Strategy Zoo / S1497

PriceMomentum_V1497

ARCHIVEDhybrid

structuralrestricted to bubble regimes ['EXTREME']

Fitness

0.2911

Generation

Complexity

Created

2026-10-13

Lineage

Parents (1)

PriceMomentum_V1003S1003 · gen 46ARCHIVEDstructural

entry from PriceMomentum_V0640, exit from PriceMomentum_V0449

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1497  [hybrid]
require regime.bubble in ['EXTREME']
if flat and ret_20d > 0.184:
    position = 1.0
if long and ret_20d < -0.006:
    position = 0.0  # exit to cash

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	9.5%	18.1%	-1.2%	8.3%
Total Return	106.4%	64.5%	-4.3%	225.0%
Sharpe	0.63	0.63	-0.05	0.48
Sortino	0.25	0.37	-0.01	0.19
Calmar	0.59	0.37	-0.05	0.15
Volatility	16.6%	37.8%	10.9%	21.7%
Max DD	-16.1%	-48.2%	-21.0%	-54.0%
Win Rate	50.0%	50.0%	50.0%	50.0%
Avg Win	44.6%	25.1%	3.0%	26.7%
Avg Loss	-6.9%	-9.1%	-5.0%	-7.4%
Payoff	6.44	2.78	0.61	3.59
Expectancy	18.8%	8.0%	-1.0%	9.6%
Profit Factor	6.44	2.78	0.61	3.59
Trades	6	8	4	18
Avg Holding Days	16.8	17.1	7.8	14.9
Turnover	1.5	5.3	2.1	2.4
Exposure	4.7%	17.1%	2.9%	6.8%

Growth of $100

PriceMomentum_V1497 vs TSLA Buy & Hold

PriceMomentum_V1497 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	0.0%	0.00	0.0%	0
2017	-4.3%	-0.64	-6.0%	1
2018	0.0%	0.00	0.0%	0
2019	0.0%	0.00	0.0%	0
2020	78.4%	1.22	-43.7%	7
2021	-8.0%	-1.01	-8.0%	1
2022	0.0%	0.00	0.0%	0

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	0.0%	0.00	0%
hidden test	EXPENSIVE	83	-31.9%	-2.50	5%
hidden test	EXTREME	48	44.1%	0.96	48%
hidden test	HIGH VOLATILITY	254	-14.2%	-0.87	7%
hidden test	LOW VOLATILITY	443	8.0%	1.28	1%
hidden test	MEDIUM VOLATILITY	250	-2.0%	-0.18	2%
hidden test	NORMAL	816	0.0%	0.00	0%
hidden test	SIDEWAYS	298	0.0%	0.00	0%
hidden test	UPTREND	371	-1.4%	-0.08	7%
train	DOWNTREND	518	0.0%	0.00	0%
train	EXPENSIVE	311	-21.9%	-1.49	2%
train	EXTREME	100	276.8%	4.09	89%
train	HIGH VOLATILITY	699	23.4%	0.88	10%
train	LOW VOLATILITY	745	1.1%	0.34	2%
train	MEDIUM VOLATILITY	568	6.5%	0.68	3%
train	NORMAL	1,601	0.0%	0.00	0%
train	SIDEWAYS	592	0.0%	0.00	0%
train	UPTREND	902	23.2%	0.94	11%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	-96.3%	-2.76	4%
validation	EXTREME	144	217.0%	2.76	85%
validation	HIGH VOLATILITY	258	70.8%	1.15	37%
validation	LOW VOLATILITY	183	6.7%	0.69	3%
validation	MEDIUM VOLATILITY	315	-4.9%	-0.30	9%
validation	NORMAL	474	0.0%	0.00	0%
validation	SIDEWAYS	206	4.9%	0.29	5%
validation	UPTREND	425	39.9%	0.81	28%

Trades (full period)

18 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2024-12-03	2025-01-03	$351.42	$410.44	6.00%	22
2024-11-25	2024-11-26	$338.59	$338.23	-4.16%	2
2024-11-19	2024-11-22	$346.00	$352.56	0.07%	4
2024-11-12	2024-11-14	$328.49	$311.18	-5.84%	3
2021-01-11	2021-01-12	$270.40	$283.15	-8.01%	2
2020-12-08	2020-12-10	$216.63	$209.02	-6.00%	3
2020-09-15	2020-09-24	$149.92	$129.26	-9.53%	8
2020-08-19	2020-09-09	$125.24	$122.09	-12.68%	15
2020-07-01	2020-08-10	$74.64	$94.57	34.27%	28
2020-06-02	2020-06-25	$58.77	$65.73	6.77%	18
2020-04-14	2020-05-29	$47.33	$55.67	23.55%	33
2020-01-22	2020-03-04	$37.97	$49.97	35.97%	30
2017-06-14	2017-06-30	$25.38	$24.11	-4.23%	13
2013-08-23	2013-09-09	$10.79	$10.71	6.07%	11
2013-08-09	2013-08-15	$10.20	$9.31	-9.38%	5
2013-07-22	2013-08-08	$8.16	$10.23	11.94%	14
2013-07-02	2013-07-17	$7.85	$8.02	-7.12%	11
2013-04-19	2013-06-25	$3.19	$6.83	115.65%	47