 | 2021-01-27 | $294.36 | $288.05 | 0.06% | 2 | |
| 2021-01-22 | 2021-01-25 | $282.21 | $293.60 | -0.00% | 2 | |
| 2021-01-06 | 2021-01-21 | $251.99 | $281.66 | 15.46% | 11 | |
| 2021-01-04 | 2021-01-05 | $243.26 | $245.04 | 3.21% | 2 | |
| 2020-12-30 | 2020-12-31 | $231.59 | $235.22 | 4.12% | 2 | |
| 2020-12-28 | 2020-12-29 | $221.23 | $222.00 | 0.09% | 2 | |
| 2020-12-23 | 2020-12-24 | $215.33 | $220.59 | 0.68% | 2 | |
| 2020-12-21 | 2020-12-22 | $216.62 | $213.45 | -6.69% | 2 | |
| 2020-12-17 | 2020-12-18 | $218.63 | $231.67 | 5.11% | 2 | |
| 2020-11-18 | 2020-12-16 | $162.21 | $207.59 | 43.12% | 20 | |
| 2020-11-06 | 2020-11-09 | $143.32 | $140.42 | -2.06% | 2 | |
| 2020-10-20 | 2020-10-21 | $140.65 | $140.88 | -2.26% | 2 | |
| 2020-10-16 | 2020-10-19 | $146.56 | $143.61 | -2.25% | 2 |