Strategy Zoo / S1509
PriceMomentum_V1509
ARCHIVEDhybridstructuralremoved entry condition: ((((close > sma_200 and sma_200_slope > -0.0024) or ret_20d > 0.1653) and cumret_252d > 1.1509 and cumret_252d > -0.1997 and dist_sma_50 > -0.2357) 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))))
Fitness
0.5102
Generation
69
Complexity
2
Created
2026-10-13
Lineage
Parents (1)
changed ret_20d threshold 0.085 -> 0.1653
Children (0)
None
Strategy Logic (pseudocode)
# PriceMomentum_V1509 [hybrid]
if flat and sma_20 < close:
position = 1.0
if long and macd_hist < 0.0:
position = 0.0 # exit to cashBacktest Metrics
| Metric | Train | Validation | Hidden Test | Full |
|---|---|---|---|---|
| CAGR | 10.4% | 81.6% | 11.3% | 22.6% |
| Total Return | 119.6% | 498.7% | 49.6% | 1925.4% |
| Sharpe | 0.45 | 1.43 | 0.47 | 0.70 |
| Sortino | 0.51 | 1.83 | 0.58 | 0.84 |
| Calmar | 0.18 | 1.78 | 0.23 | 0.39 |
| Volatility | 37.2% | 50.3% | 39.3% | 40.7% |
| Max DD | -57.6% | -45.8% | -49.3% | -57.6% |
| Win Rate | 40.5% | 55.9% | 34.2% | 42.4% |
| Avg Win | 7.8% | 10.2% | 11.6% | 9.5% |
| Avg Loss | -3.7% | -4.8% | -4.3% | -4.0% |
| Payoff | 2.10 | 2.13 | 2.71 | 2.34 |
| Expectancy | 0.9% | 3.6% | 1.2% | 1.7% |
| Profit Factor | 1.43 | 2.70 | 1.41 | 1.72 |
| Trades | 173 | 68 | 73 | 314 |
| Avg Holding Days | 7.4 | 7.3 | 7.9 | 7.5 |
| Turnover | 43.5 | 45.3 | 39.1 | 42.7 |
| Exposure | 55.5% | 56.3% | 53.5% | 55.2% |
Growth of $100
PriceMomentum_V1509 vs TSLA Buy & Hold
PriceMomentum_V1509 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 | 26.5% | 1.13 | -20.8% | 14 |
| 2017 | 9.6% | 0.49 | -23.5% | 25 |
| 2018 | -23.1% | -0.44 | -37.3% | 16 |
| 2019 | 10.3% | 0.45 | -33.3% | 12 |
| 2020 | 573.6% | 3.23 | -24.5% | 31 |
| 2021 | 39.0% | 1.07 | -20.7% | 24 |
| 2022 | -44.2% | -1.28 | -44.1% | 12 |
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 | 7.4% | 0.17 | 55% |
| hidden test | EXPENSIVE | 83 | 48.5% | 1.01 | 63% |
| hidden test | EXTREME | 48 | 129.2% | 2.69 | 50% |
| hidden test | HIGH VOLATILITY | 254 | 45.5% | 0.86 | 58% |
| hidden test | LOW VOLATILITY | 443 | 39.0% | 1.31 | 53% |
| hidden test | MEDIUM VOLATILITY | 250 | -45.8% | -1.20 | 50% |
| hidden test | NORMAL | 816 | 8.8% | 0.23 | 53% |
| hidden test | SIDEWAYS | 298 | -11.6% | -0.34 | 55% |
| hidden test | UPTREND | 371 | 50.7% | 1.24 | 51% |
| train | DOWNTREND | 518 | -31.1% | -0.91 | 46% |
| train | EXPENSIVE | 311 | 45.9% | 1.25 | 64% |
