Strategy Zoo / S1474
PriceMomentum_V1474
ARCHIVEDhybridcrossoverlogic of PriceMomentum_V1444 with risk overlay of PriceMomentum_V1423
Fitness
0.6997
Generation
68
Complexity
27
Created
2026-10-13
Lineage
Parents (2)
swapped indicator ret_20d -> ret_1d
removed entry condition: (ret_20d > 0.184 and breakout_20 == 1)
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1474 [hybrid]
if flat and (((((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 > -0.2357) 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 < 0.0:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 13.3% | 87.5% | 18.6% | 27.3% |
| Total Return | 171.6% | 559.4% | 89.6% | 3396.0% |
| Sharpe | 0.61 | 1.92 | 0.77 | 0.99 |
| Sortino | 0.57 | 2.46 | 0.75 | 1.00 |
| Calmar | 0.37 | 4.68 | 0.68 | 0.75 |
| Volatility | 25.7% | 36.1% | 26.5% | 28.4% |
| Max DD | -36.5% | -18.7% | -27.2% | -36.5% |
| Win Rate | 48.4% | 57.1% | 37.0% | 49.4% |
| Avg Win | 7.3% | 8.7% | 13.9% | 9.0% |
| Avg Loss | -4.2% | -2.3% | -3.5% | -3.6% |
| Payoff | 1.72 | 3.73 | 4.01 | 2.51 |
| Expectancy | 1.3% | 4.0% | 3.0% | 2.6% |
| Profit Factor | 1.61 | 4.98 | 2.36 | 2.46 |
| Trades | 91 | 56 | 27 | 174 |
| Avg Holding Days | 9.8 | 7.3 | 14.2 | 9.7 |
| Turnover | 20.0 | 29.5 | 14.6 | 20.5 |
| Exposure | 31.8% | 38.5% | 31.4% | 33.1% |
Growth of $100
PriceMomentum_V1474 vs TSLA Buy & Hold
PriceMomentum_V1474 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% | 1.21 | -11.5% | 5 |
| 2017 | 19.7% | 1.00 | -15.6% | 11 |
| 2018 | -3.0% | -0.08 | -15.6% | 8 |
| 2019 | 18.4% | 0.71 | -22.6% | 6 |
| 2020 | 284.9% | 3.32 | -15.9% | 31 |
| 2021 | 37.4% | 1.09 | -18.7% | 18 |
| 2022 | 9.4% | 0.49 | -16.7% | 6 |
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 | 5.7% | 0.35 | 19% |
| hidden test | EXPENSIVE | 83 | 66.4% | 2.08 | 36% |
| hidden test | EXTREME | 48 | 69.4% | 2.04 | 24% |
| hidden test | HIGH VOLATILITY | 254 | 8.1% | 0.34 | 18% |
| hidden test | LOW VOLATILITY | 443 | 51.3% | 2.04 | 37% |
| hidden test | MEDIUM VOLATILITY | 250 | -21.3% | -0.68 | 34% |
| hidden test | NORMAL | 816 | 13.0% | 0.51 | 31% |
| hidden test | SIDEWAYS | 298 | -4.8% | -0.17 | 43% |
| hidden test | UPTREND | 371 | 52.1% | 1.69 | 32% |
| train | DOWNTREND | 518 | -9.8% | -0.58 | 16% |
| train | EXPENSIVE | 311 | 43.4% | 1.45 | 42% |
| train | EXTREME | 100 | 184.6% | 4.82 | 50% |
| train | HIGH VOLATILITY | 699 | 24.2% | 0.87 | 18% |
| train | LOW VOLATILITY | 745 | 32.6% | 1.52 | 44% |
| train | MEDIUM VOLATILITY | 568 | -16.6% | -0.60 | 33% |
| train | NORMAL | 1,601 | -0.1% | -0.01 | 29% |
| train | SIDEWAYS | 592 | 6.0% | 0.24 | 34% |
| train | UPTREND | 902 | 36.9% | 1.23 | 40% |
| validation | DOWNTREND | 125 | 33.1% | 1.51 | 12% |
| validation | EXPENSIVE | 138 | 58.8% | 1.44 | 47% |
| validation | EXTREME | 144 | 223.4% | 4.82 | 44% |
| validation | HIGH VOLATILITY | 258 | 49.1% | 1.41 | 19% |
| validation | LOW VOLATILITY | 183 | 25.8% | 1.02 | 52% |
| validation | MEDIUM VOLATILITY | 315 | 111.2% | 2.65 | 46% |
