Strategy Zoo / S1508
PriceMomentum_V1508
ARCHIVEDhybridparameterchanged ret_20d threshold 0.05 -> -0.0506
Fitness
0.5764
Generation
69
Complexity
14
Created
2026-10-13
Lineage
Parents (1)
entry from PriceMomentum_V1342, exit from PriceMomentum_V1243
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1508 [hybrid]
if flat and ((ret_20d > -0.0506 and (((close > sma_200 and sma_200_slope > 0.0) or ret_20d > 0.0923) and ret_20d > -0.0674 and cumret_252d > -0.0062)) or ret_20d > 0.184):
position = 1.0
if long and ret_20d < -0.0017:
position = 0.0 # exit to cash
if regime.volatility == "HIGH_VOLATILITY": position *= 0.41Backtest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 2.9% | 98.5% | -7.7% | 14.6% |
| Total Return | 25.4% | 682.3% | -26.0% | 647.9% |
| Sharpe | 0.24 | 1.94 | -0.12 | 0.60 |
| Sortino | 0.21 | 2.43 | -0.11 | 0.58 |
| Calmar | 0.06 | 3.00 | -0.14 | 0.27 |
| Volatility | 27.8% | 39.4% | 29.8% | 31.0% |
| Max DD | -49.7% | -32.9% | -55.0% | -55.0% |
| Win Rate | 33.7% | 36.8% | 26.4% | 32.2% |
| Avg Win | 8.4% | 25.9% | 7.6% | 13.1% |
| Avg Loss | -3.6% | -3.0% | -3.1% | -3.3% |
| Payoff | 2.32 | 8.54 | 2.47 | 3.96 |
| Expectancy | 0.4% | 7.6% | -0.3% | 2.0% |
| Profit Factor | 1.18 | 4.98 | 0.89 | 1.89 |
| Trades | 92 | 38 | 53 | 183 |
| Avg Holding Days | 10.7 | 12.8 | 9.2 | 11.0 |
| Turnover | 22.7 | 24.2 | 25.7 | 23.7 |
| Exposure | 38.1% | 48.1% | 38.0% | 40.1% |
Growth of $100
PriceMomentum_V1508 vs TSLA Buy & Hold
PriceMomentum_V1508 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 | 9.6% | 0.73 | -12.0% | 3 |
| 2017 | 4.4% | 0.29 | -32.7% | 24 |
| 2018 | -21.1% | -1.19 | -27.7% | 8 |
| 2019 | 23.6% | 1.08 | -13.8% | 2 |
| 2020 | 379.5% | 3.56 | -24.6% | 13 |
| 2021 | 48.5% | 1.20 | -23.2% | 16 |
| 2022 | 5.6% | 0.33 | -26.1% | 8 |
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 | -8.5% | -0.49 | 18% |
| hidden test | EXPENSIVE | 83 | 75.2% | 1.80 | 63% |
| hidden test | EXTREME | 48 | 62.3% | 1.57 | 47% |
| hidden test | HIGH VOLATILITY | 254 | -14.3% | -0.49 | 22% |
| hidden test | LOW VOLATILITY | 443 | 47.6% | 1.85 | 43% |
| hidden test | MEDIUM VOLATILITY | 250 | -83.1% | -2.33 | 46% |
| hidden test | NORMAL | 816 | -15.4% | -0.56 | 35% |
| hidden test | SIDEWAYS | 298 | -35.9% | -1.25 | 40% |
| hidden test | UPTREND | 371 | 26.2% | 0.71 | 51% |
| train | DOWNTREND | 518 | -7.9% | -0.48 | 8% |
| train | EXPENSIVE | 311 | 44.2% | 1.17 | 61% |
