Strategy Zoo / S1529

PriceMomentum_V1529

ARCHIVEDhybrid

structuraladded exit filter: sma_50_slope < 0.0034

Fitness
0.5495
Generation
70
Complexity
28
Created
2026-10-13

Lineage

Parents (1)
PriceMomentum_V1464S1464 · gen 67ELITEstructural

changed ret_20d threshold 0.085 -> 0.1653

Children (0)
None

Strategy Logic (pseudocode)

# PriceMomentum_V1529  [hybrid]
if flat and (((((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)))) and sma_20 < close):
    position = 1.0
if long and (macd_hist < 0.0 or sma_50_slope < 0.0034):
    position = 0.0  # exit to cash

Backtest Metrics

MetricTrainValidationHidden TestFull
CAGR11.7%76.7%5.5%21.1%
Total Return142.2%452.1%22.1%1581.2%
Sharpe0.531.540.330.77
Sortino0.551.810.310.80
Calmar0.312.580.140.55
Volatility27.8%42.7%27.0%31.3%
Max DD-37.8%-29.8%-38.3%-38.3%
Win Rate48.3%54.6%48.5%49.6%
Avg Win3.0%5.3%3.2%3.7%
Avg Loss-2.1%-2.5%-2.5%-2.3%
Payoff1.432.141.251.62
Expectancy0.4%1.8%0.2%0.7%
Profit Factor1.332.571.181.60
Trades315119136570
Avg Holding Days2.73.32.62.8
Turnover79.079.372.477.3
Exposure26.5%35.4%22.4%27.3%

Growth of $100

PriceMomentum_V1529 vs TSLA Buy & Hold
PriceMomentum_V1529 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
YearCAGRSharpeMax DDTrades
201618.7%1.49-6.6%29
201715.6%0.92-7.4%38
2018-17.7%-0.69-21.2%37
201926.9%1.14-20.2%26
2020417.3%3.00-22.7%44
202117.3%0.67-22.9%54
2022-20.5%-0.88-25.4%20

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

PeriodRegimeDaysAnn. ReturnSharpeExposure
hidden testDOWNTREND2783.9%0.2113%
hidden testEXPENSIVE83101.2%2.3141%
hidden testEXTREME48126.8%2.8935%
hidden testHIGH VOLATILITY2548.7%0.2425%
hidden testLOW VOLATILITY44326.3%1.2821%
hidden testMEDIUM VOLATILITY250-21.7%-0.8522%
hidden testNORMAL816-7.4%-0.3220%
hidden testSIDEWAYS298-18.1%-0.8022%
hidden testUPTREND37134.4%1.0030%
trainDOWNTREND518-11.3%-0.749%
trainEXPENSIVE31122.5%0.6946%
trainEXTREME100329.9%4.6382%
trainHIGH VOLATILITY69925.0%0.6528%
trainLOW VOLATILITY7459.0%0.5029%
trainMEDIUM VOLATILITY56810.1%0.4421%
trainNORMAL1,601-6.3%-0.3119%
trainSIDEWAYS5926.4%0.3322%
trainUPTREND90235.4%0.9740%
validationDOWNTREND12529.7%1.435%
validationEXPENSIVE13827.8%0.6645%
validationEXTREME144310.9%4.3069%
validationHIGH VOLATILITY25880.2%1.3934%
validationLOW VOLATILITY18316.9%0.8632%
validationMEDIUM VOLATILITY31582.8%2.1838%
validationNORMAL4742.6%0.1022%
validationSIDEWAYS206-26.5%-1.2221%
validationUPTREND425121.4%2.2751%

Trades (full period)

