Strategy Zoo / S1521

PriceMomentum_V1521

ARCHIVEDhybrid

structuraladded entry filter: dist_sma_50 < 0.0554

Fitness

0.3344

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_V1521  [hybrid]
if flat and (ret_20d > 0.184 and dist_sma_50 < 0.0554):
    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	0.6%	29.6%	4.0%	6.8%
Total Return	4.5%	117.6%	15.8%	163.2%
Sharpe	0.11	1.20	0.32	0.51
Sortino	0.03	0.80	0.15	0.22
Calmar	0.04	2.05	0.13	0.23
Volatility	8.8%	23.9%	16.2%	15.0%
Max DD	-15.6%	-14.4%	-30.0%	-30.0%
Win Rate	50.0%	50.0%	20.0%	36.4%
Avg Win	10.5%	122.7%	41.9%	46.4%
Avg Loss	-7.2%	-2.3%	-4.9%	-5.2%
Payoff	1.46	10.00	8.53	8.93
Expectancy	1.7%	60.2%	4.5%	13.6%
Profit Factor	1.46	10.00	2.13	5.10
Trades	4	2	5	11
Avg Holding Days	22.3	43.5	21.8	25.9
Turnover	1.0	1.3	2.7	1.5
Exposure	4.2%	11.2%	11.0%	7.4%

Growth of $100

PriceMomentum_V1521 vs TSLA Buy & Hold

PriceMomentum_V1521 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	19.1%	1.33	-9.3%	1
2017	0.0%	0.00	0.0%	0
2018	0.0%	0.00	0.0%	0
2019	2.0%	0.20	-13.9%	1
2020	122.0%	2.15	-13.8%	1
2021	-2.3%	-0.60	-3.1%	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	6.1%	0.63	3%
hidden test	EXPENSIVE	83	0.0%	0.00	0%
hidden test	EXTREME	48	0.0%	0.00	0%
hidden test	HIGH VOLATILITY	254	8.8%	0.58	4%
hidden test	LOW VOLATILITY	443	21.4%	1.40	15%
hidden test	MEDIUM VOLATILITY	250	-27.2%	-1.50	11%
hidden test	NORMAL	816	6.0%	0.35	13%
hidden test	SIDEWAYS	298	-3.7%	-0.32	12%
hidden test	UPTREND	371	11.6%	0.52	16%
train	DOWNTREND	518	9.3%	1.20	4%
train	EXPENSIVE	311	4.9%	0.68	4%
train	EXTREME	100	0.0%	0.00	0%
train	HIGH VOLATILITY	699	-2.6%	-0.24	3%
train	LOW VOLATILITY	745	1.9%	0.27	4%
train	MEDIUM VOLATILITY	568	4.2%	0.52	6%
train	NORMAL	1,601	0.2%	0.03	5%
train	SIDEWAYS	592	-5.8%	-0.44	7%
train	UPTREND	902	0.6%	0.12	2%
validation	DOWNTREND	125	0.0%	0.00	0%
validation	EXPENSIVE	138	-10.9%	-1.39	3%
validation	EXTREME	144	165.2%	3.10	54%
validation	HIGH VOLATILITY	258	56.1%	1.59	21%
validation	LOW VOLATILITY	183	6.8%	0.71	3%
validation	MEDIUM VOLATILITY	315	19.0%	1.10	8%
validation	NORMAL	474	-1.2%	-0.44	1%
validation	SIDEWAYS	206	2.1%	0.12	7%
validation	UPTREND	425	50.0%	1.70	17%

Trades (full period)

11 trades

Entry	Exit	Entry Px	Exit Px	Return	Days
2024-09-06	2024-10-14	$210.73	$219.16	-5.57%	27
2024-05-20	2024-05-29	$174.95	$176.19	-0.60%	7
2023-11-29	2024-01-08	$244.14	$240.45	-3.93%	27
2023-09-19	2023-09-28	$266.50	$246.38	-9.52%	8
2023-05-25	2023-07-24	$184.47	$269.06	41.88%	40
2021-04-07	2021-04-12	$223.66	$233.99	-2.31%	4
2020-04-14	2020-08-10	$47.33	$94.57	122.74%	83
2019-07-01	2019-08-06	$15.14	$15.38	1.97%	26
2016-03-09	2016-05-03	$13.91	$15.49	19.11%	39
2015-09-23	2015-09-30	$17.40	$16.56	-5.67%	6
2013-12-18	2014-01-14	$9.87	$10.75	-8.79%	18