| train | EXTREME | 100 | 203.0% | 5.10 | 58% |
| train | HIGH VOLATILITY | 699 | 4.1% | 0.14 | 19% |
| train | LOW VOLATILITY | 745 | 31.2% | 1.26 | 53% |
| train | MEDIUM VOLATILITY | 568 | -22.0% | -0.76 | 42% |
| train | NORMAL | 1,601 | -12.8% | -0.53 | 32% |
| train | SIDEWAYS | 592 | -13.1% | -0.56 | 32% |
| train | UPTREND | 902 | 28.2% | 0.81 | 60% |
| validation | DOWNTREND | 125 | 46.4% | 2.33 | 11% |
| validation | EXPENSIVE | 138 | 65.9% | 1.41 | 63% |
| validation | EXTREME | 144 | 261.8% | 5.32 | 54% |
| validation | HIGH VOLATILITY | 258 | 60.7% | 1.73 | 23% |
| validation | LOW VOLATILITY | 183 | 47.8% | 1.76 | 64% |
| validation | MEDIUM VOLATILITY | 315 | 105.7% | 2.21 | 59% |
| validation | NORMAL | 474 | 23.0% | 0.71 | 42% |
| validation | SIDEWAYS | 206 | 1.9% | 0.06 | 42% |
| validation | UPTREND | 425 | 121.2% | 2.63 | 62% |
Trades (full period)
latest 100 of 183
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-08-24 | 2026-09-30 | $348.95 | $354.81 | -2.96% | 27 | |
| 2026-07-07 | 2026-07-09 | $402.90 | $406.55 | -2.61% | 3 | |
| 2026-07-01 | 2026-07-06 | $425.30 | $419.77 | -6.64% | 3 | |
| 2026-05-05 | 2026-06-08 | $389.37 | $408.95 | -0.58% | 24 | |
| 2026-04-20 | 2026-04-24 | $392.50 | $376.30 | -6.90% | 5 | |
| 2026-03-18 | 2026-03-19 | $392.78 | $380.30 | -1.82% | 2 | |
| 2026-03-11 | 2026-03-12 | $407.82 | $395.01 | 1.95% | 2 | |
| 2026-03-05 | 2026-03-10 | $405.55 | $399.24 | -1.98% | 4 | |
| 2026-03-02 | 2026-03-03 | $403.32 | $392.43 | 0.00% | 2 | |
| 2026-02-26 | 2026-02-27 | $408.58 | $402.51 | -2.31% | 2 | |
| 2026-02-19 | 2026-02-20 | $411.71 | $411.82 | -0.11% | 2 | |
| 2026-02-17 | 2026-02-18 | $410.63 | $411.32 | -1.83% | 2 | |
| 2026-02-12 | 2026-02-13 | $417.07 | $417.44 | -2.81% | 2 | |
| 2026-02-02 | 2026-02-03 | $421.81 | $421.96 | -2.20% | 2 | |
| 2026-01-12 | 2026-01-14 | $448.96 | $439.20 | 0.29% | 3 | |
| 2026-01-08 | 2026-01-09 | $435.80 | $445.01 | 0.82% | 2 | |
| 2026-01-06 | 2026-01-07 | $432.96 | $431.41 | -4.34% | 2 | |
| 2025-12-08 | 2026-01-05 | $439.58 | $451.67 | -3.92% | 19 | |
| 2025-12-04 | 2025-12-05 | $454.53 | $455.00 | 1.54% | 2 | |
| 2025-12-01 | 2025-12-02 | $430.14 | $429.24 | -0.21% | 2 | |
| 2025-10-28 | 2025-11-13 | $460.55 | $401.99 | -5.01% | 13 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-08-25 | 2025-10-23 | $346.60 | $448.98 | 28.85% | 43 | |