| train | EXTREME | 100 | 351.8% | 4.92 | 84% |
| train | HIGH VOLATILITY | 699 | 38.0% | 0.76 | 57% |
| train | LOW VOLATILITY | 745 | 22.8% | 0.90 | 59% |
| train | MEDIUM VOLATILITY | 568 | -17.5% | -0.55 | 49% |
| train | NORMAL | 1,601 | -9.9% | -0.29 | 52% |
| train | SIDEWAYS | 592 | 10.1% | 0.31 | 58% |
| train | UPTREND | 902 | 48.5% | 1.18 | 60% |
| validation | DOWNTREND | 125 | -69.2% | -1.57 | 50% |
| validation | EXPENSIVE | 138 | 66.6% | 1.48 | 52% |
| validation | EXTREME | 144 | 332.6% | 4.25 | 76% |
| validation | HIGH VOLATILITY | 258 | 78.3% | 1.18 | 53% |
| validation | LOW VOLATILITY | 183 | 30.8% | 1.18 | 58% |
| validation | MEDIUM VOLATILITY | 315 | 91.2% | 1.99 | 58% |
| validation | NORMAL | 474 | -5.4% | -0.14 | 51% |
| validation | SIDEWAYS | 206 | 8.6% | 0.23 | 50% |
| validation | UPTREND | 425 | 144.6% | 2.54 | 61% |
Trades (full period)
latest 100 of 315
| Entry | Exit | Entry Px | Exit Px | Return | Days | |
|---|---|---|---|---|---|---|
| 2026-10-07 | — | $377.81 | — | -0.80% | 4 | OPEN |
| 2026-10-05 | 2026-10-06 | $378.73 | $380.68 | 1.99% | 2 | |
| 2026-09-18 | 2026-09-29 | $364.27 | $352.84 | -2.58% | 8 | |
| 2026-08-14 | 2026-09-17 | $342.27 | $366.20 | 5.12% | 24 | |
| 2026-06-30 | 2026-07-15 | $420.60 | $394.46 | -3.99% | 11 | |
| 2026-05-27 | 2026-06-02 | $440.36 | $423.74 | -4.27% | 5 | |
| 2026-05-22 | 2026-05-26 | $426.01 | $433.59 | 1.75% | 2 | |
| 2026-04-16 | 2026-05-21 | $388.90 | $417.85 | 6.24% | 26 | |
| 2026-03-12 | 2026-03-16 | $395.01 | $395.56 | -4.27% | 3 | |
| 2026-02-26 | 2026-03-04 | $408.58 | $405.94 | -6.17% | 5 | |
| 2026-02-12 | 2026-02-24 | $417.07 | $409.38 | -6.83% | 8 | |
| 2026-01-23 | 2026-01-26 | $449.06 | $435.20 | -0.27% | 2 | |
| 2025-12-01 | 2025-12-30 | $430.14 | $454.43 | 6.64% | 21 | |
| 2025-11-06 | 2025-11-07 | $445.91 | $429.52 | -3.69% | 2 | |
| 2025-11-03 | 2025-11-05 | $468.37 | $462.07 | -2.89% | 3 | |
| 2025-10-30 | 2025-10-31 | $440.10 | $456.56 | -4.83% | 2 | |
| 2025-10-28 | 2025-10-29 | $460.55 | $461.51 | 1.60% | 2 | |
| 2025-10-24 | 2025-10-27 | $433.72 | $452.42 | -3.60% | 2 | |
| 2025-10-22 | 2025-10-23 | $438.97 | $448.98 | -1.02% | 2 | |
| 2025-10-20 | 2025-10-21 | $447.43 | $442.60 | 1.65% | 2 | |
| 2025-10-16 | 2025-10-17 | $428.75 | $439.31 | -1.67% | 2 | |
| 2025-10-14 | 2025-10-15 | $429.24 | $435.15 | -1.73% | 2 | |
| 2025-10-09 | 2025-10-10 | $435.54 | $413.49 | -0.92% | 2 | |
