Strategy Zoo / S1485
PriceMomentum_V1485
ARCHIVEDhybridstructuralreduce exposure to 48% during EXTREME; restricted to trend regimes ['DOWNTREND', 'UPTREND']
Fitness
0.6857
Generation
68
Complexity
19
Created
2026-10-13
Lineage
Parents (1)
entry = PriceMomentum_V1253 OR PriceMomentum_V1133
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1485 [hybrid]
require regime.trend in ['DOWNTREND', 'UPTREND']
if flat and ((ret_20d > 0.184 and breakout_20 == 1) or ((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 < -0.006:
position = 0.0 # exit to cash
if regime.bubble == "EXTREME": position *= 0.48Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 21.5% | 87.0% | 14.6% | 31.0% |
| Total Return | 374.2% | 554.4% | 66.8% | 5228.7% |
| Sharpe | 0.91 | 1.99 | 0.61 | 1.09 |
| Sortino | 0.83 | 2.12 | 0.46 | 0.97 |
| Calmar | 0.45 | 2.47 | 0.46 | 0.64 |
| Volatility | 24.9% | 34.4% | 29.8% | 28.3% |
| Max DD | -48.0% | -35.2% | -31.5% | -48.0% |
| Win Rate | 43.2% | 50.0% | 45.5% | 45.3% |
| Avg Win | 16.0% | 38.8% | 15.4% | 23.1% |
| Avg Loss | -4.2% | -7.2% | -6.8% | -5.6% |
| Payoff | 3.78 | 5.42 | 2.27 | 4.17 |
| Expectancy | 4.5% | 15.8% | 3.3% | 7.4% |
| Profit Factor | 2.88 | 5.42 | 1.89 | 3.45 |
| Trades | 37 | 16 | 22 | 75 |
| Avg Holding Days | 17.9 | 21.6 | 13.0 | 17.9 |
| Turnover | 10.2 | 11.4 | 12.8 | 11.0 |
| Exposure | 30.8% | 35.2% | 26.1% | 30.5% |
Growth of $100
PriceMomentum_V1485 vs TSLA Buy & Hold
PriceMomentum_V1485 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 | 25.6% | 1.74 | -10.7% | 6 |
| 2017 | 4.6% | 0.31 | -22.5% | 5 |
| 2018 | -33.0% | -1.63 | -32.9% | 7 |
| 2019 | 61.8% | 2.54 | -8.5% | 2 |
| 2020 | 324.9% | 3.56 | -17.2% | 7 |
| 2021 | 90.2% | 2.17 | -17.6% | 3 |
| 2022 | -22.3% | -0.93 | -30.4% | 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 | -3.3% | -0.13 | 24% |
| hidden test | EXPENSIVE | 83 | 68.8% | 1.60 | 59% |
| hidden test | EXTREME | 48 | 168.7% | 4.37 | 37% |
| hidden test | HIGH VOLATILITY | 254 | 3.2% | 0.08 | 33% |
| hidden test | LOW VOLATILITY | 443 | 37.2% | 1.92 | 20% |
| hidden test | MEDIUM VOLATILITY | 250 | -0.7% | -0.02 | 30% |
| hidden test | NORMAL | 816 | 4.1% | 0.15 | 22% |
| hidden test | SIDEWAYS | 298 | -2.4% | -0.16 | 3% |
| hidden test | UPTREND | 371 | 50.6% | 1.27 | 46% |
| train | DOWNTREND | 518 | 15.4% | 1.34 | 11% |
| train | EXPENSIVE | 311 | 48.6% | 1.36 | 63% |
| train | EXTREME | 100 | 245.2% | 5.61 | 50% |
| train | HIGH VOLATILITY | 699 | 37.1% | 1.22 | 25% |
| train | LOW VOLATILITY | 745 | 31.6% | 1.51 | 41% |
| train | MEDIUM VOLATILITY | 568 | -7.2% | -0.33 | 24% |
| train | NORMAL | 1,601 | 3.6% | 0.18 | 23% |
