Strategy Zoo / S1498

PriceMomentum_V1498

ARCHIVEDhybrid

structuralreplaced exit rule with: breakout_252 == 1

Fitness

0.3068

Generation

Complexity

Created

2026-10-13

Lineage

Parents (1)

PriceMomentum_V1405S1405 · gen 64ELITEstructural

changed ret_20d threshold -0.0674 -> -0.1275

Children (0)

None

Strategy Logic (pseudocode)

# PriceMomentum_V1498  [hybrid]
if flat and ((ret_20d > 0.05 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > -0.1275 and cumret_252d > -0.0062)) or ret_20d > 0.184):
    position = 1.0
if long and breakout_252 == 1:
    position = 0.0  # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41

Backtest Metrics

Metric	Train	Validation	Hidden Test	Full
CAGR	13.3%	18.6%	14.5%	14.5%
Total Return	171.2%	66.8%	66.3%	636.0%
Sharpe	0.51	0.59	0.52	0.53
Sortino	0.68	0.87	0.76	0.73
Calmar	0.25	0.27	0.28	0.20
Volatility	39.3%	52.3%	46.0%	44.0%
Max DD	-53.6%	-68.0%	-51.6%	-71.2%
Win Rate	86.2%	94.6%	100.0%	89.4%
Avg Win	2.9%	4.8%	8.5%	3.5%
Avg Loss	-5.3%	-0.1%	0.0%	-7.8%
Payoff	0.54	10.00	5.00	0.45
Expectancy	1.7%	4.5%	8.5%	2.3%
Profit Factor	3.38	10.00	5.00	3.75
Trades	65	37	11	113
Avg Holding Days	30.9	12.6	66.8	31.0
Turnover	19.8	26.8	8.0	18.1
Exposure	77.0%	75.9%	83.0%	78.3%

Growth of $100

PriceMomentum_V1498 vs TSLA Buy & Hold

PriceMomentum_V1498 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	-25.5%	-0.71	-36.7%	0
2017	24.4%	0.85	-20.5%	13
2018	4.6%	0.30	-26.1%	0
2019	15.8%	0.56	-40.4%	4
2020	279.7%	2.93	-30.0%	28
2021	3.6%	0.32	-36.5%	8
2022	-63.0%	-1.57	-65.1%	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	24.2%	0.56	76%
hidden test	EXPENSIVE	83	93.3%	1.56	81%
hidden test	EXTREME	48	81.3%	2.74	46%
hidden test	HIGH VOLATILITY	254	50.1%	1.08	42%
hidden test	LOW VOLATILITY	443	36.6%	0.89	99%
hidden test	MEDIUM VOLATILITY	250	-24.6%	-0.46	96%
hidden test	NORMAL	816	13.7%	0.30	85%
hidden test	SIDEWAYS	298	-43.7%	-0.92	95%
hidden test	UPTREND	371	78.5%	1.69	79%
train	DOWNTREND	518	-42.6%	-1.09	78%
train	EXPENSIVE	311	48.9%	1.17	67%
train	EXTREME	100	203.3%	5.53	45%
train	HIGH VOLATILITY	699	18.7%	0.44	44%
train	LOW VOLATILITY	745	37.6%	1.15	96%
train	MEDIUM VOLATILITY	568	-0.6%	-0.01	93%
train	NORMAL	1,601	3.3%	0.08	81%
train	SIDEWAYS	592	30.2%	0.77	76%
train	UPTREND	902	49.8%	1.26	77%
validation	DOWNTREND	125	-122.0%	-2.31	71%
validation	EXPENSIVE	138	35.9%	0.69	76%
validation	EXTREME	144	220.4%	4.78	47%
validation	HIGH VOLATILITY	258	45.8%	0.85	43%
validation	LOW VOLATILITY	183	44.4%	1.24	97%
validation	MEDIUM VOLATILITY	315	10.3%	0.17	91%
validation	NORMAL	474	-28.5%	-0.53	85%
validation	SIDEWAYS	206	-20.8%	-0.42	87%
validation	UPTREND	425	100.4%	1.89	72%

