Strategy Zoo / S1484

PriceMomentum_V1484

ARCHIVEDhybrid

structuralchanged cumret_252d threshold -0.1997 -> 0.2536; added exit filter: close < roll_high_50

Fitness
0.5111
Generation
68
Complexity
32
Created
2026-10-13

Lineage

Parents (1)
PriceMomentum_V1439S1439 · gen 66ELITEstructural

changed dist_sma_50 threshold -0.2357 -> -0.0777

Children (0)
None

Strategy Logic (pseudocode)

# PriceMomentum_V1484  [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 > 0.2536 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 < 0.0 or close < roll_high_50):
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR20.3%49.2%-1.8%19.3%
Total Return336.5%232.4%-6.7%1252.4%
Sharpe0.821.180.050.74
Sortino0.891.210.050.74
Calmar0.661.29-0.050.50
Volatility26.8%40.8%25.4%29.9%
Max DD-30.6%-38.0%-38.6%-38.6%
Win Rate47.4%52.9%39.7%47.1%
Avg Win3.1%4.3%3.7%3.5%
Avg Loss-1.8%-2.8%-2.4%-2.2%
Payoff1.701.521.571.62
Expectancy0.5%0.9%0.0%0.5%
Profit Factor1.531.701.031.44
Trades348155146650
Avg Holding Days2.42.52.32.4
Turnover87.3103.378.088.3
Exposure24.0%29.8%21.0%24.4%

Growth of $100

PriceMomentum_V1484 vs TSLA Buy & Hold
PriceMomentum_V1484 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
201633.0%2.35-3.6%27
20177.5%0.55-8.6%47
20188.4%0.48-15.9%34
201928.7%0.95-24.2%30
2020226.9%2.25-38.0%78
202114.4%0.61-23.3%55
2022-14.5%-0.67-20.9%22

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 testDOWNTREND2783.9%0.2113%
hidden testEXPENSIVE83-7.3%-0.2331%
hidden testEXTREME4887.9%2.0431%
hidden testHIGH VOLATILITY2541.1%0.0323%
hidden testLOW VOLATILITY44325.3%1.2621%
hidden testMEDIUM VOLATILITY250-40.7%-1.7118%
hidden testNORMAL816-2.8%-0.1219%
hidden testSIDEWAYS298-21.1%-0.9323%
hidden testUPTREND37117.5%0.5626%
trainDOWNTREND518-11.3%-0.739%
trainEXPENSIVE31145.2%1.8837%
trainEXTREME100293.1%4.3163%
trainHIGH VOLATILITY69945.3%1.2125%
trainLOW VOLATILITY74513.8%0.8526%
trainMEDIUM VOLATILITY5683.8%0.1820%
trainNORMAL1,6010.5%0.0219%
trainSIDEWAYS59215.3%0.7323%
trainUPTREND90245.3%1.3233%
validationDOWNTREND12535.4%1.696%
validationEXPENSIVE13816.0%0.3338%
validationEXTREME144249.9%3.7252%
validationHIGH VOLATILITY25841.1%0.7326%
validationLOW VOLATILITY1831.3%0.0731%
validationMEDIUM VOLATILITY31581.7%2.3232%
validationNORMAL474-3.4%-0.1520%
validationSIDEWAYS206-10.4%-0.5420%
validationUPTREND42580.7%1.5741%

Trades (full period)