| train | SIDEWAYS | 592 | -5.2% | -0.51 | 3% |
| train | UPTREND | 902 | 44.8% | 1.28 | 60% |
| validation | DOWNTREND | 125 | 45.2% | 2.08 | 12% |
| validation | EXPENSIVE | 138 | 116.6% | 2.65 | 58% |
| validation | EXTREME | 144 | 204.4% | 4.64 | 43% |
| validation | HIGH VOLATILITY | 258 | 49.6% | 1.27 | 28% |
| validation | LOW VOLATILITY | 183 | 38.5% | 2.03 | 39% |
| validation | MEDIUM VOLATILITY | 315 | 101.5% | 2.74 | 39% |
| validation | NORMAL | 474 | 13.2% | 0.50 | 26% |
| validation | SIDEWAYS | 206 | -11.7% | -1.31 | 3% |
| validation | UPTREND | 425 | 114.3% | 2.62 | 58% |
Trades (full period)
75 trades
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -2.96% | 27 | |
| 2026-05-29 | 2026-06-01 | $435.79 | $415.88 | -1.63% | 2 | |
| 2026-05-05 | 2026-05-08 | $389.37 | $428.35 | 4.70% | 4 | |
| 2025-12-15 | 2026-01-05 | $475.31 | $451.67 | -4.74% | 14 | |
| 2025-11-03 | 2025-11-13 | $468.37 | $401.99 | -5.87% | 9 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-09-12 | 2025-10-23 | $395.94 | $448.98 | 18.79% | 30 | |
| 2025-09-04 | 2025-09-05 | $338.53 | $350.84 | 1.13% | 2 | |
| 2025-05-22 | 2025-06-06 | $341.04 | $295.14 | -15.09% | 11 | |
| 2025-05-06 | 2025-05-12 | $275.35 | $318.38 | 6.21% | 5 | |
| 2025-04-30 | 2025-05-02 | $282.16 | $287.21 | -4.14% | 3 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2024-11-07 | 2025-01-13 | $296.91 | $403.31 | 42.18% | 44 | |
| 2024-10-03 | 2024-10-14 | $240.66 | $219.16 | -12.71% | 8 | |
| 2024-09-05 | 2024-09-27 | $230.17 | $260.46 | 15.64% | 17 | |
| 2024-07-02 | 2024-08-02 | $231.26 | $207.67 | 3.14% | 23 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.65% | 10 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -11.56% | 9 | |
| 2023-07-26 | 2023-08-02 | $264.35 | $254.11 | -1.78% | 6 | |
| 2023-06-02 | 2023-07-24 | $213.97 | $269.06 | 25.05% | 35 | |
| 2023-05-24 | 2023-05-31 | $182.90 | $203.93 | 8.07% | 5 | |
| 2023-01-27 | 2023-02-10 | $177.90 | $196.89 | 29.11% | 11 | |
| 2022-08-16 | 2022-08-22 | $306.56 | $289.91 | -4.28% | 5 | |
| 2022-08-05 | 2022-08-08 | $288.17 | $290.42 | -6.82% | 2 | |
| 2022-07-14 | 2022-08-02 | $238.31 | $300.59 | 25.16% | 14 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -1.22% | 4 | |
| 2022-04-05 | 2022-04-21 | $363.75 | $336.26 | -14.86% | 12 | |
| 2022-01-04 | 2022-01-20 | $383.20 | $332.09 | -17.18% | 12 | |
| 2021-08-24 | 2021-12-01 | $236.16 | $365.00 | 61.75% | 70 | |
| 2021-08-05 | 2021-08-23 | $238.21 | $235.43 | -4.50% | 13 | |
| 2020-11-19 | 2021-02-09 | $166.42 | $283.15 | 90.47% | 55 | |
| 2020-10-22 | 2020-10-29 | $141.93 | $136.94 | -4.12% | 6 | |