| validation | NORMAL | 474 | 25.6% | 0.85 | 34% |
| validation | SIDEWAYS | 206 | 14.9% | 0.53 | 38% |
| validation | UPTREND | 425 | 106.3% | 2.52 | 47% |
Trades (full period)
latest 100 of 175
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -0.80% | 4 | OPEN |
| 2026-09-18 | 2026-09-29 | $364.27 | $352.84 | -2.58% | 8 | |
| 2026-09-01 | 2026-09-17 | $356.09 | $366.20 | -2.88% | 12 | |
| 2026-07-01 | 2026-07-15 | $425.30 | $394.46 | -6.19% | 10 | |
| 2026-05-28 | 2026-06-02 | $442.10 | $423.74 | -5.75% | 4 | |
| 2026-04-16 | 2026-05-21 | $388.90 | $417.85 | 6.24% | 26 | |
| 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 | |
| 2025-09-08 | 2025-10-06 | $346.40 | $453.25 | 22.27% | 21 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-08 | 2025-08-22 | $329.65 | $340.01 | -0.87% | 11 | |
| 2025-07-21 | 2025-08-01 | $328.49 | $302.63 | -6.67% | 10 | |
| 2025-06-25 | 2025-06-26 | $327.55 | $325.78 | -1.64% | 2 | |
| 2025-04-28 | 2025-06-03 | $285.88 | $344.27 | 10.51% | 26 | |
| 2024-12-09 | 2024-12-24 | $389.79 | $462.28 | 7.08% | 12 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 11.21% | 25 | |
| 2024-09-06 | 2024-10-04 | $210.73 | $250.08 | 0.20% | 21 | |
| 2024-08-20 | 2024-08-30 | $221.10 | $214.11 | -3.09% | 9 | |
| 2024-06-17 | 2024-07-22 | $187.44 | $251.51 | 34.79% | 24 | |
| 2024-04-30 | 2024-05-30 | $183.28 | $178.79 | -4.06% | 22 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-16 | 2023-12-14 | $233.59 | $251.05 | -1.66% | 20 | |
| 2023-10-06 | 2023-10-17 | $260.53 | $254.85 | -2.55% | 8 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -4.97% | 18 | |
| 2023-07-06 | 2023-07-07 | $276.54 | $274.43 | -2.30% | 2 | |
| 2023-05-22 | 2023-06-27 | $188.87 | $250.21 | 33.55% | 25 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -3.68% | 10 | |
| 2023-01-27 | 2023-02-23 | $177.90 | $202.07 | 10.12% | 19 | |
| 2022-09-13 | 2022-09-23 | $292.13 | $275.33 | -5.39% | 9 | |
| 2022-08-16 | 2022-08-19 | $306.56 | $296.67 | -2.28% | 4 | |
| 2022-07-11 | 2022-08-12 | $234.34 | $300.03 | 13.17% | 25 | |
| 2022-03-21 | 2022-04-11 | $307.05 | $325.31 | 13.04% | 16 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -2.85% | 2 | |
| 2021-12-28 | 2022-01-12 | $362.82 | $368.74 | 4.31% | 12 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 0.63% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.20% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -1.24% | 2 | |
| 2021-10-13 | 2021-11-11 | $270.36 | $354.50 | 29.03% | 22 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.29% | 8 | |
| 2021-08-31 | 2021-09-21 | $245.24 | $246.46 | -0.30% | 15 | |
| 2021-07-30 | 2021-08-17 | $229.07 | $221.90 | 1.10% | 13 | |
| 2021-07-13 | 2021-07-15 | $222.85 | $216.87 | -4.91% | 3 | |
| 2021-05-28 | 2021-07-12 | $208.41 | $228.57 | 3.93% | 30 | |
| 2021-04-01 | 2021-04-29 | $220.58 | $225.67 | 3.51% | 20 | |
| 2021-03-16 | 2021-03-29 | $225.63 | $203.76 | -5.30% | 10 | |
| 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 | |