| 2025-08-11 | 2025-08-20 | $339.03 | $323.90 | -0.30% | 8 | |
| 2025-07-29 | 2025-08-01 | $321.20 | $302.63 | -5.51% | 4 | |
| 2025-07-24 | 2025-07-25 | $305.30 | $316.06 | -8.39% | 2 | |
| 2025-07-17 | 2025-07-23 | $319.41 | $332.56 | 3.04% | 5 | |
| 2025-07-15 | 2025-07-16 | $310.78 | $321.67 | -2.13% | 2 | |
| 2025-07-07 | 2025-07-10 | $293.94 | $309.87 | -2.34% | 4 | |
| 2025-06-23 | 2025-06-26 | $348.68 | $325.78 | 0.70% | 4 | |
| 2025-05-06 | 2025-06-12 | $275.35 | $319.11 | -2.19% | 27 | |
| 2025-04-30 | 2025-05-02 | $282.16 | $287.21 | -1.70% | 3 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -7.04% | 8 | |
| 2025-03-26 | 2025-03-27 | $272.06 | $273.13 | -2.37% | 2 | |
| 2025-01-31 | 2025-02-05 | $404.60 | $378.17 | -2.21% | 4 | |
| 2025-01-24 | 2025-01-27 | $406.58 | $397.15 | -0.66% | 2 | |
| 2025-01-22 | 2025-01-23 | $415.11 | $412.38 | -0.95% | 2 | |
| 2025-01-16 | 2025-01-17 | $413.82 | $426.50 | -1.46% | 2 | |
| 2025-01-14 | 2025-01-15 | $396.36 | $428.22 | -0.79% | 2 | |
| 2024-11-06 | 2025-01-13 | $288.53 | $403.31 | 24.78% | 45 | |
| 2024-09-06 | 2024-10-14 | $210.73 | $219.16 | -9.31% | 27 | |
| 2024-07-03 | 2024-08-02 | $246.39 | $207.67 | 0.04% | 22 | |
| 2024-05-15 | 2024-05-29 | $173.99 | $176.19 | -0.16% | 10 | |
| 2024-04-30 | 2024-05-10 | $183.28 | $168.47 | -4.84% | 9 | |
| 2024-01-10 | 2024-01-11 | $233.94 | $227.22 | -0.63% | 2 | |
| 2024-01-08 | 2024-01-09 | $240.45 | $234.96 | 1.05% | 2 | |
| 2023-11-16 | 2024-01-05 | $233.59 | $237.49 | -2.22% | 34 | |
| 2023-10-17 | 2023-10-18 | $254.85 | $242.68 | 0.17% | 2 | |
| 2023-10-11 | 2023-10-12 | $262.99 | $258.87 | -0.44% | 2 | |
| 2023-10-05 | 2023-10-10 | $260.05 | $263.62 | -0.77% | 4 | |
| 2023-09-15 | 2023-09-28 | $274.39 | $246.38 | -13.05% | 10 | |
| 2023-05-25 | 2023-07-24 | $184.47 | $269.06 | 41.88% | 40 | |
| 2023-01-27 | 2023-03-08 | $177.90 | $182.00 | 0.84% | 28 | |
| 2022-07-14 | 2022-08-29 | $238.31 | $284.82 | 21.29% | 33 | |
| 2022-06-24 | 2022-06-29 | $245.71 | $228.49 | -0.45% | 4 | |
| 2022-04-26 | 2022-04-27 | $292.14 | $293.84 | -12.37% | 2 | |
| 2022-04-22 | 2022-04-25 | $335.02 | $332.67 | -0.57% | 2 | |
| 2022-03-21 | 2022-04-21 | $307.05 | $336.26 | 7.72% | 23 | |
| 2022-03-01 | 2022-03-02 | $288.12 | $293.30 | -0.90% | 2 | |
| 2022-01-10 | 2022-01-24 | $352.71 | $310.00 | -1.25% | 10 | |
| 2022-01-04 | 2022-01-07 | $383.20 | $342.32 | -4.80% | 4 | |