| 2025-10-07 | 2025-10-08 | $433.09 | $438.69 | -4.64% | 2 | |
| 2025-09-05 | 2025-10-06 | $350.84 | $453.25 | 26.72% | 22 | |
| 2025-08-25 | 2025-09-03 | $346.60 | $334.09 | -3.32% | 7 | |
| 2025-08-07 | 2025-08-22 | $322.27 | $340.01 | -0.14% | 12 | |
| 2025-07-17 | 2025-08-01 | $319.41 | $302.63 | -4.36% | 12 | |
| 2025-06-24 | 2025-06-26 | $340.47 | $325.78 | -6.25% | 3 | |
| 2025-06-04 | 2025-06-05 | $332.05 | $284.70 | -3.75% | 2 | |
| 2025-04-25 | 2025-06-03 | $284.95 | $344.27 | 31.80% | 27 | |
| 2025-04-10 | 2025-04-22 | $252.40 | $237.97 | -16.60% | 8 | |
| 2025-03-25 | 2025-04-09 | $288.14 | $272.20 | -20.46% | 12 | |
| 2025-01-21 | 2025-01-22 | $424.07 | $415.11 | -0.77% | 2 | |
| 2025-01-16 | 2025-01-17 | $413.82 | $426.50 | -3.56% | 2 | |
| 2024-12-30 | 2024-12-31 | $417.41 | $403.84 | -3.50% | 2 | |
| 2024-12-26 | 2024-12-27 | $454.13 | $431.66 | -1.96% | 2 | |
| 2024-12-06 | 2024-12-24 | $389.22 | $462.28 | 16.31% | 13 | |
| 2024-12-04 | 2024-12-05 | $357.93 | $369.49 | 1.65% | 2 | |
| 2024-12-02 | 2024-12-03 | $357.09 | $351.42 | 3.25% | 2 | |
| 2024-10-25 | 2024-11-29 | $269.19 | $345.16 | 27.55% | 25 | |
| 2024-10-09 | 2024-10-10 | $241.05 | $238.77 | -1.61% | 2 | |
| 2024-10-07 | 2024-10-08 | $240.83 | $244.50 | -3.90% | 2 | |
| 2024-09-03 | 2024-10-04 | $210.60 | $250.08 | 12.17% | 24 | |
| 2024-08-19 | 2024-08-30 | $222.72 | $214.11 | -4.74% | 10 | |
| 2024-07-23 | 2024-07-24 | $246.38 | $215.99 | -2.24% | 2 | |
| 2024-06-17 | 2024-07-22 | $187.44 | $251.51 | 34.11% | 24 | |
| 2024-06-13 | 2024-06-14 | $182.47 | $178.01 | 2.72% | 2 | |
| 2024-06-07 | 2024-06-10 | $177.48 | $173.79 | -0.46% | 2 | |
| 2024-05-31 | 2024-06-03 | $178.08 | $176.29 | -0.60% | 2 | |
| 2024-04-26 | 2024-05-30 | $168.29 | $178.79 | 3.32% | 24 | |
| 2024-03-28 | 2024-04-17 | $175.79 | $155.45 | -12.81% | 14 | |
| 2024-02-16 | 2024-03-07 | $199.95 | $178.65 | -12.10% | 14 | |
| 2024-01-03 | 2024-01-04 | $238.45 | $237.93 | -4.21% | 2 | |
| 2023-12-15 | 2024-01-02 | $253.50 | $248.42 | -1.22% | 11 | |
| 2023-11-14 | 2023-12-14 | $237.41 | $251.05 | 6.76% | 22 | |
| 2023-10-18 | 2023-10-19 | $242.68 | $220.11 | -4.97% | 2 | |
| 2023-10-05 | 2023-10-17 | $260.05 | $254.85 | -2.97% | 9 | |
| 2023-08-30 | 2023-09-25 | $256.90 | $246.99 | -4.97% | 18 | |
| 2023-07-20 | 2023-07-21 | $262.90 | $260.02 | -9.93% | 2 | |
| 2023-07-18 | 2023-07-19 | $293.34 | $291.26 | 0.82% | 2 | |