latest 100 of 651
EntryExitEntry PxExit PxReturnDays
2026-10-09—$382.70—0.71%2OPEN
2026-10-072026-10-08$377.81$375.00-0.95%2
2026-09-282026-09-29$357.45$352.84-4.14%2
2026-09-242026-09-25$377.94$372.11-0.77%2
2026-09-222026-09-23$378.90$380.120.76%2
2026-09-182026-09-21$364.27$375.30-0.73%2
2026-09-152026-09-16$356.58$358.08-0.86%2
2026-09-112026-09-14$365.44$358.970.32%2
2026-09-092026-09-10$367.81$363.56-0.29%2
2026-09-042026-09-08$354.08$368.16-6.12%2
2026-09-012026-09-02$356.09$357.01-3.42%2
2026-07-072026-07-08$402.90$394.06-4.21%2
2026-07-012026-07-02$425.30$393.450.92%2
2026-06-012026-06-02$415.88$423.74-4.76%2
2026-05-282026-05-29$442.10$435.790.19%2
2026-05-202026-05-21$417.26$417.853.05%2
2026-05-182026-05-19$409.99$404.11-3.10%2
2026-05-142026-05-15$443.30$422.24-0.64%2
2026-05-082026-05-13$428.35$445.275.05%4
2026-05-062026-05-07$398.73$411.792.20%2
2026-05-042026-05-05$392.51$389.370.23%2
2026-04-202026-04-21$392.50$386.42-2.22%2
2026-04-162026-04-17$388.90$400.62-0.98%2
2025-12-262025-12-29$475.19$459.64-2.30%2
2025-12-232025-12-24$485.56$485.40-0.85%2
2025-12-192025-12-22$481.20$488.73-0.65%2
2025-12-162025-12-18$489.88$483.37-1.89%3
2025-12-122025-12-15$458.96$475.312.50%2
2025-12-102025-12-11$451.45$446.891.21%2
2025-12-082025-12-09$439.58$445.17-3.59%2
2025-12-042025-12-05$454.53$455.001.54%2
2025-11-042025-11-05$444.26$462.07-5.34%2
2025-09-292025-10-03$443.21$429.83-1.20%5
2025-09-252025-09-26$423.39$440.40-4.58%2
2025-09-222025-09-24$434.21$442.79-0.25%3
2025-09-122025-09-19$395.94$426.0712.81%6
2025-09-102025-09-11$347.79$368.810.04%2
2025-09-082025-09-09$346.40$346.97-1.46%2
2025-08-292025-09-02$333.87$329.36-3.70%2
2025-08-272025-08-28$349.60$345.98-0.79%2
2025-08-252025-08-26$346.60$351.671.74%2
2025-08-202025-08-21$323.90$320.11-1.84%2
2025-08-182025-08-19$335.16$329.311.19%2
2025-08-142025-08-15$335.58$330.56-1.32%2
2025-08-122025-08-13$340.84$339.380.33%2
2025-08-082025-08-11$329.65$339.032.09%2
2025-07-292025-07-30$321.20$319.04-1.55%2
2025-07-232025-07-24$332.56$305.30-0.06%2
2025-07-212025-07-22$328.49$332.11-0.55%2
2025-06-252025-06-26$327.55$325.78-3.99%2
2025-05-302025-06-02$346.46$342.69-3.54%2
2025-05-282025-05-29$356.90$358.43-1.85%2
2025-05-232025-05-27$339.34$362.89-0.70%2
2025-05-212025-05-22$334.62$341.04-2.87%2
2025-05-192025-05-20$342.09$343.82-2.45%2
2025-05-122025-05-16$318.38$349.9814.72%5
2025-05-082025-05-09$284.82$298.262.91%2
2025-05-062025-05-07$275.35$276.22-1.95%2
2025-05-022025-05-05$287.21$280.262.18%2
2025-04-302025-05-01$282.16$280.52-3.58%2
2025-04-282025-04-29$285.88$292.030.13%2
2024-12-202024-12-23$421.06$430.60-3.66%2
2024-12-162024-12-19$463.02$436.170.70%4
2024-12-092024-12-13$389.79$436.237.21%5
2024-12-052024-12-06$369.49$389.223.03%2
2024-12-032024-12-04$351.42$357.93-1.79%2
2024-11-272024-11-29$332.89$345.16-1.78%2
2024-11-222024-11-26$352.56$338.23-0.50%3
2024-11-202024-11-21$342.03$339.64-1.35%2
2024-11-182024-11-19$338.74$346.005.41%2
2024-11-142024-11-15$311.18$320.72-5.97%2
2024-11-072024-11-13$296.91$330.2413.63%5
2024-11-052024-11-06$251.44$288.533.34%2
2024-11-012024-11-04$248.98$242.84-0.55%2
2024-10-302024-10-31$257.55$249.85-0.96%2
2024-10-252024-10-29$269.19$259.520.58%3
2024-10-032024-10-04$240.66$250.08-3.55%2
2024-09-302024-10-02$261.63$249.02-1.13%3
2024-09-252024-09-27$257.02$260.46-0.22%3
2024-09-232024-09-24$250.00$254.274.73%2
2024-09-192024-09-20$243.92$238.257.15%2
2024-09-172024-09-18$227.87$227.200.28%2
2024-09-132024-09-16$230.29$226.780.01%2
2024-09-112024-09-12$228.13$229.810.67%2
2024-09-062024-09-09$210.73$216.27-8.64%2
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
2024-07-192024-07-22$239.20$251.51-4.22%2
2024-07-172024-07-18$248.50$249.23-3.34%2
2024-07-152024-07-16$252.64$256.561.57%2
2024-06-262024-07-12$196.37$248.2328.40%12
2024-06-242024-06-25$182.58$187.35-0.43%2
2024-06-202024-06-21$181.57$183.01-1.98%2
2024-06-172024-06-18$187.44$184.865.09%2
2024-05-282024-05-29$176.75$176.19-1.59%2
2024-05-222024-05-23$180.11$173.74-3.67%2
2024-05-202024-05-21$174.95$186.60-1.61%2
2024-05-162024-05-17$174.84$177.460.29%2
2024-05-142024-05-15$177.55$173.993.09%2