| 2021-01-05 | 2021-01-25 | $245.04 | $293.60 | 15.78% | 14 | |
| 2020-12-31 | 2021-01-04 | $235.22 | $243.26 | 1.37% | 2 | |
| 2020-12-29 | 2020-12-30 | $222.00 | $231.59 | 0.15% | 2 | |
| 2020-12-24 | 2020-12-28 | $220.59 | $221.23 | 2.24% | 2 | |
| 2020-12-18 | 2020-12-23 | $231.67 | $215.33 | -2.56% | 4 | |
| 2020-11-18 | 2020-12-17 | $162.21 | $218.63 | 40.75% | 21 | |
| 2020-11-06 | 2020-11-11 | $143.32 | $139.04 | -6.52% | 4 | |
| 2020-10-14 | 2020-10-20 | $153.77 | $140.65 | -3.73% | 5 | |
| 2020-10-12 | 2020-10-13 | $147.43 | $148.88 | 0.70% | 2 | |
| 2020-10-08 | 2020-10-09 | $141.97 | $144.67 | -0.02% | 2 | |
| 2020-10-05 | 2020-10-06 | $141.89 | $137.99 | 0.96% | 2 | |
| 2020-10-01 | 2020-10-02 | $149.39 | $138.36 | 1.75% | 2 | |
| 2020-09-29 | 2020-09-30 | $139.69 | $143.00 | -0.29% | 2 | |
| 2020-09-23 | 2020-09-24 | $126.79 | $129.26 | -4.32% | 2 | |
| 2020-09-21 | 2020-09-22 | $149.80 | $141.41 | 0.59% | 2 | |
| 2020-09-17 | 2020-09-18 | $141.14 | $147.38 | -1.78% | 2 | |
| 2020-09-15 | 2020-09-16 | $149.92 | $147.25 | 2.86% | 2 | |
| 2020-08-17 | 2020-09-08 | $122.38 | $110.07 | 22.71% | 16 | |
| 2020-08-13 | 2020-08-14 | $108.07 | $110.05 | 1.66% | 2 | |
| 2020-07-30 | 2020-07-31 | $99.17 | $95.38 | -0.40% | 2 | |
| 2020-07-28 | 2020-07-29 | $98.43 | $99.94 | -1.76% | 2 | |
| 2020-07-02 | 2020-07-27 | $80.58 | $102.64 | 15.67% | 17 | |
| 2020-06-30 | 2020-07-01 | $71.99 | $74.64 | 6.77% | 2 | |
| 2020-06-26 | 2020-06-29 | $63.98 | $67.29 | -2.86% | 2 | |
| 2020-06-03 | 2020-06-25 | $58.86 | $65.73 | 8.78% | 17 | |
| 2020-06-01 | 2020-06-02 | $59.87 | $58.77 | 7.35% | 2 | |
| 2020-05-28 | 2020-05-29 | $53.72 | $55.67 | -1.96% | 2 | |
| 2020-05-26 | 2020-05-27 | $54.59 | $54.68 | 0.02% | 2 | |
| 2020-05-21 | 2020-05-22 | $55.17 | $54.46 | 0.52% | 2 | |
| 2020-05-19 | 2020-05-20 | $53.87 | $54.37 | -0.37% | 2 | |
| 2020-05-15 | 2020-05-18 | $53.28 | $54.24 | -0.29% | 2 | |
| 2020-04-14 | 2020-05-14 | $47.33 | $53.56 | 8.98% | 23 | |
| 2019-12-16 | 2020-02-26 | $25.43 | $51.92 | 97.97% | 49 | |
| 2019-10-11 | 2019-11-21 | $16.53 | $23.66 | 30.79% | 30 | |
| 2019-10-02 | 2019-10-04 | $16.21 | $15.43 | -4.96% | 3 | |
| 2019-09-11 | 2019-09-25 | $16.47 | $15.25 | -5.42% | 11 | |
| 2019-07-01 | 2019-07-26 | $15.14 | $15.20 | 2.20% | 19 | |
| 2019-03-01 | 2019-03-05 | $19.65 | $18.44 | -10.98% | 3 | |
| 2019-01-11 | 2019-01-22 | $23.15 | $19.93 | -5.11% | 7 | |
| 2018-12-11 | 2018-12-18 | $24.45 | $22.47 | -4.77% | 6 | |
| 2018-10-24 | 2018-11-21 | $19.23 | $22.55 | 7.21% | 21 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -5.17% | 12 | |
| 2018-05-31 | 2018-06-26 | $18.98 | $22.80 | 11.34% | 19 | |
| 2018-05-10 | 2018-05-17 | $20.33 | $18.97 | -6.22% | 6 | |
| 2018-03-14 | 2018-03-15 | $21.78 | $21.71 | -4.64% | 2 | |
| 2018-02-23 | 2018-03-06 | $23.47 | $21.88 | -1.58% | 8 | |
| 2018-01-09 | 2018-02-05 | $22.25 | $22.21 | 2.27% | 19 | |
| 2017-12-12 | 2017-12-27 | $22.74 | $20.78 | -3.72% | 11 | |
| 2017-10-13 | 2017-10-23 | $23.70 | $22.47 | -3.17% | 7 |