Trades (full period)

latest 100 of 114

Entry	Exit	Entry Px	Exit Px	Return	Days
2025-12-18	—	$483.37	—	-22.37%	204	OPEN
2024-12-19	2025-12-17	$436.17	$467.26	4.37%	249
2024-12-17	2024-12-18	$479.86	$440.13	3.43%	2
2024-12-12	2024-12-16	$418.10	$463.02	2.49%	3
2024-12-10	2024-12-11	$400.99	$424.77	1.10%	2
2024-12-06	2024-12-09	$389.22	$389.79	2.11%	2
2024-12-04	2024-12-05	$357.93	$369.49	0.68%	2
2024-11-26	2024-12-03	$338.23	$351.42	2.15%	5
2024-11-13	2024-11-25	$330.24	$338.59	2.98%	9
2024-11-11	2024-11-12	$350.00	$328.49	3.59%	2
2024-11-07	2024-11-08	$296.91	$321.22	1.11%	2
2021-11-05	2024-10-28	$407.36	$262.51	-45.86%	748
2021-11-02	2021-11-04	$390.67	$409.97	0.23%	3
2021-10-29	2021-11-01	$371.33	$402.86	3.23%	2
2021-10-27	2021-10-28	$345.95	$359.01	1.71%	2
2021-10-25	2021-10-26	$341.62	$339.48	12.45%	2
2021-01-27	2021-10-22	$288.05	$303.23	1.42%	188
2021-01-11	2021-01-26	$270.40	$294.36	-0.12%	11
2021-01-07	2021-01-08	$272.01	$293.34	7.74%	2
2021-01-05	2021-01-06	$245.04	$251.99	0.53%	2
2020-12-21	2021-01-04	$216.62	$243.26	1.33%	9
2020-12-09	2020-12-18	$201.49	$231.67	0.72%	8
2020-12-07	2020-12-08	$213.92	$216.63	6.92%	2
2020-11-30	2020-12-04	$189.20	$199.68	1.10%	5
2020-11-25	2020-11-27	$191.33	$195.25	3.15%	2
2020-11-23	2020-11-24	$173.95	$185.13	6.38%	2
2020-09-02	2020-11-20	$149.12	$163.20	11.17%	57
2020-08-28	2020-09-01	$147.56	$158.35	11.83%	3
2020-08-24	2020-08-27	$134.28	$149.25	5.64%	4
2020-08-20	2020-08-21	$133.46	$136.67	2.61%	2
2020-08-18	2020-08-19	$125.81	$125.24	1.07%	2
2020-07-22	2020-08-17	$106.16	$122.38	6.36%	19
2020-07-17	2020-07-21	$100.06	$104.56	3.80%	3
2020-07-13	2020-07-16	$99.80	$100.04	-0.03%	4
2020-07-09	2020-07-10	$92.95	$102.98	0.77%	2
2020-07-07	2020-07-08	$92.66	$91.06	0.46%	2
2020-07-02	2020-07-06	$80.58	$91.44	7.74%	2
2020-06-12	2020-07-01	$62.35	$74.64	10.77%	14
2020-06-10	2020-06-11	$68.34	$64.86	8.76%	2
2020-02-21	2020-06-09	$60.07	$62.71	15.70%	76
2020-02-06	2020-02-20	$49.93	$59.96	9.62%	10
2020-02-04	2020-02-05	$59.14	$48.98	5.54%	2
2020-01-31	2020-02-03	$43.37	$52.00	0.54%	2
2020-01-27	2020-01-30	$37.20	$42.72	2.66%	4
2020-01-23	2020-01-24	$38.15	$37.65	0.26%	2
2020-01-15	2020-01-22	$34.57	$37.97	1.52%	5
2020-01-09	2020-01-14	$32.09	$35.86	6.43%	4
2020-01-07	2020-01-08	$31.27	$32.81	3.68%	2