latest 100 of 570
EntryExitEntry PxExit PxReturnDays
2026-10-092026-10-12$382.70$378.031.85%2
2026-10-072026-10-08$377.81$375.00-0.95%2
2026-09-282026-09-29$357.45$352.84-4.14%2
2026-09-242026-09-25$377.94$372.11-0.77%2
2026-09-222026-09-23$378.90$380.120.76%2
2026-09-182026-09-21$364.27$375.30-0.73%2
2026-09-152026-09-16$356.58$358.08-0.86%2
2026-09-112026-09-14$365.44$358.970.32%2
2026-09-092026-09-10$367.81$363.56-0.29%2
2026-09-042026-09-08$354.08$368.16-6.12%2
2026-09-012026-09-02$356.09$357.01-3.42%2
2026-07-072026-07-08$402.90$394.06-4.21%2
2026-07-012026-07-02$425.30$393.450.92%2
2026-06-012026-06-02$415.88$423.74-4.76%2
2026-05-282026-05-29$442.10$435.790.19%2
2026-05-202026-05-21$417.26$417.853.05%2
2026-05-182026-05-19$409.99$404.11-3.10%2
2026-05-142026-05-15$443.30$422.24-0.64%2
2026-05-122026-05-13$433.45$445.27-2.79%2
2026-05-082026-05-11$428.35$445.003.82%2
2026-05-062026-05-07$398.73$411.792.20%2
2026-05-042026-05-05$392.51$389.370.23%2
2026-04-202026-04-21$392.50$386.42-2.22%2
2026-04-162026-04-17$388.90$400.62-0.98%2
2025-12-292025-12-30$459.64$454.43-3.47%2
2025-12-242025-12-26$485.40$475.19-0.23%2
2025-12-222025-12-23$488.73$485.561.36%2
2025-12-182025-12-19$483.37$481.203.24%2
2025-12-162025-12-17$489.88$467.262.86%2
2025-12-122025-12-15$458.96$475.312.50%2
2025-12-102025-12-11$451.45$446.891.21%2
2025-12-082025-12-09$439.58$445.17-3.59%2
2025-12-042025-12-05$454.53$455.001.54%2
2025-11-042025-11-05$444.26$462.07-5.34%2
2025-09-182025-10-06$416.85$453.250.73%13
2025-09-162025-09-17$421.62$425.862.62%2
2025-09-122025-09-15$395.94$410.047.15%2
2025-09-102025-09-11$347.79$368.810.04%2
2025-09-082025-09-09$346.40$346.97-1.46%2
2025-08-292025-09-02$333.87$329.36-3.70%2
2025-08-272025-08-28$349.60$345.98-0.79%2
2025-08-252025-08-26$346.60$351.671.74%2
2025-08-202025-08-21$323.90$320.11-1.84%2
2025-08-182025-08-19$335.16$329.311.19%2
2025-08-142025-08-15$335.58$330.56-1.32%2
2025-08-122025-08-13$340.84$339.380.33%2
2025-08-082025-08-11$329.65$339.032.09%2
2025-07-292025-07-30$321.20$319.04-1.55%2
2025-07-232025-07-24$332.56$305.30-0.06%2
2025-07-212025-07-22$328.49$332.11-0.55%2
2025-06-252025-06-26$327.55$325.78-3.99%2
2025-05-202025-06-03$343.82$344.27-0.02%10
2025-05-162025-05-19$349.98$342.091.89%2
2025-05-142025-05-15$347.68$342.823.87%2
2025-05-122025-05-13$318.38$334.076.54%2
2025-05-082025-05-09$284.82$298.262.91%2
2025-05-062025-05-07$275.35$276.22-1.95%2
2025-05-022025-05-05$287.21$280.262.18%2
2025-04-302025-05-01$282.16$280.52-3.58%2
2025-04-282025-04-29$285.88$292.030.13%2
2024-12-092024-12-24$389.79$462.2810.41%12
2024-11-062024-11-29$288.53$345.1632.15%17
2024-11-042024-11-05$242.84$251.44-2.66%2
2024-10-312024-11-01$249.85$248.98-3.19%2
2024-10-292024-10-30$259.52$257.55-1.34%2
2024-10-252024-10-28$269.19$262.513.14%2
2024-10-032024-10-04$240.66$250.08-3.55%2
2024-10-012024-10-02$258.02$249.02-1.58%2
2024-09-272024-09-30$260.46$261.632.25%2
2024-09-252024-09-26$257.02$254.220.88%2
2024-09-232024-09-24$250.00$254.274.73%2
2024-09-192024-09-20$243.92$238.257.15%2
2024-09-172024-09-18$227.87$227.200.28%2
2024-09-132024-09-16$230.29$226.780.01%2
2024-09-112024-09-12$228.13$229.810.67%2
2024-09-062024-09-09$210.73$216.27-8.64%2
2024-08-262024-08-30$213.21$214.11-6.56%5
2024-08-222024-08-23$210.66$220.32-5.84%2
2024-08-202024-08-21$221.10$223.27-0.93%2
2024-07-022024-07-22$231.26$251.5113.76%14
2024-06-282024-07-01$197.88$209.860.03%2
2024-06-262024-06-27$196.37$197.424.61%2
2024-06-242024-06-25$182.58$187.35-0.43%2
2024-06-202024-06-21$181.57$183.01-1.98%2
2024-06-172024-06-18$187.44$184.865.09%2
2024-05-282024-05-29$176.75$176.19-1.59%2
2024-05-222024-05-23$180.11$173.74-3.67%2
2024-05-202024-05-21$174.95$186.60-1.61%2
2024-05-162024-05-17$174.84$177.460.29%2
2024-05-142024-05-15$177.55$173.993.09%2
2024-05-082024-05-09$174.72$171.97-1.94%2
2024-05-062024-05-07$184.76$177.811.77%2
2024-05-022024-05-03$180.01$181.19-0.19%2
2024-04-302024-05-01$183.28$179.99-5.74%2
2024-01-022024-01-03$248.42$238.45-0.22%2
2023-12-282023-12-29$253.18$248.48-3.36%2
2023-12-262023-12-27$256.61$261.441.41%2
2023-12-212023-12-22$254.50$252.542.78%2
2023-12-192023-12-20$257.22$247.141.84%2
2023-12-152023-12-18$253.50$252.080.78%2