| 2020-10-16 | 2020-10-20 | $146.56 | $140.65 | -4.21% | 3 | |
| 2020-10-07 | 2020-10-14 | $141.77 | $153.77 | 7.68% | 6 | |
| 2020-08-14 | 2020-09-24 | $110.05 | $129.26 | 24.10% | 29 | |
| 2020-05-15 | 2020-08-10 | $53.28 | $94.57 | 40.24% | 60 | |
| 2020-04-14 | 2020-04-30 | $47.33 | $52.13 | 10.81% | 13 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 115.40% | 89 | |
| 2019-09-27 | 2019-10-10 | $16.14 | $16.32 | 0.61% | 10 | |
| 2019-07-01 | 2019-07-22 | $15.14 | $17.05 | 15.31% | 15 | |
| 2018-11-29 | 2018-12-19 | $22.74 | $22.20 | -3.31% | 14 | |
| 2018-11-19 | 2018-11-20 | $23.56 | $23.17 | -0.44% | 2 | |
| 2018-08-27 | 2018-08-28 | $21.28 | $20.79 | -1.30% | 2 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -12.77% | 12 | |
| 2018-06-15 | 2018-07-05 | $23.88 | $20.61 | -13.27% | 14 | |
| 2018-04-27 | 2018-05-04 | $19.61 | $19.61 | -0.56% | 6 | |
| 2018-02-01 | 2018-02-06 | $23.28 | $22.26 | -6.17% | 4 | |
| 2017-09-18 | 2017-09-26 | $25.67 | $23.02 | -9.35% | 7 | |
| 2017-08-04 | 2017-08-22 | $23.79 | $22.76 | -2.85% | 13 | |
| 2017-06-01 | 2017-07-06 | $22.69 | $20.59 | -2.25% | 25 | |
| 2017-03-28 | 2017-05-24 | $18.50 | $20.68 | 12.23% | 41 | |
| 2017-01-05 | 2017-02-28 | $15.12 | $16.67 | 8.26% | 37 | |
| 2016-12-20 | 2016-12-28 | $13.92 | $14.65 | 8.07% | 6 | |
| 2016-07-26 | 2016-08-17 | $15.30 | $14.88 | -2.98% | 17 | |
| 2016-06-08 | 2016-06-09 | $15.70 | $15.29 | 1.17% | 2 | |
| 2016-04-05 | 2016-05-03 | $17.03 | $15.49 | -2.29% | 21 | |
| 2016-03-24 | 2016-03-28 | $15.18 | $15.35 | 2.12% | 2 | |
| 2016-03-04 | 2016-03-21 | $13.40 | $15.89 | 18.67% | 12 | |
| 2015-12-03 | 2015-12-29 | $15.51 | $15.81 | -1.51% | 18 | |
| 2015-11-30 | 2015-12-02 | $15.35 | $15.47 | 2.20% | 3 | |
| 2015-08-06 | 2015-08-07 | $16.41 | $16.17 | -9.08% | 2 | |
| 2015-05-11 | 2015-07-27 | $15.97 | $16.87 | 11.95% | 54 | |
| 2015-04-29 | 2015-05-01 | $15.50 | $15.07 | -2.12% | 3 | |
| 2015-04-24 | 2015-04-28 | $14.56 | $15.37 | 5.71% | 3 | |
| 2015-04-13 | 2015-04-14 | $13.99 | $13.83 | -0.73% | 2 | |
| 2014-08-05 | 2014-09-16 | $15.90 | $17.38 | 6.22% | 30 | |
| 2014-06-23 | 2014-07-16 | $15.81 | $14.48 | -4.55% | 17 | |
| 2014-01-24 | 2014-03-26 | $11.64 | $14.20 | 21.21% | 43 | |
| 2013-07-01 | 2013-10-22 | $7.81 | $11.44 | 53.95% | 80 | |
| 2013-03-26 | 2013-06-26 | $2.52 | $7.05 | 85.76% | 65 | |
| 2013-01-28 | 2013-02-22 | $2.54 | $2.41 | -5.11% | 19 | |
| 2012-12-18 | 2012-12-31 | $2.31 | $2.26 | -3.62% | 9 | |
| 2012-11-23 | 2012-12-14 | $2.14 | $2.25 | 3.30% | 16 | |
| 2012-02-23 | 2012-04-10 | $2.30 | $2.16 | -3.32% | 33 | |
| 2012-02-21 | 2012-02-22 | $2.30 | $2.28 | -1.54% | 2 |