2019-12-27	2020-01-06	$28.69	$30.10	2.60%	6
2019-12-24	2019-12-26	$28.35	$28.73	1.24%	2
2019-12-20	2019-12-23	$27.04	$27.95	0.18%	2
2019-12-18	2019-12-19	$26.21	$26.94	3.53%	2
2017-09-20	2019-12-17	$24.93	$25.27	-1.40%	565
2017-06-26	2017-09-19	$25.17	$25.01	1.38%	60
2017-06-15	2017-06-23	$25.02	$25.56	0.31%	7
2017-06-09	2017-06-14	$23.82	$25.38	1.40%	4
2017-06-07	2017-06-08	$23.98	$24.67	1.73%	2
2017-06-01	2017-06-06	$22.69	$23.52	1.85%	4
2017-05-12	2017-05-31	$21.65	$22.73	-0.53%	13
2017-05-02	2017-05-11	$21.26	$21.54	-0.18%	8
2017-04-27	2017-05-01	$20.58	$21.52	1.05%	3
2017-04-12	2017-04-26	$19.79	$20.68	1.37%	10
2017-04-05	2017-04-11	$19.67	$20.58	1.11%	5
2017-02-15	2017-04-04	$18.65	$20.25	6.19%	34
2017-02-13	2017-02-14	$18.71	$18.73	4.02%	2
2014-09-08	2017-02-10	$18.81	$17.95	-28.21%	613
2014-09-03	2014-09-05	$18.75	$18.49	0.47%	3
2014-08-29	2014-09-02	$17.98	$18.94	2.01%	2
2014-08-27	2014-08-28	$17.55	$17.59	0.38%	2
2014-08-19	2014-08-26	$17.12	$17.45	0.80%	6
2014-08-15	2014-08-18	$17.47	$17.33	0.04%	2
2014-08-13	2014-08-14	$17.35	$17.43	-0.07%	2
2014-03-06	2014-08-12	$16.86	$17.33	6.75%	111
2014-02-28	2014-03-05	$16.32	$16.84	0.31%	4
2014-02-26	2014-02-27	$16.87	$16.84	0.74%	2
2014-02-24	2014-02-25	$14.51	$16.53	3.64%	2
2014-02-20	2014-02-21	$14.00	$13.97	8.22%	2
2014-02-18	2014-02-19	$13.58	$12.91	2.56%	2
2014-02-12	2014-02-14	$13.02	$13.22	1.73%	3
2013-10-01	2014-02-11	$12.87	$13.11	-8.52%	92
2013-09-27	2013-09-30	$12.73	$12.89	1.00%	2
2013-09-23	2013-09-26	$12.07	$12.58	0.81%	4
2013-09-06	2013-09-20	$11.13	$12.23	5.58%	11
2013-09-04	2013-09-05	$11.37	$11.33	0.33%	2
2013-08-28	2013-09-03	$11.10	$11.26	0.41%	4
2013-08-26	2013-08-27	$10.95	$11.13	0.52%	2
2013-08-12	2013-08-23	$9.83	$10.79	1.12%	10
2013-08-07	2013-08-09	$8.95	$10.20	3.38%	3
2013-08-05	2013-08-06	$9.65	$9.48	1.90%	2
2013-07-31	2013-08-02	$8.95	$9.20	1.10%	3
2013-07-15	2013-07-30	$8.48	$8.78	-8.51%	12
2013-07-11	2013-07-12	$8.37	$8.66	2.53%	2
2013-07-09	2013-07-10	$8.23	$8.15	1.31%	2
2013-07-03	2013-07-08	$7.68	$8.11	1.72%	3
2013-05-30	2013-07-02	$7.00	$7.85	13.47%	24
2013-05-28	2013-05-29	$7.36	$6.98	5.51%	2
2013-05-20	2013-05-24	$6.00	$6.47	0.52%	5
2013-05-15	2013-05-17	$5.66	$6.10	4.31%	3
2013-05-13	2013-05-14	$5.85	$5.55	5.81%	2
2013-05-08	2013-05-10	$3.72	$5.12	10.14%	3