| 2023-07-14 | 2023-07-17 | $281.38 | $290.38 | 1.05% | 2 | |
| 2023-07-12 | 2023-07-13 | $271.99 | $277.90 | 0.61% | 2 | |
| 2023-07-10 | 2023-07-11 | $269.61 | $269.79 | -1.95% | 2 | |
| 2023-07-05 | 2023-07-07 | $282.48 | $274.43 | -1.37% | 3 | |
| 2023-06-30 | 2023-07-03 | $261.77 | $279.82 | 1.46% | 2 | |
| 2023-06-28 | 2023-06-29 | $256.24 | $257.50 | 2.21% | 2 | |
| 2023-05-09 | 2023-06-27 | $169.15 | $250.21 | 40.03% | 34 | |
| 2023-03-24 | 2023-04-06 | $190.41 | $185.06 | -3.68% | 10 | |
| 2023-03-22 | 2023-03-23 | $191.15 | $192.22 | -3.45% | 2 | |
| 2023-03-02 | 2023-03-03 | $190.90 | $197.79 | -6.05% | 2 | |
| 2023-02-28 | 2023-03-01 | $205.71 | $202.77 | -1.12% | 2 | |
| 2023-02-24 | 2023-02-27 | $196.88 | $207.63 | -2.77% | 2 | |
| 2023-01-18 | 2023-02-23 | $128.78 | $202.07 | 52.45% | 26 | |
| 2022-12-01 | 2022-12-14 | $194.70 | $156.80 | -17.50% | 10 | |
| 2022-10-31 | 2022-11-09 | $227.54 | $177.59 | -16.46% | 8 | |
| 2022-09-12 | 2022-09-23 | $304.42 | $275.33 | -3.89% | 10 | |
| 2022-08-24 | 2022-08-25 | $297.10 | $296.07 | 0.02% | 2 | |
| 2022-08-22 | 2022-08-23 | $289.91 | $296.45 | -2.47% | 2 | |
| 2022-08-15 | 2022-08-19 | $309.32 | $296.67 | 0.75% | 5 | |
| 2022-06-03 | 2022-08-12 | $234.52 | $300.03 | 10.72% | 49 | |
| 2022-03-17 | 2022-04-11 | $290.53 | $325.31 | 21.81% | 18 | |
| 2022-03-03 | 2022-03-15 | $279.76 | $267.30 | -13.08% | 9 | |
| 2022-02-16 | 2022-02-23 | $307.80 | $254.68 | -11.12% | 5 | |
| 2022-01-13 | 2022-01-14 | $343.85 | $349.87 | -6.94% | 2 | |
| 2021-12-27 | 2022-01-12 | $364.65 | $368.74 | -0.44% | 13 | |
| 2021-11-30 | 2021-12-01 | $381.59 | $365.00 | 0.48% | 2 | |
| 2021-11-22 | 2021-11-23 | $385.62 | $369.68 | 1.54% | 2 | |
| 2021-11-18 | 2021-11-19 | $365.46 | $379.02 | 0.48% | 2 | |
| 2021-11-12 | 2021-11-15 | $344.47 | $337.80 | -3.03% | 2 | |
| 2021-10-12 | 2021-11-11 | $268.57 | $354.50 | 34.59% | 23 | |
| 2021-10-08 | 2021-10-11 | $261.83 | $263.98 | -1.22% | 2 | |
| 2021-09-28 | 2021-10-07 | $259.19 | $264.54 | -1.29% | 8 | |
| 2021-09-24 | 2021-09-27 | $258.13 | $263.79 | 2.55% | 2 | |
| 2021-09-22 | 2021-09-23 | $250.65 | $251.21 | 1.50% | 2 | |
| 2021-08-30 | 2021-09-21 | $243.64 | $246.46 | 2.36% | 16 | |
| 2021-08-26 | 2021-08-27 | $233.72 | $237.31 | -1.61% | 2 | |
| 2021-08-24 | 2021-08-25 | $236.16 | $237.07 | 0.11% | 2 | |
| 2021-08-19 | 2021-08-20 | $224.49 | $226.75 | -2.45% | 2 | |
| 2021-07-30 | 2021-08-17 | $229.07 | $221.90 | 1.10% | 13 |