| 2021-12-31 | 2022-01-03 | $352.26 | $399.93 | -1.47% | 2 | |
| 2021-12-27 | 2021-12-29 | $364.65 | $362.06 | 1.81% | 3 | |
| 2021-12-13 | 2021-12-14 | $322.14 | $319.50 | -5.17% | 2 | |
| 2021-12-09 | 2021-12-10 | $334.60 | $339.01 | -6.29% | 2 | |
| 2021-08-02 | 2021-12-01 | $236.56 | $365.00 | 54.62% | 86 | |
| 2021-07-29 | 2021-07-30 | $225.78 | $229.07 | 4.49% | 2 | |
| 2021-07-27 | 2021-07-28 | $214.93 | $215.66 | -2.15% | 2 | |
| 2021-06-11 | 2021-07-23 | $203.30 | $214.46 | 6.20% | 30 | |
| 2021-05-10 | 2021-05-11 | $209.68 | $205.73 | -6.64% | 2 | |
| 2021-05-05 | 2021-05-07 | $223.65 | $224.12 | -1.69% | 3 | |
| 2021-04-13 | 2021-05-04 | $254.11 | $224.53 | -2.62% | 16 | |
| 2021-04-09 | 2021-04-12 | $225.67 | $233.99 | -1.19% | 2 | |
| 2021-04-01 | 2021-04-08 | $220.58 | $227.93 | 0.14% | 5 | |
| 2021-02-17 | 2021-02-18 | $266.05 | $262.46 | 0.04% | 2 | |
| 2021-02-12 | 2021-02-16 | $272.04 | $265.41 | 0.35% | 2 | |
| 2021-02-10 | 2021-02-11 | $268.27 | $270.55 | -5.45% | 2 | |
| 2020-11-18 | 2021-02-09 | $162.21 | $283.15 | 95.14% | 56 | |
| 2020-11-10 | 2020-11-11 | $136.79 | $139.04 | -2.78% | 2 | |
| 2020-11-06 | 2020-11-09 | $143.32 | $140.42 | -2.06% | 2 | |
| 2020-11-04 | 2020-11-05 | $140.33 | $146.03 | -0.89% | 2 | |
| 2020-10-28 | 2020-10-29 | $135.34 | $136.94 | -4.59% | 2 | |
| 2020-10-22 | 2020-10-27 | $141.93 | $141.56 | -0.76% | 4 | |
| 2020-10-20 | 2020-10-21 | $140.65 | $140.88 | -2.26% | 2 | |
| 2020-10-15 | 2020-10-19 | $149.63 | $143.61 | -4.88% | 3 | |
| 2020-10-02 | 2020-10-14 | $138.36 | $153.77 | 0.34% | 9 | |
| 2020-09-29 | 2020-09-30 | $139.69 | $143.00 | -0.29% | 2 | |
| 2020-08-13 | 2020-09-24 | $108.07 | $129.26 | 22.52% | 30 | |
| 2020-04-13 | 2020-08-10 | $43.40 | $94.57 | 86.91% | 84 | |
| 2020-03-06 | 2020-03-09 | $46.90 | $40.53 | -1.27% | 2 | |
| 2019-10-25 | 2020-03-04 | $21.88 | $49.97 | 109.31% | 89 | |
| 2019-07-01 | 2019-08-02 | $15.14 | $15.62 | 3.15% | 24 | |
| 2019-01-17 | 2019-01-22 | $23.15 | $19.93 | -5.25% | 3 | |
| 2018-12-31 | 2019-01-02 | $22.19 | $20.67 | -0.21% | 2 | |
| 2018-10-29 | 2018-12-19 | $22.32 | $22.20 | 2.69% | 36 | |
| 2018-08-03 | 2018-08-20 | $23.21 | $20.56 | -5.17% | 12 | |
| 2018-06-14 | 2018-07-06 | $23.85 | $20.59 | -4.26% | 16 | |
| 2018-03-13 | 2018-03-19 | $22.79 | $20.90 | -6.28% | 5 | |
| 2018-02-23 | 2018-03-01 | $23.47 | $22.06 | -0.43% | 5 | |
| 2018-02-08 | 2018-02-09 | $21.02 | $20.69 | -8.82% | 2 |